N-Q 1 Main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-2737

Fidelity Summer Street Trust
 (Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
 (Address of principal executive offices)       (Zip code)

Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

April 30

 

 

Date of reporting period:

July 31, 2015

Item 1. Schedule of Investments

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Capital and Income Fund

July 31, 2015 

1.804853.111

CAI-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 63.5%

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - 0.0%

Automotive & Auto Parts - 0.0%

Exide Technologies 7% 4/30/25 pay-in-kind

$ 2,251

$ 1,553

Nonconvertible Bonds - 63.5%

Aerospace - 0.5%

Alion Science & Technology Corp. 15.25% 2/18/20 pay-in-kind

2,915

2,826

GenCorp, Inc. 7.125% 3/15/21

2,610

2,780

Huntington Ingalls Industries, Inc. 5% 12/15/21 (f)

6,655

6,838

KLX, Inc. 5.875% 12/1/22 (f)

27,955

28,095

Triumph Group, Inc. 4.875% 4/1/21

9,715

9,618

 

50,157

Air Transportation - 1.4%

Air Canada:

5.375% 11/15/22 (f)

3,048

3,124

7.75% 4/15/21 (f)

9,805

10,540

Allegiant Travel Co. 5.5% 7/15/19

3,350

3,392

Aviation Capital Group Corp. 4.625% 1/31/18 (f)

6,886

7,131

Continental Airlines, Inc.:

pass-thru trust certificates 6.903% 4/19/22

2,632

2,750

6.125% 4/29/18

3,325

3,475

7.25% 11/10/19

10,465

11,904

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

25,455

29,210

8.021% 8/10/22

9,810

11,170

Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 1/15/22

4,580

4,419

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

6,575

7,396

8.028% 11/1/17

1,727

1,909

U.S. Airways Group, Inc. 6.125% 6/1/18

9,640

10,074

U.S. Airways pass-thru certificates:

Series 2011-1 Class A, 7.125% 4/22/25

10,943

12,708

Series 2012-2 Class B, 6.75% 12/3/22

3,241

3,500

Series 2013-1 Class B, 5.375% 5/15/23

4,462

4,585

United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17

9,166

9,991

XPO Logistics, Inc. 7.875% 9/1/19 (f)

13,655

14,594

 

151,872

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Automotive - 0.2%

Affinia Group, Inc. 7.75% 5/1/21

$ 2,035

$ 2,121

International Automotive Components Group SA 9.125% 6/1/18 (f)

14,445

14,716

 

16,837

Automotive & Auto Parts - 1.0%

Dana Holding Corp.:

5.375% 9/15/21

7,475

7,625

6% 9/15/23

7,475

7,699

6.75% 2/15/21

3,618

3,808

Delphi Corp. 5% 2/15/23

17,854

18,925

Exide Technologies 11% 4/30/20

2,162

1,806

General Motors Financial Co., Inc. 4.25% 5/15/23

5,620

5,568

Jaguar Land Rover PLC 4.25% 11/15/19 (f)

10,960

10,977

Lear Corp. 4.75% 1/15/23

12,337

12,244

LKQ Corp. 4.75% 5/15/23

2,190

2,086

Schaeffler Finance BV 4.75% 5/15/21 (f)

9,740

9,764

Schaeffler Holding Finance BV:

6.25% 11/15/19 pay-in-kind (f)(i)

7,240

7,647

6.75% 11/15/22 pay-in-kind (f)(i)

9,620

10,414

Tenneco, Inc. 6.875% 12/15/20

15,510

16,247

 

114,810

Banks & Thrifts - 3.1%

Ally Financial, Inc.:

4.125% 2/13/22

22,220

21,887

4.625% 3/30/25

15,430

14,851

5.125% 9/30/24

77,675

78,549

General Motors Acceptance Corp. 8% 11/1/31

20,638

25,798

GMAC LLC 8% 11/1/31

168,886

201,819

 

342,904

Broadcasting - 0.7%

AMC Networks, Inc. 4.75% 12/15/22

5,930

5,974

Clear Channel Communications, Inc. 14% 2/1/21 pay-in-kind (i)

11,553

7,525

Sinclair Television Group, Inc. 5.375% 4/1/21

9,805

9,977

Sirius XM Radio, Inc.:

4.25% 5/15/20 (f)

12,765

12,717

4.625% 5/15/23 (f)

4,925

4,740

5.25% 8/15/22 (f)

15,410

16,200

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Broadcasting - continued

Sirius XM Radio, Inc.: - continued

5.375% 4/15/25 (f)

$ 12,000

$ 11,970

Starz LLC/Starz Finance Corp. 5% 9/15/19

8,945

9,102

 

78,205

Building Materials - 0.0%

American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (f)

3,005

3,065

Cable/Satellite TV - 2.5%

Altice SA 5.375% 7/15/23 (f)

19,460

19,557

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

30,665

30,397

5.125% 5/1/23 (f)

14,050

13,910

5.25% 3/15/21

19,210

19,546

5.25% 9/30/22

15,055

15,243

5.375% 5/1/25 (f)

14,050

13,839

5.75% 9/1/23

9,495

9,721

5.75% 1/15/24

11,275

11,479

6.625% 1/31/22

27,120

28,646

7.375% 6/1/20

12,500

13,221

DISH DBS Corp.:

5% 3/15/23

23,450

21,955

5.125% 5/1/20

1,000

1,013

5.875% 7/15/22

40,185

39,984

Lynx I Corp. 5.375% 4/15/21 (f)

5,639

5,801

Lynx II Corp. 6.375% 4/15/23 (f)

3,545

3,705

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (f)

6,335

6,620

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f)

10,690

10,890

Virgin Media Finance PLC 4.875% 2/15/22

10,880

10,091

Wave Holdco LLC/Wave Holdco Corp. 9% 7/15/19 pay-in-kind (f)(i)

2,525

2,528

 

278,146

Capital Goods - 0.1%

AECOM Technology Corp.:

5.75% 10/15/22 (f)

5,745

5,831

5.875% 10/15/24 (f)

4,925

4,999

 

10,830

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Chemicals - 1.9%

Chemtura Corp. 5.75% 7/15/21

$ 5,030

$ 5,080

Hexion U.S. Finance Corp. 6.625% 4/15/20

11,375

10,422

LSB Industries, Inc. 7.75% 8/1/19

3,620

3,810

Momentive Performance Materials, Inc.:

3.88% 10/24/21

85,120

73,842

4.69% 4/24/22

28,622

23,470

Nufarm Australia Ltd. 6.375% 10/15/19 (f)

4,160

4,222

Platform Specialty Products Corp. 6.5% 2/1/22 (f)

8,280

8,570

PolyOne Corp.:

5.25% 3/15/23

6,005

5,960

7.375% 9/15/20

4,506

4,693

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (f)

4,240

4,145

Rockwood Specialties Group, Inc. 4.625% 10/15/20

9,525

9,906

The Chemours Company LLC 7% 5/15/25 (f)

3,640

3,193

TPC Group, Inc. 8.75% 12/15/20 (f)

14,165

12,713

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (f)

4,750

5,059

W.R. Grace & Co. - Conn:

5.125% 10/1/21 (f)

33,275

33,608

5.625% 10/1/24 (f)

7,315

7,461

 

216,154

Consumer Products - 0.7%

Edgewell Personal Care Co. 5.5% 6/15/25 (f)

7,330

7,165

Elizabeth Arden, Inc. 7.375% 3/15/21

3,202

2,305

First Quality Finance Co., Inc. 4.625% 5/15/21 (f)

2,500

2,375

Prestige Brands, Inc. 8.125% 2/1/20

1,650

1,757

Revlon Consumer Products Corp. 5.75% 2/15/21

37,745

37,745

Spectrum Brands Holdings, Inc.:

5.75% 7/15/25 (f)

11,680

12,028

6.375% 11/15/20

2,820

3,003

6.625% 11/15/22

3,335

3,568

Tempur Sealy International, Inc. 6.875% 12/15/20

3,880

4,156

 

74,102

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Containers - 1.6%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (f)(i)

$ 32,448

$ 33,551

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (f)

7,260

7,233

6.25% 1/31/19 (f)

12,530

12,875

6.75% 1/31/21 (f)

12,465

12,777

7% 11/15/20 (f)

1,029

1,039

Beverage Packaging Holdings II SA (Luxembourg):

5.625% 12/15/16 (f)

12,250

12,189

6% 6/15/17 (f)

6,255

6,224

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f)

4,335

3,902

Crown Cork & Seal, Inc.:

7.375% 12/15/26

4,845

5,402

7.5% 12/15/96

12,871

12,163

Graphic Packaging International, Inc. 4.75% 4/15/21

3,080

3,145

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

26,515

27,443

6.875% 2/15/21

15,185

15,872

8.25% 2/15/21 (i)

18,196

18,878

9.875% 8/15/19

2,725

2,866

Sealed Air Corp. 5.25% 4/1/23 (f)

5,010

5,085

 

180,644

Diversified Financial Services - 6.1%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

4.25% 7/1/20

11,355

11,454

4.5% 5/15/21

20,650

20,960

4.625% 7/1/22

11,355

11,568

Aircastle Ltd.:

4.625% 12/15/18

7,795

8,135

5.5% 2/15/22

10,600

11,051

7.625% 4/15/20

7,830

9,044

CIT Group, Inc.:

5% 8/15/22

17,330

17,612

5.375% 5/15/20

21,665

22,897

5.5% 2/15/19 (f)

30,275

32,016

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Financial Services - continued

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

$ 17,515

$ 18,062

5.875% 2/1/22

73,165

75,726

6% 8/1/20

60,435

63,608

International Lease Finance Corp.:

4.625% 4/15/21

4,735

4,835

5.875% 4/1/19

60,890

65,152

5.875% 8/15/22

20,190

22,007

6.25% 5/15/19

47,055

51,283

8.25% 12/15/20

45,847

54,902

8.625% 1/15/22

46,340

56,998

MSCI, Inc. 5.25% 11/15/24 (f)

6,725

6,857

Navient Corp.:

5% 10/26/20

7,625

7,034

5.875% 10/25/24

16,465

14,325

SLM Corp.:

5.5% 1/25/23

64,245

56,214

7.25% 1/25/22

27,665

27,319

8% 3/25/20

15,115

15,720

 

684,779

Diversified Media - 0.7%

Liberty Media Corp.:

