Corporate Bonds - 32.9%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Convertible Bonds - 0.2%
|
|||
CONSUMER DISCRETIONARY - 0.0%
|
|||
Hotels, Restaurants & Leisure - 0.0%
|
|||
New Cotai LLC 5% 2/24/27 (b)
|
2,687
|
4,857
|
|
ENERGY - 0.2%
|
|||
Oil, Gas & Consumable Fuels - 0.2%
|
|||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
|
1,457
|
7,962
|
|
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
|
2,515
|
13,743
|
|
21,705
|
|||
TOTAL CONVERTIBLE BONDS
|
26,562
|
||
Nonconvertible Bonds - 32.7%
|
|||
!UNKNOWN - 0.0%
|
|||
!UNKNOWN - 0.0%
|
|||
MGIC Investment Corp. 5.25% 8/15/28
|
4,725
|
4,491
|
|
COMMUNICATION SERVICES - 4.7%
|
|||
Diversified Telecommunication Services - 1.9%
|
|||
Altice France SA:
|
|||
5.125% 7/15/29(d)
|
38,465
|
28,945
|
|
5.5% 1/15/28(d)
|
13,345
|
10,776
|
|
5.5% 10/15/29(d)
|
28,170
|
21,528
|
|
8.125% 2/1/27(d)
|
4,495
|
4,161
|
|
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
|
21,480
|
19,225
|
|
Cablevision Lightpath LLC:
|
|||
3.875% 9/15/27(d)
|
3,300
|
2,656
|
|
5.625% 9/15/28(d)
|
2,210
|
1,525
|
|
Cogent Communications Group, Inc. 7% 6/15/27 (d)
|
2,785
|
2,761
|
|
Frontier Communications Holdings LLC:
|
|||
5% 5/1/28(d)
|
11,730
|
10,179
|
|
5.875% 10/15/27(d)
|
6,300
|
5,727
|
|
8.75% 5/15/30(d)
|
2,785
|
2,774
|
|
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.:
|
|||
4.75% 4/30/27(d)
|
2,800
|
2,392
|
|
6% 2/15/28(d)
|
2,355
|
1,742
|
|
Qwest Corp. 7.25% 9/15/25
|
955
|
891
|
|
Sable International Finance Ltd. 5.75% 9/7/27 (d)
|
11,004
|
10,253
|
|
Sprint Capital Corp.:
|
|||
6.875% 11/15/28
|
53,897
|
57,914
|
|
8.75% 3/15/32
|
15,023
|
18,313
|
|
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d)
|
9,200
|
8,464
|
|
Virgin Media Finance PLC 5% 7/15/30 (d)
|
14,025
|
11,592
|
|
Windstream Escrow LLC 7.75% 8/15/28 (d)
|
24,965
|
20,446
|
|
Zayo Group Holdings, Inc. 4% 3/1/27 (d)
|
9,545
|
7,254
|
|
249,518
|
|||
Entertainment - 0.0%
|
|||
Roblox Corp. 3.875% 5/1/30 (d)
|
4,175
|
3,580
|
|
Media - 2.7%
|
|||
Altice Financing SA:
|
|||
5% 1/15/28(d)
|
8,025
|
6,526
|
|
5.75% 8/15/29(d)
|
11,895
|
9,457
|
|
Block Communications, Inc. 4.875% 3/1/28 (d)
|
4,405
|
3,806
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|||
4.25% 2/1/31(d)
|
10,205
|
8,344
|
|
4.5% 8/15/30(d)
|
16,805
|
14,200
|
|
4.5% 5/1/32
|
6,745
|
5,516
|
|
4.75% 3/1/30(d)
|
51,010
|
44,195
|
|
5% 2/1/28(d)
|
22,835
|
21,065
|
|
5.375% 6/1/29(d)
|
34,085
|
31,299
|
|
6.375% 9/1/29(d)
|
5,815
|
5,553
|
|
7.375% 3/1/31(d)
|
13,860
|
13,643
|
|
Clear Channel International BV 6.625% 8/1/25 (d)
|
9,800
|
9,536
|
|
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d)
|
5,745
|
4,083
|
|
CSC Holdings LLC:
|
|||
4.5% 11/15/31(d)
|
15,995
|
11,533
|
|
5.375% 2/1/28(d)
|
16,350
|
13,395
|
|
6.5% 2/1/29(d)
|
23,985
|
19,744
|
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)(e)
|
24,690
|
1,358
|
|
DISH DBS Corp. 5.75% 12/1/28 (d)
|
6,925
|
5,168
|
|
DISH Network Corp. 11.75% 11/15/27 (d)
|
14,120
|
13,696
|
|
Gannett Holdings LLC 6% 11/1/26 (d)
|
4,000
|
3,360
|
|
Gray Escrow II, Inc. 5.375% 11/15/31 (d)
|
8,145
|
5,408
|
|
LCPR Senior Secured Financing DAC:
|
|||
5.125% 7/15/29(d)
|
7,310
|
6,158
|
|
6.75% 10/15/27(d)
|
6,107
|
5,691
|
|
Nexstar Broadcasting, Inc.:
|
|||
4.75% 11/1/28(d)
|
13,395
|
11,913
|
|
5.625% 7/15/27(d)
|
14,270
|
13,186
|
|
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (d)
|
4,205
|
3,290
|
|
Scripps Escrow II, Inc. 3.875% 1/15/29 (d)
|
1,655
|
1,299
|
|
Sirius XM Radio, Inc.:
|
|||
3.875% 9/1/31(d)
|
5,645
|
4,389
|
|
4% 7/15/28(d)
|
4,890
|
4,200
|
|
5% 8/1/27(d)
|
4,610
|
4,316
|
|
Townsquare Media, Inc. 6.875% 2/1/26 (d)
|
3,305
|
3,127
|
|
Univision Communications, Inc.:
|
|||
4.5% 5/1/29(d)
|
5,760
|
4,838
|
|
7.375% 6/30/30(d)
|
8,200
|
7,753
|
|
Videotron Ltd. 5.125% 4/15/27 (d)
|
7,325
|
7,070
|
|
VZ Secured Financing BV 5% 1/15/32 (d)
|
11,130
|
9,030
|
|
Ziggo Bond Co. BV:
|
|||
5.125% 2/28/30(d)
|
3,375
|
2,714
|
|
6% 1/15/27(d)
|
7,930
|
7,316
|
|
Ziggo BV 4.875% 1/15/30 (d)
|
4,805
|
4,096
|
|
351,271
|
|||
Wireless Telecommunication Services - 0.1%
|
|||
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d)
|
11,675
|
10,703
|
|
Millicom International Cellular SA 4.5% 4/27/31 (d)
|
1,040
|
828
|
|
Sprint Corp. 7.625% 3/1/26
|
3,615
|
3,823
|
|
15,354
|
|||
TOTAL COMMUNICATION SERVICES
|
619,723
|
||
CONSUMER DISCRETIONARY - 4.6%
|
|||
Auto Components - 0.2%
|
|||
Adient Global Holdings Ltd. 7% 4/15/28 (d)
|
2,805
|
2,884
|
|
Allison Transmission, Inc. 5.875% 6/1/29 (d)
|
4,830
|
4,702
|
|
Dana, Inc. 4.5% 2/15/32
|
4,150
|
3,274
|
|
Exide Technologies:
|
|||
11% 10/31/24 pay-in-kind(b)(d)(e)(f)
|
1,280
|
0
|
|
11% 10/31/24 pay-in-kind(b)(d)(e)(f)
|
632
|
285
|
|
Hertz Corp.:
|
|||
4.625% 12/1/26(d)
|
2,350
|
2,128
|
|
5% 12/1/29(d)
|
4,560
|
3,777
|
|
5.5% 10/15/24(b)(d)(e)
|
6,540
|
147
|
|
6% 1/15/28(b)(d)(e)
|
5,785
|
340
|
|
6.25% 12/31/49(b)(e)
|
6,775
|
8
|
|
7.125% 8/1/26(b)(d)(e)
|
6,315
|
505
|
|
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)
|
7,155
|
6,473
|
|
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d)
|
2,515
|
1,670
|
|
26,193
|
|||
Automobiles - 0.2%
|
|||
Ford Motor Co.:
|
|||
3.25% 2/12/32
|
12,660
|
9,953
|
|
6.1% 8/19/32
|
5,815
|
5,616
|
|
McLaren Finance PLC 7.5% 8/1/26 (d)
|
3,860
|
3,175
|
|
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (d)(f)(g)
|
14,000
|
13,809
|
|
32,553
|
|||
Broadline Retail - 0.1%
|
|||
Angi Group LLC 3.875% 8/15/28 (d)
|
3,385
|
2,572
|
|
Macy's Retail Holdings LLC:
|
|||
5.875% 3/15/30(d)
|
2,925
|
2,596
|
|
6.125% 3/15/32(d)
|
2,820
|
2,482
|
|
Millennium Escrow Corp. 6.625% 8/1/26 (d)
|
5,650
|
3,673
|
|
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
|
6,180
|
4,672
|
|
15,995
|
|||
Diversified Consumer Services - 0.2%
|
|||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
|
4,235
|
4,018
|
|
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
|
5,300
|
5,142
|
|
Service Corp. International 4% 5/15/31
|
5,750
|
5,060
|
|
Sotheby's 7.375% 10/15/27 (d)
|
2,970
|
2,809
|
|
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d)
|
4,315
|
3,579
|
|
TKC Holdings, Inc. 6.875% 5/15/28 (d)
|
6,393
|
5,397
|
|
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
|
4,750
|
4,495
|
|
30,500
|
|||
Hotels, Restaurants & Leisure - 2.9%
|
|||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
|
|||
3.875% 1/15/28(d)
|
5,685
|
5,287
|
|
4% 10/15/30(d)
|
23,490
|
20,143
|
|
4.375% 1/15/28(d)
|
6,265
|
5,784
|
|
Affinity Gaming LLC 6.875% 12/15/27 (d)
|
2,520
|
2,248
|
|
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d)
|
2,720
|
2,433
|
|
Boyd Gaming Corp. 4.75% 6/15/31 (d)
|
7,140
|
6,485
|
|
Caesars Entertainment, Inc.:
|
|||
4.625% 10/15/29(d)
|
8,375
|
7,324
|
|
6.25% 7/1/25(d)
|
25,535
|
25,536
|
|
7% 2/15/30(d)
|
8,450
|
8,598
|
|
8.125% 7/1/27(d)
|
34,045
|
34,726
|
|
Caesars Resort Collection LLC 5.75% 7/1/25 (d)
|
8,510
|
8,512
|
|
Carnival Corp.:
|
|||
4% 8/1/28(d)
|
14,305
|
12,309
|
|
7.625% 3/1/26(d)
|
10,595
|
9,674
|
|
9.875% 8/1/27(d)
|
10,150
|
10,436
|
|
10.5% 2/1/26(d)
|
7,395
|
7,698
|
|
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (d)
|
8,655
|
9,311
|
|
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d)
|
2,790
|
2,695
|
|
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.:
|
|||
4.625% 1/15/29(d)
|
11,750
|
10,313
|
|
6.75% 1/15/30(d)
|
15,885
|
13,069
|
|
Garden SpinCo Corp. 8.625% 7/20/30 (d)
|
2,545
|
2,719
|
|
Hilton Domestic Operating Co., Inc.:
|
|||
3.75% 5/1/29(d)
|
3,350
|
2,998
|
|
4% 5/1/31(d)
|
5,020
|
4,396
|
|
4.875% 1/15/30
|
11,025
|
10,560
|
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27
|
5,210
|
5,139
|
|
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
|
3,955
|
3,455
|
|
McDonald's Corp. 4.25% 3/7/35 (Reg. S)
|
EUR
|
17,433
|
19,411
|
Melco Resorts Finance Ltd.:
|
|||
5.25% 4/26/26(d)
|
5,440
|
4,903
|
|
5.75% 7/21/28(d)
|
2,710
|
2,333
|
|
Merlin Entertainments PLC 5.75% 6/15/26 (d)
|
4,580
|
4,344
|
|
MGM Resorts International 4.75% 10/15/28
|
6,740
|
6,275
|
|
NCL Corp. Ltd. 5.875% 2/15/27 (d)
|
5,580
|
5,244
|
|
Papa John's International, Inc. 3.875% 9/15/29 (d)
|
2,555
|
2,217
|
|
Premier Entertainment Sub LLC:
|
|||
5.625% 9/1/29(d)
|
10,245
|
7,562
|
|
5.875% 9/1/31(d)
|
5,385
|
3,871
|
|
Royal Caribbean Cruises Ltd.:
|
|||
5.375% 7/15/27(d)
