NPORT-EX 2 QTLY_638_20210331.htm

Quarterly Holdings Report
for

Fidelity Advisor® Strategic Income Fund

March 31, 2021







SI-QTLY-0521
1.799881.117





Schedule of Investments March 31, 2021 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 31.7%   
 Principal Amount (000s)(a) Value (000s) 
Convertible Bonds - 0.1%   
ENERGY - 0.1%   
Energy Equipment & Services - 0.0%   
Forum Energy Technologies, Inc. 9% 8/4/25 $10,998 $10,286 
Oil, Gas & Consumable Fuels - 0.1%   
Mesquite Energy, Inc.:   
15% 7/15/23 (b)(c) 2,167 6,846 
15% 7/15/23 (b)(c) 1,255 3,515 
  10,361 
TOTAL ENERGY  20,647 
Nonconvertible Bonds - 31.6%   
COMMUNICATION SERVICES - 6.3%   
Diversified Telecommunication Services - 2.3%   
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) 21,480 22,903 
Cablevision Lightpath LLC:   
3.875% 9/15/27 (d) 3,300 3,267 
5.625% 9/15/28 (d) 2,610 2,648 
Frontier Communications Corp.:   
5% 5/1/28 (d) 11,730 11,946 
5.875% 10/15/27 (d) 6,300 6,678 
6.75% 5/1/29 (d) 7,510 7,921 
Qwest Corp. 7.25% 9/15/25 955 1,120 
Sable International Finance Ltd. 5.75% 9/7/27 (d) 12,405 12,979 
SFR Group SA:   
5.5% 1/15/28 (d) 13,345 13,695 
7.375% 5/1/26 (d) 62,475 64,974 
8.125% 2/1/27 (d) 4,495 4,927 
Sprint Capital Corp.:   
6.875% 11/15/28 78,162 98,560 
8.75% 3/15/32 39,078 57,787 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) 9,200 9,660 
Virgin Media Finance PLC 5% 7/15/30 (d) 14,025 14,007 
Windstream Escrow LLC 7.75% 8/15/28 (d) 19,370 19,727 
Zayo Group Holdings, Inc. 4% 3/1/27 (d) 9,545 9,378 
  362,177 
Entertainment - 0.5%   
Allen Media LLC 10.5% 2/15/28 (d) 6,415 6,768 
Lions Gate Entertainment Corp. 5.875% 11/1/24 (d) 2,640 2,718 
Livent, Inc. 9.375% 10/15/04 (c)(e) 300 0 
Netflix, Inc.:   
4.875% 4/15/28 16,980 19,305 
5.375% 11/15/29 (d) 6,760 7,994 
5.875% 11/15/28 38,210 46,218 
  83,003 
Interactive Media & Services - 0.0%   
ANGI Homeservices, Inc. 3.875% 8/15/28 (d) 3,385 3,385 
Media - 3.2%   
Altice Financing SA 5% 1/15/28 (d) 6,470 6,389 
Block Communications, Inc. 4.875% 3/1/28 (d) 4,405 4,487 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (d) 10,205 10,228 
4.5% 8/15/30 (d) 16,805 17,128 
4.5% 5/1/32 (d) 6,745 6,829 
4.75% 3/1/30 (d) 51,010 52,859 
5% 2/1/28 (d) 54,720 57,875 
5.125% 5/1/27 (d) 42,005 44,413 
5.375% 6/1/29 (d) 34,085 36,556 
5.875% 5/1/27 (d) 10,315 10,645 
Clear Channel International BV 6.625% 8/1/25 (d) 9,800 10,242 
Clear Channel Outdoor Holdings, Inc. 7.75% 4/15/28 (d) 4,095 4,050 
CSC Holdings LLC:   
5.375% 2/1/28 (d) 13,855 14,565 
5.75% 1/15/30 (d) 61,690 64,975 
6.5% 2/1/29 (d) 15,380 16,995 
7.5% 4/1/28 (d) 8,475 9,346 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) 13,370 9,626 
LCPR Senior Secured Financing DAC:   
5.125% 7/15/29 (d) 7,310 7,439 
6.75% 10/15/27 (d) 6,785 7,234 
Nexstar Broadcasting, Inc.:   
4.75% 11/1/28 (d) 13,395 13,536 
5.625% 7/15/27 (d) 14,270 14,957 
Quebecor Media, Inc. 5.75% 1/15/23 14,205 15,143 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.5% 9/15/28 (d) 6,500 6,864 
Scripps Escrow II, Inc. 3.875% 1/15/29 (d) 1,655 1,626 
Sirius XM Radio, Inc.:   
5% 8/1/27 (d) 8,740 9,169 
5.375% 7/15/26 (d) 7,940 8,198 
Townsquare Media, Inc. 6.875% 2/1/26 (d) 3,305 3,520 
Videotron Ltd. 5.125% 4/15/27 (d) 7,325 7,742 
Ziggo Bond Co. BV:   
5.125% 2/28/30 (d) 3,375 3,451 
6% 1/15/27 (d) 7,930 8,267 
Ziggo BV:   
4.875% 1/15/30 (d) 4,805 4,911 
5.5% 1/15/27 (d) 14,342 14,934 
  504,199 
Wireless Telecommunication Services - 0.3%   
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 (e) 19,430 11,901 
8% 2/15/24 (d) 12,960 13,414 
Millicom International Cellular SA 4.5% 4/27/31 (d) 1,040 1,082 
Sprint Corp. 7.625% 3/1/26 3,615 4,427 
T-Mobile U.S.A., Inc.:   
3.375% 4/15/29 5,905 5,966 
3.5% 4/15/31 5,905 5,949 
  42,739 
TOTAL COMMUNICATION SERVICES  995,503 
CONSUMER DISCRETIONARY - 3.2%   
Auto Components - 0.1%   
Allison Transmission, Inc. 5.875% 6/1/29 (d) 4,830 5,281 
Exide Technologies:   
11% 10/31/24 pay-in-kind (c)(d)(e)(f) 1,280 0 
11% 10/31/24 pay-in-kind (c)(d)(e)(f) 632 285 
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)(g) 7,155 7,340 
  12,906 
Automobiles - 0.0%   
Tesla, Inc. 5.3% 8/15/25 (d) 835 866 
Diversified Consumer Services - 0.0%   
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) 5,300 5,452 
Sotheby's 7.375% 10/15/27 (d) 2,970 3,212 
  8,664 
Hotels, Restaurants & Leisure - 2.2%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4% 10/15/30 (d) 23,490 22,668 
4.375% 1/15/28 (d) 6,265 6,295 
Affinity Gaming LLC 6.875% 12/15/27 (d) 2,520 2,655 
Caesars Entertainment, Inc.:   
6.25% 7/1/25 (d) 25,535 27,221 
8.125% 7/1/27 (d) 34,045 37,543 
Caesars Resort Collection LLC 5.75% 7/1/25 (d) 8,510 8,981 
Carnival Corp.:   
7.625% 3/1/26 (d) 5,040 5,414 
9.875% 8/1/27 (d) 10,150 11,951 
10.5% 2/1/26 (d) 7,395 8,717 
11.5% 4/1/23 (d) 20,180 23,131 
Choice Hotels International, Inc. 5.75% 7/1/22 2,690 2,831 
Hilton Domestic Operating Co., Inc.:   
3.75% 5/1/29 (d) 3,350 3,317 
4% 5/1/31 (d) 5,020 5,020 
4.875% 1/15/30 11,025 11,695 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 5,210 5,438 
MCE Finance Ltd.:   
4.875% 6/6/25 (d) 17,840 18,331 
5.25% 4/26/26 (d) 7,345 7,639 
5.375% 12/4/29 (d) 4,785 5,083 
5.75% 7/21/28 (d) 3,385 3,605 
Merlin Entertainments PLC 5.75% 6/15/26 (d) 4,580 4,843 
MGM Resorts International:   
4.75% 10/15/28 6,740 6,962 
6.75% 5/1/25 15,075 16,242 
NCL Corp. Ltd.:   
5.875% 3/15/26 (d) 6,935 7,004 
12.25% 5/15/24 (d) 9,110 11,036 
NCL Finance Ltd. 6.125% 3/15/28 (d) 2,690 2,740 
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d) 6,740 7,246 
Royal Caribbean Cruises Ltd.:   
10.875% 6/1/23 (d) 8,545 9,829 
11.5% 6/1/25 (d) 12,420 14,438 
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d) 5,505 5,983 
Studio City Finance Ltd. 5% 1/15/29 (d) 3,255 3,267 
Vail Resorts, Inc. 6.25% 5/15/25 (d) 3,855 4,110 
Viking Cruises Ltd.:   
5.875% 9/15/27 (d) 3,395 3,319 
13% 5/15/25 (d) 5,740 6,748 
Voc Escrow Ltd. 5% 2/15/28 (d) 6,285 6,209 
Wynn Macau Ltd. 5.125% 12/15/29 (d) 9,840 10,037 
Yum! Brands, Inc. 4.625% 1/31/32 (g) 5,905 6,033 
  343,581 
Household Durables - 0.3%   
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) 4,370 4,373 
LGI Homes, Inc. 6.875% 7/15/26 (d) 7,205 7,520 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (d) 775 831 
Tempur Sealy International, Inc. 4% 4/15/29 (d) 7,905 7,865 
TopBuild Corp. 3.625% 3/15/29 (d) 3,030 2,992 
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 11,770 13,006 
TRI Pointe Homes, Inc. 5.7% 6/15/28 8,715 9,632 
  46,219 
Internet & Direct Marketing Retail - 0.2%   
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) 23,835 25,648 
Specialty Retail - 0.4%   
Asbury Automotive Group, Inc.:   
4.5% 3/1/28 1,987 2,033 
4.75% 3/1/30 1,980 2,045 
Burlington Coat Factory Warehouse Corp. 6.25% 4/15/25 (d) 2,035 2,157 
Carvana Co. 5.5% 4/15/27 (d) 5,905 5,936 
L Brands, Inc.:   
6.625% 10/1/30 (d) 3,355 3,804 
6.75% 7/1/36 15,890 18,750 
6.875% 11/1/35 4,345 5,178 
7.5% 6/15/29 5,030 5,715 
LBM Acquisition LLC 6.25% 1/15/29 (d) 2,745 2,827 
Party City Holdings, Inc. 8.75% 2/15/26 (d) 3,075 3,167 
Penske Automotive Group, Inc. 5.5% 5/15/26 5,975 6,149 
Rent-A-Center, Inc. 6.375% 2/15/29 (d) 2,080 2,205 
  59,966 
Textiles, Apparel & Luxury Goods - 0.0%   
Crocs, Inc. 4.25% 3/15/29 (d) 4,325 4,217 
TOTAL CONSUMER DISCRETIONARY  502,067 
CONSUMER STAPLES - 1.6%   
Beverages - 0.0%   
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) 3,135 3,198 
Food & Staples Retailing - 0.5%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
3.5% 3/15/29 (d) 5,285 5,029 
4.625% 1/15/27 (d) 13,797 14,300 
4.875% 2/15/30 (d) 23,423 24,079 
C&S Group Enterprises LLC 5% 12/15/28 (d) 5,155 5,013 