8.25% 2/1/30

25,528

27,060

8.5% 7/15/29

16,125

17,496

MDC Partners, Inc. 6.75% 4/1/20 (f)

11,395

11,281

Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f)

6,170

6,116

Quebecor Media, Inc. 5.75% 1/15/23

15,820

16,216

WMG Acquisition Corp. 5.625% 4/15/22 (f)

2,410

2,434

 

80,603

Electric Utilities No Longer Use - 0.1%

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

2,720

2,550

7% 6/15/23 (f)

11,295

10,871

 

13,421

Energy - 7.7%

Access Midstream Partners LP/ACMP Finance Corp. 4.875% 3/15/24

6,625

6,514

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

American Energy-Permian Basin LLC/ AEPB Finance Corp. 7.125% 11/1/20 (f)

$ 13,110

$ 7,932

Antero Resources Corp. 5.625% 6/1/23 (f)

10,200

9,818

Basic Energy Services, Inc. 7.75% 10/15/22

7,490

5,412

Carrizo Oil & Gas, Inc.:

6.25% 4/15/23

7,400

7,103

7.5% 9/15/20

19,770

19,869

Chaparral Energy, Inc. 9.875% 10/1/20

4,495

3,045

Citgo Holding, Inc. 10.75% 2/15/20 (f)

16,670

17,045

Citgo Petroleum Corp. 6.25% 8/15/22 (f)

16,530

16,199

Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22

8,120

7,653

Concho Resources, Inc.:

5.5% 4/1/23

27,015

27,015

6.5% 1/15/22

16,925

17,496

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6.125% 3/1/22

18,692

18,458

6.25% 4/1/23 (f)

9,260

9,306

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

20,970

21,075

Drill Rigs Holdings, Inc. 6.5% 10/1/17 (f)

5,050

4,040

Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19

14,075

12,738

Edgen Murray Corp. 8.75% 11/1/20 (f)

7,898

8,510

Endeavor Energy Resources LP/EER Finance, Inc.:

7% 8/15/21 (f)

11,080

10,637

8.125% 9/15/23 (f)

10,235

10,178

Energy Transfer Equity LP 5.5% 6/1/27

16,735

16,400

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (f)

14,290

10,789

EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19

9,210

8,082

Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22

8,075

7,227

Forbes Energy Services Ltd. 9% 6/15/19

10,305

7,548

Forum Energy Technologies, Inc. 6.25% 10/1/21

13,870

13,385

Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21

4,655

4,539

Goodrich Petroleum Corp. 8.875% 3/15/19

9,323

2,704

Gulfmark Offshore, Inc. 6.375% 3/15/22

360

266

Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (f)

7,700

8,306

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (f)

$ 9,920

$ 9,226

5.75% 10/1/25 (f)

11,285

10,721

7.625% 4/15/21 (f)

10,609

10,927

Hornbeck Offshore Services, Inc.:

5% 3/1/21

1,160

919

5.875% 4/1/20

10,343

8,740

Jupiter Resources, Inc. 8.5% 10/1/22 (f)

25,855

17,581

Kinder Morgan, Inc. 5.625% 11/15/23 (f)

6,980

7,267

Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S)

12,325

12,541

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.875% 12/1/24

16,745

16,326

5.5% 2/15/23

7,055

7,231

Newfield Exploration Co.:

5.375% 1/1/26

13,990

13,430

5.625% 7/1/24

10,950

10,731

Noble Energy, Inc. 5.625% 5/1/21

9,115

9,660

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

4,500

4,590

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20

19,835

20,926

PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (f)

8,455

8,434

PetroBakken Energy Ltd. 8.625% 2/1/20 (f)

23,570

10,106

Precision Drilling Corp.:

5.25% 11/15/24

11,215

9,435

6.5% 12/15/21

2,505

2,373

QEP Resources, Inc. 5.25% 5/1/23

12,370

11,442

Range Resources Corp. 5% 3/15/23

18,145

17,782

Rice Energy, Inc.:

6.25% 5/1/22

20,020

18,919

7.25% 5/1/23 (f)

9,808

9,636

RSP Permian, Inc. 6.625% 10/1/22 (f)

4,715

4,750

Sabine Pass Liquefaction LLC:

5.625% 3/1/25 (f)

42,605

41,966

5.75% 5/15/24

10,455

10,396

SemGroup Corp. 7.5% 6/15/21

8,325

8,658

SM Energy Co. 5.625% 6/1/25

5,480

5,179

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

Southern Natural Gas Co.:

7.35% 2/15/31

$ 23,497

$ 26,545

8% 3/1/32

12,475

14,852

Southern Star Central Corp. 5.125% 7/15/22 (f)

6,750

6,851

Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17

6,004

6,300

Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21

7,058

7,570

Summit Midstream Holdings LLC 7.5% 7/1/21

4,145

4,352

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (f)

4,265

4,180

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (f)

7,815

8,030

Teine Energy Ltd. 6.875% 9/30/22 (f)

11,950

11,114

Tennessee Gas Pipeline Co. 7.625% 4/1/37

5,445

6,435

TerraForm Power Operating LLC:

5.875% 2/1/23 (f)

6,675

6,738

6.125% 6/15/25 (f)

3,580

3,589

Tesoro Corp.:

5.125% 4/1/24

1,135

1,130

5.375% 10/1/22

6,925

7,029

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.5% 10/15/19 (f)

6,220

6,438

5.875% 10/1/20

1,624

1,685

6.125% 10/15/21

6,175

6,437

6.25% 10/15/22 (f)

9,030

9,436

Trinidad Drilling Ltd. 7.875% 1/15/19 (f)

4,031

3,910

Unit Corp. 6.625% 5/15/21

2,202

2,103

W&T Offshore, Inc. 8.5% 6/15/19

9,920

6,026

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23

10,345

10,629

Western Refining, Inc. 6.25% 4/1/21

26,400

26,532

Whiting Petroleum Corp.:

5% 3/15/19

7,735

7,426

5.75% 3/15/21

7,735

7,542

WPX Energy, Inc. 6% 1/15/22

16,060

15,016

 

857,076

Entertainment/Film - 0.4%

AMC Entertainment, Inc. 5.75% 6/15/25

16,960

16,875

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Entertainment/Film - continued

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

$ 2,380

$ 2,392

5.625% 2/15/24

2,570

2,621

Cinemark U.S.A., Inc.:

4.875% 6/1/23

9,870

9,710

5.125% 12/15/22

2,845

2,859

DreamWorks Animation SKG, Inc. 6.875% 8/15/20 (f)

4,865

4,804

 

39,261

Environmental - 0.3%

Clean Harbors, Inc.:

5.125% 6/1/21

5,880

5,924

5.25% 8/1/20

7,105

7,275

Covanta Holding Corp.:

5.875% 3/1/24

7,775

7,620

7.25% 12/1/20

12,151

12,728

 

33,547

Food & Drug Retail - 1.0%

BI-LO LLC/BI-LO Finance Corp.:

8.625% 9/15/18 pay-in-kind (f)(i)

14,690

13,331

9.25% 2/15/19 (f)

14,427

14,643

Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (f)

13,094

14,502

Rite Aid Corp.:

6.125% 4/1/23 (f)

22,415

23,284

6.75% 6/15/21

25,550

27,147

9.25% 3/15/20

7,595

8,252

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (f)

11,295

11,210

 

112,369

Food/Beverage/Tobacco - 1.8%

B&G Foods, Inc. 4.625% 6/1/21

10,575

10,522

Barry Callebaut Services NV 5.5% 6/15/23 (f)

12,055

12,893

Constellation Brands, Inc.:

3.875% 11/15/19

8,455

8,623

4.75% 11/15/24

10,985

11,205

ESAL GmbH 6.25% 2/5/23 (f)

28,980

28,545

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (f)

11,155

11,685

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Food/Beverage/Tobacco - continued

Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (f)

$ 3,220

$ 3,091

JBS Investments GmbH 7.25% 4/3/24 (f)

37,820

38,813

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (f)

20,055

19,873

5.875% 7/15/24 (f)

6,030

6,120

7.25% 6/1/21 (f)

7,350

7,727

8.25% 2/1/20 (f)

7,110

7,537

Pilgrim's Pride Corp. 5.75% 3/15/25 (f)

16,785

17,163

Post Holdings, Inc.:

6% 12/15/22 (f)

6,040

5,859

7.375% 2/15/22

5,200

5,317

Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (f)

2,915

3,134

TreeHouse Foods, Inc. 4.875% 3/15/22

4,150

4,212

 

202,319

Gaming - 1.1%

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22

66,990

51,917

GLP Capital LP/GLP Financing II, Inc.:

4.375% 11/1/18

4,125

4,269

4.875% 11/1/20

10,795

11,132

5.375% 11/1/23

8,565

8,924

Graton Economic Development Authority 9.625% 9/1/19 (f)

21,760

23,419

Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (f)(i)

7,221

7,239

Scientific Games Corp. 10% 12/1/22

11,010

10,693

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (d)(f)

1,991

0

 

117,593

Healthcare - 4.5%

Alere, Inc. 6.375% 7/1/23 (f)

5,115

5,320

AmSurg Corp. 5.625% 7/15/22

10,945

11,257

Concordia Healthcare Corp. 7% 4/15/23 (f)

5,415

5,517

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

1,805

1,841

Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:

6% 7/15/23 (f)

14,410

14,986

6% 2/1/25 (f)

15,205

15,661

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

HCA Holdings, Inc.:

4.75% 5/1/23

$ 12,395

$ 12,720

5.375% 2/1/25

22,530

23,037

5.875% 5/1/23

33,560

36,077

7.5% 2/15/22

10,725

12,495

HealthSouth Corp.:

5.125% 3/15/23

6,440

6,440

5.75% 11/1/24

14,760

14,908

Hologic, Inc. 5.25% 7/15/22 (f)

12,345

12,746

InVentiv Health, Inc. 11% 8/15/18 (f)(i)

2,237

2,148

Jaguar Holding Co. I 9.375% 10/15/17 pay-in-kind (f)(i)

11,285

11,525

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (f)(i)

5,955

6,141

Kindred Escrow Corp. II:

8% 1/15/20 (f)

11,035

11,945

8.75% 1/15/23 (f)

8,275

9,123

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (f)

5,265

5,418

5.5% 4/15/25 (f)