|
4,165
|
3,710
|
|
7.25% 1/15/30(d)
|
2,810
|
2,828
|
|
8.25% 1/15/29(d)
|
12,500
|
13,060
|
|
9.25% 1/15/29(d)
|
16,510
|
17,469
|
|
11.5% 6/1/25(d)
|
13,222
|
14,048
|
|
11.625% 8/15/27(d)
|
5,815
|
6,243
|
|
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d)
|
5,630
|
5,082
|
|
Station Casinos LLC 4.625% 12/1/31 (d)
|
4,155
|
3,509
|
|
Studio City Finance Ltd. 5% 1/15/29 (d)
|
3,255
|
2,474
|
|
Vail Resorts, Inc. 6.25% 5/15/25 (d)
|
3,855
|
3,864
|
|
Viking Cruises Ltd. 13% 5/15/25 (d)
|
5,740
|
6,063
|
|
Voc Escrow Ltd. 5% 2/15/28 (d)
|
6,285
|
5,578
|
|
Yum! Brands, Inc. 4.625% 1/31/32
|
5,905
|
5,492
|
|
377,428
|
|||
Household Durables - 0.4%
|
|||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d)
|
4,105
|
3,380
|
|
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d)
|
4,370
|
3,296
|
|
Century Communities, Inc. 3.875% 8/15/29 (d)
|
4,225
|
3,623
|
|
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (d)
|
775
|
770
|
|
Tempur Sealy International, Inc.:
|
|||
3.875% 10/15/31(d)
|
7,360
|
6,146
|
|
4% 4/15/29(d)
|
7,905
|
6,955
|
|
TopBuild Corp. 3.625% 3/15/29 (d)
|
3,030
|
2,592
|
|
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24
|
11,770
|
11,711
|
|
TRI Pointe Homes, Inc. 5.7% 6/15/28
|
8,715
|
8,386
|
|
46,859
|
|||
Specialty Retail - 0.5%
|
|||
Arko Corp. 5.125% 11/15/29 (d)
|
4,190
|
3,468
|
|
Asbury Automotive Group, Inc.:
|
|||
4.5% 3/1/28
|
1,987
|
1,808
|
|
4.625% 11/15/29(d)
|
4,555
|
4,077
|
|
4.75% 3/1/30
|
1,980
|
1,772
|
|
5% 2/15/32(d)
|
4,915
|
4,306
|
|
Bath & Body Works, Inc.:
|
|||
6.625% 10/1/30(d)
|
3,355
|
3,271
|
|
6.75% 7/1/36
|
8,920
|
7,973
|
|
7.5% 6/15/29
|
5,030
|
5,133
|
|
Carvana Co.:
|
|||
4.875% 9/1/29(d)
|
10,830
|
4,422
|
|
5.875% 10/1/28(d)
|
680
|
302
|
|
Foot Locker, Inc. 4% 10/1/29 (d)
|
2,800
|
2,336
|
|
LBM Acquisition LLC 6.25% 1/15/29 (d)
|
4,220
|
3,230
|
|
LCM Investments Holdings 4.875% 5/1/29 (d)
|
3,120
|
2,610
|
|
Michaels Companies, Inc. 5.25% 5/1/28 (d)
|
6,875
|
5,730
|
|
Victoria's Secret & Co. 4.625% 7/15/29 (d)
|
10,565
|
8,560
|
|
58,998
|
|||
Textiles, Apparel & Luxury Goods - 0.1%
|
|||
Crocs, Inc.:
|
|||
4.125% 8/15/31(d)
|
2,820
|
2,323
|
|
4.25% 3/15/29(d)
|
4,325
|
3,794
|
|
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
|
2,420
|
2,077
|
|
8,194
|
|||
TOTAL CONSUMER DISCRETIONARY
|
596,720
|
||
CONSUMER STAPLES - 1.1%
|
|||
Beverages - 0.1%
|
|||
Heineken NV 4.125% 3/23/35 (Reg. S)
|
EUR
|
5,862
|
6,503
|
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
|
3,135
|
2,489
|
|
8,992
|
|||
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
|
4,598
|
|
4.625% 1/15/27(d)
|
13,797
|
13,343
|
|
4.875% 2/15/30(d)
|
23,423
|
21,863
|
|
C&S Group Enterprises LLC 5% 12/15/28 (d)
|
5,155
|
3,975
|
|
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d)
|
4,698
|
4,675
|
|
Performance Food Group, Inc.:
|
|||
4.25% 8/1/29(d)
|
3,955
|
3,551
|
|
5.5% 10/15/27(d)
|
5,345
|
5,225
|
|
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d)
|
6,735
|
6,381
|
|
United Natural Foods, Inc. 6.75% 10/15/28 (d)
|
4,680
|
4,350
|
|
67,961
|
|||
Food Products - 0.5%
|
|||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d)
|
3,790
|
3,454
|
|
Darling Ingredients, Inc. 6% 6/15/30 (d)
|
6,615
|
6,593
|
|
Lamb Weston Holdings, Inc.:
|
|||
4.125% 1/31/30(d)
|
5,575
|
5,101
|
|
4.375% 1/31/32(d)
|
2,790
|
2,530
|
|
Pilgrim's Pride Corp. 4.25% 4/15/31
|
10,220
|
9,014
|
|
Post Holdings, Inc.:
|
|||
4.5% 9/15/31(d)
|
12,110
|
10,658
|
|
4.625% 4/15/30(d)
|
6,415
|
5,749
|
|
5.5% 12/15/29(d)
|
11,940
|
11,251
|
|
5.75% 3/1/27(d)
|
1,713
|
1,672
|
|
Simmons Foods, Inc. 4.625% 3/1/29 (d)
|
4,295
|
3,490
|
|
TreeHouse Foods, Inc. 4% 9/1/28
|
2,250
|
1,989
|
|
61,501
|
|||
Household Products - 0.0%
|
|||
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d)
|
4,310
|
3,525
|
|
Personal Products - 0.0%
|
|||
BellRing Brands, Inc. 7% 3/15/30 (d)
|
6,925
|
7,015
|
|
TOTAL CONSUMER STAPLES
|
148,994
|
||
ENERGY - 4.0%
|
|||
Energy Equipment & Services - 0.4%
|
|||
CGG SA 8.75% 4/1/27 (d)
|
5,895
|
4,914
|
|
Nabors Industries Ltd.:
|
|||
7.25% 1/15/26(d)
|
6,565
|
6,203
|
|
7.5% 1/15/28(d)
|
5,660
|
5,224
|
|
NuStar Logistics LP 6% 6/1/26
|
7,285
|
7,141
|
|
Summit Midstream Holdings LLC:
|
|||
5.75% 4/15/25
|
3,405
|
2,836
|
|
8.5%(d)(h)
|
4,185
|
4,018
|
|
Transocean Titan Finance Ltd. 8.375% 2/1/28 (d)
|
5,815
|
5,984
|
|
Transocean, Inc. 8.75% 2/15/30 (d)
|
5,905
|
6,023
|
|
Vier Gas Transport GmbH 4.625% 9/26/32 (Reg. S)
|
EUR
|
3,200
|
3,573
|
45,916
|
|||
Multi Industry Energy - 0.0%
|
|||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
|
6,600
|
6,006
|
|
Oil, Gas & Consumable Fuels - 3.6%
|
|||
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
|
|||
5.375% 6/15/29(d)
|
4,305
|
4,052
|
|
5.75% 1/15/28(d)
|
10,640
|
10,214
|
|
Centennial Resource Production LLC 5.875% 7/1/29 (d)
|
4,055
|
3,781
|
|
Cheniere Energy Partners LP:
|
|||
3.25% 1/31/32
|
4,200
|
3,470
|
|
4% 3/1/31
|
9,070
|
8,072
|
|
Chesapeake Energy Corp.:
|
|||
5.875% 2/1/29(d)
|
3,115
|
2,965
|
|
6.75% 4/15/29(d)
|
4,415
|
4,383
|
|
7% 10/1/24(b)(e)
|
3,985
|
0
|
|
8% 1/15/25(b)(e)
|
1,955
|
0
|
|
8% 6/15/27(b)(e)
|
1,240
|
0
|
|
Citgo Holding, Inc. 9.25% 8/1/24 (d)
|
16,430
|
16,461
|
|
Citgo Petroleum Corp.:
|
|||
6.375% 6/15/26(d)
|
4,665
|
4,548
|
|
7% 6/15/25(d)
|
13,580
|
13,398
|
|
CNX Midstream Partners LP 4.75% 4/15/30 (d)
|
2,970
|
2,554
|
|
CNX Resources Corp.:
|
|||
6% 1/15/29(d)
|
3,200
|
2,992
|
|
7.375% 1/15/31(d)
|
2,885
|
2,842
|
|
Comstock Resources, Inc.:
|
|||
5.875% 1/15/30(d)
|
15,170
|
13,033
|
|
6.75% 3/1/29(d)
|
8,110
|
7,421
|
|
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d)
|
12,715
|
11,429
|
|
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
|
|||
5.625% 5/1/27(d)
|
11,025
|
10,622
|
|
5.75% 4/1/25
|
2,960
|
2,890
|
|
6% 2/1/29(d)
|
23,985
|
22,833
|
|
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d)
|
2,450
|
2,282
|
|
CVR Energy, Inc.:
|
|||
5.25% 2/15/25(d)
|
9,740
|
9,350
|
|
5.75% 2/15/28(d)
|
24,505
|
22,487
|
|
DCP Midstream Operating LP 5.85% 5/21/43 (d)(f)
|
10,780
|
10,530
|
|
DT Midstream, Inc.:
|
|||
4.125% 6/15/29(d)
|
4,285
|
3,757
|
|
4.375% 6/15/31(d)
|
4,285
|
3,733
|
|
EG Global Finance PLC 8.5% 10/30/25 (d)
|
9,545
|
8,934
|
|
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d)
|
10,149
|
10,073
|
|
Energy Transfer LP 5.5% 6/1/27
|
12,065
|
12,010
|
|
EnLink Midstream LLC 6.5% 9/1/30 (d)
|
8,635
|
8,732
|
|
Hess Midstream Partners LP:
|
|||
4.25% 2/15/30(d)
|
4,590
|
4,099
|
|
5.125% 6/15/28(d)
|
6,600
|
6,266
|
|
5.5% 10/15/30(d)
|
2,775
|
2,580
|
|
5.625% 2/15/26(d)
|
9,140
|
9,048
|
|
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (d)
|
7,130
|
6,766
|
|
Holly Energy Partners LP/Holly Energy Finance Corp.:
|
|||
5% 2/1/28(d)
|
4,350
|
4,061
|
|
6.375% 4/15/27(d)
|
2,780
|
2,749
|
|
MEG Energy Corp. 7.125% 2/1/27 (d)
|
6,490
|
6,620
|
|
Mesquite Energy, Inc. 7.25% 12/31/49 (b)(d)(e)
|
12,834
|
0
|
|
Murphy Oil U.S.A., Inc.:
|
|||
4.75% 9/15/29
|
4,155
|
3,785
|
|
5.625% 5/1/27
|
3,665
|
3,547
|
|
New Fortress Energy, Inc.:
|
|||
6.5% 9/30/26(d)
|
11,785
|
10,842
|
|
6.75% 9/15/25(d)
|
12,840
|
12,359
|
|
NGPL PipeCo LLC 4.875% 8/15/27 (d)
|
1,800
|
1,744
|
|
Occidental Petroleum Corp.:
|
|||
3.5% 8/15/29
|
3,820
|
3,457
|
|
5.875% 9/1/25
|
6,775
|
6,833
|
|
6.2% 3/15/40
|
3,565
|
3,584
|
|
6.375% 9/1/28
|
6,775
|
7,015
|
|
6.45% 9/15/36
|
11,875
|
12,486
|
|
6.625% 9/1/30
|
13,550
|
14,270
|
|
7.2% 3/15/29
|
2,440
|
2,562
|
|
7.5% 5/1/31
|
680
|
750
|
|
Parkland Corp.:
|
|||
4.5% 10/1/29(d)
|
4,420
|
3,927
|
|
4.625% 5/1/30(d)
|
5,540
|
4,925
|
|
PBF Holding Co. LLC/PBF Finance Corp.:
|
|||
6% 2/15/28
|
15,760
|
15,151
|
|
7.25% 6/15/25
|
13,580
|
13,482
|
|
PDC Energy, Inc. 6.125% 9/15/24
|
1,240
|
1,234
|
|
SM Energy Co.:
|
|||
5.625% 6/1/25
|
4,400
|
4,266
|
|
6.625% 1/15/27
|
12,830
|
12,325
|
|
6.75% 9/15/26
|
3,175
|
3,114
|
|
Southwestern Energy Co.:
|
|||
5.375% 3/15/30
|
5,630
|
5,293
|
|
5.7% 1/23/25(i)
|
149
|
149
|
|
Sunoco LP/Sunoco Finance Corp.:
|
|||
4.5% 5/15/29
|
5,515
|
5,062
|
|
4.5% 4/30/30
|
5,550
|
5,019
|
|
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
|
|||
5.5% 1/15/28(d)
|
280
|
256
|
|
6% 3/1/27(d)
|
2,815
|
2,665
|
|
6% 9/1/31(d)
|
5,355
|
4,735
|
|
7.5% 10/1/25(d)
|
5,035
|
5,033
|
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31