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) 5,292 5,887 
Performance Food Group, Inc. 5.5% 10/15/27 (d) 5,345 5,590 
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d) 6,735 7,055 
United Natural Foods, Inc. 6.75% 10/15/28 (d) 4,680 5,002 
  71,955 
Food Products - 1.1%   
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d) 3,790 3,866 
Del Monte Foods, Inc. 11.875% 5/15/25 (d) 3,895 4,472 
JBS Investments II GmbH:   
5.75% 1/15/28 (d) 6,485 6,842 
7% 1/15/26 (d) 6,745 7,180 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) 10,725 11,744 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (d) 12,225 13,530 
6.5% 4/15/29 (d) 17,835 20,154 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (d) 5,230 5,427 
4.875% 11/1/26 (d) 5,285 5,466 
Mondelez International, Inc. 1.375% 3/17/41 EUR26,016 29,993 
Pilgrim's Pride Corp.:   
4.25% 4/15/31 (d)(g) 5,905 5,883 
5.75% 3/15/25 (d) 12,675 12,936 
Post Holdings, Inc.:   
4.5% 9/15/31 (d) 12,110 11,977 
4.625% 4/15/30 (d) 6,415 6,431 
5.5% 12/15/29 (d) 9,145 9,792 
5.75% 3/1/27 (d) 4,885 5,138 
Simmons Foods, Inc. 4.625% 3/1/29 (d) 4,295 4,333 
TreeHouse Foods, Inc. 4% 9/1/28 2,250 2,266 
  167,430 
Household Products - 0.0%   
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d) 4,310 4,218 
TOTAL CONSUMER STAPLES  246,801 
ENERGY - 4.2%   
Energy Equipment & Services - 0.2%   
CGG SA 8.75% 4/1/27 (d)(g) 5,895 5,940 
Diamond Offshore Drilling, Inc.:   
4.875% 11/1/43 (e) 308 52 
5.7% 10/15/39 (e) 1,585 269 
Exterran Energy Solutions LP 8.125% 5/1/25 3,270 3,008 
Nabors Industries Ltd.:   
7.25% 1/15/26 (d) 6,565 5,449 
7.5% 1/15/28 (d) 5,660 4,655 
Nine Energy Service, Inc. 8.75% 11/1/23 (d) 3,620 1,267 
NuStar Logistics LP 6% 6/1/26 7,285 7,854 
Summit Midstream Holdings LLC 5.75% 4/15/25 3,405 2,775 
  31,269 
Oil, Gas & Consumable Fuels - 4.0%   
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (d) 10,640 10,640 
Antero Resources Corp. 5.625% 6/1/23 (Reg. S) 1,645 1,651 
Callon Petroleum Co.:   
6.125% 10/1/24 2,855 2,427 
6.25% 4/15/23 5,395 4,802 
Cheniere Energy Partners LP 4% 3/1/31 (d) 9,070 9,229 
Cheniere Energy, Inc. 4.625% 10/15/28 (d) 13,395 13,911 
Chesapeake Energy Corp.:   
5.875% 2/1/29(d) 3,115 3,302 
7% 10/1/24 (c)(e) 3,985 0 
8% 1/15/25 (c)(e) 1,955 0 
8% 6/15/27 (c)(e) 1,240 0 
Citgo Holding, Inc. 9.25% 8/1/24 (d) 16,430 16,307 
Citgo Petroleum Corp.:   
6.375% 6/15/26 (d) 4,665 4,707 
7% 6/15/25 (d) 13,580 13,970 
CNX Midstream Partners LP 6.5% 3/15/26 (d) 3,935 4,004 
CNX Resources Corp. 6% 1/15/29 (d) 3,200 3,325 
Comstock Resources, Inc.:   
6.75% 3/1/29 (d) 8,110 8,313 
7.5% 5/15/25 (d) 2,246 2,330 
9.75% 8/15/26 32,227 35,047 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (d) 11,025 10,832 
5.75% 4/1/25 2,960 2,976 
6% 2/1/29 (d) 16,880 16,627 
CVR Energy, Inc.:   
5.25% 2/15/25 (d) 9,740 9,516 
5.75% 2/15/28 (d) 24,505 23,892 
DCP Midstream Operating LP 5.85% 5/21/43 (d)(f) 10,780 9,599 
EG Global Finance PLC 8.5% 10/30/25 (d) 9,545 10,118 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (d) 4,090 4,245 
5.75% 1/30/28 (d) 10,149 10,721 
6.625% 7/15/25(d) 3,395 3,628 
Energy Transfer Equity LP 5.5% 6/1/27 12,065 12,446 
EQT Corp. 3.9% 10/1/27 15,848 16,165 
Hess Midstream Partners LP:   
5.125% 6/15/28 (d) 6,600 6,673 
5.625% 2/15/26 (d) 9,140 9,414 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5.75% 2/1/29 (d) 3,250 3,278 
6% 2/1/31 (d) 3,250 3,299 
6.25% 11/1/28 (d) 7,130 7,344 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) 4,350 4,406 
MEG Energy Corp. 7.125% 2/1/27 (d) 6,490 6,798 
Murphy Oil U.S.A., Inc.:   
4.75% 9/15/29 4,155 4,363 
5.625% 5/1/27 3,665 3,830 
New Fortress Energy LLC:   
6.5% 9/30/26 (d)(g) 10,330 10,407 
6.75% 9/15/25 (d) 27,005 27,745 
Newfield Exploration Co. 5.375% 1/1/26 6,813 7,508 
NGL Energy Partners LP/NGL Energy Finance Corp.:   
6.125% 3/1/25 7,480 6,358 
7.5% 4/15/26 9,630 8,210 
NGPL PipeCo LLC:   
4.375% 8/15/22 (d) 1,800 1,868 
4.875% 8/15/27 (d) 1,800 2,012 
Occidental Petroleum Corp.:   
2.9% 8/15/24 8,270 8,179 
3.2% 8/15/26 515 494 
3.4% 4/15/26 670 651 
3.5% 8/15/29 3,820 3,584 
4.4% 4/15/46 5,820 4,984 
4.4% 8/15/49 14,725 12,314 
4.625% 6/15/45 4,795 4,196 
5.875% 9/1/25 6,775 7,224 
6.2% 3/15/40 3,565 3,663 
6.375% 9/1/28 6,775 7,436 
6.45% 9/15/36 11,875 13,107 
6.6% 3/15/46 9,520 10,140 
6.625% 9/1/30 13,550 15,227 
7.2% 3/15/29 2,440 2,672 
7.5% 5/1/31 680 794 
Parkland Corp. 4.5% 10/1/29 (d)(g) 4,420 4,426 
PBF Holding Co. LLC/PBF Finance Corp.:   
6% 2/15/28 15,760 11,643 
7.25% 6/15/25 13,580 11,062 
9.25% 5/15/25 (d) 15,055 15,356 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 6,110 6,111 
PDC Energy, Inc.:   
6.125% 9/15/24 2,480 2,545 
6.25% 12/1/25 4,370 4,392 
Sanchez Energy Corp. 7.25% 2/15/23 (c)(d)(e) 12,834 0 
SM Energy Co.:   
5.625% 6/1/25 4,400 4,071 
6.625% 1/15/27 12,830 11,868 
6.75% 9/15/26 3,175 2,934 
Southwestern Energy Co.:   
6.45% 1/23/25 (f) 1,095 1,170 
7.5% 4/1/26 12,420 13,141 
7.75% 10/1/27 7,830 8,368 
Sunoco LP/Sunoco Finance Corp.:   
4.5% 5/15/29 (d) 5,515 5,494 
5.5% 2/15/26 6,865 7,052 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.5% 10/1/25 (d) 5,035 5,419 
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 (d) 6,345 6,429 
Teine Energy Ltd.:   
6.875% 9/30/22 (d) 8,820 8,831 
6.875% 4/15/29 (d)(g) 4,420 4,473 
Tennessee Gas Pipeline Co. 7.625% 4/1/37 2,585 3,506 
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(e) 6,493 325 
Vine Energy Holdings LLC 0% 3/31/29 (d) 4,415 4,415 
W&T Offshore, Inc. 9.75% 11/1/23 (d) 24,200 21,410 
  637,349 
TOTAL ENERGY  668,618 
FINANCIALS - 3.7%   
Banks - 0.1%   
Citigroup, Inc. 1.25% 7/6/26 (Reg. S) (f) EUR7,333 8,973 
Capital Markets - 0.3%   
AssuredPartners, Inc.:   
5.625% 1/15/29 (d) 3,905 3,979 
7% 8/15/25 (d) 2,930 3,028 
Credit Suisse Group AG 0.625% 1/18/33 (Reg. S) EUR18,440 20,465 
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d) 4,420 4,420 
MSCI, Inc. 4% 11/15/29 (d) 3,780 3,888 
UBS Group AG 0.25% 11/5/28 (Reg. S) (f) EUR9,024 10,434 
  46,214 
Consumer Finance - 2.4%   
Ally Financial, Inc.:   
8% 11/1/31 16,761 22,572 
8% 11/1/31 145,807 203,062 
Ford Motor Credit Co. LLC:   
3.375% 11/13/25 15,970 16,241 
4% 11/13/30 25,360 25,157 
5.113% 5/3/29 6,160 6,612 
Springleaf Finance Corp.:   
4% 9/15/30 3,340 3,248 
5.375% 11/15/29 5,560 5,914 
6.625% 1/15/28 4,415 5,004 
6.875% 3/15/25 30,605 34,811 
7.125% 3/15/26 41,215 47,535 
  370,156 
Diversified Financial Services - 0.6%   
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) 6,600 6,914 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.375% 2/1/29 (d) 6,375 6,230 
5.25% 5/15/27 17,335 17,898 
6.25% 5/15/26 14,625 15,320 
6.375% 12/15/25 32,405 33,458 
6.75% 2/1/24 6,490 6,620 
James Hardie International Finance Ltd. 5% 1/15/28 (d) 5,270 5,573 
OEC Finance Ltd.:   
4.375% 10/25/29 pay-in-kind (d) 3,838 638 
5.25% 12/27/33 pay-in-kind (d) 3,532 587 
7.125% 12/26/46 pay-in-kind (d) 1,791 288 
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) 2,265 2,350 
  95,876 
Insurance - 0.3%   
Acrisure LLC / Acrisure Finance, Inc.:   
7% 11/15/25 (d) 20,290 20,949 
10.125% 8/1/26 (d) 6,810 7,847 
Alliant Holdings Intermediate LLC:   
4.25% 10/15/27 (d) 6,740 6,748 
6.75% 10/15/27 (d) 10,080 10,729 
HUB International Ltd. 7% 5/1/26 (d) 6,980 7,248 
  53,521 
Thrifts & Mortgage Finance - 0.0%   
MGIC Investment Corp. 5.25% 8/15/28 4,725 4,908 
TOTAL FINANCIALS  579,648 
HEALTH CARE - 2.2%   
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc. 4.625% 2/1/28 (d) 2,505 2,630 
Health Care Providers & Services - 1.8%   
Akumin, Inc. 7% 11/1/25 (d) 4,910 5,223 
AMN Healthcare 4.625% 10/1/27 (d) 1,695 1,733 
Centene Corp.:   
4.25% 12/15/27 6,820 7,174 
4.625% 12/15/29 23,795 25,753 
5.375% 8/15/26 (d) 4,655 4,911 