12,890

12,987

MPT Operating Partnership LP/MPT Finance Corp. 6.375% 2/15/22

9,445

10,047

Omega Healthcare Investors, Inc. 6.75% 10/15/22

10,615

11,053

Polymer Group, Inc.:

6.875% 6/1/19 (f)

4,515

4,605

7.75% 2/1/19

2,185

2,240

Quintiles Transnational Corp. 4.875% 5/15/23 (f)

8,705

8,830

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

6,230

6,432

5.5% 2/1/21

5,430

5,634

Tenet Healthcare Corp.:

6.75% 6/15/23 (f)

19,300

20,169

6.875% 11/15/31

23,140

21,752

Truven Health Analytics, Inc. 10.625% 6/1/20

9,085

9,494

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (f)

19,585

20,124

5.625% 12/1/21 (f)

12,920

13,308

5.875% 5/15/23 (f)

53,200

55,323

6.125% 4/15/25 (f)

37,755

39,454

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

Valeant Pharmaceuticals International, Inc.: - continued

6.75% 8/15/21 (f)

$ 4,419

$ 4,601

7.5% 7/15/21 (f)

11,350

12,315

VPI Escrow Corp. 6.375% 10/15/20 (f)

18,380

19,368

 

497,041

Homebuilders/Real Estate - 2.1%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f)

6,475

6,313

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f)

5,010

5,060

CBRE Group, Inc. 5% 3/15/23

35,255

36,158

Communications Sales & Leasing, Inc.:

6% 4/15/23 (f)

4,905

4,709

8.25% 10/15/23 (f)

11,045

10,548

D.R. Horton, Inc.:

4.375% 9/15/22

11,400

11,286

4.75% 2/15/23

9,110

9,178

5.75% 8/15/23

4,935

5,256

Howard Hughes Corp. 6.875% 10/1/21 (f)

24,190

25,641

Lennar Corp. 4.5% 11/15/19

8,255

8,534

Realogy Corp. 9% 1/15/20 (f)

8,005

8,605

Shea Homes Ltd. Partnershp/Corp.:

5.875% 4/1/23 (f)

3,545

3,598

6.125% 4/1/25 (f)

3,545

3,625

Standard Pacific Corp.:

8.375% 5/15/18

5,670

6,478

8.375% 1/15/21

10,900

12,835

Taylor Morrison Communities, Inc./Monarch Communities, Inc.:

5.25% 4/15/21 (f)

14,750

14,713

5.875% 4/15/23 (f)

8,405

8,416

Toll Brothers Finance Corp.:

4.375% 4/15/23

24,055

23,754

5.625% 1/15/24

3,075

3,229

5.875% 2/15/22

1,030

1,108

TRI Pointe Homes, Inc.:

4.375% 6/15/19

6,675

6,608

5.875% 6/15/24

16,130

15,888

William Lyon Homes, Inc. 8.5% 11/15/20

4,975

5,361

 

236,901

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Hotels - 0.5%

Choice Hotels International, Inc. 5.75% 7/1/22

$ 3,035

$ 3,240

FelCor Lodging LP:

5.625% 3/1/23

8,085

8,297

6% 6/1/25 (f)

22,215

22,881

Playa Resorts Holding BV 8% 8/15/20 (f)

11,880

12,326

RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/21

8,675

8,740

 

55,484

Insurance - 0.5%

Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (f)(h)

28,500

28,500

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f)

22,620

23,101

 

51,601

Leisure - 0.3%

24 Hour Holdings III LLC 8% 6/1/22 (f)

4,530

3,601

LTF Merger Sub, Inc. 8.5% 6/15/23 (f)

11,335

10,910

Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (f)

3,048

3,056

Six Flags Entertainment Corp. 5.25% 1/15/21 (f)

14,515

14,950

 

32,517

Metals/Mining - 0.3%

Aleris International, Inc. 6% 6/1/20 (f)

151

151

Mirabela Nickel Ltd. 1% 9/10/44 (f)

40

0

Murray Energy Corp. 11.25% 4/15/21 (f)

22,670

13,942

New Gold, Inc. 7% 4/15/20 (f)

3,050

2,997

Peabody Energy Corp. 10% 3/15/22 (f)

11,190

5,707

Prince Mineral Holding Corp. 11.5% 12/15/19 (f)

3,255

2,946

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (f)

8,460

8,270

8.25% 1/15/21 (f)

4,470

4,369

 

38,382

Paper - 0.2%

Boise Cascade Co. 6.375% 11/1/20

2,860

3,007

Mercer International, Inc.:

7% 12/1/19

7,655

7,942

7.75% 12/1/22

13,755

14,546

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Paper - continued

NewPage Corp.:

0% 5/1/12 (d)(i)

$ 6,337

$ 0

11.375% 12/31/14 (d)

12,582

0

 

25,495

Publishing/Printing - 0.9%

Cenveo Corp. 6% 8/1/19 (f)

6,545

5,858

Gannett Co., Inc.:

4.875% 9/15/21 (f)

8,440

8,461

5.5% 9/15/24 (f)

8,440

8,482

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (i)

29,430

32,594

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(i)

23,575

23,929

R.R. Donnelley & Sons Co.:

6% 4/1/24

4,890

4,939

7% 2/15/22

7,600

8,170

7.875% 3/15/21

9,735

11,001

 

103,434

Restaurants - 0.0%

Landry's Acquisition Co. 9.375% 5/1/20 (f)

1,820

1,952

Services - 1.5%

APX Group, Inc.:

6.375% 12/1/19

10,095

9,868

8.75% 12/1/20

13,165

11,947

Ashtead Capital, Inc. 5.625% 10/1/24 (f)

11,275

11,303

Audatex North America, Inc.:

6% 6/15/21 (f)

19,605

20,022

6.125% 11/1/23 (f)

2,995

2,928

CBRE Group, Inc. 5.25% 3/15/25

13,020

13,541

Garda World Security Corp. 7.25% 11/15/21 (f)

4,645

4,343

Iron Mountain, Inc. 5.75% 8/15/24

7,925

7,984

Laureate Education, Inc. 10% 9/1/19 (f)(i)

61,085

57,496

NES Rentals Holdings, Inc. 7.875% 5/1/18 (f)

3,020

3,020

TMS International Corp. 7.625% 10/15/21 (f)

2,170

2,104

United Rentals North America, Inc.:

4.625% 7/15/23

9,820

9,685

5.5% 7/15/25

7,840

7,497

 

161,738

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Steel - 0.6%

Cliffs Natural Resources, Inc.:

7.75% 3/31/20 (f)

$ 11,109

$ 5,221

8.25% 3/31/20 (f)

8,410

7,632

Essar Steel Algoma, Inc. 9.5% 11/15/19 (f)

9,350

7,153

Evraz, Inc. NA Canada 7.5% 11/15/19 (f)

13,710

13,573

Ryerson, Inc./Joseph T Ryerson & Son, Inc.:

9% 10/15/17

8,270

8,167

11.25% 10/15/18

14,130

13,918

Steel Dynamics, Inc.:

5.125% 10/1/21

3,365

3,357

5.25% 4/15/23

3,565

3,494

5.5% 10/1/24

8,450

8,366

 

70,881

Super Retail - 0.8%

Argos Merger Sub, Inc. 7.125% 3/15/23 (f)

16,690

17,650

CST Brands, Inc. 5% 5/1/23

2,640

2,627

HT Intermediate Holdings Corp. 12% 5/15/19 pay-in-kind (f)(i)

5,185

5,133

L Brands, Inc.:

5.625% 2/15/22

14,745

15,832

5.625% 10/15/23

10,310

10,929

Netflix, Inc. 5.375% 2/1/21 (f)

7,725

8,053

PVH Corp. 4.5% 12/15/22

21,264

21,423

Sonic Automotive, Inc. 5% 5/15/23

1,610

1,578

Springs Industries, Inc. 6.25% 6/1/21

2,990

2,975

The Men's Wearhouse, Inc. 7% 7/1/22

4,165

4,436

 

90,636

Technology - 4.3%

Activision Blizzard, Inc.:

5.625% 9/15/21 (f)

50,160

52,668

6.125% 9/15/23 (f)

16,390

17,660

ADT Corp. 6.25% 10/15/21

32,065

33,989

Advanced Micro Devices, Inc. 7% 7/1/24

11,530

7,667

Blue Coat Systems, Inc. 8.375% 6/1/23 (f)

9,925

10,148

Brocade Communications Systems, Inc. 4.625% 1/15/23

6,460

6,250

CDW LLC/CDW Finance Corp. 5% 9/1/23

10,930

10,855

Ceridian HCM Holding, Inc. 11% 3/15/21 (f)

4,675

4,839

Entegris, Inc. 6% 4/1/22 (f)

3,215

3,295

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Technology - continued

First Data Corp.:

8.75% 1/15/22 pay-in-kind (f)(i)

$ 14,205

$ 15,057

11.25% 1/15/21

5,658

6,280

11.75% 8/15/21

20,353

23,101

Flextronics International Ltd.:

4.625% 2/15/20

11,210

11,574

5% 2/15/23

12,150

12,317

Global Cash Access, Inc. 10% 1/15/22 (f)

7,550

7,361

Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% 5/1/21 pay-in-kind (f)(i)

4,800

4,716

Italics Merger Sub, Inc. 7.125% 7/15/23 (f)

5,655

5,556

Lucent Technologies, Inc.:

6.45% 3/15/29

36,439

38,443

6.5% 1/15/28

19,936

20,933

Micron Technology, Inc.:

5.25% 8/1/23 (f)

4,485

4,317

5.25% 1/15/24 (f)

8,440

8,102

5.5% 2/1/25 (f)

30,765

29,804

5.625% 1/15/26 (f)

8,440

8,081

5.875% 2/15/22

6,735

6,870

Nuance Communications, Inc. 5.375% 8/15/20 (f)

5,080

5,156

NXP BV/NXP Funding LLC:

3.75% 6/1/18 (f)

11,130

11,269

4.625% 6/15/22 (f)

3,405

3,388

5.75% 2/15/21 (f)

9,665

10,082

5.75% 3/15/23 (f)

13,725

14,205

Project Homestake Merger Corp. 8.875% 3/1/23 (f)

6,070

5,706

Seagate HDD Cayman:

4.75% 6/1/23

19,755

19,997

4.75% 1/1/25

11,170

11,059

Sensata Technologies BV:

4.875% 10/15/23 (f)

5,010

4,960

5% 10/1/25 (f)