|
6,345
|
5,937
|
|
Teine Energy Ltd. 6.875% 4/15/29 (d)
|
4,420
|
4,044
|
|
Tennessee Gas Pipeline Co. 7.625% 4/1/37
|
2,585
|
2,932
|
|
Unit Corp. 0% 12/1/29 (b)
|
1,660
|
0
|
|
Venture Global Calcasieu Pass LLC:
|
|||
3.875% 8/15/29(d)
|
3,525
|
3,180
|
|
4.125% 8/15/31(d)
|
3,525
|
3,097
|
|
471,097
|
|||
TOTAL ENERGY
|
523,019
|
||
FINANCIALS - 4.5%
|
|||
Banks - 0.8%
|
|||
AIB Group PLC 2.875% 5/30/31 (Reg. S) (f)
|
EUR
|
5,810
|
5,700
|
Bank of Ireland Group PLC 6.75% 3/1/33 (Reg. S) (f)
|
EUR
|
3,700
|
4,073
|
Barclays PLC 5.262% 1/29/34 (Reg. S) (f)
|
EUR
|
17,448
|
19,218
|
CaixaBank SA 6.25% 2/23/33 (Reg. S) (f)
|
EUR
|
17,900
|
19,739
|
Commerzbank AG 6.5% 12/6/32 (Reg. S) (f)
|
EUR
|
2,700
|
2,894
|
HSBC Holdings PLC Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (f)(g)
|
EUR
|
10,572
|
11,946
|
Intesa Sanpaolo SpA 6.184% 2/20/34 (Reg. S) (f)
|
EUR
|
19,266
|
20,477
|
NatWest Group PLC 5.763% 2/28/34 (Reg. S) (f)
|
EUR
|
15,372
|
16,732
|
UniCredit SpA 2.731% 1/15/32 (Reg. S) (f)
|
EUR
|
1,676
|
1,548
|
102,327
|
|||
Capital Markets - 0.5%
|
|||
AssuredPartners, Inc.:
|
|||
5.625% 1/15/29(d)
|
3,905
|
3,374
|
|
7% 8/15/25(d)
|
2,930
|
2,851
|
|
Broadstreet Partners, Inc. 5.875% 4/15/29 (d)
|
7,265
|
6,144
|
|
Coinbase Global, Inc.:
|
|||
3.375% 10/1/28(d)
|
4,060
|
2,505
|
|
3.625% 10/1/31(d)
|
4,200
|
2,352
|
|
Deutsche Bank AG 4% 6/24/32 (Reg. S) (f)
|
EUR
|
20,600
|
19,324
|
Hightower Holding LLC 6.75% 4/15/29 (d)
|
2,870
|
2,430
|
|
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
|
3,985
|
3,567
|
|
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d)
|
4,420
|
2,906
|
|
MSCI, Inc.:
|
|||
3.25% 8/15/33(d)
|
4,225
|
3,460
|
|
4% 11/15/29(d)
|
3,780
|
3,449
|
|
UBS Group AG 4.75% 3/17/32 (Reg. S) (f)
|
EUR
|
14,013
|
15,241
|
67,603
|
|||
Consumer Finance - 1.6%
|
|||
Ally Financial, Inc.:
|
|||
8% 11/1/31
|
53,672
|
56,333
|
|
8% 11/1/31
|
16,761
|
17,542
|
|
Ford Motor Credit Co. LLC:
|
|||
3.375% 11/13/25
|
11,600
|
10,873
|
|
4% 11/13/30
|
25,360
|
21,549
|
|
5.113% 5/3/29
|
6,160
|
5,783
|
|
7.35% 11/4/27
|
11,295
|
11,634
|
|
OneMain Finance Corp.:
|
|||
4% 9/15/30
|
3,340
|
2,505
|
|
5.375% 11/15/29
|
5,560
|
4,677
|
|
6.625% 1/15/28
|
4,415
|
4,048
|
|
6.875% 3/15/25
|
30,605
|
29,656
|
|
7.125% 3/15/26
|
41,215
|
39,620
|
|
204,220
|
|||
Diversified Financial Services - 0.8%
|
|||
Altus Midstream LP 5.875% 6/15/30 (d)
|
4,180
|
4,023
|
|
Compass Group Diversified Holdings LLC 5% 1/15/32 (d)
|
2,765
|
2,238
|
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
|
|||
4.375% 2/1/29
|
6,375
|
5,483
|
|
5.25% 5/15/27
|
23,175
|
21,727
|
|
6.25% 5/15/26
|
14,625
|
14,392
|
|
6.375% 12/15/25
|
18,820
|
18,485
|
|
James Hardie International Finance Ltd. 5% 1/15/28 (d)
|
5,270
|
4,940
|
|
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d)
|
2,265
|
2,129
|
|
Temasek Financial Ltd. 3.5% 2/15/33 (Reg. S)
|
EUR
|
15,195
|
16,449
|
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d)
|
9,930
|
8,512
|
|
98,378
|
|||
Financial Services - 0.0%
|
|||
Block, Inc. 3.5% 6/1/31
|
5,745
|
4,718
|
|
Insurance - 0.8%
|
|||
Acrisure LLC / Acrisure Finance, Inc.:
|
|||
6% 8/1/29(d)
|
4,230
|
3,495
|
|
7% 11/15/25(d)
|
20,290
|
19,016
|
|
10.125% 8/1/26(d)
|
6,810
|
6,772
|
|
Alliant Holdings Intermediate LLC:
|
|||
4.25% 10/15/27(d)
|
6,740
|
6,037
|
|
5.875% 11/1/29(d)
|
4,180
|
3,525
|
|
6.75% 10/15/27(d)
|
10,080
|
9,349
|
|
6.75% 4/15/28(d)
|
5,620
|
5,557
|
|
AmWINS Group, Inc. 4.875% 6/30/29 (d)
|
4,105
|
3,633
|
|
ASR Nederland NV 7% 12/7/43 (Reg. S) (f)
|
EUR
|
26,752
|
30,009
|
HUB International Ltd.:
|
|||
5.625% 12/1/29(d)
|
6,030
|
5,254
|
|
7% 5/1/26(d)
|
6,980
|
6,860
|
|
MAPFRE SA 2.875% 4/13/30 (Reg. S)
|
EUR
|
3,400
|
3,083
|
Sampo Oyj 2.5% 9/3/52 (Reg. S) (f)
|
EUR
|
2,579
|
2,155
|
104,745
|
|||
TOTAL FINANCIALS
|
581,991
|
||
HEALTH CARE - 2.3%
|
|||
Biotechnology - 0.0%
|
|||
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
|
2,795
|
2,288
|
|
Health Care Equipment & Supplies - 0.0%
|
|||
Avantor Funding, Inc. 3.875% 11/1/29 (d)
|
2,790
|
2,497
|
|
Hologic, Inc. 4.625% 2/1/28 (d)
|
2,505
|
2,432
|
|
4,929
|
|||
Health Care Providers & Services - 1.7%
|
|||
180 Medical, Inc. 3.875% 10/15/29 (d)
|
2,995
|
2,648
|
|
Cano Health, Inc. 6.25% 10/1/28 (d)
|
1,865
|
1,021
|
|
Centene Corp.:
|
|||
4.25% 12/15/27
|
6,820
|
6,571
|
|
4.625% 12/15/29
|
23,795
|
22,373
|
|
Community Health Systems, Inc.:
|
|||
4.75% 2/15/31(d)
|
11,430
|
8,438
|
|
5.25% 5/15/30(d)
|
8,305
|
6,515
|
|
5.625% 3/15/27(d)
|
4,015
|
3,525
|
|
6% 1/15/29(d)
|
4,940
|
4,179
|
|
6.125% 4/1/30(d)
|
10,425
|
6,281
|
|
8% 3/15/26(d)
|
37,390
|
36,137
|
|
DaVita HealthCare Partners, Inc.:
|
|||
3.75% 2/15/31(d)
|
2,075
|
1,637
|
|
4.625% 6/1/30(d)
|
15,850
|
13,529
|
|
HealthEquity, Inc. 4.5% 10/1/29 (d)
|
2,950
|
2,621
|
|
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d)
|
7,300
|
7,410
|
|
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
|
3,250
|
2,759
|
|
Molina Healthcare, Inc.:
|
|||
3.875% 11/15/30(d)
|
6,345
|
5,536
|
|
3.875% 5/15/32(d)
|
5,560
|
4,673
|
|
4.375% 6/15/28(d)
|
4,690
|
4,363
|
|
Option Care Health, Inc. 4.375% 10/31/29 (d)
|
3,060
|
2,702
|
|
Radiology Partners, Inc. 9.25% 2/1/28 (d)
|
9,515
|
5,257
|
|
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
|
6,200
|
4,697
|
|
Tenet Healthcare Corp.:
|
|||
4.625% 7/15/24
|
1,500
|
1,480
|
|
4.625% 9/1/24
|
7,305
|
7,176
|
|
4.875% 1/1/26
|
18,260
|
17,901
|
|
5.125% 11/1/27
|
10,955
|
10,517
|
|
6.125% 10/1/28
|
6,535
|
6,263
|
|
6.125% 6/15/30(d)
|
11,235
|
11,083
|
|
6.25% 2/1/27
|
20,050
|
19,717
|
|
227,009
|
|||
Health Care Technology - 0.1%
|
|||
IQVIA, Inc. 5% 5/15/27 (d)
|
5,660
|
5,561
|
|
Life Sciences Tools & Services - 0.1%
|
|||
Charles River Laboratories International, Inc.:
|
|||
3.75% 3/15/29(d)
|
5,245
|
4,656
|
|
4% 3/15/31(d)
|
6,035
|
5,281
|
|
4.25% 5/1/28(d)
|
2,045
|
1,914
|
|
11,851
|
|||
Pharmaceuticals - 0.4%
|
|||
AstraZeneca PLC 3.75% 3/3/32 (Reg. S)
|
EUR
|
12,156
|
13,427
|
Bayer AG 5.375% 3/25/82 (Reg. S) (f)
|
EUR
|
8,400
|
8,346
|
Catalent Pharma Solutions:
|
|||
3.5% 4/1/30(d)
|
2,800
|
2,461
|
|
5% 7/15/27(d)
|
2,295
|
2,241
|
|
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
|
|||
4.125% 4/30/28(d)
|
10,200
|
9,324
|
|
5.125% 4/30/31(d)
|
8,890
|
7,891
|
|
Teva Pharmaceutical Finance Netherlands III BV:
|
|||
4.75% 5/9/27
|
2,775
|
2,590
|
|
5.125% 5/9/29
|
2,775
|
2,512
|
|
7.875% 9/15/29
|
2,805
|
2,938
|
|
51,730
|
|||
TOTAL HEALTH CARE
|
303,368
|
||
INDUSTRIALS - 4.5%
|
|||
Aerospace & Defense - 1.4%
|
|||
Bombardier, Inc.:
|
|||
6% 2/15/28(d)
|
2,815
|
2,741
|
|
7.125% 6/15/26(d)
|
5,695
|
5,716
|
|
7.875% 4/15/27(d)
|
13,015
|
13,183
|
|
BWX Technologies, Inc. 4.125% 6/30/28 (d)
|
6,400
|
5,763
|
|
Moog, Inc. 4.25% 12/15/27 (d)
|
2,025
|
1,874
|
|
Rolls-Royce PLC 5.75% 10/15/27 (d)
|
6,560
|
6,535
|
|
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d)
|
9,205
|
9,205
|
|
TransDigm UK Holdings PLC 6.875% 5/15/26
|
21,085
|
20,769
|
|
TransDigm, Inc.:
|
|||
4.625% 1/15/29
|
9,290
|
8,259
|
|
5.5% 11/15/27
|
68,140
|
63,881
|
|
6.25% 3/15/26(d)
|
11,120
|
11,130
|
|
6.375% 6/15/26
|
20,230
|
19,775
|
|
6.75% 8/15/28(d)
|
3,045
|
3,075
|
|
7.5% 3/15/27
|
11,028
|
11,000
|
|
Triumph Group, Inc. 9% 3/15/28 (d)
|
4,210
|
4,214
|
|
187,120
|
|||
Air Freight & Logistics - 0.1%
|
|||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d)
|
3,960
|
3,485
|
|
Rand Parent LLC 8.5% 2/15/30 (d)
|
2,810
|
2,641
|
|
6,126
|
|||
Airlines - 0.5%
|
|||
Air Canada 3.875% 8/15/26 (d)
|
4,230
|
3,841
|
|
Allegiant Travel Co. 7.25% 8/15/27 (d)
|
4,365
|
4,345
|
|
American Airlines, Inc. 7.25% 2/15/28 (d)
|
4,215
|
4,099
|
|
Delta Air Lines, Inc. 7% 5/1/25 (d)
|
1,671
|
1,713
|
|
Mileage Plus Holdings LLC 6.5% 6/20/27 (d)
|
17,561
|
17,504
|
|
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.:
|
|||
8% 9/20/25(d)
|
1,420
|
1,429
|
|
8% 9/20/25(d)
|
4,670
|
4,682
|
|
United Airlines, Inc.:
|
|||
4.375% 4/15/26(d)
|
14,560
|
13,930
|
|
4.625% 4/15/29(d)
|
8,725
|
7,892
|
|
59,435
|
|||
Building Products - 0.1%
|
|||
Advanced Drain Systems, Inc.:
|
|||
5% 9/30/27(d)
|
1,400
|
1,330
|
|
6.375% 6/15/30(d)
|
2,780
|
2,724
|
|
CP Atlas Buyer, Inc. 7% 12/1/28 (d)
|
3,280
|
2,436
|
|
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d)
|
1,865
|
1,576
|
|