Community Health Systems, Inc.:   
4.75% 2/15/31 (d) 8,770 8,567 
5.625% 3/15/27 (d) 3,305 3,462 
6% 1/15/29 (d) 4,940 5,224 
6.625% 2/15/25 (d) 7,415 7,827 
8% 3/15/26 (d) 37,390 40,430 
8.125% 6/30/24 (d) 13,692 14,364 
DaVita HealthCare Partners, Inc.:   
3.75% 2/15/31 (d) 2,075 1,979 
4.625% 6/1/30 (d) 15,850 16,149 
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) 7,300 7,793 
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (d) 7,220 7,520 
Molina Healthcare, Inc.:   
3.875% 11/15/30 (d) 6,345 6,527 
4.375% 6/15/28 (d) 4,690 4,826 
Radiology Partners, Inc. 9.25% 2/1/28 (d) 11,755 12,798 
RP Escrow Issuer LLC 5.25% 12/15/25 (d) 6,200 6,425 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,640 3,715 
4.625% 9/1/24 (d) 7,305 7,515 
4.875% 1/1/26 (d) 18,260 18,986 
5.125% 5/1/25 3,640 3,691 
5.125% 11/1/27 (d) 10,955 11,456 
6.125% 10/1/28 (d) 11,515 12,019 
6.25% 2/1/27 (d) 20,050 21,170 
U.S. Renal Care, Inc. 10.625% 7/15/27 (d) 12,865 14,152 
Vizient, Inc. 6.25% 5/15/27 (d) 1,690 1,794 
  283,183 
Health Care Technology - 0.1%   
IQVIA, Inc. 5% 5/15/27 (d) 5,660 5,976 
Life Sciences Tools & Services - 0.1%   
Charles River Laboratories International, Inc.:   
3.75% 3/15/29 (d) 4,745 4,752 
4% 3/15/31 (d) 6,035 6,135 
4.25% 5/1/28 (d) 2,045 2,106 
Syneos Health, Inc. 3.625% 1/15/29 (d) 5,025 4,887 
  17,880 
Pharmaceuticals - 0.2%   
Bausch Health Companies, Inc.:   
5% 2/15/29 (d) 5,025 4,990 
5.25% 2/15/31 (d) 5,025 5,001 
Bayer AG:   
0.375% 1/12/29 (Reg. S) EUR8,600 9,896 
1% 1/12/36 (Reg. S) EUR7,500 8,286 
Catalent Pharma Solutions 5% 7/15/27 (d) 2,295 2,404 
  30,577 
TOTAL HEALTH CARE  340,246 
INDUSTRIALS - 3.8%   
Aerospace & Defense - 1.8%   
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (d) 2,610 2,662 
Bombardier, Inc.:   
6.125% 1/15/23 (d) 6,590 6,862 
7.5% 12/1/24 (d) 5,505 5,498 
7.5% 3/15/25 (d) 9,175 9,026 
7.875% 4/15/27 (d) 28,965 28,406 
BWX Technologies, Inc.:   
4.125% 6/30/28 (d) 6,400 6,480 
5.375% 7/15/26 (d) 4,990 5,152 
Moog, Inc. 4.25% 12/15/27 (d) 2,025 2,066 
Rolls-Royce PLC 5.75% 10/15/27 (d) 6,560 6,980 
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) 9,205 9,902 
TransDigm UK Holdings PLC 6.875% 5/15/26 21,085 22,192 
TransDigm, Inc.:   
4.625% 1/15/29 (d) 9,290 9,160 
5.5% 11/15/27 68,140 70,440 
6.25% 3/15/26 (d) 11,120 11,789 
6.375% 6/15/26 37,890 39,169 
6.5% 5/15/25 9,710 9,892 
7.5% 3/15/27 11,028 11,745 
Wolverine Escrow LLC:   
8.5% 11/15/24 (d) 12,893 12,861 
9% 11/15/26 (d) 13,492 13,479 
  283,761 
Air Freight & Logistics - 0.1%   
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) 3,960 4,089 
XPO Logistics, Inc. 6.25% 5/1/25 (d) 11,590 12,472 
  16,561 
Airlines - 0.4%   
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (d) 1,479 1,485 
Delta Air Lines, Inc. 7% 5/1/25 (d) 2,860 3,295 
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.75% 10/20/28 (d) 17,335 18,855 
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 1,718 1,792 
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 2,563 2,541 
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) 20,660 22,649 
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d) 7,805 8,820 
  59,437 
Building Products - 0.1%   
Advanced Drain Systems, Inc. 5% 9/30/27 (d) 1,400 1,467 
CP Atlas Buyer, Inc. 7% 12/1/28 (d) 3,280 3,447 
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d) 4,830 4,886 
  9,800 
Commercial Services & Supplies - 0.3%   
Covanta Holding Corp.:   
5% 9/1/30 6,775 6,843 
5.875% 7/1/25 1,995 2,065 
6% 1/1/27 7,080 7,390 
Double Eagle III Midco 1 LLC 7.75% 12/15/25 (d) 6,500 6,940 
IAA Spinco, Inc. 5.5% 6/15/27 (d) 2,830 2,968 
KAR Auction Services, Inc. 5.125% 6/1/25 (d) 6,210 6,322 
Pitney Bowes, Inc.:   
6.875% 3/15/27 (d) 2,960 2,934 
7.25% 3/15/29 (d) 2,960 2,927 
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 7,378 
  48,149 
Construction & Engineering - 0.1%   
AECOM 5.125% 3/15/27 7,490 8,150 
Arcosa, Inc. 0% 3/31/29 (d) 4,130 4,130 
Pike Corp. 5.5% 9/1/28 (d) 5,315 5,408 
  17,688 
Electrical Equipment - 0.1%   
Sensata Technologies BV:   
4% 4/15/29 (d) 5,910 6,017 
5% 10/1/25 (d) 8,215 9,078 
  15,095 
Machinery - 0.1%   
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d) 4,630 4,589 
Stevens Holding Co., Inc. 6.125% 10/1/26 (d) 1,880 2,016 
  6,605 
Professional Services - 0.1%   
ASGN, Inc. 4.625% 5/15/28 (d) 5,670 5,850 
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) 6,270 6,303 
TriNet Group, Inc. 3.5% 3/1/29 (d) 4,545 4,446 
  16,599 
Road & Rail - 0.6%   
Hertz Corp.:   
5.5% 10/15/24 (d)(e) 6,540 6,515 
6% 1/15/28 (d)(e) 5,785 5,799 
6.25% 10/15/22 (e) 6,775 6,733 
7.125% 8/1/26 (d)(e) 6,315 6,307 
Uber Technologies, Inc.:   
6.25% 1/15/28 (d) 5,520 6,012 
7.5% 9/15/27 (d) 31,625 34,932 
8% 11/1/26 (d) 29,170 31,577 
  97,875 
Trading Companies & Distributors - 0.1%   
Foundation Building Materials, Inc. 6% 3/1/29 (d) 3,110 3,071 
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) 10,040 9,764 
United Rentals North America, Inc.:   
3.875% 11/15/27 3,345 3,466 
5.5% 5/15/27 4,980 5,311 
  21,612 
TOTAL INDUSTRIALS  593,182 
INFORMATION TECHNOLOGY - 1.0%   
Electronic Equipment & Components - 0.0%   
MTS Systems Corp. 5.75% 8/15/27 (d) 1,905 2,075 
TTM Technologies, Inc. 4% 3/1/29 (d) 4,540 4,483 
  6,558 
IT Services - 0.3%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (d) 5,645 6,015 
Camelot Finance SA 4.5% 11/1/26 (d) 6,365 6,581 
Gartner, Inc. 3.75% 10/1/30 (d) 6,920 6,863 
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:   
3.5% 3/1/29 (d) 6,060 5,954 
5.25% 12/1/27 (d) 5,665 5,991 
GTT Communications, Inc. 7.875% 12/31/24 (d) 640 106 
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.:   
6% 2/15/28 (d) 2,355 2,349 
10.75% 6/1/28 (d) 3,695 4,174 
Rackspace Hosting, Inc. 5.375% 12/1/28 (d) 3,845 3,910 
RP Crown Parent, LLC 7.375% 10/15/24 (d) 2,820 2,866 
Unisys Corp. 6.875% 11/1/27 (d) 3,685 4,035 
  48,844 
Semiconductors & Semiconductor Equipment - 0.1%   
ON Semiconductor Corp. 3.875% 9/1/28 (d) 6,765 6,959 
Synaptics, Inc. 4% 6/15/29 (d) 3,500 3,473 
  10,432 
Software - 0.4%   
Ascend Learning LLC:   
6.875% 8/1/25 (d) 2,480 2,542 
6.875% 8/1/25 (d) 7,330 7,513 
Black Knight InfoServ LLC 3.625% 9/1/28 (d) 6,975 6,854 
Boxer Parent Co., Inc. 7.125% 10/2/25 (d) 3,445 3,695 
Fair Isaac Corp. 4% 6/15/28 (d) 6,420 6,584 
NortonLifeLock, Inc. 5% 4/15/25 (d) 6,360 6,445 
Open Text Corp.:   
3.875% 2/15/28 (d) 3,220 3,242 
5.875% 6/1/26 (d) 6,000 6,212 
Open Text Holdings, Inc. 4.125% 2/15/30 (d) 3,220 3,264 
PTC, Inc.:   
3.625% 2/15/25 (d) 3,755 3,854 
4% 2/15/28 (d) 3,715 3,771 
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d) 11,835 12,308 
  66,284 
Technology Hardware, Storage & Peripherals - 0.2%   
NCR Corp.:   
5% 10/1/28 (d) 3,385 3,419 
5.25% 10/1/30 (d) 13,370 13,539 
5.75% 9/1/27 (d) 5,480 5,799 
6.125% 9/1/29 (d) 5,480 5,802 
8.125% 4/15/25 (d) 2,910 3,186 
  31,745 
TOTAL INFORMATION TECHNOLOGY  163,863 
MATERIALS - 2.9%   
Chemicals - 1.5%   
CF Industries Holdings, Inc.:   
4.95% 6/1/43 40,343 46,206 
5.15% 3/15/34 19,208 21,954 
5.375% 3/15/44 34,489 40,913 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 3.9339% 6/15/22 (d)(f)(h) 1,820 1,802 
6.5% 5/15/26 (d) 31,160 31,004 
6.875% 6/15/25 (d) 6,400 6,520 
Ingevity Corp. 3.875% 11/1/28 (d) 6,715 6,514 
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:   
5% 12/31/26 (d) 1,530 1,530 
7% 12/31/27 (d) 1,940 1,859 
LSB Industries, Inc. 9.625% 5/1/23 (d) 3,600 3,691 
Neon Holdings, Inc.:   
10.125% 4/1/26 (d) 1,555 1,707 
10.125% 4/1/26 (d) 7,305 7,962 
OCI NV 5.25% 11/1/24 (d) 10,040 10,442 
The Chemours Co. LLC:   
5.375% 5/15/27 18,470 19,578 
5.75% 11/15/28 (d) 10,075 10,608 
The Scotts Miracle-Gro Co. 4% 4/1/31 (d) 5,930 5,847 