11,210

10,986

Sophia Holding Finance LP/Sophia Holding Finance, Inc. 9.625% 12/1/18 pay-in-kind (f)(i)

7,770

7,848

SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (f)

8,960

9,274

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Technology - continued

VeriSign, Inc.:

4.625% 5/1/23

$ 8,755

$ 8,470

5.25% 4/1/25

11,005

11,088

 

483,371

Telecommunications - 11.0%

Alcatel-Lucent U.S.A., Inc.:

6.75% 11/15/20 (f)

17,025

18,302

8.875% 1/1/20 (f)

5,800

6,308

Altice Financing SA:

6.5% 1/15/22 (f)

26,701

27,569

6.625% 2/15/23 (f)

20,740

21,362

7.875% 12/15/19 (f)

9,310

9,799

Altice Finco SA:

8.125% 1/15/24 (f)

21,880

22,755

9.875% 12/15/20 (f)

10,945

12,149

Altice SA:

7.625% 2/15/25 (f)

11,760

11,525

7.75% 5/15/22 (f)

63,820

64,299

Citizens Communications Co.:

7.875% 1/15/27

9,275

8,128

9% 8/15/31

13,178

12,025

Crown Castle International Corp. 5.25% 1/15/23

30,285

31,724

CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22

7,190

7,442

Digicel Group Ltd.:

6% 4/15/21 (f)

33,230

31,319

6.75% 3/1/23 (f)

16,770

16,091

7% 2/15/20 (f)

2,110

2,189

7.125% 4/1/22 (f)

88,675

81,359

8.25% 9/30/20 (f)

57,789

57,067

Eileme 2 AB 11.625% 1/31/20 (f)

20,050

21,980

FairPoint Communications, Inc. 8.75% 8/15/19 (f)

9,715

10,201

Frontier Communications Corp. 8.5% 4/15/20

20,488

21,205

GCI, Inc. 6.875% 4/15/25

10,905

11,096

Intelsat Jackson Holdings SA:

5.5% 8/1/23

35,335

32,067

7.5% 4/1/21

11,055

11,000

j2 Global, Inc. 8% 8/1/20

7,245

7,797

Level 3 Communications, Inc. 5.75% 12/1/22

11,550

11,637

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - continued

Level 3 Financing, Inc.:

5.125% 5/1/23 (f)

$ 11,240

$ 10,931

5.375% 5/1/25 (f)

11,240

10,945

MasTec, Inc. 4.875% 3/15/23

7,100

6,195

Millicom International Cellular SA:

4.75% 5/22/20 (f)

5,180

5,038

6% 3/15/25 (f)

10,745

10,611

Numericable Group SA:

4.875% 5/15/19 (f)

17,085

17,341

6% 5/15/22 (f)

122,140

124,277

6.25% 5/15/24 (f)

75,510

76,790

Sable International Finance Ltd. 6.875% 8/1/22 (f)

10,570

10,427

Sprint Capital Corp.:

6.875% 11/15/28

34,549

29,280

8.75% 3/15/32

16,821

15,917

Sprint Corp. 7.125% 6/15/24

3,758

3,439

T-Mobile U.S.A., Inc.:

6% 3/1/23

19,695

20,532

6.125% 1/15/22

18,850

19,698

6.25% 4/1/21

34,470

36,107

6.375% 3/1/25

76,286

80,005

6.5% 1/15/24

50,680

53,515

6.625% 4/1/23

46,480

49,501

6.633% 4/28/21

17,324

18,341

6.731% 4/28/22

11,245

11,920

6.836% 4/28/23

13,357

14,292

U.S. West Communications:

7.25% 9/15/25

1,480

1,695

7.25% 10/15/35

5,745

5,802

UPCB Finance IV Ltd. 5.375% 1/15/25 (f)

11,930

11,542

Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (f)

11,035

11,071

 

1,223,607

Transportation Ex Air/Rail - 0.3%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f)

11,670

11,495

Navios Maritime Holdings, Inc. 7.375% 1/15/22 (f)

3,470

2,958

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f)

10,180

9,569

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Transportation Ex Air/Rail - continued

Teekay Corp. 8.5% 1/15/20

$ 10,097

$ 11,081

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

4,535

3,798

 

38,901

Utilities - 2.8%

Calpine Corp. 7.875% 1/15/23 (f)

16,193

17,377

Energy Future Holdings Corp.:

10.875% 11/1/17 (d)

7,994

9,473

11.25% 11/1/17 pay-in-kind (d)(i)

147

174

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:

11% 10/1/21 (d)

61,314

66,220

11.75% 3/1/22 (d)(f)

48,339

52,448

Mirant Americas Generation LLC 9.125% 5/1/31

8,735

7,862

PPL Energy Supply LLC 6.5% 6/1/25 (f)

8,945

8,766

RJS Power Holdings LLC 5.125% 7/15/19 (f)

11,305

10,966

The AES Corp.:

4.875% 5/15/23

11,060

10,514

5.5% 3/15/24

6,645

6,479

TXU Corp.:

5.55% 11/15/14 (d)

4,137

4,302

6.5% 11/15/24 (d)

39,570

41,153

6.55% 11/15/34 (d)

74,878

77,873

 

313,607

TOTAL NONCONVERTIBLE BONDS

7,084,242

TOTAL CORPORATE BONDS

(Cost $6,940,863)


7,085,795

Common Stocks - 19.6%

Shares

 

Aerospace - 0.0%

Alion Science & Technology Corp.:

warrants 3/15/17 (a)

5,185

0

warrants 8/17/24 (a)

2,770

0

Air Transportation - 0.2%

Air Canada (a)

2,140,000

19,259

Common Stocks - continued

Shares

Value (000s)

Automotive & Auto Parts - 1.0%

Chassix Holdings, Inc.

677,197

$ 15,630

Chassix Holdings, Inc. warrants (a)

37,399

0

Delphi Automotive PLC

389,100

30,381

Exide Technologies

9,824

0

Exide Technologies

32,746

0

General Motors Co.

11,348

358

General Motors Co.:

warrants 7/10/16 (a)

381,599

8,395

warrants 7/10/19 (a)

381,599

5,613

Lear Corp.

295,000

30,701

Motors Liquidation Co. GUC Trust (a)

97,361

1,655

Tenneco, Inc. (a)

320,700

15,974

 

108,707

Broadcasting - 0.8%

AMC Networks, Inc. Class A (a)

436,400

36,754

Sinclair Broadcast Group, Inc. Class A (e)

1,638,900

47,561

 

84,315

Building Materials - 0.0%

Ply Gem Holdings, Inc. (a)

41,200

595

Cable/Satellite TV - 0.4%

Naspers Ltd. Class N

290,300

40,618

Capital Goods - 0.1%

Remy International, Inc.

380,502

11,263

Chemicals - 0.4%

LyondellBasell Industries NV Class A

431,745

40,511

Consumer Products - 0.4%

Harman International Industries, Inc.

211,300

22,749

Reddy Ice Holdings, Inc. (a)

496,439

447

Revlon, Inc. (a)

665,146

23,925

 

47,121

Containers - 0.7%

Graphic Packaging Holding Co.

2,800,000

42,280

WestRock Co.

653,292

41,197

 

83,477

Diversified Financial Services - 0.5%

Penson Worldwide, Inc. Class A (a)

10,322,034

0

Springleaf Holdings, Inc. (a)

1,100,000

55,561

Common Stocks - continued

Shares

Value (000s)

Energy - 0.4%

Crestwood Midstream Partners LP

551,000

$ 5,504

EP Energy Corp. (a)(e)

716,800

6,000

Hornbeck Offshore Services, Inc. (a)

280,600

5,107

Northern Tier Energy LP Class A

800,000

20,000

Parsley Energy, Inc. Class A (a)

506,900

7,330

 

43,941

Food/Beverage/Tobacco - 0.3%

Blue Buffalo Pet Products, Inc.

47,200

1,319

The Hain Celestial Group, Inc. (a)

474,200

32,236

 

33,555

Gaming - 0.7%

Station Holdco LLC (a)(j)(l)

22,418,968

78,466

Station Holdco LLC (a)(k)(l)

170,582

597

Station Holdco LLC:

unit (a)(k)(l)

256,968

162

warrants 6/15/18 (a)(j)(l)

894,280

563

 

79,788

Healthcare - 3.6%

Alexion Pharmaceuticals, Inc. (a)

178,200

35,184

Allergan PLC (a)

145,400

48,149

Biogen, Inc. (a)

93,200

29,710

Celgene Corp. (a)

239,600

31,448

Community Health Systems, Inc. (a)

302,000

17,670

Gilead Sciences, Inc.

485,000

57,162

HCA Holdings, Inc. (a)

847,900

78,863

Rotech Healthcare, Inc. (a)

185,710

7,215

Valeant Pharmaceuticals International, Inc. (Canada) (a)

384,400

98,556

 

403,957

Homebuilders/Real Estate - 0.8%

American Tower Corp.

11,612

1,104

Lennar Corp. Class A

690,000

36,598

PulteGroup, Inc.

820,000

16,990

Realogy Holdings Corp. (a)

51,500

2,344

Standard Pacific Corp. (a)

2,000,000

17,980

Taylor Morrison Home Corp. (a)

1,000,000

19,250

 

94,266

Hotels - 0.3%

Extended Stay America, Inc. unit

1,595,800

30,320

Metals/Mining - 0.1%

Aleris International, Inc. (a)(l)

127,520

1,370

Common Stocks - continued

Shares

Value (000s)

Metals/Mining - continued

Mirabela Nickel Ltd. (a)

6,852,955

$ 491

OCI Resources LP

350,000

8,204

 

10,065

Publishing/Printing - 0.0%

Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(l)

127,577

1,952

Restaurants - 1.0%

Chipotle Mexican Grill, Inc. (a)

42,000

31,174

Fiesta Restaurant Group, Inc. (a)

500,000

29,065

Starbucks Corp.