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (d)
|
4,185
|
3,599
|
|
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29
|
4,830
|
4,214
|
|
15,879
|
|||
Commercial Services & Supplies - 0.9%
|
|||
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d)
|
3,995
|
2,982
|
|
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.:
|
|||
4.625% 6/1/28(d)
|
10,374
|
8,779
|
|
4.625% 6/1/28(d)
|
6,871
|
5,767
|
|
Clean Harbors, Inc. 6.375% 2/1/31 (d)
|
2,350
|
2,398
|
|
CoreCivic, Inc. 8.25% 4/15/26
|
14,975
|
15,095
|
|
Covanta Holding Corp.:
|
|||
4.875% 12/1/29(d)
|
4,300
|
3,826
|
|
5% 9/1/30
|
6,775
|
5,828
|
|
GFL Environmental, Inc.:
|
|||
4% 8/1/28(d)
|
4,200
|
3,816
|
|
4.75% 6/15/29(d)
|
5,705
|
5,329
|
|
KAR Auction Services, Inc. 5.125% 6/1/25 (d)
|
6,210
|
6,132
|
|
Madison IAQ LLC:
|
|||
4.125% 6/30/28(d)
|
5,345
|
4,623
|
|
5.875% 6/30/29(d)
|
4,265
|
3,295
|
|
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (d)
|
16,955
|
15,719
|
|
The Brink's Co. 4.625% 10/15/27 (d)
|
7,200
|
6,784
|
|
The GEO Group, Inc.:
|
|||
9.5% 12/31/28(d)
|
5,755
|
5,556
|
|
10.5% 6/30/28
|
16,764
|
16,937
|
|
112,866
|
|||
Construction & Engineering - 0.4%
|
|||
AECOM 5.125% 3/15/27
|
7,490
|
7,419
|
|
Arcosa, Inc. 4.375% 4/15/29 (d)
|
4,130
|
3,673
|
|
Bouygues SA 5.375% 6/30/42 (Reg. S)
|
EUR
|
18,400
|
21,665
|
Pike Corp. 5.5% 9/1/28 (d)
|
14,255
|
12,473
|
|
SRS Distribution, Inc.:
|
|||
4.625% 7/1/28(d)
|
5,520
|
4,902
|
|
6.125% 7/1/29(d)
|
2,315
|
1,953
|
|
52,085
|
|||
Electrical Equipment - 0.0%
|
|||
Sensata Technologies BV 4% 4/15/29 (d)
|
5,910
|
5,340
|
|
Ground Transportation - 0.0%
|
|||
XPO, Inc. 6.25% 5/1/25 (d)
|
5,220
|
5,176
|
|
Industrial Conglomerates - 0.2%
|
|||
Honeywell International, Inc. 4.125% 11/2/34
|
EUR
|
17,254
|
18,960
|
Machinery - 0.1%
|
|||
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d)
|
4,630
|
4,106
|
|
Chart Industries, Inc. 7.5% 1/1/30 (d)
|
7,420
|
7,666
|
|
11,772
|
|||
Marine - 0.0%
|
|||
Seaspan Corp. 5.5% 8/1/29 (d)
|
4,240
|
3,306
|
|
Professional Services - 0.1%
|
|||
ASGN, Inc. 4.625% 5/15/28 (d)
|
5,670
|
5,291
|
|
Booz Allen Hamilton, Inc.:
|
|||
3.875% 9/1/28(d)
|
6,270
|
5,722
|
|
4% 7/1/29(d)
|
2,820
|
2,545
|
|
TriNet Group, Inc. 3.5% 3/1/29 (d)
|
4,545
|
3,886
|
|
17,444
|
|||
Trading Companies & Distributors - 0.1%
|
|||
Foundation Building Materials, Inc. 6% 3/1/29 (d)
|
3,110
|
2,465
|
|
H&E Equipment Services, Inc. 3.875% 12/15/28 (d)
|
10,040
|
8,798
|
|
11,263
|
|||
Transportation - 0.6%
|
|||
Uber Technologies, Inc.:
|
|||
4.5% 8/15/29(d)
|
12,675
|
11,550
|
|
6.25% 1/15/28(d)
|
5,520
|
5,506
|
|
7.5% 9/15/27(d)
|
31,625
|
32,609
|
|
8% 11/1/26(d)
|
29,170
|
29,906
|
|
79,571
|
|||
TOTAL INDUSTRIALS
|
586,343
|
||
INFORMATION TECHNOLOGY - 1.2%
|
|||
Electronic Equipment & Components - 0.1%
|
|||
Coherent Corp. 5% 12/15/29 (d)
|
4,370
|
3,967
|
|
TTM Technologies, Inc. 4% 3/1/29 (d)
|
4,540
|
3,950
|
|
7,917
|
|||
IT Services - 0.3%
|
|||
Acuris Finance U.S. 5% 5/1/28 (d)
|
4,315
|
3,387
|
|
CA Magnum Holdings 5.375% (d)(h)
|
2,230
|
1,968
|
|
Camelot Finance SA 4.5% 11/1/26 (d)
|
6,365
|
6,015
|
|
Gartner, Inc.:
|
|||
3.625% 6/15/29(d)
|
4,040
|
3,605
|
|
3.75% 10/1/30(d)
|
6,920
|
6,212
|
|
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:
|
|||
3.5% 3/1/29(d)
|
6,060
|
5,240
|
|
5.25% 12/1/27(d)
|
5,665
|
5,513
|
|
Rackspace Hosting, Inc. 5.375% 12/1/28 (d)
|
3,845
|
1,470
|
|
Unisys Corp. 6.875% 11/1/27 (d)
|
3,685
|
2,349
|
|
35,759
|
|||
Semiconductors & Semiconductor Equipment - 0.1%
|
|||
onsemi 3.875% 9/1/28 (d)
|
6,765
|
6,087
|
|
Synaptics, Inc. 4% 6/15/29 (d)
|
3,500
|
3,014
|
|
9,101
|
|||
Software - 0.7%
|
|||
Alteryx, Inc. 8.75% 3/15/28 (d)
|
2,805
|
2,823
|
|
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
|
6,975
|
6,339
|
|
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (d)
|
4,225
|
4,153
|
|
Clarivate Science Holdings Corp.:
|
|||
3.875% 7/1/28(d)
|
5,025
|
4,485
|
|
4.875% 7/1/29(d)
|
4,755
|
4,300
|
|
Elastic NV 4.125% 7/15/29 (d)
|
8,005
|
6,834
|
|
Fair Isaac Corp. 4% 6/15/28 (d)
|
6,420
|
5,955
|
|
Gen Digital, Inc. 5% 4/15/25 (d)
|
6,360
|
6,245
|
|
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
|
5,780
|
4,616
|
|
MicroStrategy, Inc. 6.125% 6/15/28 (d)
|
9,960
|
8,840
|
|
NCR Corp.:
|
|||
5% 10/1/28(d)
|
3,385
|
2,975
|
|
5.25% 10/1/30(d)
|
13,370
|
10,915
|
|
5.75% 9/1/27(d)
|
5,480
|
5,385
|
|
6.125% 9/1/29(d)
|
5,480
|
5,405
|
|
Open Text Corp. 6.9% 12/1/27 (d)
|
5,000
|
5,158
|
|
Open Text Holdings, Inc.:
|
|||
4.125% 2/15/30(d)
|
3,220
|
2,762
|
|
4.125% 12/1/31(d)
|
2,490
|
2,054
|
|
PTC, Inc.:
|
|||
3.625% 2/15/25(d)
|
3,755
|
3,621
|
|
4% 2/15/28(d)
|
3,715
|
3,472
|
|
96,337
|
|||
TOTAL INFORMATION TECHNOLOGY
|
149,114
|
||
MATERIALS - 2.6%
|
|||
Chemicals - 0.9%
|
|||
Air Products & Chemicals, Inc. 4% 3/3/35
|
EUR
|
8,899
|
9,700
|
BASF AG 4.25% 3/8/32 (Reg. S)
|
EUR
|
16,900
|
18,982
|
Gpd Companies, Inc. 10.125% 4/1/26 (d)
|
8,860
|
8,056
|
|
Ingevity Corp. 3.875% 11/1/28 (d)
|
6,715
|
5,753
|
|
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (d)
|
2,100
|
1,920
|
|
LSB Industries, Inc. 6.25% 10/15/28 (d)
|
9,723
|
8,653
|
|
Olympus Water U.S. Holding Corp.:
|
|||
4.25% 10/1/28(d)
|
5,600
|
4,633
|
|
7.125% 10/1/27(d)
|
2,905
|
2,728
|
|
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d)
|
3,770
|
3,361
|
|
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
|
6,435
|
5,879
|
|
The Chemours Co. LLC:
|
|||
5.375% 5/15/27
|
18,470
|
17,108
|
|
5.75% 11/15/28(d)
|
10,075
|
8,994
|
|
The Scotts Miracle-Gro Co. 4% 4/1/31
|
5,930
|
4,730
|
|
W.R. Grace Holding LLC:
|
|||
5.625% 8/15/29(d)
|
13,095
|
11,098
|
|
7.375% 3/1/31(d)
|
2,810
|
2,821
|
|
114,416
|
|||
Construction Materials - 0.0%
|
|||
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d)
|
6,525
|
6,166
|
|
Containers & Packaging - 0.6%
|
|||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
|
|||
3.25% 9/1/28(d)
|
3,025
|
2,620
|
|
4% 9/1/29(d)
|
6,050
|
4,734
|
|
6% 6/15/27(d)
|
2,785
|
2,760
|
|
BWAY Holding Co. 7.875% 8/15/26 (d)
|
5,635
|
5,635
|
|
Cascades, Inc.:
|
|||
5.125% 1/15/26(d)
|
3,310
|
3,111
|
|
5.375% 1/15/28(d)
|
3,310
|
3,144
|
|
Clydesdale Acquisition Holdings, Inc.:
|
|||
6.625% 4/15/29(d)
|
3,315
|
3,191
|
|
8.75% 4/15/30(d)
|
19,065
|
17,325
|
|
Crown Cork & Seal, Inc.:
|
|||
7.375% 12/15/26
|
16,535
|
17,472
|
|
7.5% 12/15/96
|
7,695
|
8,118
|
|
Graham Packaging Co., Inc. 7.125% 8/15/28 (d)
|
3,720
|
3,217
|
|
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
|
3,585
|
3,112
|
|
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d)
|
2,570
|
2,210
|
|
Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (d)
|
2,815
|
2,846
|
|
Trivium Packaging Finance BV 5.5% 8/15/26 (d)
|
4,195
|
4,019
|
|
83,514
|
|||
Metals & Mining - 1.0%
|
|||
Alcoa Nederland Holding BV:
|
|||
4.125% 3/31/29(d)
|
7,735
|
6,886
|
|
6.125% 5/15/28(d)
|
2,110
|
2,113
|
|
Algoma Steel SCA 0% 12/31/23 (b)
|
1,518
|
0
|
|
Arconic Corp.:
|
|||
6% 5/15/25(d)
|
4,090
|
4,090
|
|
6.125% 2/15/28(d)
|
9,123
|
8,974
|
|
ATI, Inc.:
|
|||
4.875% 10/1/29
|
2,795
|
2,544
|
|
5.125% 10/1/31
|
2,480
|
2,257
|
|
Cleveland-Cliffs, Inc.:
|
|||
4.625% 3/1/29(d)
|
4,615
|
4,235
|
|
4.875% 3/1/31(d)
|
4,615
|
4,195
|
|
5.875% 6/1/27
|
11,010
|
10,900
|
|
Compass Minerals International, Inc. 6.75% 12/1/27 (d)
|
9,315
|
8,868
|
|
Eldorado Gold Corp. 6.25% 9/1/29 (d)
|
4,225
|
3,919
|
|
ERO Copper Corp. 6.5% 2/15/30 (d)
|
4,180
|
3,639
|
|
First Quantum Minerals Ltd.:
|
|||
6.875% 3/1/26(d)
|
14,330
|
13,849
|
|
7.5% 4/1/25(d)
|
12,105
|
12,027
|
|
FMG Resources Pty Ltd.:
|
|||
4.375% 4/1/31(d)
|
4,420
|
3,876
|
|
4.5% 9/15/27(d)
|
5,450
|
5,234
|
|
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
|
3,600
|
3,324
|
|
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
|
6,295
|
6,020
|
|
Kaiser Aluminum Corp. 4.625% 3/1/28 (d)
|
6,615
|
5,887
|
|
Mineral Resources Ltd.:
|
|||
8% 11/1/27(d)
|
2,785
|
2,864
|
|
8.125% 5/1/27(d)
|
11,025
|
11,190
|
|
8.5% 5/1/30(d)
|
2,065
|
2,119
|
|
Murray Energy Corp.:
|
|||
11.25% 12/31/49(b)(d)(e)
|
5,925
|
0
|
|
12% 4/15/24 pay-in-kind(b)(d)(e)(f)
|
6,364
|
0
|
|
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
|
2,015
|
1,799
|
|
130,809
|
|||
Paper & Forest Products - 0.1%
|
|||
Glatfelter Corp. 4.75% 11/15/29 (d)
|
4,190
|
2,766
|
|
LABL, Inc. 5.875% 11/1/28 (d)
|
6,750
|