Tronox, Inc. 6.5% 5/1/25 (d) 5,410 5,802 
Valvoline, Inc. 4.25% 2/15/30 (d) 4,680 4,774 
  228,713 
Construction Materials - 0.1%   
Summit Materials LLC/Summit Materials Finance Corp.:   
5.125% 6/1/25 (d) 3,060 3,106 
5.25% 1/15/29 (d) 6,525 6,810 
U.S. Concrete, Inc.:   
5.125% 3/1/29 (d) 5,035 5,186 
6.375% 6/1/24 1,295 1,323 
  16,425 
Containers & Packaging - 0.4%   
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f) 6,625 6,954 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:   
3.25% 9/1/28 (d) 3,025 2,990 
4% 9/1/29 (d) 6,050 6,040 
Cascades, Inc.:   
5.125% 1/15/26 (d) 3,310 3,513 
5.375% 1/15/28 (d) 3,310 3,476 
Crown Cork & Seal, Inc.:   
7.375% 12/15/26 16,535 19,904 
7.5% 12/15/96 7,695 8,493 
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) 3,720 3,957 
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) 2,570 2,654 
Trivium Packaging Finance BV 5.5% 8/15/26 (d) 4,195 4,400 
  62,381 
Metals & Mining - 0.9%   
Alcoa Nederland Holding BV:   
4.125% 3/31/29 (d) 7,735 7,801 
6.125% 5/15/28 (d) 2,110 2,298 
6.75% 9/30/24 (d) 5,350 5,529 
7% 9/30/26 (d) 4,430 4,674 
Algoma Steel SCA 0% 12/31/23 (c) 1,518 0 
Arconic Rolled Products Corp.:   
6% 5/15/25 (d) 4,090 4,408 
6.125% 2/15/28 (d) 9,123 9,716 
Cleveland-Cliffs, Inc.:   
4.625% 3/1/29 (d) 4,615 4,607 
4.875% 3/1/31 (d) 4,615 4,603 
5.75% 3/1/25 1,889 1,948 
5.875% 6/1/27 11,010 11,395 
Compass Minerals International, Inc. 6.75% 12/1/27 (d) 9,315 9,967 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (d) 6,560 6,739 
6.875% 3/1/26 (d) 14,330 14,841 
7.25% 4/1/23 (d) 1,985 2,020 
7.5% 4/1/25 (d) 12,105 12,476 
FMG Resources (August 2006) Pty Ltd.:   
4.375% 4/1/31 (d) 4,420 4,503 
4.5% 9/15/27 (d) 5,450 5,823 
HudBay Minerals, Inc. 4.5% 4/1/26 (d) 3,600 3,730 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d) 6,320 6,320 
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) 6,615 6,771 
Mineral Resources Ltd. 8.125% 5/1/27 (d) 11,025 12,188 
Murray Energy Corp.:   
11.25% 12/31/49 (c)(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 7,288 
  149,645 
TOTAL MATERIALS  457,164 
REAL ESTATE - 1.2%   
Equity Real Estate Investment Trusts (REITs) - 0.9%   
Iron Mountain, Inc.:   
4.875% 9/15/29 (d) 14,590 14,772 
5% 7/15/28 (d) 6,370 6,513 
5.25% 7/15/30 (d) 5,915 6,103 
5.625% 7/15/32 (d) 5,915 6,181 
MGM Growth Properties Operating Partnership LP 3.875% 2/15/29 (d) 6,695 6,669 
MPT Operating Partnership LP/MPT Finance Corp.:   
3.5% 3/15/31 6,700 6,570 
4.625% 8/1/29 10,950 11,520 
5% 10/15/27 15,435 16,238 
SBA Communications Corp. 3.875% 2/15/27 9,720 9,936 
The GEO Group, Inc.:   
5.125% 4/1/23 7,555 6,656 
5.875% 10/15/24 8,575 6,839 
6% 4/15/26 5,755 4,129 
Uniti Group, Inc. 7.875% 2/15/25 (d) 9,940 10,743 
VICI Properties, Inc.:   
4.25% 12/1/26 (d) 12,650 12,942 
4.625% 12/1/29 (d) 7,220 7,490 
  133,301 
Real Estate Management & Development - 0.3%   
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) 6,575 7,109 
Realogy Group LLC/Realogy Co-Issuer Corp.:   
5.75% 1/15/29 (d) 8,505 8,388 
7.625% 6/15/25 (d) 20,305 22,169 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:   
5.125% 8/1/30 (d) 6,480 6,885 
5.875% 6/15/27 (d) 5,610 6,199 
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) 3,045 3,121 
  53,871 
TOTAL REAL ESTATE  187,172 
UTILITIES - 1.5%   
Electric Utilities - 1.3%   
Clearway Energy Operating LLC 4.75% 3/15/28 (d) 4,055 4,219 
NextEra Energy Partners LP:   
4.25% 7/15/24 (d) 4,030 4,242 
4.25% 9/15/24 (d) 258 272 
NRG Energy, Inc.:   
3.375% 2/15/29 (d) 3,080 3,007 
3.625% 2/15/31 (d) 6,110 5,957 
5.75% 1/15/28 20,240 21,505 
Pacific Gas & Electric Co.:   
3.75% 8/15/42 6,290 5,764 
3.95% 12/1/47 32,835 30,220 
4% 12/1/46 14,690 13,631 
4.25% 3/15/46 1,475 1,412 
4.3% 3/15/45 3,690 3,592 
4.55% 7/1/30 49,355 53,530 
PG&E Corp.:   
5% 7/1/28 13,615 14,384 
5.25% 7/1/30 5,150 5,459 
Vistra Operations Co. LLC:   
5% 7/31/27 (d) 13,800 14,214 
5.5% 9/1/26 (d) 9,975 10,337 
5.625% 2/15/27 (d) 17,455 18,142 
  209,887 
Gas Utilities - 0.2%   
Southern Natural Gas Co. LLC:   
7.35% 2/15/31 14,890 19,141 
8% 3/1/32 9,400 12,849 
  31,990 
TOTAL UTILITIES  241,877 
TOTAL NONCONVERTIBLE BONDS  4,976,141 
TOTAL CORPORATE BONDS   
(Cost $4,662,598)  4,996,788 
U.S. Government and Government Agency Obligations - 19.2%   
U.S. Government Agency Obligations - 0.1%   
Fannie Mae 0.625% 4/22/25 2,128 2,122 
Tennessee Valley Authority:   
5.25% 9/15/39 $2,106 $2,888 
5.375% 4/1/56 3,503 5,243 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  10,253 
U.S. Treasury Obligations - 18.7%   
U.S. Treasury Bonds:   
1.875% 2/15/51 160,055 142,049 
2.5% 2/15/45 (i)(j) 216,056 220,563 
3% 5/15/45 20,100 22,405 
3% 2/15/49 145,860 163,865 
4.75% 2/15/37 (i)(j) 74,200 101,480 
5.25% 2/15/29 (i) 5,406 6,916 
6.125% 8/15/29 (i) 3,663 4,990 
U.S. Treasury Notes:   
0.125% 5/31/22 66,923 66,941 
0.125% 6/30/22 46,344 46,355 
0.125% 8/31/22 82,000 82,000 
0.125% 10/31/22 55,500 55,493 
0.125% 11/30/22 35,000 34,993 
0.125% 12/31/22 33,500 33,486 
0.125% 2/28/23 89,000 88,944 
0.125% 8/15/23 2,411 2,405 
0.125% 10/15/23 2,852 2,843 
0.25% 3/15/24 495 494 
0.25% 7/31/25 35,866 35,084 
0.25% 9/30/25 26,037 25,395 
0.25% 10/31/25 17,600 17,137 
0.375% 3/31/22 92,800 93,076 
0.375% 4/30/25 82,771 81,733 
0.375% 12/31/25 167,057 163,148 
0.375% 1/31/26 13,900 13,556 
0.75% 3/31/26 42,352 41,985 
0.875% 11/15/30 (k) 111,576 103,190 
1.125% 2/15/31 (k) 52,194 49,315 
1.25% 3/31/28 407,334 403,129 
1.375% 8/31/23 11,000 11,306 
1.5% 8/31/21 22,000 22,134 
1.5% 9/30/21 25,180 25,363 
1.5% 10/31/24 480 496 
1.5% 1/31/27 34,389 35,069 
1.625% 11/15/22 14,901 15,258 
1.625% 5/31/23 19,717 20,323 
1.625% 9/30/26 3,093 3,186 
1.75% 7/31/21 9,325 9,378 
1.875% 7/31/22 43,433 44,449 
2.125% 3/31/24 56,643 59,626 
2.125% 7/31/24 118,408 124,981 
2.125% 5/15/25 (l) 12,033 12,737 
2.25% 7/31/21 52,019 52,405 
2.25% 4/30/24 24,428 25,826 
2.25% 3/31/26 34,717 36,960 
2.375% 4/15/21 74,550 74,616 
2.5% 1/15/22 136,816 139,445 
2.5% 2/28/26 38,997 41,990 
2.625% 12/31/23 56,283 59,869 
2.75% 6/30/25 197 214 
3.125% 11/15/28 31,330 35,037 
TOTAL U.S. TREASURY OBLIGATIONS  2,953,638 
Other Government Related - 0.4%   
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 49,900 50,197 
Private Export Funding Corp. Secured 1.75% 11/15/24 11,520 11,963 
TOTAL OTHER GOVERNMENT RELATED  62,160 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,976,476)  3,026,051 
U.S. Government Agency - Mortgage Securities - 1.2%   
Ginnie Mae - 1.2%   
2% 4/1/51 (g) 13,900 14,028 
2% 4/1/51 (g) 22,300 22,505 
2% 4/1/51 (g) 22,300 22,505 
2% 4/1/51 (g) 4,500 4,541 
2% 5/1/51 (g) 6,550 6,600 
3% 4/1/51 (g) 39,100 40,708 
3% 4/1/51 (g) 40,500 42,166 
3% 5/1/51 (g) 33,900 35,312 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $187,874)  188,365 
Foreign Government and Government Agency Obligations - 8.2%   
Australian Commonwealth 1.75% 6/21/51 (Reg. S) AUD$66,406 $40,356 
Buoni del Tesoro Poliennali:   
1.5% 4/30/45 (Reg. S) (d) EUR10,390 12,241 
1.7% 9/1/51 (Reg. S) (d) EUR6,210 7,365 
Canadian Government:   
0.25% 11/1/22 CAD156,420 124,542 
1.25% 6/1/30 CAD32,000 24,903 
2% 12/1/51 CAD13,170 10,537 
Dutch Government 0% 7/15/30 (Reg. S) (d) EUR96,800 116,090 
German Federal Republic:   
0% 6/10/22 (Reg. S) EUR178,300 210,744 
0% 9/16/22 (Reg. S) EUR295,930 350,441 
0% 8/15/30 (Reg. S) EUR15,825 19,155 
0% 8/15/50 EUR45,840 49,916 
Israeli State (guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 54,954 61,895 
5.5% 12/4/23 19,812 22,495 
Japan Government:   
0.1% 9/20/29 JPY7,655,450 69,548 
0.4% 3/20/56 JPY4,039,750 33,275 
0.9% 6/20/22 JPY6,450,000 58,970 
Ukraine Government 1.471% 9/29/21 6,753 6,787 
United Kingdom, Great Britain and Northern Ireland 0.375% 10/22/30 (Reg. S) GBP30,000 39,466 