893,000

51,731

 

111,970

Services - 1.2%

Air Lease Corp. Class A

549,800

19,435

HD Supply Holdings, Inc. (a)

1,088,200

38,958

Penhall Acquisition Co.:

Class A (a)

26,163

2,125

Class B (a)

8,721

708

ServiceMaster Global Holdings, Inc. (a)

494,900

19,167

United Rentals, Inc. (a)

816,900

54,724

WP Rocket Holdings, Inc. (a)(l)

25,255,077

3,031

 

138,148

Super Retail - 0.8%

Arena Brands Holding Corp. Class B (a)(l)

659,302

3,395

Deckers Outdoor Corp. (a)

175,900

12,820

G-III Apparel Group Ltd. (a)

300,000

21,669

Office Depot, Inc. (a)

2,987,000

23,896

Priceline Group, Inc. (a)

19,300

24,001

 

85,781

Technology - 4.8%

Adobe Systems, Inc. (a)

427,082

35,016

Apple, Inc.

198,400

24,066

Avago Technologies Ltd.

242,500

30,346

CDW Corp.

1,796,100

64,534

Cypress Semiconductor Corp.

24,992

287

Facebook, Inc. Class A (a)

618,500

58,145

Freescale Semiconductor, Inc. (a)

1,564,400

62,373

Google, Inc. Class A (a)

48,100

31,626

MagnaChip Semiconductor Corp. (a)

219,804

1,882

NXP Semiconductors NV (a)

581,000

56,351

Common Stocks - continued

Shares

Value (000s)

Technology - continued

Qorvo, Inc. (a)

659,797

$ 38,235

Skyworks Solutions, Inc.

1,361,634

130,268

 

533,129

Telecommunications - 1.0%

Alibaba Group Holding Ltd. sponsored ADR

643,800

50,435

Baidu.com, Inc. sponsored ADR (a)

66,200

11,430

NII Holdings, Inc. (a)

627,997

8,980

T-Mobile U.S., Inc. (a)

978,600

39,790

 

110,635

Transportation Ex Air/Rail - 0.1%

DeepOcean Group Holding BV (a)(f)

1,138,931

12,846

U.S. Shipping Partners Corp. (a)

51,736

10

U.S. Shipping Partners Corp. warrants 12/31/29 (a)

484,379

0

 

12,856

Utilities - 0.0%

Portland General Electric Co.

14,817

534

TOTAL COMMON STOCKS

(Cost $1,674,371)


2,182,324

Preferred Stocks - 0.7%

 

 

 

 

Convertible Preferred Stocks - 0.1%

Consumer Products - 0.0%

Reddy Ice Holdings, Inc. 7.00% pay-in-kind (a)

199,717

1,624

Healthcare - 0.1%

Allergan PLC 5.50%

13,000

14,458

TOTAL CONVERTIBLE PREFERRED STOCKS

16,082

Nonconvertible Preferred Stocks - 0.6%

Banks & Thrifts - 0.5%

Ally Financial, Inc. 7.00% (f)

40,762

41,390

Goldman Sachs Group, Inc. Series K, 6.375%

555,736

14,771

 

56,161

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

Services - 0.1%

WP Rocket Holdings, Inc.:

15.00% (a)

4,173,457

$ 4,173

Class C 19.50% (l)

1,054,156

1,054

 

5,227

TOTAL NONCONVERTIBLE PREFERRED STOCKS

61,388

TOTAL PREFERRED STOCKS

(Cost $49,854)


77,470

Bank Loan Obligations - 3.1%

 

Principal Amount (000s)

 

Automotive & Auto Parts - 0.1%

Chassix, Inc. term loan 12% 7/29/19 (i)

$ 8,527

8,612

Consumer Products - 0.1%

Revlon Consumer Products Corp. Tranche B, term loan 3.25% 11/19/17 (i)

10,759

10,746

Containers - 0.1%

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (i)

9,170

9,170

Energy - 0.3%

Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (i)

6,329

6,377

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (i)

26,260

14,049

Sheridan Investment Partners I term loan 4.25% 12/16/20 (i)

3,328

2,813

Sheridan Production Partners I:

Tranche A, term loan 4.25% 12/16/20 (i)

463

391

Tranche M, term loan 4.25% 12/16/20 (i)

173

146

TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (i)

4,607

4,630

 

28,406

Gaming - 0.0%

Centaur Acquisition LLC Tranche 2LN, term loan 8.75% 2/20/20 (i)

3,075

3,075

Healthcare - 0.1%

Jaguar Holding Co. II Tranche B, term loan 4% 12/5/18 (i)

8,977

8,966

Bank Loan Obligations - continued

 

Principal Amount (000s)

Value (000s)

Healthcare - continued

Rural/Metro Corp.:

Tranche 2LN, term loan 14.5% 1/31/16

$ 117

$ 109

Tranche B, term loan 19.5% 1/31/16

383

358

 

9,433

Homebuilders/Real Estate - 0.0%

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (i)

707

700

Hotels - 0.1%

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (i)

16,816

16,837

Restaurants - 0.1%

Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (i)

6,040

6,040

TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (i)

1,046

1,048

 

7,088

Services - 0.0%

GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (i)

3,584

3,566

Steel - 0.0%

Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (i)

5,196

4,702

Technology - 0.2%

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (i)

5,380

5,339

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (i)

14,165

14,590

Transfirst, Inc. Tranche 2LN, term loan 9% 11/12/22 (i)

1,115

1,121

TransFirst, Inc. Tranche B 1LN, term loan 4.75% 11/12/21 (i)

1,000

1,002

 

22,052

Telecommunications - 0.1%

Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (i)

11,242

11,298

Utilities - 1.9%

Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (i)

213,061

214,022

TOTAL BANK LOAN OBLIGATIONS

(Cost $359,296)


349,707

Preferred Securities - 5.6%

 

Principal Amount (000s)

Value (000s)

Banks & Thrifts - 4.0%

Bank of America Corp.:

5.125% (g)(i)

$ 28,140

$ 27,790

5.2% (g)(i)

55,385

52,667

6.25% (g)(i)

18,795

19,288

8% (g)(i)

7,796

8,252

8.125% (g)(i)

6,360

6,907

Barclays Bank PLC 7.625% 11/21/22

44,515

51,995

Goldman Sachs Group, Inc.:

5.375% (g)(i)

3,990

3,966

5.7% (g)(i)

35,166

35,959

JPMorgan Chase & Co.:

5% (g)(i)

33,640

33,028

5.3% (g)(i)

16,855

17,042

6% (g)(i)

50,895

51,913

6.125% (g)(i)

15,170

15,501

6.75% (g)(i)

8,330

9,106

Wells Fargo & Co.:

5.875% (g)(i)

47,690

49,118

5.9% (g)(i)

51,910

52,599

7.98% (g)(i)

5,738

6,392

 

441,523

Diversified Financial Services - 1.5%

American Express Co.:

4.9% (g)(i)

10,045

10,202

5.2% (g)(i)

17,850

18,047

Citigroup, Inc.:

5.8% (g)(i)

41,925

42,436

5.9% (g)(i)

27,015

27,591

5.95% (g)(i)

51,015

50,585

6.3% (g)(i)

5,610

5,573

Morgan Stanley 5.55% (g)(i)

16,780

16,739

 

171,173

Entertainment/Film - 0.1%

NBCUniversal Enterprise, Inc. 5.25% (f)(g)

14,560

15,578

TOTAL PREFERRED SECURITIES

(Cost $623,558)


628,274

Money Market Funds - 7.8%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.17% (b)

853,085,742

$ 853,086

Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c)

13,636,304

13,636

TOTAL MONEY MARKET FUNDS

(Cost $866,722)


866,722

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $10,514,664)

11,190,292

NET OTHER ASSETS (LIABILITIES) - (0.3)%

(35,009)

NET ASSETS - 100%

$ 11,155,283

Legend

(a) Non-income producing

(b) 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.

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

(d) Non-income producing - Security is in default.

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

(f) 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 $3,019,713,000 or 27.1% of net assets.

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

(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(j) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

(k) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership.

(l) Restricted securities - 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 $90,590,000 or 0.8% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Aleris International, Inc.

6/1/10

$ 4,464

Arena Brands Holding Corp. Class B

6/18/97 - 1/12/99

$ 21,592

Houghton Mifflin Harcourt Co. warrants 6/22/19

6/22/12

$ 246

Station Holdco LLC

6/17/11 - 3/15/12

$ 22,900

Station Holdco LLC unit

3/12/13 - 4/1/13

$ 15

Station Holdco LLC

4/1/13

$ 196

Station Holdco LLC warrants 6/15/18

4/29/08 - 11/25/08

$ 70,509

WP Rocket Holdings, Inc.

6/24/11 - 2/2/15

$ 13,154

WP Rocket Holdings, Inc. Class C 19.50%

2/2/15

$ 1,054

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

$ 241

Fidelity Securities Lending Cash Central Fund

22

Total

$ 263

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 685,793

$ 585,028

$ 1,952

$ 98,813

Consumer Staples

59,551

57,480

-

2,071

Energy

43,941

43,941

-

-

Financials

116,825

75,435

41,390

-

Health Care

418,415

411,200

-

7,215

Industrials

156,918

132,971

-

23,947

Information Technology

594,994

594,994

-

-

Materials

134,053

132,683

-

1,370

Telecommunication Services

48,770

48,770

-

-

Utilities

534

534

-

-

Corporate Bonds

7,085,795

-

7,085,644

151

Bank Loan Obligations

349,707

-

348,540

1,167

Preferred Securities

628,274

-

628,274

-

Money Market Funds

866,722

866,722

-

-

Total Investments in Securities:

$ 11,190,292

$ 2,949,758

$ 8,105,800

$ 134,734

Valuation Inputs at Reporting Date:

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)

 

Investments in Securities:

Investments in Securities

Beginning Balance

$ 107,429

Net Realized Gain (Loss) on Investment Securities

(159)

Net Unrealized Gain (Loss) on Investment Securities

11,836

Cost of Purchases

15,809

Proceeds of Sales

(2)

Amortization/Accretion

12

Transfers into Level 3

-

Transfers out of Level 3

(191)

Ending Balance

$ 134,734

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at July 31, 2015

$ 11,836

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $10,500,388,000. Net unrealized appreciation aggregated $689,904,000, of which $1,121,634,000 related to appreciated investment securities and $431,730,000 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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.

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.