5,998
|
|
8,764
|
|||
TOTAL MATERIALS
|
343,669
|
||
REAL ESTATE - 1.3%
|
|||
Equity Real Estate Investment Trusts (REITs) - 1.1%
|
|||
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (d)
|
4,190
|
3,598
|
|
Iron Mountain, Inc.:
|
|||
4.875% 9/15/29(d)
|
14,590
|
13,112
|
|
5% 7/15/28(d)
|
6,370
|
5,927
|
|
5.25% 7/15/30(d)
|
5,915
|
5,333
|
|
5.625% 7/15/32(d)
|
5,915
|
5,404
|
|
MPT Operating Partnership LP/MPT Finance Corp.:
|
|||
3.5% 3/15/31
|
6,700
|
4,462
|
|
4.625% 8/1/29
|
10,950
|
8,089
|
|
5% 10/15/27
|
21,010
|
17,281
|
|
Prologis International Funding II SA 4.625% 2/21/35 (Reg. S)
|
EUR
|
8,863
|
8,950
|
SBA Communications Corp. 3.875% 2/15/27
|
9,720
|
9,176
|
|
Uniti Group LP / Uniti Group Finance, Inc.:
|
|||
4.75% 4/15/28(d)
|
9,350
|
7,227
|
|
6.5% 2/15/29(d)
|
19,535
|
11,917
|
|
10.5% 2/15/28(d)
|
11,245
|
10,908
|
|
Uniti Group, Inc. 6% 1/15/30 (d)
|
6,990
|
4,089
|
|
VICI Properties LP / VICI Note Co.:
|
|||
3.875% 2/15/29(d)
|
6,695
|
5,953
|
|
4.25% 12/1/26(d)
|
12,650
|
11,803
|
|
4.625% 12/1/29(d)
|
7,220
|
6,572
|
|
139,801
|
|||
Real Estate Management & Development - 0.2%
|
|||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d)
|
6,575
|
5,886
|
|
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d)
|
8,505
|
6,347
|
|
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (d)
|
5,555
|
4,049
|
|
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
|
|||
5.125% 8/1/30(d)
|
6,480
|
5,982
|
|
5.875% 6/15/27(d)
|
5,610
|
5,504
|
|
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d)
|
3,045
|
2,567
|
|
30,335
|
|||
TOTAL REAL ESTATE
|
170,136
|
||
UTILITIES - 1.9%
|
|||
Electric Utilities - 1.2%
|
|||
Clearway Energy Operating LLC:
|
|||
3.75% 1/15/32(d)
|
2,795
|
2,323
|
|
4.75% 3/15/28(d)
|
4,055
|
3,873
|
|
Electricite de France SA 4.625% 1/25/43 (Reg. S)
|
EUR
|
13,200
|
13,506
|
Energias de Portugal SA:
|
|||
1.875% 3/14/82 (Reg. S)(f)
|
EUR
|
5,600
|
4,507
|
5.943% 4/23/83 (Reg. S)(f)
|
EUR
|
900
|
957
|
NRG Energy, Inc.:
|
|||
3.375% 2/15/29(d)
|
3,080
|
2,549
|
|
3.625% 2/15/31(d)
|
6,110
|
4,899
|
|
3.875% 2/15/32(d)
|
6,475
|
5,180
|
|
5.75% 1/15/28
|
19,350
|
18,976
|
|
ORSTED A/S 5.25% 12/8/22 (Reg. S) (f)
|
EUR
|
5,900
|
6,310
|
Pacific Gas & Electric Co.:
|
|||
3.75% 8/15/42
|
6,290
|
4,453
|
|
3.95% 12/1/47
|
7,933
|
5,639
|
|
4% 12/1/46
|
11,420
|
8,061
|
|
4.25% 3/15/46
|
1,475
|
1,087
|
|
4.3% 3/15/45
|
3,690
|
2,776
|
|
PG&E Corp.:
|
|||
5% 7/1/28
|
13,615
|
12,849
|
|
5.25% 7/1/30
|
5,150
|
4,781
|
|
Vistra Operations Co. LLC:
|
|||
4.375% 5/1/29(d)
|
11,110
|
9,834
|
|
5% 7/31/27(d)
|
13,800
|
13,048
|
|
5.5% 9/1/26(d)
|
9,975
|
9,684
|
|
5.625% 2/15/27(d)
|
17,455
|
16,938
|
|
152,230
|
|||
Gas Utilities - 0.2%
|
|||
Southern Natural Gas Co. LLC:
|
|||
7.35% 2/15/31
|
14,890
|
15,984
|
|
8% 3/1/32
|
9,400
|
10,948
|
|
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d)
|
5,750
|
5,024
|
|
31,956
|
|||
Independent Power and Renewable Electricity Producers - 0.2%
|
|||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
|
3,735
|
3,352
|
|
RWE AG:
|
|||
2.75% 5/24/30 (Reg. S)
|
EUR
|
7,651
|
7,707
|
4.125% 2/13/35 (Reg. S)
|
EUR
|
9,787
|
10,371
|
21,430
|
|||
Multi-Utilities - 0.1%
|
|||
E.ON SE 3.875% 1/12/35 (Reg. S)
|
EUR
|
797
|
856
|
National Grid PLC 4.275% 1/16/35 (Reg. S)
|
EUR
|
13,049
|
13,962
|
14,818
|
|||
Water Utilities - 0.2%
|
|||
Suez SACA 2.375% 5/24/30 (Reg. S)
|
EUR
|
5,700
|
5,526
|
Thames Water Utility Finance PLC:
|
|||
1.25% 1/31/32 (Reg. S)
|
EUR
|
14,395
|
12,055
|
4.375% 1/18/31 (Reg. S)
|
EUR
|
13,738
|
14,892
|
32,473
|
|||
TOTAL UTILITIES
|
252,907
|
||
TOTAL NONCONVERTIBLE BONDS
|
4,280,475
|
||
|
TOTAL CORPORATE BONDS
(Cost $4,629,155)
|
4,307,037
|
||
U.S. Government and Government Agency Obligations - 27.1%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Government Agency Obligations - 0.2%
|
|||
Fannie Mae 0.625% 4/22/25
|
2,128
|
1,979
|
|
Freddie Mac 4% 11/25/24
|
21,100
|
20,855
|
|
Tennessee Valley Authority:
|
|||
5.25% 9/15/39
|
2,106
|
2,247
|
|
5.375% 4/1/56
|
3,503
|
3,959
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
|
29,040
|
||
U.S. Treasury Obligations - 26.8%
|
|||
U.S. Treasury Bills, yield at date of purchase 4.55% to 4.73% 4/13/23 to 5/18/23 (j)
|
8,740
|
8,701
|
|
U.S. Treasury Bonds:
|
|||
2% 8/15/51
|
148,344
|
104,345
|
|
2.25% 2/15/52
|
115,400
|
86,054
|
|
2.5% 2/15/45
|
216,056
|
172,397
|
|
3% 5/15/45
|
20,100
|
17,502
|
|
3% 2/15/49
|
128,820
|
112,768
|
|
3.625% 2/15/53
|
105,586
|
104,827
|
|
4.75% 2/15/37
|
74,200
|
84,611
|
|
5.25% 2/15/29
|
5,406
|
5,860
|
|
6.125% 8/15/29
|
3,663
|
4,184
|
|
U.S. Treasury Notes:
|
|||
0.125% 6/30/23
|
34,600
|
34,223
|
|
0.125% 8/15/23
|
2,411
|
2,370
|
|
0.25% 5/15/24
|
470
|
448
|
|
0.25% 7/31/25
|
22,796
|
20,934
|
|
0.25% 9/30/25
|
26,037
|
23,827
|
|
0.25% 10/31/25
|
17,600
|
16,047
|
|
0.375% 4/30/25
|
82,771
|
76,770
|
|
0.375% 12/31/25
|
167,057
|
152,270
|
|
0.375% 1/31/26
|
13,900
|
12,618
|
|
0.625% 7/31/26
|
24,000
|
21,649
|
|
0.75% 3/31/26
|
46,052
|
42,132
|
|
0.75% 8/31/26
|
29,200
|
26,390
|
|
0.875% 9/30/26
|
143,800
|
130,229
|
|
1% 7/31/28
|
49,141
|
42,952
|
|
1.125% 10/31/26
|
17,300
|
15,779
|
|
1.125% 8/31/28
|
410,429
|
360,395
|
|
1.25% 12/31/26
|
52,353
|
47,821
|
|
1.25% 9/30/28
|
38,280
|
33,779
|
|
1.375% 8/31/23
|
11,000
|
10,849
|
|
1.375% 10/31/28
|
8,911
|
7,906
|
|
1.5% 2/29/24
|
286,900
|
278,865
|
|
1.5% 10/31/24
|
480
|
460
|
|
1.5% 1/31/27
|
40,989
|
37,735
|
|
1.5% 11/30/28
|
6,930
|
6,182
|
|
1.625% 5/31/23
|
19,717
|
19,619
|
|
1.625% 9/30/26
|
3,093
|
2,879
|
|
1.75% 1/31/29
|
41,434
|
37,402
|
|
1.875% 2/28/27
|
280,000
|
261,264
|
|
2.125% 7/31/24
|
96,008
|
93,188
|
|
2.125% 5/15/25
|
12,033
|
11,568
|
|
2.25% 4/30/24
|
78,844
|
76,898
|
|
2.25% 3/31/26
|
34,717
|
33,202
|
|
2.375% 3/31/29
|
7,500
|
7,002
|
|
2.5% 2/28/26
|
38,997
|
37,568
|
|
2.5% 3/31/27
|
7,200
|
6,877
|
|
2.625% 5/31/27
|
90
|
86
|
|
2.625% 7/31/29
|
25,965
|
24,557
|
|
2.75% 2/15/24
|
165,714
|
162,937
|
|
2.75% 6/30/25
|
197
|
192
|
|
2.75% 7/31/27
|
18,600
|
17,913
|
|
2.75% 5/31/29
|
18,541
|
17,671
|
|
2.75% 8/15/32
|
66,322
|
62,415
|
|
2.875% 5/15/32
|
36,400
|
34,640
|
|
3.125% 11/15/28
|
28,930
|
28,202
|
|
3.5% 1/31/28
|
20,540
|
20,432
|
|
3.5% 2/15/33
|
49,310
|
49,387
|
|
3.625% 3/31/28
|
34,500
|
34,557
|
|
3.625% 3/31/30
|
28,600
|
28,736
|
|
3.875% 11/30/27
|
14,110
|
14,257
|
|
3.875% 12/31/27
|
51,100
|
51,642
|
|
3.875% 11/30/29
|
23,340
|
23,744
|
|
4% 2/15/26
|
49,100
|
49,303
|
|
4% 10/31/29
|
19,300
|
19,765
|
|
4.125% 10/31/27
|
8,800
|
8,969
|
|
4.125% 11/15/32
|
27,677
|
29,082
|
|
4.25% 12/31/24
|
58,900
|
58,953
|
|
4.625% 2/28/25 (k)
|
3,300
|
3,332
|
|
4.625% 3/15/26
|
77,510
|
79,278
|
|
TOTAL U.S. TREASURY OBLIGATIONS
|
3,511,396
|
||
Other Government Related - 0.1%
|
|||
Private Export Funding Corp. Secured 1.75% 11/15/24
|
11,520
|
10,969
|
|
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $3,850,034)
|
3,551,405
|
||
U.S. Government Agency - Mortgage Securities - 4.1%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 0.9%
|
|||
1.5% 11/1/40 to 11/1/41
|
40,739
|
33,574
|
|
2% 2/1/28 to 7/1/35
|
19,480
|
17,718
|
|
2.5% 1/1/28 to 2/1/52
|
36,281
|
32,898
|
|
3% 11/1/34 to 2/1/52 (j)
|
12,295
|
11,504
|
|
3.5% 3/1/52
|
500
|
467
|
|
4% 9/1/52
|
2,151
|
2,065
|
|
5% 5/1/52 to 12/1/52
|
16,176
|
16,399
|
|
TOTAL FANNIE MAE
|
114,625
|
||
Freddie Mac - 0.8%
|
|||
1.5% 12/1/40 to 4/1/41
|
11,305
|
9,349
|
|
2% 6/1/35
|
14,485
|
13,121
|
|
2.5% 1/1/28 to 1/1/52
|
31,535
|
28,720
|
|
3% 9/1/34
|
3,770
|
3,592
|
|
3.5% 5/1/51 to 3/1/52 (j)
|
41,364
|
38,657
|
|
5% 5/1/52 to 12/1/52
|
12,925
|
13,097
|
|
TOTAL FREDDIE MAC
|
106,536
|
||
Ginnie Mae - 0.8%
|
|||
2% 2/20/51
|
600
|
511
|
|
2% 4/1/53 (l)
|
6,000
|
5,094
|
|
2% 4/1/53 (l)
|
2,350
|
1,995
|
|
2% 4/1/53 (l)
|
37,800
|
32,095
|
|
2% 4/1/53 (l)
|
28,700
|
24,369
|
|
2% 5/1/53 (l)
|
2,350
|
1,997
|
|
2% 5/1/53 (l)
|
35,200
|
29,918
|
|
2% 6/1/53 (l)
|
2,500
|
2,128
|
|
TOTAL GINNIE MAE
|
98,107
|
||
Uniform Mortgage Backed Securities - 1.6%
|
|||
2% 4/1/53 (l)
|
6,000
|
4,958
|
|
2% 4/1/53 (l)
|
6,000
|
4,958
|
|
2% 4/1/53 (l)
|
28,700
|
23,714
|
|
2% 4/1/53 (l)
|
28,700
|
23,714
|
|
2.5% 4/1/38 (l)
|
5,700
|
5,286
|
|
3% 4/1/53 (l)
|
8,500
|
7,622
|
|
3% 4/1/53 (l)
|
2,900
|
2,600
|
|
3% 4/1/53 (l)
|
4,250
|
3,811
|
|