United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S) GBP16,850 32,862 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,315,578)  1,291,588 
Supranational Obligations - 0.3%   
European Union:
(Cost $39,847) 		  
0.2% 6/4/36 (Reg. S) EUR23,200 27,044 
0.3% 11/4/50 (Reg. S) EUR10,450 11,593 
TOTAL SUPRANATIONAL OBLIGATIONS   
(Cost $39,847)  38,637 
 Shares Value (000s) 
Common Stocks - 5.6%   
COMMUNICATION SERVICES - 0.6%   
Entertainment - 0.0%   
New Cotai LLC/New Cotai Capital Corp. (b)(c) 2,242,893 8,613 
Interactive Media & Services - 0.3%   
Alphabet, Inc. Class A (m) 5,100 10,519 
Facebook, Inc. Class A (m) 77,900 22,944 
Tencent Holdings Ltd. sponsored ADR 120,900 9,648 
  43,111 
Media - 0.2%   
Altice U.S.A., Inc. Class A (m) 404,800 13,168 
iHeartMedia, Inc. (m) 26 0 
Nexstar Broadcasting Group, Inc. Class A 115,000 16,149 
  29,317 
Wireless Telecommunication Services - 0.1%   
T-Mobile U.S., Inc. 79,900 10,011 
TOTAL COMMUNICATION SERVICES  91,052 
CONSUMER DISCRETIONARY - 0.8%   
Auto Components - 0.0%   
Exide Technologies (c) 280 182 
Exide Technologies (c)(m) 7,093 7 
Exide Technologies (c)(m) 418,807 0 
UC Holdings, Inc. (c)(m) 560,355 5,934 
  6,123 
Hotels, Restaurants & Leisure - 0.4%   
Boyd Gaming Corp. (m) 229,500 13,531 
Caesars Entertainment, Inc. (m) 290,400 25,395 
Penn National Gaming, Inc. (m) 183,906 19,281 
Studio City International Holdings Ltd. ADR (m) 133,400 1,761 
  59,968 
Household Durables - 0.2%   
Tempur Sealy International, Inc. 555,048 20,293 
Whirlpool Corp. 45,100 9,938 
  30,231 
Internet & Direct Marketing Retail - 0.1%   
Alibaba Group Holding Ltd. sponsored ADR (m) 40,500 9,183 
Amazon.com, Inc. (m) 4,100 12,686 
  21,869 
Specialty Retail - 0.1%   
Lowe's Companies, Inc. 72,800 13,845 
TOTAL CONSUMER DISCRETIONARY  132,036 
CONSUMER STAPLES - 0.3%   
Food & Staples Retailing - 0.1%   
Southeastern Grocers, Inc. (c)(m) 584,047 8,983 
Food Products - 0.2%   
Darling Ingredients, Inc. (m) 202,700 14,915 
JBS SA 3,785,700 20,366 
Reddy Ice Holdings, Inc. (c)(m) 331,236 0 
Reddy Ice Holdings, Inc. (c)(m) 133,255 7 
  35,288 
TOTAL CONSUMER STAPLES  44,271 
ENERGY - 1.1%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. (m) 135,187 13 
Jonah Energy LLC (c) 183,159 2,747 
Superior Energy Services, Inc. Class A (c) 66,115 1,693 
  4,453 
Oil, Gas & Consumable Fuels - 1.1%   
California Resources Corp. (m) 2,172,643 52,274 
California Resources Corp. warrants 10/27/24 (m) 34,633 158 
Chaparral Energy, Inc.:   
Series A warrants 10/1/24 (c)(m) 289 0 
Series B warrants 10/1/25 (c)(m) 289 0 
Chesapeake Energy Corp. (m) 1,052,678 45,676 
Chesapeake Energy Corp. (b) 15,902 621 
Chesapeake Energy Corp.:   
warrants 2/9/26 (m) 70,147 1,403 
warrants 2/9/26 (m) 77,942 1,539 
warrants 2/9/26 (m) 48,655 817 
Denbury, Inc. (m) 415,235 19,886 
Denbury, Inc. warrants 9/18/25 (m) 288,114 6,050 
EP Energy Corp. (c) 611,545 32,210 
Extraction Oil & Gas, Inc. (m) 30,558 1,098 
Goodrich Petroleum Corp. (k)(m) 90,737 858 
Harvest Oil & Gas Corp. 19,388 436 
Mesquite Energy, Inc. (c) 185,122 2,953 
Unit Corp. (m) 26,886 329 
Whiting Petroleum Corp. (m) 77,283 2,740 
  169,048 
TOTAL ENERGY  173,501 
FINANCIALS - 0.2%   
Capital Markets - 0.0%   
Penson Worldwide, Inc. Class A (c)(m) 7,403,098 0 
Consumer Finance - 0.1%   
OneMain Holdings, Inc. 313,800 16,857 
Diversified Financial Services - 0.0%   
ACNR Holdings, Inc. (c) 25,226 174 
Insurance - 0.1%   
Arthur J. Gallagher & Co. 67,600 8,434 
TOTAL FINANCIALS  25,465 
HEALTH CARE - 0.5%   
Biotechnology - 0.0%   
Regeneron Pharmaceuticals, Inc. (m) 900 426 
Health Care Providers & Services - 0.3%   
HCA Holdings, Inc. 84,900 15,990 
Humana, Inc. 31,400 13,164 
Rotech Healthcare, Inc. (c)(m) 129,242 1,345 
UnitedHealth Group, Inc. 43,000 15,999 
  46,498 
Life Sciences Tools & Services - 0.2%   
Charles River Laboratories International, Inc. (m) 37,800 10,956 
IQVIA Holdings, Inc. (m) 73,200 14,138 
Thermo Fisher Scientific, Inc. 32,800 14,969 
  40,063 
TOTAL HEALTH CARE  86,987 
INDUSTRIALS - 0.3%   
Air Freight & Logistics - 0.1%   
XPO Logistics, Inc. (m) 83,900 10,345 
Airlines - 0.0%   
Air Canada (m) 182,000 3,787 
Building Products - 0.1%   
Carrier Global Corp. 384,800 16,246 
Commercial Services & Supplies - 0.0%   
Novus Holdings Ltd. (m) 48,111 4 
Electrical Equipment - 0.0%   
Array Technologies, Inc. 500 15 
Machinery - 0.0%   
Allison Transmission Holdings, Inc. 126,600 5,169 
Marine - 0.0%   
U.S. Shipping Partners Corp. (c)(m) 22,876 0 
U.S. Shipping Partners Corp. warrants 12/31/29 (c)(m) 214,176 0 
  0 
Professional Services - 0.0%   
ASGN, Inc. (m) 84,800 8,093 
Trading Companies & Distributors - 0.1%   
Penhall Acquisition Co.:   
Class A (c)(m) 11,553 1,343 
Class B (c)(m) 3,850 448 
United Rentals, Inc. (m) 33,870 11,154 
  12,945 
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA:   
Class A1 (b)(c)(m) 403,760 0 
Class A2 (b)(c)(m) 403,760 0 
Class A3 (b)(c)(m) 403,760 0 
Class A4 (b)(c)(m) 403,760 0 
Class A5 (b)(c)(m) 403,760 0 
Class A6 (b)(c)(m) 403,760 0 
Class A7 (b)(c)(m) 403,760 0 
Class A8 (b)(c)(m) 403,760 0 
Class A9 (b)(c)(m) 403,760 0 
  0 
TOTAL INDUSTRIALS  56,604 
INFORMATION TECHNOLOGY - 1.2%   
Electronic Equipment & Components - 0.1%   
CDW Corp. 51,000 8,453 
Vontier Corp. (m) 33,260 1,007 
Zebra Technologies Corp. Class A (m) 28,000 13,585 
  23,045 
IT Services - 0.4%   
Global Payments, Inc. 102,700 20,702 
GoDaddy, Inc. (m) 95,100 7,382 
MasterCard, Inc. Class A 38,400 13,672 
PayPal Holdings, Inc. (m) 27,300 6,630 
Visa, Inc. Class A 59,200 12,534 
  60,920 
Semiconductors & Semiconductor Equipment - 0.3%   
Lam Research Corp. 32,400 19,286 
Microchip Technology, Inc. 63,700 9,888 
Micron Technology, Inc. (m) 112,500 9,924 
ON Semiconductor Corp. (m) 201,800 8,397 
  47,495 
Software - 0.4%   
Adobe, Inc. (m) 47,400 22,533 
Microsoft Corp. 73,900 17,423 
Palo Alto Networks, Inc. (m) 36,000 11,594 
SS&C Technologies Holdings, Inc. 162,539 11,357 
  62,907 
TOTAL INFORMATION TECHNOLOGY  194,367 
MATERIALS - 0.4%   
Chemicals - 0.1%   
CF Industries Holdings, Inc. 225,700 10,242 
The Chemours Co. LLC 403,410 11,259 
  21,501 
Containers & Packaging - 0.2%   
Berry Global Group, Inc. (m) 207,500 12,741 
WestRock Co. 234,700 12,216 
  24,957 
Metals & Mining - 0.1%   
Algoma Steel GP (c)(m) 151,792 0 
Algoma Steel SCA (c)(m) 151,792 0 
Elah Holdings, Inc. (m) 517 38 
First Quantum Minerals Ltd. 595,000 11,339 
  11,377 
TOTAL MATERIALS  57,835 
UTILITIES - 0.2%   
Electric Utilities - 0.1%   
NRG Energy, Inc. 275,800 10,406 
PG&E Corp. (m) 756,168 8,855 
Portland General Electric Co. 13,962 663 
  19,924 
Independent Power and Renewable Electricity Producers - 0.1%   
Vistra Corp. 405,700 7,173 
TOTAL UTILITIES  27,097 
TOTAL COMMON STOCKS   
(Cost $591,207)  889,215 
Nonconvertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Auto Components - 0.0%   
Exide Technologies (c) 624 581 
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
ACNR Holdings, Inc. (c) 8,779 1,097 
INDUSTRIALS - 0.0%   
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA (b)(c)(m) 193,792,711 65 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $8,586)  1,743 
 Principal Amount (000s)(a) Value (000s) 
Bank Loan Obligations - 1.2%   
COMMUNICATION SERVICES - 0.2%   
Diversified Telecommunication Services - 0.1%   
Connect Finco SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/12/26 (f)(h)(n) 5,410 5,388 
Frontier Communications Corp. 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 10/8/21 (f)(h)(n) 955 951 
Securus Technologies Holdings Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.5% 11/1/24 (f)(h)(n) 4,258 3,931 