The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

Asset Type

Fair Value at
07/31/15
(000s)

Valuation
Technique(s)

Unobservable
Input

Amount or
Range/
Weighted
Average

Impact to
Valuation from
an Increase in
Input*

Bank Loan Obligations

$467

Bid price

Bid

93.50%

Increase

Corporate Bonds

$151

Expected
distribution

Recovery rate

0.0%

Increase

 

 

Market
comparable

Market bid price

$100.00

Increase

Equities

$133,416

Adjusted book value

Book value multiple

1.0

Increase

 

 

Discount rate for lack of marketability

Discount rate

10.0%

Decrease

 

 

Expected distribution

Recovery rate

0.0% - 1.0% / 1.0%

Increase

 

 

 

Accrued interest

$7.00

Increase

 

 

Expected transaction price

Transaction price

$5.00

Increase

 

 

Last transaction price

Transaction price

$0.20

Increase

 

 

Market comparable

EV/EBITDA multiple

7.5 - 10.8 / 8.7

Increase

 

 

 

Discount for lack of marketability

10.0% - 20.0% / 10.0%

Decrease

 

 

Parity

Parity price

$0.00 - $23.08 / $23.08

Increase

* Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Focused High Income Fund

July 31, 2015 

1.819942.110

FFH-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 81.5%

 

Principal Amount

Value

Air Transportation - 2.2%

Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (b)

$ 1,335,000

$ 1,310,003

Allegiant Travel Co. 5.5% 7/15/19

5,865,000

5,938,313

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

98,523

108,917

5.5% 4/29/22

1,751,861

1,821,935

6.25% 10/11/21

1,889,588

1,984,067

9.25% 5/10/17

502,411

548,256

Delta Air Lines, Inc. pass-thru trust certificates:

6.375% 7/2/17 (b)

1,115,000

1,138,694

6.75% 5/23/17

1,115,000

1,128,938

8.021% 8/10/22

1,052,572

1,198,563

United Air Lines, Inc. pass-thru trust certificates:

Class B, 7.336% 7/2/19

101,018

105,817

9.75% 1/15/17

761,133

829,635

12% 1/15/16 (b)

59,889

62,434

 

16,175,572

Automotive & Auto Parts - 0.2%

Schaeffler Finance BV 4.75% 5/15/21 (b)

1,520,000

1,523,800

Building Materials - 1.3%

Building Materials Corp. of America 5.375% 11/15/24 (b)

6,750,000

6,766,200

CEMEX Finance LLC 6% 4/1/24 (b)

1,035,000

1,040,330

USG Corp. 5.5% 3/1/25 (b)

1,300,000

1,303,250

 

9,109,780

Cable/Satellite TV - 3.2%

Altice SA 5.375% 7/15/23 (b)

8,230,000

8,271,150

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 5/1/23 (b)

1,350,000

1,336,500

5.875% 5/1/27 (b)

105,000

104,016

Cogeco Cable, Inc. 4.875% 5/1/20 (b)

5,370,000

5,544,525

DISH DBS Corp.:

5.125% 5/1/20

4,305,000

4,358,813

5.875% 11/15/24

4,000,000

3,880,000

 

23,495,004

Chemicals - 1.1%

Evolution Escrow Issuer LLC 7.5% 3/15/22 (b)

1,720,000

1,410,400

LSB Industries, Inc. 7.75% 8/1/19

1,610,000

1,694,525

NOVA Chemicals Corp. 5.25% 8/1/23 (b)

3,200,000

3,200,000

Nonconvertible Bonds - continued

 

Principal Amount

Value

Chemicals - continued

Platform Specialty Products Corp. 6.5% 2/1/22 (b)

$ 930,000

$ 962,550

W.R. Grace & Co. - Conn 5.125% 10/1/21 (b)

690,000

696,900

 

7,964,375

Containers - 1.6%

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 3.2859% 12/15/19 (b)(d)

3,255,000

3,211,009

Ball Corp. 5.25% 7/1/25

2,385,000

2,398,237

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23

6,240,000

6,052,800

 

11,662,046

Diversified Financial Services - 10.8%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

4.25% 7/1/20

1,470,000

1,482,863

4.625% 7/1/22

1,305,000

1,329,469

5% 10/1/21

2,995,000

3,111,056

Aircastle Ltd.:

5.125% 3/15/21

1,340,000

1,380,200

6.25% 12/1/19

6,840,000

7,583,850

CNH Industrial Capital LLC 3.875% 7/16/18 (b)

1,720,000

1,732,900

FLY Leasing Ltd.:

6.375% 10/15/21

4,305,000

4,369,575

6.75% 12/15/20

7,040,000

7,268,800

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

2,489,000

2,566,781

5.875% 2/1/22

8,630,000

8,932,050

6% 8/1/20

6,030,000

6,346,575

ILFC E-Capital Trust II 6.25% 12/21/65 (b)(d)

2,430,000

2,387,475

International Lease Finance Corp. 6.25% 5/15/19

3,760,000

4,097,836

Navient Corp.:

5% 10/26/20

455,000

419,738

5.875% 3/25/21

3,185,000

2,985,938

5.875% 10/25/24

1,590,000

1,383,300

SLM Corp.:

4.875% 6/17/19

4,185,000

3,996,675

5.5% 1/15/19

5,845,000

5,713,488

5.5% 1/25/23

2,900,000

2,537,500

6.125% 3/25/24

6,820,000

6,069,800

8% 3/25/20

895,000

930,800

8.45% 6/15/18

2,220,000

2,397,600

 

79,024,269

Nonconvertible Bonds - continued

 

Principal Amount

Value

Diversified Media - 0.2%

Nielsen Finance LLC/Nielsen Finance Co. 4.5% 10/1/20

$ 1,715,000

$ 1,749,300

Energy - 10.9%

Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23

745,000

729,597

Antero Resources Corp.:

5.125% 12/1/22

2,241,000

2,117,745

5.625% 6/1/23 (b)

1,565,000

1,506,313

Baytex Energy Corp.:

5.125% 6/1/21 (b)

1,310,000

1,165,900

5.625% 6/1/24 (b)

4,405,000

3,788,300

California Resources Corp.:

5% 1/15/20

4,860,000

4,167,450

5.5% 9/15/21

2,055,000

1,695,375

6% 11/15/24

505,000

409,050

Chesapeake Energy Corp. 4.875% 4/15/22

2,000,000

1,610,000

Consolidated Energy Finance SA 6.75% 10/15/19 (b)

6,928,000

6,997,419

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6.125% 3/1/22

2,035,000

2,009,563

6.25% 4/1/23 (b)

510,000

512,550

Denbury Resources, Inc.:

5.5% 5/1/22

3,455,000

2,651,713

6.375% 8/15/21

8,330,000

6,997,200

Energy Transfer Equity LP 5.5% 6/1/27

1,045,000

1,024,100

Exterran Holdings, Inc. 7.25% 12/1/18

3,900,000

3,968,250

Forum Energy Technologies, Inc. 6.25% 10/1/21

1,985,000

1,915,525

Gibson Energy, Inc. 6.75% 7/15/21 (b)

3,265,000

3,322,138

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (b)

2,495,000

2,320,350

5.75% 10/1/25 (b)

1,015,000

964,250

7.625% 4/15/21 (b)

185,000

190,550

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

3,090,000

3,151,800

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20

805,000

849,275

Sabine Pass Liquefaction LLC:

5.625% 3/1/25 (b)

8,750,000

8,618,750

5.75% 5/15/24

6,145,000

6,110,434

Sunoco LP / Sunoco Finance Corp.:

5.5% 8/1/20 (b)

1,595,000

1,622,913

6.375% 4/1/23 (b)

1,330,000

1,366,575

Nonconvertible Bonds - continued

 

Principal Amount

Value

Energy - continued

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 2/1/21

$ 1,570,000

$ 1,632,800

TerraForm Power Operating LLC:

5.875% 2/1/23 (b)

710,000

716,660

6.125% 6/15/25 (b)

235,000

235,588

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.5% 10/15/19 (b)

375,000

388,125

6.125% 10/15/21

475,000

495,188

6.25% 10/15/22 (b)

400,000

418,000

Whiting Petroleum Corp. 5% 3/15/19

2,225,000

2,136,000

WPX Energy, Inc. 7.5% 8/1/20

2,025,000

2,055,375

 

79,860,821

Food/Beverage/Tobacco - 6.5%

ESAL GmbH 6.25% 2/5/23 (b)

14,945,000

14,720,813

JBS Investments GmbH:

7.25% 4/3/24 (b)

1,580,000

1,621,475

7.75% 10/28/20 (b)

3,020,000

3,261,600

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (b)

2,050,000

2,031,437

5.875% 7/15/24 (b)

4,470,000

4,537,050

7.25% 6/1/21 (b)

2,100,000

2,207,625

8.25% 2/1/20 (b)

3,860,000

4,091,600

Minerva Luxmbourg SA 7.75% 1/31/23 (b)

7,621,000

7,656,819

Vector Group Ltd. 7.75% 2/15/21

6,620,000

7,066,850

 

47,195,269

Gaming - 5.6%

MCE Finance Ltd. 5% 2/15/21 (b)

13,245,000

12,582,750

Scientific Games Corp. 7% 1/1/22 (b)

14,105,000

14,616,306

Wynn Macau Ltd. 5.25% 10/15/21 (b)

14,180,000

13,488,725

 

40,687,781

Healthcare - 2.5%

Community Health Systems, Inc. 5.125% 8/1/21

4,835,000

5,016,313

HCA Holdings, Inc. 5% 3/15/24

3,620,000

3,769,325

HealthSouth Corp.:

5.125% 3/15/23

355,000

355,000

5.75% 11/1/24

485,000

489,850

Hologic, Inc. 5.25% 7/15/22 (b)

790,000

815,675

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (b)

285,000

293,308

5.5% 4/15/25 (b)

270,000

272,025

Nonconvertible Bonds - continued

 

Principal Amount

Value

Healthcare - continued

Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21

$ 5,920,000

$ 6,142,000

Tenet Healthcare Corp. 6% 10/1/20

775,000

842,813

 

17,996,309

Homebuilders/Real Estate - 1.9%

CBRE Group, Inc. 5% 3/15/23

3,805,000

3,902,408

Communications Sales & Leasing, Inc. 6% 4/15/23 (b)

270,000

259,200

Howard Hughes Corp. 6.875% 10/1/21 (b)

1,505,000

1,595,300

Lennar Corp.:

4.125% 12/1/18

1,305,000

1,324,575

4.75% 5/30/25

1,460,000

1,419,850

Meritage Homes Corp. 6% 6/1/25 (b)

1,365,000

1,378,650

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b)

615,000

615,769

TRI Pointe Homes, Inc.:

4.375% 6/15/19

3,360,000

3,326,400

5.875% 6/15/24

345,000

339,825

 