3% 4/1/53 (l)
|
2,900
|
2,600
|
|
3% 4/1/53 (l)
|
4,250
|
3,811
|
|
3% 4/1/53 (l)
|
8,300
|
7,443
|
|
3% 5/1/53 (l)
|
4,250
|
3,814
|
|
3% 5/1/53 (l)
|
4,250
|
3,814
|
|
3.5% 4/1/53 (l)
|
10,550
|
9,798
|
|
3.5% 4/1/53 (l)
|
5,800
|
5,387
|
|
3.5% 4/1/53 (l)
|
4,750
|
4,412
|
|
4% 4/1/53 (l)
|
10,350
|
9,898
|
|
4% 4/1/53 (l)
|
12,550
|
12,002
|
|
4% 4/1/53 (l)
|
14,800
|
14,154
|
|
4% 4/1/53 (l)
|
750
|
717
|
|
4% 4/1/53 (l)
|
2,350
|
2,247
|
|
4% 4/1/53 (l)
|
10,350
|
9,898
|
|
4% 5/1/53 (l)
|
13,450
|
12,868
|
|
4% 5/1/53 (l)
|
12,450
|
11,911
|
|
5.5% 5/1/53 (l)
|
7,700
|
7,775
|
|
5.5% 5/1/53 (l)
|
7,900
|
7,977
|
|
5.5% 6/1/53 (l)
|
3,000
|
3,028
|
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
210,217
|
||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $541,986)
|
529,485
|
||
Commercial Mortgage Securities - 0.5%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Freddie Mac:
|
|||
sequential payer:
|
|||
Series 2015-K049 Class A2, 3.01% 7/25/25
|
339
|
327
|
|
Series 2015-K050 Class A2, 3.334% 8/25/25 (f)
|
13,656
|
13,291
|
|
Series 2015-K051 Class A2, 3.308% 9/25/25
|
536
|
520
|
|
Series 2016-K052 Class A2, 3.151% 11/25/25
|
15,387
|
14,896
|
|
Series 2021-K136 Class A2, 2.127% 11/25/31
|
2,200
|
1,866
|
|
Series 2022-150 Class A2, 3.71% 9/25/32
|
2,600
|
2,493
|
|
Series 2017-K727 Class A2, 2.946% 7/25/24
|
15,616
|
15,246
|
|
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25
|
22,011
|
21,343
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $70,361)
|
69,982
|
||
Foreign Government and Government Agency Obligations - 4.4%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Australian Commonwealth:
|
|||
1.75% 11/21/32 (Reg. S)
|
AUD
|
15,000
|
8,810
|
1.75% 6/21/51 (Reg. S)
|
AUD
|
81,080
|
34,891
|
Canadian Government:
|
|||
0.5% 11/1/23
|
CAD
|
53,800
|
38,935
|
0.75% 2/1/24
|
CAD
|
26,500
|
19,040
|
1.25% 3/1/27
|
CAD
|
30,000
|
20,648
|
German Federal Republic:
|
|||
0% 6/16/23 (Reg. S)
|
EUR
|
40,480
|
43,652
|
0% 12/15/23(Reg. S)
|
EUR
|
14,825
|
15,768
|
0% 2/15/32 (Reg. S)
|
EUR
|
7,250
|
6,463
|
1.7% 8/15/32(Reg. S)
|
EUR
|
277,530
|
287,222
|
1.8% 8/15/53(Reg. S)
|
EUR
|
25,000
|
23,844
|
2.3% 2/15/33(Reg. S)
|
EUR
|
20,000
|
21,707
|
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23
|
54,954
|
55,061
|
|
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $572,880)
|
576,041
|
||
Common Stocks - 3.3%
|
|||
Shares
|
Value ($)
(000s)
|
||
COMMUNICATION SERVICES - 0.2%
|
|||
Interactive Media & Services - 0.2%
|
|||
Alphabet, Inc. Class A (m)
|
57,400
|
5,954
|
|
Meta Platforms, Inc. Class A (m)
|
57,800
|
12,250
|
|
18,204
|
|||
Media - 0.0%
|
|||
iHeartMedia, Inc. (m)
|
26
|
0
|
|
Nexstar Broadcasting Group, Inc. Class A
|
23,627
|
4,079
|
|
4,079
|
|||
TOTAL COMMUNICATION SERVICES
|
22,283
|
||
CONSUMER DISCRETIONARY - 0.5%
|
|||
Auto Components - 0.0%
|
|||
Exide Technologies (b)(m)
|
7,093
|
7
|
|
Exide Technologies (b)(m)
|
418,807
|
0
|
|
Exide Technologies (b)(m)
|
280
|
182
|
|
UC Holdings, Inc. (b)(m)
|
560,355
|
3,323
|
|
3,512
|
|||
Hotels, Restaurants & Leisure - 0.2%
|
|||
Booking Holdings, Inc. (m)
|
2,200
|
5,835
|
|
Boyd Gaming Corp.
|
123,800
|
7,938
|
|
Caesars Entertainment, Inc. (m)
|
281,300
|
13,730
|
|
New Cotai LLC/New Cotai Capital Corp. (b)(c)(m)
|
2,242,893
|
1,525
|
|
Studio City International Holdings Ltd.:
|
|||
ADR (d)
|
121,177
|
807
|
|
(NYSE) ADR (m)
|
133,400
|
888
|
|
30,723
|
|||
Household Durables - 0.1%
|
|||
Tempur Sealy International, Inc.
|
255,148
|
10,076
|
|
Specialty Retail - 0.2%
|
|||
Dick's Sporting Goods, Inc.
|
52,100
|
7,392
|
|
Lowe's Companies, Inc.
|
40,300
|
8,059
|
|
Williams-Sonoma, Inc.
|
24,000
|
2,920
|
|
18,371
|
|||
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Tapestry, Inc.
|
91,100
|
3,927
|
|
TOTAL CONSUMER DISCRETIONARY
|
66,609
|
||
CONSUMER STAPLES - 0.1%
|
|||
Food & Staples Retailing - 0.1%
|
|||
Southeastern Grocers, Inc. (b)(c)(m)
|
584,047
|
14,344
|
|
Food Products - 0.0%
|
|||
Darling Ingredients, Inc. (m)
|
49,300
|
2,879
|
|
JBS SA
|
1,108,000
|
3,902
|
|
Reddy Ice Holdings, Inc. (b)(m)
|
133,255
|
7
|
|
6,788
|
|||
TOTAL CONSUMER STAPLES
|
21,132
|
||
ENERGY - 0.6%
|
|||
Energy Equipment & Services - 0.1%
|
|||
Diamond Offshore Drilling, Inc. (m)
|
66,694
|
803
|
|
Forbes Energy Services Ltd. (b)(m)
|
135,187
|
0
|
|
Halliburton Co.
|
4,034
|
128
|
|
Jonah Energy Parent LLC (b)(m)
|
183,159
|
8,242
|
|
Superior Energy Services, Inc. Class A (b)(m)
|
66,115
|
4,262
|
|
13,435
|
|||
Oil, Gas & Consumable Fuels - 0.5%
|
|||
Antero Resources Corp. (m)
|
127,900
|
2,953
|
|
California Resources Corp.
|
419,806
|
16,163
|
|
California Resources Corp. warrants 10/27/24 (m)
|
34,633
|
294
|
|
Chaparral Energy, Inc.:
|
|||
Series A warrants 10/1/24 (b)(m)
|
289
|
0
|
|
Series B warrants 10/1/25 (b)(m)
|
289
|
0
|
|
Cheniere Energy, Inc.
|
75,500
|
11,899
|
|
Chesapeake Energy Corp.
|
110,303
|
8,387
|
|
Chesapeake Energy Corp. (c)(m)
|
15,902
|
1,209
|
|
Civitas Resources, Inc.
|
36,312
|
2,482
|
|
Diamondback Energy, Inc.
|
22,492
|
3,040
|
|
EP Energy Corp. (b)(m)
|
611,545
|
3,993
|
|
Mesquite Energy, Inc. (b)(m)
|
185,122
|
9,460
|
|
Unit Corp.
|
28,630
|
1,250
|
|
61,130
|
|||
TOTAL ENERGY
|
74,565
|
||
FINANCIALS - 0.3%
|
|||
Capital Markets - 0.0%
|
|||
Penson Worldwide, Inc. Class A (b)(m)
|
7,403,098
|
0
|
|
Consumer Finance - 0.1%
|
|||
OneMain Holdings, Inc.
|
299,100
|
11,091
|
|
Diversified Financial Services - 0.0%
|
|||
Apollo Global Management, Inc.
|
52,100
|
3,291
|
|
Financial Services - 0.2%
|
|||
Fiserv, Inc. (m)
|
66,600
|
7,528
|
|
Global Payments, Inc.
|
61,700
|
6,493
|
|
MasterCard, Inc. Class A
|
12,100
|
4,397
|
|
Visa, Inc. Class A
|
26,900
|
6,065
|
|
24,483
|
|||
Insurance - 0.0%
|
|||
Arthur J. Gallagher & Co.
|
19,100
|
3,654
|
|
TOTAL FINANCIALS
|
42,519
|
||
HEALTH CARE - 0.2%
|
|||
Health Care Providers & Services - 0.1%
|
|||
Humana, Inc.
|
6,100
|
2,961
|
|
Tenet Healthcare Corp. (m)
|
36,700
|
2,181
|
|
UnitedHealth Group, Inc.
|
10,400
|
4,915
|
|
10,057
|
|||
Life Sciences Tools & Services - 0.1%
|
|||
Charles River Laboratories International, Inc. (m)
|
10,500
|
2,119
|
|
IQVIA Holdings, Inc. (m)
|
47,000
|
9,348
|
|
11,467
|
|||
TOTAL HEALTH CARE
|
21,524
|
||
INDUSTRIALS - 0.2%
|
|||
Airlines - 0.0%
|
|||
Delta Air Lines, Inc. (m)
|
48,600
|
1,697
|
|
Building Products - 0.0%
|
|||
Builders FirstSource, Inc. (m)
|
55,600
|
4,936
|
|
Electrical Equipment - 0.1%
|
|||
Regal Rexnord Corp.
|
49,200
|
6,924
|
|
Professional Services - 0.1%
|
|||
ASGN, Inc. (m)
|
70,000
|
5,787
|
|
SS&C Technologies Holdings, Inc.
|
54,139
|
3,057
|
|
8,844
|
|||
Trading Companies & Distributors - 0.0%
|
|||
Penhall Acquisition Co.:
|
|||
Class A (b)(m)
|
11,553
|
1,478
|
|
Class B (b)(m)
|
3,850
|
492
|
|
1,970
|
|||
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
|
24,371
|
||
INFORMATION TECHNOLOGY - 0.8%
|
|||
Communications Equipment - 0.0%
|
|||
Arista Networks, Inc. (m)
|
26,500
|
4,448
|
|
Electronic Equipment & Components - 0.1%
|
|||
CDW Corp.
|
40,300
|
7,854
|
|
IT Services - 0.0%
|
|||
GTT Communications, Inc. (b)
|
51,638
|
638
|
|
Semiconductors & Semiconductor Equipment - 0.5%
|
|||
Advanced Micro Devices, Inc. (m)
|
55,900
|
5,479
|
|
ASML Holding NV (depository receipt)
|
8,500
|
5,786
|
|
Lam Research Corp.
|
7,200
|
3,817
|
|
Marvell Technology, Inc.
|
128,500
|
5,564
|
|
Microchip Technology, Inc.
|
127,400
|
10,674
|
|
NVIDIA Corp.
|
31,300
|
8,694
|
|
NXP Semiconductors NV
|
36,000
|
6,713
|
|
onsemi (m)
|
169,691
|
13,969
|
|
60,696
|
|||
Software - 0.2%
|
|||
Adobe, Inc. (m)
|
18,464
|
7,115
|
|
Microsoft Corp.
|
56,300
|
16,231
|
|
Palo Alto Networks, Inc. (m)
|
18,800
|
3,755
|
|
Synopsys, Inc. (m)
|
10,600
|
4,094
|
|
31,195
|
|||
TOTAL INFORMATION TECHNOLOGY
|
104,831
|
||
MATERIALS - 0.3%
|
|||
Chemicals - 0.1%
|
|||
CF Industries Holdings, Inc.
|
64,100
|
4,647
|
|
Olin Corp.
|
47,800
|
2,653
|
|
The Chemours Co. LLC
|
214,479
|
6,422
|
|
13,722
|
|||
Containers & Packaging - 0.1%
|
|||
Berry Global Group, Inc.
|
60,939
|
3,589
|
|
Graphic Packaging Holding Co.
|
332,500
|
8,475
|
|
WestRock Co.
|
111,900
|
3,410
|
|
15,474
|
|||
Metals & Mining - 0.1%
|
|||
Algoma Steel Group, Inc.
|
489,241
|
3,953
|
|
Algoma Steel SCA (b)(m)
|
151,792
|
0
|
|
Elah Holdings, Inc. (m)
|
517
|
31
|
|
First Quantum Minerals Ltd.