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1085% 3/9/27 (f)(h)(n) 4,347 4,309 
  14,579 
Entertainment - 0.1%   
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7025% 2/10/27 (f)(h)(n) 4,761 4,747 
Media - 0.0%   
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.6151% 9/19/26 (f)(h)(n) 2,338 2,318 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 7/13/22 (f)(h)(n) 3,215 3,248 
TOTAL COMMUNICATION SERVICES  24,892 
CONSUMER DISCRETIONARY - 0.2%   
Auto Components - 0.0%   
Midas Intermediate Holdco II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 12/16/25 (f)(h)(n) 504 516 
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)(n) 3,640 3,485 
Sotheby's Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 1/15/27 (f)(h)(n) 6,710 6,735 
  10,220 
Hotels, Restaurants & Leisure - 0.0%   
Travelport Finance Luxembourg SARL 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.2025% 5/30/26 (f)(h)(n) 5,698 4,620 
Specialty Retail - 0.1%   
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1085% 2/5/26 (f)(h)(n) 11,237 11,090 
TOTAL CONSUMER DISCRETIONARY  26,446 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services LLC Tranche B, term loan 18% 12/31/49 (c)(e)(f)(n) 1,532 3 
Oil, Gas & Consumable Fuels - 0.0%   
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(h)(n) 837 803 
EG America LLC 2LN, term loan 3 month U.S. LIBOR + 8.000% 9% 3/23/26 (f)(h)(n) 3,290 3,282 
Sanchez Energy Corp.:   
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(e)(f)(h)(n) 3,423 0 
term loan 3 month U.S. LIBOR + 0.000% 0% 12/31/49 (c)(e)(f)(h)(n) 1,476 0 
  4,085 
TOTAL ENERGY  4,088 
FINANCIALS - 0.1%   
Capital Markets - 0.1%   
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6085% 2/27/28 (f)(h)(n) 5,375 5,312 
Diversified Financial Services - 0.0%   
ACNR Holdings, Inc. term loan 17% 9/21/27 (c)(f)(n) 2,892 2,892 
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(f)(h)(n) 629 629 
  3,521 
TOTAL FINANCIALS  8,833 
HEALTH CARE - 0.2%   
Health Care Equipment & Supplies - 0.0%   
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1091% 11/4/26 (f)(h)(n) 356 356 
Health Care Providers & Services - 0.2%   
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (f)(h)(n) 9,876 9,826 
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.125% 6/13/26 (f)(h)(n) 26,142 25,970 
  35,796 
Pharmaceuticals - 0.0%   
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1085% 6/1/25 (f)(h)(n) 986 982 
TOTAL HEALTH CARE  37,134 
INDUSTRIALS - 0.1%   
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7025% 4/8/26 (f)(h)(n) 1,533 1,483 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7025% 4/4/26 (f)(h)(n) 824 797 
  2,280 
Airlines - 0.0%   
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (f)(h)(n) 2,095 2,198 
Building Products - 0.0%   
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 8/13/25 (f)(h)(n) 2,589 2,638 
Commercial Services & Supplies - 0.1%   
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6125% 1/23/27 (f)(h)(n) 1,246 1,232 
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (f)(h)(n) 4,678 4,673 
  5,905 
TOTAL INDUSTRIALS  13,021 
INFORMATION TECHNOLOGY - 0.3%   
Electronic Equipment & Components - 0.0%   
DG Investment Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3/18/28 (f)(h)(n)(o) 827 822 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 3.750% 3/17/28 (f)(h)(n)(o) 173 172 
  994 
IT Services - 0.1%   
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (f)(h)(n) 890 882 
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1085% 10/31/26 (f)(h)(n) 681 676 
GTT Communications, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 5.000% 8.5% 12/31/21 (f)(h)(n) 1,034 1,048 
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.86% 5/31/25 (f)(h)(n) 15,460 12,964 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.000% 8.5% 12/31/21 (f)(h)(n) 1,273 1,290 
  16,860 
Software - 0.2%   
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8585% 10/2/25 (f)(h)(n) 19,263 19,167 
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8591% 9/29/24 (f)(h)(n) 2,459 2,458 
RealPage, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 2/18/28 (f)(h)(n)(o) 3,105 3,089 
UKG, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 1/22/28 (f)(h)(n) 6,771 6,771 
Ultimate Software Group, Inc. 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (f)(h)(n) 1,430 1,462 
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1085% 2/28/27 (f)(h)(n) 1,297 1,291 
  34,238 
TOTAL INFORMATION TECHNOLOGY  52,092 
MATERIALS - 0.0%   
Containers & Packaging - 0.0%   
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 2/4/26 (f)(h)(n) 798 795 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (f)(h)(n) 16,887 16,850 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $188,332)  184,151 
 Shares Value (000s) 
Fixed-Income Funds - 23.9%   
Fidelity Emerging Markets Debt Central Fund (p) 266,371,059 2,400,003 
Fidelity Floating Rate Central Fund (p) 13,574,308 1,357,024 
Fidelity Mortgage Backed Securities Central Fund (p) 194 21 
TOTAL FIXED-INCOME FUNDS   
(Cost $3,907,226)  3,757,048 
 Principal Amount (000s)(a) Value (000s) 
Preferred Securities - 4.4%   
ENERGY - 0.5%   
Energy Equipment & Services - 0.0%   
Odebrecht Holdco Finance Ltd. 0% 9/10/58 (d) 12,399 287 
Oil, Gas & Consumable Fuels - 0.5%   
DCP Midstream Partners LP 7.375% (f)(q) 8,965 8,024 
Energy Transfer Partners LP:   
6.25% (f)(q) 40,712 33,188 
6.625% (f)(q) 15,640 13,841 
MPLX LP 6.875% (f)(q) 18,000 18,000 
Summit Midstream Partners LP 9.5% (f)(q) 1,711 1,056 
  74,109 
TOTAL ENERGY  74,396 
FINANCIALS - 3.9%   
Banks - 3.5%   
Bank of America Corp.:   
5.125% (f)(q) 22,020 23,396 
5.2% (f)(q) 48,090 50,254 
5.875% (f)(q) 60,475 65,958 
6.25% (f)(q) 18,480 20,454 
Citigroup, Inc.:   
4.7% (f)(q) 8,755 8,816 
5% (f)(q) 36,455 37,560 
5.9% (f)(q) 25,875 27,350 
5.95% (f)(q) 46,925 49,230 
6.3% (f)(q) 4,120 4,377 
Huntington Bancshares, Inc. 5.7% (f)(q) 7,660 7,775 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 3.320% 3.5575% (f)(h)(q) 30,810 30,671 
3 month U.S. LIBOR + 3.800% 4.005% (f)(h)(q) 12,280 12,303 
4% (f)(q) 19,100 18,914 
4.6% (f)(q) 13,385 13,540 
5% (f)(q) 18,675 19,305 
6% (f)(q) 54,840 57,485 
6.125% (f)(q) 12,865 13,787 
6.75% (f)(q) 6,270 6,866 
Wells Fargo & Co.:   
5.875% (f)(q) 36,775 40,489 
5.9% (f)(q) 46,445 49,359 
  557,889 
Capital Markets - 0.4%   
Goldman Sachs Group, Inc.:   
4.4% (f)(q) 4,530 4,666 
4.95% (f)(q) 7,885 8,341 
5% (f)(q) 50,754 50,399 
  63,406 
Diversified Financial Services - 0.0%   
OEC Finance Ltd. 7.5% pay-in-kind (d)(q) 999 171 
TOTAL FINANCIALS  621,466 
TOTAL PREFERRED SECURITIES   
(Cost $678,153)  695,862 
 Shares Value (000s) 
Money Market Funds - 5.7%   
Fidelity Cash Central Fund 0.06% (r) 867,592,180 867,766 
Fidelity Securities Lending Cash Central Fund 0.06% (r)(s) 34,025,708 34,029 
TOTAL MONEY MARKET FUNDS   
(Cost $901,751)  901,795 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
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 $1,178 
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 19,800 967 
TOTAL PUT OPTIONS   2,145 
Call Options - 0.0%    
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 20,100 224 
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 19,800 254 
TOTAL CALL OPTIONS   478 
TOTAL PURCHASED SWAPTIONS    
(Cost $2,272)   2,623 
TOTAL INVESTMENT IN SECURITIES - 101.4%    
(Cost $15,459,900)   15,973,866 
NET OTHER ASSETS (LIABILITIES) - (1.4)%   (218,080) 
NET ASSETS - 100%   $15,755,786 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Ginnie Mae   
2% 4/1/51 $(22,300) $(22,505) 
2% 4/1/51 (6,550) (6,610) 
3% 4/1/51 (33,900) (35,294) 
3% 4/1/51 (7,600) (7,913) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $72,243)  $(72,322) 