14,161,977

Leisure - 0.9%

NCL Corp. Ltd. 5.25% 11/15/19 (b)

1,435,000

1,485,225

Royal Caribbean Cruises Ltd. 7.5% 10/15/27

3,280,000

3,825,136

Speedway Motorsports, Inc. 5.125% 2/1/23

1,395,000

1,381,050

 

6,691,411

Metals/Mining - 2.0%

CONSOL Energy, Inc. 5.875% 4/15/22

2,480,000

1,926,650

Lundin Mining Corp.:

7.5% 11/1/20 (b)

1,665,000

1,689,975

7.875% 11/1/22 (b)

2,545,000

2,589,538

New Gold, Inc. 6.25% 11/15/22 (b)

4,130,000

3,675,700

Peabody Energy Corp.:

6% 11/15/18

930,000

339,450

6.25% 11/15/21

860,000

242,950

7.875% 11/1/26

600,000

168,000

10% 3/15/22 (b)

1,005,000

512,550

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (b)

1,850,000

1,808,375

8.25% 1/15/21 (b)

1,550,000

1,515,125

 

14,468,313

Paper - 0.9%

Sappi Papier Holding GmbH 6.625% 4/15/21 (b)

6,205,000

6,437,688

Nonconvertible Bonds - continued

 

Principal Amount

Value

Publishing/Printing - 0.9%

R.R. Donnelley & Sons Co.:

6.5% 11/15/23

$ 4,025,000

$ 4,155,813

7% 2/15/22

1,180,000

1,268,500

7.875% 3/15/21

1,130,000

1,276,900

 

6,701,213

Services - 3.8%

ADT Corp.:

3.5% 7/15/22

655,000

599,731

4.125% 4/15/19

2,820,000

2,865,825

5.25% 3/15/20

960,000

993,600

APX Group, Inc. 6.375% 12/1/19

12,995,000

12,702,613

Audatex North America, Inc.:

6% 6/15/21 (b)

2,965,000

3,028,006

6.125% 11/1/23 (b)

1,070,000

1,045,925

FTI Consulting, Inc. 6.75% 10/1/20

4,125,000

4,284,844

IHS, Inc. 5% 11/1/22 (b)

1,450,000

1,451,813

United Rentals North America, Inc.:

4.625% 7/15/23

545,000

537,506

5.5% 7/15/25

435,000

415,969

 

27,925,832

Steel - 1.4%

Steel Dynamics, Inc.:

5.125% 10/1/21

3,445,000

3,436,388

5.25% 4/15/23

1,045,000

1,024,100

5.5% 10/1/24

575,000

569,250

6.125% 8/15/19

4,845,000

5,087,250

 

10,116,988

Super Retail - 0.3%

Family Tree Escrow LLC 5.75% 3/1/23 (b)

1,940,000

2,046,700

Technology - 4.7%

ADT Corp.:

4.125% 6/15/23

2,630,000

2,459,050

6.25% 10/15/21

5,110,000

5,416,600

Brocade Communications Systems, Inc. 4.625% 1/15/23

3,320,000

3,212,100

Micron Technology, Inc.:

5.25% 8/1/23 (b)

4,140,000

3,984,750

5.25% 1/15/24 (b)

915,000

878,400

5.5% 2/1/25 (b)

1,100,000

1,065,625

5.625% 1/15/26 (b)

6,320,000

6,051,400

Nonconvertible Bonds - continued

 

Principal Amount

Value

Technology - continued

Micron Technology, Inc.: - continued

5.875% 2/15/22

$ 3,675,000

$ 3,748,500

Nuance Communications, Inc. 5.375% 8/15/20 (b)

4,885,000

4,958,275

NXP BV/NXP Funding LLC 4.125% 6/15/20 (b)

1,705,000

1,711,394

Sensata Technologies BV 5% 10/1/25 (b)

945,000

926,100

 

34,412,194

Telecommunications - 12.2%

Altice Financing SA:

6.5% 1/15/22 (b)

3,575,000

3,691,188

6.625% 2/15/23 (b)

4,860,000

5,005,800

7.875% 12/15/19 (b)

2,280,000

2,399,700

DigitalGlobe, Inc. 5.25% 2/1/21 (b)

5,750,000

5,520,000

Level 3 Financing, Inc.:

5.125% 5/1/23 (b)

1,350,000

1,312,875

5.375% 5/1/25 (b)

450,000

438,188

Millicom International Cellular SA 6% 3/15/25 (b)

3,000,000

2,962,500

Numericable Group SA:

4.875% 5/15/19 (b)

8,920,000

9,053,800

6% 5/15/22 (b)

6,160,000

6,267,800

6.25% 5/15/24 (b)

2,015,000

2,049,154

Sable International Finance Ltd. 6.875% 8/1/22 (b)

490,000

483,356

Sprint Capital Corp.:

6.875% 11/15/28

4,090,000

3,466,275

8.75% 3/15/32

1,850,000

1,750,563

Sprint Communications, Inc.:

7% 3/1/20 (b)

9,675,000

10,303,875

9% 11/15/18 (b)

8,405,000

9,413,600

Sprint Corp. 7.875% 9/15/23

1,500,000

1,438,125

T-Mobile U.S.A., Inc.:

6% 3/1/23

3,765,000

3,925,013

6.375% 3/1/25

2,605,000

2,731,994

6.464% 4/28/19

6,045,000

6,233,906

6.5% 1/15/24

2,535,000

2,676,808

6.542% 4/28/20

2,765,000

2,912,651

6.625% 4/1/23

975,000

1,038,375

Telecom Italia Capital SA 6% 9/30/34

650,000

643,500

Telecom Italia SpA 5.303% 5/30/24 (b)

650,000

653,250

Wind Acquisition Finance SA 4.75% 7/15/20 (b)

2,830,000

2,893,675

 

89,265,971

Transportation Ex Air/Rail - 1.0%

Navios Maritime Holdings, Inc. 7.375% 1/15/22 (b)

8,660,000

7,382,650

Nonconvertible Bonds - continued

 

Principal Amount

Value

Utilities - 5.4%

Dolphin Subsidiary II, Inc. 7.25% 10/15/21

$ 4,980,000

$ 5,309,925

NRG Energy, Inc.:

6.25% 7/15/22

3,285,000

3,297,155

6.25% 5/1/24

1,600,000

1,572,000

NSG Holdings II, LLC 7.75% 12/15/25 (b)

11,073,108

12,208,102

PPL Energy Supply LLC 6.5% 6/1/25 (b)

530,000

519,400

RJS Power Holdings LLC 5.125% 7/15/19 (b)

8,155,000

7,910,350

The AES Corp.:

4.875% 5/15/23

1,770,000

1,682,597

7.375% 7/1/21

6,440,000

7,067,900

 

39,567,429

TOTAL NONCONVERTIBLE BONDS

(Cost $601,174,473)


595,622,692

Bank Loan Obligations - 6.0%

 

Aerospace - 0.2%

TransDigm, Inc. Tranche D, term loan 3.75% 6/4/21 (d)

1,518,133

1,514,337

Air Transportation - 0.4%

American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (d)

2,605,000

2,605,000

Cable/Satellite TV - 0.7%

Charter Communications Operating LLC Tranche F, term loan 3% 1/3/21 (d)

3,811,233

3,801,705

Numericable LLC:

Tranche B 1LN, term loan 4.5% 5/8/20 (d)

634,833

637,214

Tranche B 2LN, term loan 4.5% 5/8/20 (d)

549,217

551,277

 

4,990,196

Containers - 0.2%

Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (d)

1,692,148

1,692,148

Gaming - 1.7%

Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (d)

2,894,462

2,912,552

Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (d)

8,276,520

8,245,483

Scientific Games Corp. Tranche B 2LN, term loan 6% 10/1/21 (d)

1,651,700

1,657,976

 

12,816,011

Bank Loan Obligations - continued

 

Principal Amount

Value

Healthcare - 0.2%

Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (d)

$ 1,548,961

$ 1,548,961

Leisure - 0.0%

24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (d)

153,450

146,545

Metals/Mining - 0.6%

Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (d)

2,522,945

2,068,815

Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (d)

2,893,463

2,220,732

 

4,289,547

Services - 0.6%

Garda World Security Corp.:

term loan 4% 11/8/20 (d)

3,372,492

3,330,336

Tranche DD, term loan 4% 11/8/20 (d)

829,142

818,778

 

4,149,114

Super Retail - 0.1%

PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (d)

473,813

475,296

Technology - 0.7%

Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (d)

2,309,213

2,306,441

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (d)

3,127,521

3,104,065

 

5,410,506

Utilities - 0.6%

Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (d)

4,076,963

4,000,520

Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (d)

360,016

351,015

 

4,351,535

TOTAL BANK LOAN OBLIGATIONS

(Cost $45,011,756)


43,989,196

Preferred Securities - 7.3%

 

Banks & Thrifts - 5.8%

BAC Capital Trust XIV 4% (c)(d)

515,000

407,608

Bank of America Corp.:

6.1% (c)(d)

2,835,000

2,886,623

6.25% (c)(d)

5,490,000

5,634,034

Preferred Securities - continued

 

Principal Amount

Value

Banks & Thrifts - continued

Bank of America Corp.: - continued

6.5% (c)(d)

$ 3,150,000

$ 3,308,318

Barclays Bank PLC 7.625% 11/21/22

10,410,000

12,159,333

Barclays PLC 6.625% (c)(d)

880,000

879,220

Credit Agricole SA 6.625% (b)(c)(d)

3,285,000

3,295,745

Deutsche Bank AG 7.5% (c)(d)

3,305,000

3,384,682

Goldman Sachs Group, Inc. 5.375% (c)(d)

1,350,000

1,361,655

JPMorgan Chase & Co.:

5.3% (c)(d)

2,685,000

2,714,822

6% (c)(d)

4,805,000

4,901,100

6.75% (c)(d)

1,310,000

1,431,994

 

42,365,134

Diversified Financial Services - 1.5%

Citigroup, Inc.:

5.875% (c)(d)

3,785,000

3,889,693

5.95% (c)(d)

4,260,000

4,221,844

6.3% (c)(d)

3,160,000

3,138,996

 

11,250,533

TOTAL PREFERRED SECURITIES

(Cost $52,430,909)


53,615,667

Money Market Funds - 3.6%

Shares

 

Fidelity Cash Central Fund, 0.17% (a)
(Cost $26,213,221)

26,213,221


26,213,221

TOTAL INVESTMENT PORTFOLIO - 98.4%

(Cost $724,830,359)

719,440,776

NET OTHER ASSETS (LIABILITIES) - 1.6%

11,835,414

NET ASSETS - 100%

$ 731,276,190

Legend

(a) 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.