|
217,300
|
4,996
|
|
Freeport-McMoRan, Inc.
|
83,000
|
3,396
|
|
12,376
|
|||
TOTAL MATERIALS
|
41,572
|
||
UTILITIES - 0.1%
|
|||
Electric Utilities - 0.1%
|
|||
PG&E Corp. (m)
|
606,468
|
9,807
|
|
Portland General Electric Co.
|
13,962
|
683
|
|
10,490
|
|||
Independent Power and Renewable Electricity Producers - 0.0%
|
|||
PureWest Energy (b)(m)
|
10,774
|
105
|
|
PureWest Energy rights (b)(m)
|
6,493
|
0
|
|
105
|
|||
TOTAL UTILITIES
|
10,595
|
||
|
TOTAL COMMON STOCKS
(Cost $348,383)
|
430,001
|
||
Nonconvertible Preferred Stocks - 0.0%
|
|||
Shares
|
Value ($)
(000s)
|
||
CONSUMER DISCRETIONARY - 0.0%
|
|||
Auto Components - 0.0%
|
|||
Exide Technologies (b)(m)
|
624
|
581
|
|
INDUSTRIALS - 0.0%
|
|||
Transportation Infrastructure - 0.0%
|
|||
Tricer Holdco SCA (b)(c)(m)
|
193,792,711
|
2
|
|
|
TOTAL NONCONVERTIBLE PREFERRED STOCKS
(Cost $7,489)
|
583
|
||
Bank Loan Obligations - 2.0%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
COMMUNICATION SERVICES - 0.2%
|
|||
Diversified Telecommunication Services - 0.1%
|
|||
Aventiv Technologies LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 9.6591% 11/1/24 (f)(g)(n)
|
4,170
|
2,953
|
|
Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.14% 12/12/26 (f)(g)(n)
|
5,301
|
5,261
|
|
Frontier Communications Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.625% 5/1/28 (f)(g)(n)
|
2,650
|
2,510
|
|
GTT Communications BV 1LN, term loan:
|
|||
CME Term SOFR 1 Month Index + 7.000% 11.907% 1/3/28 (f)(g)(n)
|
2,492
|
1,999
|
|
CME TERM SOFR 3 MONTH INDEX + 9.000% 13.9983% 6/3/28 (f)(g)(n)
|
1,958
|
1,005
|
|
Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 3/9/27 (f)(g)(n)
|
4,347
|
3,520
|
|
17,248
|
|||
Media - 0.1%
|
|||
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 12.7755% 5/25/26 (f)(g)(n)
|
3,585
|
3,355
|
|
Nexstar Broadcasting, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.500% 7.3403% 9/19/26 (f)(g)(n)
|
1,380
|
1,376
|
|
Univision Communications, Inc.:
|
|||
1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.250% 9.1483% 6/10/29 (f)(g)(n)
|
352
|
349
|
|
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.0903% 1/31/29 (f)(g)(n)
|
3,544
|
3,471
|
|
8,551
|
|||
TOTAL COMMUNICATION SERVICES
|
25,799
|
||
CONSUMER DISCRETIONARY - 0.4%
|
|||
Auto Components - 0.0%
|
|||
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.0903% 12/17/28 (f)(g)(n)
|
1,037
|
869
|
|
Diversified Consumer Services - 0.1%
|
|||
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 13.4091% 8/22/25 (f)(g)(n)
|
3,640
|
3,488
|
|
Sotheby's Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 9.3297% 1/15/27 (f)(g)(n)
|
6,576
|
6,527
|
|
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.9857% 3/4/28 (f)(g)(n)
|
8,285
|
6,927
|
|
16,942
|
|||
Hotels, Restaurants & Leisure - 0.1%
|
|||
Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.057% 1/15/30 (f)(g)(n)
|
1,625
|
1,626
|
|
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.807% 1/27/29 (f)(g)(n)
|
7,321
|
7,195
|
|
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.9603% 4/14/29 (f)(g)(n)
|
1,087
|
1,077
|
|
9,898
|
|||
Leisure Products - 0.0%
|
|||
Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.2595% 3/9/30 (f)(g)(n)
|
1,380
|
1,370
|
|
Specialty Retail - 0.2%
|
|||
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.3849% 12/18/27 (f)(g)(n)
|
11,546
|
10,844
|
|
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.4091% 4/15/28 (f)(g)(n)
|
2,663
|
2,438
|
|
New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 13.1062% 6/30/27 (f)(g)(n)
|
516
|
418
|
|
Wand NewCo 3, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.5903% 2/5/26 (f)(g)(n)
|
11,010
|
10,783
|
|
24,483
|
|||
TOTAL CONSUMER DISCRETIONARY
|
53,562
|
||
CONSUMER STAPLES - 0.0%
|
|||
Beverages - 0.0%
|
|||
Bengal Debt Merger Sub LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 8.2483% 1/24/29 (f)(g)(n)
|
1,032
|
905
|
|
ENERGY - 0.0%
|
|||
Energy Equipment & Services - 0.0%
|
|||
Forbes Energy Services LLC Tranche B, term loan 0% (b)(e)(f)(n)
|
1,267
|
0
|
|
Oil, Gas & Consumable Fuels - 0.0%
|
|||
Mesquite Energy, Inc.:
|
|||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(e)(g)(n)
|
3,423
|
0
|
|
term loan 3 month U.S. LIBOR + 0.000% 0% (b)(e)(g)(n)
|
1,476
|
0
|
|
0
|
|||
TOTAL ENERGY
|
0
|
||
FINANCIALS - 0.1%
|
|||
Capital Markets - 0.0%
|
|||
Citadel Securities LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 7.4215% 2/27/28 (f)(g)(n)
|
5,268
|
5,212
|
|
Insurance - 0.1%
|
|||
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.0903% 2/15/27 (f)(g)(n)
|
647
|
632
|
|
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.2793% 11/12/27 (f)(g)(n)
|
6,383
|
6,301
|
|
HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.7279% 11/10/29 (f)(g)(n)
|
449
|
447
|
|
7,380
|
|||
TOTAL FINANCIALS
|
12,592
|
||
HEALTH CARE - 0.2%
|
|||
Health Care Providers & Services - 0.1%
|
|||
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.9983% 10/1/27 (f)(g)(n)
|
9,678
|
9,218
|
|
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.8849% 11/15/28 (f)(g)(n)
|
3,302
|
3,260
|
|
12,478
|
|||
Health Care Technology - 0.1%
|
|||
Athenahealth Group, Inc.:
|
|||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.2592% 2/15/29 (f)(g)(n)
|
13,594
|
12,710
|
|
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (f)(g)(n)(o)
|
1,670
|
1,561
|
|
14,271
|
|||
TOTAL HEALTH CARE
|
26,749
|
||
INDUSTRIALS - 0.5%
|
|||
Air Freight & Logistics - 0.0%
|
|||
Dynasty Acquisition Co., Inc.:
|
|||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.407% 4/8/26 (f)(g)(n)
|
1,502
|
1,465
|
|
Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.407% 4/4/26 (f)(g)(n)
|
807
|
787
|
|
2,252
|
|||
Airlines - 0.1%
|
|||
Air Canada Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.3694% 8/11/28 (f)(g)(n)
|
4,209
|
4,192
|
|
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.5577% 10/20/27 (f)(g)(n)
|
1,990
|
2,060
|
|
6,252
|
|||
Building Products - 0.1%
|
|||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.4091% 5/17/28 (f)(g)(n)
|
11,259
|
8,907
|
|
Hunter Douglas, Inc. Tranche B 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.500% 8.3733% 2/25/29 (f)(g)(n)
|
10,511
|
9,409
|
|
18,316
|
|||
Commercial Services & Supplies - 0.2%
|
|||
ABG Intermediate Holdings 2 LLC:
|
|||
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 10.907% 12/20/29 (f)(g)(n)
|
525
|
483
|
|
Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.407% 12/21/28 (f)(g)(n)
|
2,481
|
2,440
|
|
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4067% 12/21/28 (f)(g)(n)
|
5,275
|
5,207
|
|
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 12/21/28 (f)(g)(n)(o)
|
1,730
|
1,707
|
|
Madison IAQ LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.3023% 6/21/28 (f)(g)(n)
|
1,395
|
1,325
|
|
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.735% 4/11/29 (f)(g)(n)
|
7,380
|
6,624
|
|
Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.375% 12/10/26 (f)(g)(n)
|
3,708
|
3,690
|
|
21,476
|
|||
Construction & Engineering - 0.1%
|
|||
Breakwater Energy Tranche B 1LN, term loan 11% 9/1/26 (b)(f)(n)
|
9,783
|
9,294
|
|
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.3403% 6/4/28 (f)(g)(n)
|
3,049
|
2,938
|
|
12,232
|
|||
Machinery - 0.0%
|
|||
Chart Industries, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.5934% 12/8/29 (f)(g)(n)
|
815
|
812
|
|
TOTAL INDUSTRIALS
|
61,340
|
||
INFORMATION TECHNOLOGY - 0.3%
|
|||
Electronic Equipment & Components - 0.0%
|
|||
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.557% 3/31/28 (f)(g)(n)
|
983
|
952
|
|
IT Services - 0.0%
|
|||
Acuris Finance U.S., Inc. 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.000% 9.0483% 2/16/28 (f)(g)(n)
|
603
|
580
|
|
Camelot Finance SA Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 10/31/26 (f)(g)(n)
|
569
|
567
|
|
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.4091% 8/19/28 (f)(g)(n)
|
5,339
|
5,219
|
|
6,366
|
|||
Software - 0.3%
|
|||
Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.5903% 10/2/25 (f)(g)(n)
|
18,821
|
18,556
|
|
Polaris Newco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.1591% 6/2/28 (f)(g)(n)
|
3,137
|
2,854
|
|
Proofpoint, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.0903% 8/31/28 (f)(g)(n)
|
3,066
|
2,992
|
|
RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 4/22/28 (f)(g)(n)
|
3,058
|
2,961
|
|
Ultimate Software Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.0319% 5/3/26 (f)(g)(n)
|
6,653
|
6,473
|
|
VS Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 7.6997% 2/28/27 (f)(g)(n)
|
1,271
|
1,256
|
|
35,092
|
|||
TOTAL INFORMATION TECHNOLOGY
|
42,410
|
||
MATERIALS - 0.2%
|
|||
Chemicals - 0.1%
|
|||
Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.926% 8/29/29 (f)(g)(n)
|
271
|
271
|
|
Discovery Purchaser Corp. 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.370% 8.9625% 10/4/29 (f)(g)(n)
|
8,858
|
8,374
|
|
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.9375% 11/9/28 (f)(g)(n)
|
1,689
|
1,596
|
|
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.9375% 9/22/28 (f)(g)(n)
|
1,274
|
1,261
|
|
11,502
|
|||
Containers & Packaging - 0.1%
|
|||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.082% 4/13/29 (f)(g)(n)
|
11,141
|
10,865
|
|
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.750% 10.1293% 2/9/26 (f)(g)(n)
|
784
|
719
|
|
11,584
|
|||
TOTAL MATERIALS
|
23,086
|
||
UTILITIES - 0.1%
|
|||
Electric Utilities - 0.1%
|
|||
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.875% 6/23/25 (f)(g)(n)
|
16,547
|
16,475
|
|
|
TOTAL BANK LOAN OBLIGATIONS
(Cost $276,792)
|
262,918
|
||
Fixed-Income Funds - 21.0%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Emerging Markets Debt Central Fund (p)
|
260,600,388
|
1,972,745
|
|
Fidelity Floating Rate Central Fund (p)
|
8,004,109
|
770,636
|
|
|
TOTAL FIXED-INCOME FUNDS
(Cost $3,247,943)
|
2,743,381
|
||
Preferred Securities - 4.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