Written Swaptions    
 Expiration Date Notional Amount Value (000s) 
Put Swaptions    
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 $(2,040) 
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 November 2030 11/25/25 20,200 (1,374) 
TOTAL PUT SWAPTIONS   (3,414) 
Call Swaptions    
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 (313) 
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 November 2030 11/25/25 20,200 (215) 
TOTAL CALL SWAPTIONS   (528) 
TOTAL WRITTEN SWAPTIONS   $(3,942) 

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) 1,402 June 2021 $183,574 $(4,569) $(4,569) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 1,021 June 2021 225,362 (230) (230) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 367 June 2021 45,287 (580) (580) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 18 June 2021 2,783 (4) (4) 
TOTAL FUTURES CONTRACTS     $(5,383) 

The notional amount of futures purchased as a percentage of Net Assets is 2.9%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) (000s) 
AUD 2,573 USD 2,033 HSBC Bank PLC 5/11/21 $(79) 
AUD 2,240 USD 1,737 Morgan Stanley 5/11/21 (35) 
AUD 2,106 USD 1,638 Royal Bank Of Canada 5/11/21 (38) 
CAD 1,867 USD 1,474 BNP Paribas SA 5/11/21 12 
CAD 1,810 USD 1,432 Barclays Bank PLC 5/11/21 8 
EUR 3,493 USD 4,243 BNP Paribas 5/11/21 (144) 
EUR 26,083 USD 30,983 BNP Paribas 5/11/21 (372) 
EUR 12,946 USD 15,605 BNP Paribas SA 5/11/21 (412) 
EUR 56,638 USD 67,736 Bank Of America NA 5/11/21 (1,266) 
EUR 28,069 USD 33,438 Barclays Bank PLC 5/11/21 (496) 
EUR 1,392 USD 1,681 Brown Brothers Harriman & Co. 5/11/21 (48) 
EUR 2,222 USD 2,671 CIBC World Markets 5/11/21 (63) 
EUR 20,501 USD 24,934 CIBC World Markets 5/11/21 (875) 
EUR 5,731 USD 6,950 HSBC Bank PLC 5/11/21 (224) 
EUR 3,623 USD 4,406 JPMorgan Chase Bank, N.A. 5/11/21 (154) 
EUR 1,764 USD 2,146 JPMorgan Chase Bank, N.A. 5/11/21 (76) 
EUR 1,202 USD 1,461 Morgan Stanley 5/11/21 (50) 
EUR 3,486 USD 4,152 National Australia Bank 5/11/21 (61) 
EUR 3,655 USD 4,295 National Australia Bank 5/11/21 (6) 
GBP 1,614 USD 2,242 BNP Paribas 5/11/21 (17) 
GBP 1,601 USD 2,194 Barclays Bank PLC 5/11/21 14 
GBP 997 USD 1,400 Morgan Stanley 5/11/21 (25) 
GBP 1,147 USD 1,603 Morgan Stanley 5/11/21 (21) 
JPY 152,129 USD 1,453 Barclays Bank PLC 5/11/21 (78) 
USD 44,426 AUD 58,293 BNP Paribas 5/11/21 142 
USD 158,855 CAD 203,505 CIBC World Markets 5/11/21 (3,091) 
USD 6,494 EUR 5,433 BNP Paribas SA 5/11/21 118 
USD 220,502 EUR 182,000 Barclays Bank PLC 5/11/21 6,910 
USD 4,026 EUR 3,380 Barclays Bank PLC 5/11/21 59 
USD 69,278 EUR 58,165 Brown Brothers Harriman & Co. 5/11/21 1,017 
USD 4,908 EUR 4,069 HSBC Bank PLC 5/11/21 133 
USD 221,761 EUR 183,024 JPMorgan Chase Bank, N.A. 5/11/21 6,967 
USD 28,084 EUR 23,590 National Australia Bank 5/11/21 399 
USD 69,105 EUR 57,967 National Australia Bank 5/11/21 1,076 
USD 218,040 EUR 180,000 Royal Bank Of Canada 5/11/21 6,794 
USD 44,393 EUR 37,535 Royal Bank Of Canada 5/11/21 343 
USD 219,416 EUR 181,000 Societe Generale SA 5/11/21 6,997 
USD 77,774 GBP 56,848 Morgan Stanley 5/11/21 (606) 
USD 171,075 JPY 17,938,996 Bank Of America NA 5/11/21 9,001 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $31,753 
     Unrealized Appreciation 39,990 
     Unrealized Depreciation (8,237) 