CONSUMER DISCRETIONARY - 0.1%
|
|||
Automobiles - 0.1%
|
|||
Volkswagen International Finance NV 4.375% (Reg. S) (f)(h)
|
EUR
|
20,600
|
18,654
|
ENERGY - 0.5%
|
|||
Oil, Gas & Consumable Fuels - 0.5%
|
|||
Energy Transfer LP:
|
|||
3 month U.S. LIBOR + 4.020% 8.8916% (f)(g)(h)
|
45,897
|
40,821
|
|
6.625% (f)(h)
|
17,100
|
12,736
|
|
7.125% (f)(h)
|
4,160
|
3,499
|
|
Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 12.2963% (e)(f)(g)(h)
|
1,711
|
1,279
|
|
58,335
|
|||
FINANCIALS - 3.6%
|
|||
Banks - 3.3%
|
|||
Bank of America Corp.:
|
|||
5.2% (f)(h)
|
48,090
|
46,617
|
|
5.875% (f)(h)
|
60,475
|
54,412
|
|
6.25% (f)(h)
|
18,480
|
18,041
|
|
Citigroup, Inc.:
|
|||
4.7% (f)(h)
|
8,755
|
7,661
|
|
5% (f)(h)
|
36,455
|
34,085
|
|
6.3% (f)(h)
|
4,120
|
3,914
|
|
8.8704% (f)(g)(h)
|
46,925
|
46,573
|
|
9.0936% (f)(g)(h)
|
15,875
|
15,776
|
|
Huntington Bancshares, Inc. 5.7% (f)(h)
|
7,660
|
6,565
|
|
JPMorgan Chase & Co.:
|
|||
4% (f)(h)
|
19,100
|
16,972
|
|
4.6% (f)(h)
|
13,385
|
12,448
|
|
5% (f)(h)
|
18,675
|
17,930
|
|
6% (f)(h)
|
54,840
|
53,675
|
|
6.125% (f)(h)
|
12,865
|
12,524
|
|
6.75% (f)(h)
|
6,270
|
6,292
|
|
Wells Fargo & Co.:
|
|||
5.875% (f)(h)
|
36,775
|
36,131
|
|
5.9% (f)(h)
|
46,445
|
44,032
|
|
433,648
|
|||
Capital Markets - 0.3%
|
|||
Goldman Sachs Group, Inc.:
|
|||
3 month U.S. LIBOR + 2.870% 7.7333% (f)(g)(h)
|
29,914
|
29,014
|
|
4.4% (f)(h)
|
4,530
|
3,889
|
|
4.95% (f)(h)
|
7,885
|
7,221
|
|
40,124
|
|||
Diversified Financial Services - 0.0%
|
|||
OEC Finance Ltd. 7.5% pay-in-kind (d)(h)
|
23
|
1
|
|
TOTAL FINANCIALS
|
473,773
|
||
UTILITIES - 0.1%
|
|||
Electric Utilities - 0.1%
|
|||
Enel SpA 6.625% (Reg. S) (f)(h)
|
EUR
|
5,957
|
6,501
|
|
TOTAL PREFERRED SECURITIES
(Cost $593,472)
|
557,263
|
||
Money Market Funds - 2.8%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 4.86% (q)
|
364,533,970
|
364,607
|
|
Fidelity Securities Lending Cash Central Fund 4.87% (q)(r)
|
3,259,034
|
3,259
|
|
|
TOTAL MONEY MARKET FUNDS
(Cost $367,829)
|
367,866
|
||
|
TOTAL INVESTMENT IN SECURITIES - 102.4%
(Cost $14,506,324)
|
13,395,962
|
NET OTHER ASSETS (LIABILITIES) - (2.4)%
|
(312,922)
|
NET ASSETS - 100.0%
|
13,083,040
|
TBA Sale Commitments
|
||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
|
Ginnie Mae
|
||
2% 4/1/53
|
(2,350)
|
(1,995)
|
2% 4/1/53
|
(2,350)
|
(1,995)
|
2% 4/1/53
|
(600)
|
(509)
|
2% 4/1/53
|
(2,500)
|
(2,123)
|
2% 4/1/53
|
(35,200)
|
(29,888)
|
TOTAL GINNIE MAE
|
(36,510)
|
|
Uniform Mortgage Backed Securities
|
||
2% 4/1/53
|
(6,000)
|
(4,958)
|
2% 4/1/53
|
(6,000)
|
(4,958)
|
2% 4/1/53
|
(28,700)
|
(23,714)
|
2% 4/1/53
|
(28,700)
|
(23,714)
|
3% 4/1/53
|
(200)
|
(179)
|
3% 4/1/53
|
(4,250)
|
(3,811)
|
3% 4/1/53
|
(11,200)
|
(10,043)
|
3% 4/1/53
|
(2,900)
|
(2,600)
|
3% 4/1/53
|
(4,250)
|
(3,811)
|
3% 4/1/53
|
(8,300)
|
(7,443)
|
3% 5/1/53
|
(4,250)
|
(3,814)
|
3% 5/1/53
|
(4,250)
|
(3,814)
|
3.5% 4/1/53
|
(4,750)
|
(4,412)
|
3.5% 4/1/53
|
(5,800)
|
(5,387)
|
3.5% 4/1/53
|
(5,800)
|
(5,387)
|
3.5% 4/1/53
|
(4,750)
|
(4,412)
|
4% 4/1/53
|
(13,450)
|
(12,863)
|
4% 4/1/53
|
(12,450)
|
(11,906)
|
4% 4/1/53
|
(750)
|
(717)
|
4% 4/1/53
|
(10,350)
|
(9,898)
|
4% 4/1/53
|
(2,350)
|
(2,247)
|
5.5% 5/1/53
|
(7,700)
|
(7,775)
|
5.5% 5/1/53
|
(3,000)
|
(3,029)
|
5.5% 5/1/53
|
(4,900)
|
(4,948)
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
(165,840)
|
|
TOTAL TBA SALE COMMITMENTS
(Proceeds $(201,989))
|
(202,350)
|
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Bond Index Contracts
|
|||||
Eurex Euro-Bund Contracts (Germany)
|
800
|
Jun 2023
|
117,855
|
(993)
|
(993)
|
Treasury Contracts
|
|||||
CBOT 10-Year U.S. Treasury Note Contracts (United States)
|
2,248
|
Jun 2023
|
258,344
|
7,547
|
7,547
|
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
2,090
|
Jun 2023
|
431,487
|
4,731
|
4,731
|
CBOT Long Term U.S. Treasury Bond Contracts (United States)
|
326
|
Jun 2023
|
42,757
|
1,638
|
1,638
|
TOTAL TREASURY CONTRACTS
|
13,916
|
||||
TOTAL PURCHASED
|
12,923
|
||||
Sold
|
|||||
Bond Index Contracts
|
|||||
Eurex Long-Term Euro-BTP Contracts (Germany)
|
980
|
Jun 2023
|
122,595
|
(233)
|
(233)
|
Treasury Contracts
|
|||||
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
7
|
Jun 2023
|
767
|
1
|
1
|
TOTAL SOLD
|
(232)
|
||||
TOTAL FUTURES CONTRACTS
|
12,691
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 6.5%
|
|||||
The notional amount of futures sold as a percentage of Net Assets is 0.9%
|
|||||
Forward Foreign Currency Contracts
|
||||||
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation) ($) (000s)
|
||
USD
|
271
|
EUR
|
249
|
Brown Brothers Harriman & Co
|
4/03/23
|
1
|
EUR
|
1,578
|
USD
|
1,716
|
Brown Brothers Harriman & Co
|
4/04/23
|
(5)
|
EUR
|
9,736
|
USD
|
10,375
|
BNP Paribas S.A.
|
4/11/23
|
188
|
EUR
|
16,271
|
USD
|
17,589
|
BNP Paribas S.A.
|
4/11/23
|
64
|
EUR
|
5,639
|
USD
|
6,104
|
BNP Paribas S.A.
|
4/11/23
|
14
|
EUR
|
15,368
|
USD
|
16,330
|
Bank of America, N.A.
|
4/11/23
|
343
|
EUR
|
7,352
|
USD
|
7,918
|
Barclays Bank PLC
|
4/11/23
|
58
|
EUR
|
2,355
|
USD
|
2,505
|
Brown Brothers Harriman & Co
|
4/11/23
|
50
|
EUR
|
9,510
|
USD
|
10,075
|
Brown Brothers Harriman & Co
|
4/11/23
|
242
|
EUR
|
7,113
|
USD
|
7,606
|
Brown Brothers Harriman & Co
|
4/11/23
|
111
|
EUR
|
4,618
|
USD
|
5,028
|
Brown Brothers Harriman & Co
|
4/11/23
|
(18)
|
EUR
|
2,551
|
USD
|
2,765
|
State Street Bank and Trust Co
|
4/11/23
|
3
|
GBP
|
14,595
|
USD
|
17,757
|
BNP Paribas S.A.
|
4/11/23
|
250
|
GBP
|
78,152
|
USD
|
94,653
|
Morgan Stanley Cap. Group, Inc
|
4/11/23
|
1,769
|
JPY
|
721,186
|
USD
|
5,434
|
Brown Brothers Harriman & Co
|
4/11/23
|
3
|
USD
|
9,569
|
AUD
|
14,328
|
BNP Paribas S.A.
|
4/11/23
|
(11)
|
USD
|
33,452
|
AUD
|
49,453
|
National Australia Bank
|
4/11/23
|
387
|
USD
|
77,215
|
CAD
|
104,742
|
Royal Bank of Canada
|
4/11/23
|
(293)
|
USD
|
5,148
|
EUR
|
4,830
|
BNP Paribas S.A.
|
4/11/23
|
(92)
|
USD
|
3,497
|
EUR
|
3,224
|
BNP Paribas S.A.
|
4/11/23
|
(1)
|
USD
|
11,342
|
EUR
|
10,697
|
Bank of America, N.A.
|
4/11/23
|
(263)
|
USD
|
7,774
|
EUR
|
7,165
|
Bank of America, N.A.
|
4/11/23
|
1
|
USD
|
2,654
|
EUR
|
2,512
|
Brown Brothers Harriman & Co
|
4/11/23
|
(71)
|
USD
|
10,498
|
EUR
|
9,760
|
Brown Brothers Harriman & Co
|
4/11/23
|
(91)
|
USD
|
3,688
|
EUR
|
3,486
|
Canadian Imperial Bk. of Comm.
|
4/11/23
|
(94)
|
USD
|
4,065
|
EUR
|
3,804
|
Canadian Imperial Bk. of Comm.
|
4/11/23
|
(62)
|
USD
|
6,043
|
EUR
|
5,651
|
Canadian Imperial Bk. of Comm.
|
4/11/23
|
(88)
|
USD
|
23,306
|
EUR
|
22,048
|
Canadian Imperial Bk. of Comm.
|
4/11/23
|
(614)
|
USD
|
19,397
|
EUR
|
18,244
|
Canadian Imperial Bk. of Comm.
|
4/11/23
|
(396)
|
USD
|
85,284
|
EUR
|
80,239
|
JPMorgan Chase Bank, N.A.
|
4/11/23
|
(1,770)
|
USD
|
5,221
|
EUR
|
4,847
|
Morgan Stanley Cap. Group, Inc
|
4/11/23
|
(38)
|
USD
|
16,244
|
EUR
|
15,203
|
Royal Bank of Canada
|
4/11/23
|
(250)
|
USD
|
12,839
|
EUR
|
11,953
|
Royal Bank of Canada
|
4/11/23
|
(129)
|
USD
|
664,497
|
EUR
|
624,635
|
State Street Bank and Trust Co
|
4/11/23
|
(13,185)
|
USD
|
8,309
|
EUR
|
7,743
|
State Street Bank and Trust Co
|
4/11/23
|
(92)
|
USD
|
7,992
|
EUR
|
7,483
|
State Street Bank and Trust Co
|
4/11/23
|
(127)
|
USD
|
7,333
|
EUR
|
6,823
|
State Street Bank and Trust Co
|
4/11/23
|
(69)
|
USD
|
111,293
|
GBP
|
92,705
|
Morgan Stanley Cap. Group, Inc
|
4/11/23
|
(3,085)
|
USD
|
5,278
|
JPY
|
715,401
|
Citibank, N. A.
|
4/11/23
|
(116)
|
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
|
(17,476)
|
|||||
Unrealized Appreciation
|
3,484
|
|||||
Unrealized Depreciation
|
(20,960)
|
|||||
AUD
|
-
|
Australian dollar
|
CAD
|
-
|
Canadian dollar
|
EUR
|
-
|
European Monetary Unit
|
GBP
|
-
|
British pound sterling
|
JPY
|
-
|
Japanese yen
|
USD
|
-
|
U.S. dollar
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Level 3 security
|
(c)
|
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $38,785,000 or 0.3% of net assets.
|
(d)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,783,815,000 or 21.3% of net assets.
|
(e)
|
Non-income producing - Security is in default.
|
(f)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(g)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(h)
|
Security is perpetual in nature with no stated maturity date.
|
(i)
|
Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate 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 $9,708,000.
|
(k)
|
Security or a portion of the security is on loan at period end.
|
(l)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(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)
|
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 $3,400,000 and $3,269,000, respectively.
|
(p)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(q)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(r)
|
Investment made with cash collateral received from securities on loan.
|
Additional information on each restricted holding is as follows:
|
||
Security
|
Acquisition Date
|
Acquisition Cost ($)
(000s)
|
Chesapeake Energy Corp.
|
2/10/21
|
151
|
Mesquite Energy, Inc. 15% 7/15/23
|
7/10/20 - 1/18/22
|
1,457
|
Mesquite Energy, Inc. 15% 7/15/23
|
11/05/20 - 1/18/22
|
2,515
|
New Cotai LLC/New Cotai Capital Corp.
|
9/11/20
|
11,111
|
Southeastern Grocers, Inc.
|
6/01/18
|
4,108
|
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
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
% ownership,
end
of period
|
Fidelity Cash Central Fund 4.86%
|
260,091
|
941,277
|
836,761
|
3,556
|
-
|
-
|
364,607
|
0.9%
|
Fidelity Emerging Markets Debt Central Fund
|
2,029,576
|
28,203
|
95,200
|
28,203
|
(17,491)
|
27,657
|
1,972,745
|
93.5%
|
Fidelity Floating Rate Central Fund
|
1,010,843
|
19,644
|
273,087
|
19,643
|
(18,227)
|
31,463
|
770,636
|
41.2%
|
Fidelity Securities Lending Cash Central Fund 4.87%
|
74,125
|
708,341
|
779,207
|
75
|
-
|
-
|
3,259
|
0.0%
|
Total
|
3,374,635
|
1,697,465
|
1,984,255
|
51,477
|
(35,718)
|
59,120
|
3,111,247
|
|