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 Sep. 2023 $24,455 $(25) $0 $(25) 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2026 13,299 (117) 0 (117) 
3-month LIBOR(3) Quarterly 0.75% Semi - annual LCH Sep. 2028 10,343 154 0 154 
3-month LIBOR(3) Quarterly 1% Semi - annual LCH Sep. 2031 10,197 235 0 235 
1.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2051 452 (23) 0 (23) 
TOTAL INTEREST RATE SWAPS       $224 $0 $224 

 (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 $19,664,000 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 $3,232,504,000 or 20.5% 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 was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,810,000.

 (j) 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 $456,000.

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

 (l) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and options. At period end, the value of securities pledged amounted to $604,000.

 (m) Non-income producing

 (n) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

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

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

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

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

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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Chesapeake Energy Corp. 2/10/21 $151 
Mesquite Energy, Inc. 15% 7/15/23 11/5/20 - 1/15/21 $3,423 
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 $1,100 
Tricer Holdco SCA Class A2 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A3 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A4 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A5 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A6 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A7 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A8 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A9 10/16/09 - 10/29/09 $1,101 

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 $127 
Fidelity Emerging Markets Debt Central Fund 24,656 
Fidelity Floating Rate Central Fund 14,151 
Fidelity Mortgage Backed Securities Central Fund 24 
Fidelity Securities Lending Cash Central Fund 94 
Total $39,052 

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 $2,402,739 $98,739 $8,961 $(106) $(92,408) $2,400,003 89.2% 
Fidelity Floating Rate Central Fund 1,336,213 14,151 5,750 14 12,396 1,357,024 70.7% 
Fidelity Mortgage Backed Securities Central Fund 29 38,683 38,599 (92) -- 21 0.0% 
Total $3,738,981 $151,573 $53,310 $(184) $(80,012) $3,757,048  

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, supranational obligations and 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. U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

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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