(b) 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 $302,810,216 or 41.4% of net assets.

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

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

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

Fidelity Cash Central Fund

$ 11,852

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 595,622,692

$ -

$ 595,622,692

$ -

Bank Loan Obligations

43,989,196

-

43,989,196

-

Preferred Securities

53,615,667

-

53,615,667

-

Money Market Funds

26,213,221

26,213,221

-

-

Total Investments in Securities:

$ 719,440,776

$ 26,213,221

$ 693,227,555

$ -

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $724,220,725. Net unrealized depreciation aggregated $4,779,949, of which $13,168,235 related to appreciated investment securities and $17,948,184 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Investments in 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.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Global High Income Fund

July 31, 2015 

1.926256.104

GHI-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 84.2%

 

Principal
Amount (d)

Value

Aerospace - 0.3%

KLX, Inc. 5.875% 12/1/22 (e)

$ 10,000

$ 10,050

TransDigm, Inc.:

6.5% 7/15/24

225,000

226,125

6.5% 5/15/25 (e)

135,000

135,169

 

371,344

Air Transportation - 0.3%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (Reg. S)

308,000

328,944

Continental Airlines, Inc. 6.125% 4/29/18

55,000

57,475

United Continental Holdings, Inc. 6.375% 6/1/18

45,000

47,250

 

433,669

Automotive - 0.7%

PT Gadjah Tunggal Tbk 7.75% 2/6/18 (Reg. S)

200,000

151,250

Schaeffler Finance BV 3.5% 5/15/22 (Reg. S)

EUR

100,000

111,111

Schaeffler Holding Finance BV 6.875% 8/15/18 (Reg. S) (h)

EUR

100,000

113,669

Tenedora Nemak SA de CV 5.5% 2/28/23 (e)

550,000

563,750

 

939,780

Automotive & Auto Parts - 0.4%

American Tire Distributors, Inc. 10.25% 3/1/22 (e)

140,000

145,950

Fiat Finance & Trade Ltd. SA 7.375% 7/9/18

EUR

300,000

373,954

Schaeffler Holding Finance BV 6.75% 11/15/22 pay-in-kind (e)(h)

45,000

48,713

 

568,617

Banks & Thrifts - 7.9%

Ally Financial, Inc.:

4.625% 5/19/22

80,000

79,800

7.5% 9/15/20

199,000

232,611

Banco Popolare Societa Cooperativa 3.75% 1/28/16

EUR

100,000

111,303

Bank of Baroda (London) 6.625% 5/25/22 (h)

200,000

207,783

Bank of Ceylon 5.325% 4/16/18 (Reg. S)

200,000

201,500

Bank of India - London Branch 6.625% 9/22/21 (h)

200,000

203,411

Bank of Ireland 10% 12/19/22

EUR

200,000

294,981

BBVA Bancomer SA 7.25% 4/22/20 (e)

550,000

614,900

BBVA Paraguay SA 9.75% 2/11/16 (e)

400,000

412,324

Canara Bank Ltd. 6.365% 11/28/21 (h)

100,000

101,356

Commerzbank AG 7.75% 3/16/21

EUR

200,000

269,401

Finansbank A/S 6.25% 4/30/19 (e)

200,000

205,000

General Motors Acceptance Corp. 8% 11/1/31

257,000

321,250

Georgia Bank Joint Stock Co. 7.75% 7/5/17 (e)

650,000

671,177

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Banks & Thrifts - continued

GMAC LLC:

8% 12/31/18

$ 30,000

$ 33,525

8% 11/1/31

1,195,000

1,428,025

GTB Finance BV 6% 11/8/18 (e)

400,000

375,900

HBOS PLC 4.5% 3/18/30 (h)

EUR

300,000

365,711

HSBK BV 7.25% 5/3/17 (e)

200,000

206,786

ICICI Bank Ltd. 6.375% 4/30/22 (Reg. S) (h)

100,000

103,500

Itau Unibanco Holding SA 6.2% 12/21/21 (e)

550,000

570,625

JSC Halyk Bank of Kazakhstan 7.25% 1/28/21 (e)

600,000

620,700

National Savings Bank 8.875% 9/18/18 (Reg. S)

200,000

216,000

Royal Bank of Scotland Group PLC:

5.125% 5/28/24

487,000

492,665

6% 12/19/23

410,000

437,737

Turkiye Garanti Bankasi A/S 4.75% 10/17/19 (e)

400,000

405,100

Turkiye Halk Bankasi A/S 3.875% 2/5/20 (e)

200,000

192,108

UT2 Funding PLC 5.321% 6/30/16 (c)

EUR

50,000

55,813

Woori Bank 5% 6/10/45 (Reg. S) (h)

200,000

199,220

Yapi ve Kredi Bankasi A/S 4% 1/22/20 (e)

400,000

385,879

Zenith Bank PLC 6.25% 4/22/19 (e)

600,000

569,280

 

10,585,371

Broadcasting - 1.1%

AMC Networks, Inc.:

4.75% 12/15/22

100,000

100,750

7.75% 7/15/21

5,000

5,400

Clear Channel Communications, Inc. 5.5% 12/15/16

190,000

177,650

Ottawa Holdings Pte Ltd. 5.875% 5/16/18 (Reg. S)

200,000

150,500

Polish Television Holding BV 11% 1/15/21 pay-in-kind (Reg. S) (h)

EUR

200,000

264,933

TV Azteca SA de CV:

7.5% 5/25/18 (Reg. S)

550,000

560,313

7.625% 9/18/20 (Reg S.)

200,000

206,500

 

1,466,046

Building Materials - 2.1%

American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (e)

70,000

71,400

CEMEX Finance LLC:

5.25% 4/1/21 (Reg. S)

EUR

100,000

113,559

6% 4/1/24 (Reg. S)

500,000

502,575

China Shanshui Cement Group Ltd. 7.5% 3/10/20 (Reg. S)

200,000

188,050

Elementia S.A.B. de CV 5.5% 1/15/25 (e)

400,000

404,000

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Building Materials - continued

HeidelbergCement Finance BV 9.5% 12/15/18 (Reg. S)

EUR

100,000

$ 137,681

HMAN Finance Sub Corp. 6.375% 7/15/22 (e)

100,000

95,500

Modern Land China Co. Ltd. 13.875% 11/4/18 (Reg. S)

100,000

99,231

Nortek, Inc. 8.5% 4/15/21

120,000

128,400

Pratama Agung Pte. Ltd. 6.25% 2/24/20 (Reg. S)

200,000

195,049

Union Andina de Cementos SAA 5.875% 10/30/21 (Reg. S)

500,000

511,250

USG Corp.:

5.875% 11/1/21 (e)

50,000

52,375

9.75% 1/15/18 (h)

135,000

153,563

West China Cement Ltd. 6.5% 9/11/19

200,000

199,514

 

2,852,147

Cable/Satellite TV - 3.8%

Altice SA:

5.375% 7/15/23 (e)

200,000

201,000

7.75% 7/15/25 (e)

200,000

196,500

7.75% 7/15/25 (e)

200,000

198,500

Cable One, Inc. 5.75% 6/15/22 (e)

55,000

56,238

CCO Holdings LLC/CCO Holdings Capital Corp. 5.75% 1/15/24

765,000

778,866

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e)

45,000

45,338

Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (e)

255,000

236,831

DISH DBS Corp. 5% 3/15/23

670,000

627,288

Lynx II Corp. 6.375% 4/15/23 (e)

200,000

209,000

Myriad International Holding BV 5.5% 7/21/25 (e)

200,000

203,000

Numericable Group SA 5.375% 5/15/22 (Reg. S)

EUR

150,000

171,327

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (e)

210,000

219,450

Telenet Finance VI Luxembourg SCA 0% 7/15/27 (Reg. S)

EUR

100,000

105,981

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

3.5% 1/15/27 (Reg. S)

EUR

100,000

105,734

5.5% 9/15/22 (Reg. S)

EUR

360,000

423,109

5.5% 1/15/23 (e)

200,000

203,750

UPCB Finance V Ltd. 7.25% 11/15/21 (e)

135,000

145,463

UPCB Finance VI Ltd. 6.875% 1/15/22 (e)

135,000

144,113

VTR Finance BV 6.875% 1/15/24 (e)

800,000

814,000

 

5,085,488

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Capital Goods - 0.4%

AECOM Technology Corp.:

5.75% 10/15/22 (e)

$ 95,000

$ 96,425

5.875% 10/15/24 (e)

80,000

81,200

Norcell Sweden Holding 2 AB 10.75% 9/29/19 (Reg. S)

EUR

65,000

77,008

Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (e)

180,000

133,200

Zoomlion HK SPV Co. Ltd. 6.125% 12/20/22 (Reg. S)

200,000

171,496

 

559,329

Chemicals - 1.4%

Chemtura Corp. 5.75% 7/15/21

115,000

116,150

Evolution Escrow Issuer LLC 7.5% 3/15/22 (e)

80,000

65,600

INEOS Group Holdings SA 5.75% 2/15/19 (Reg. S)

EUR

250,000

281,449

Kerling PLC 10.625% 2/1/17 (Reg. S)

EUR

200,000

226,789

LSB Industries, Inc. 7.75% 8/1/19

85,000

89,463

OCP SA 5.625% 4/25/24 (e)

200,000

209,441

PolyOne Corp. 5.25% 3/15/23

250,000

248,125

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 6.75% 5/1/22 (e)

200,000

201,000

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (e)

150,000

159,750

W.R. Grace & Co. - Conn 5.625% 10/1/24 (e)

55,000

56,100

Yingde Gases Investment Ltd. 7.25% 2/28/20 (Reg. S)

200,000

172,043

 

1,825,910

Consumer Products - 0.7%

Prestige Brands, Inc.:

5.375% 12/15/21 (e)

320,000

323,200

8.125% 2/1/20

25,000

26,625

Revlon Consumer Products Corp. 5.75% 2/15/21

415,000

415,000

Spectrum Brands Holdings, Inc.:

5.75% 7/15/25 (e)

85,000

87,533

6.375% 11/15/20

45,000

47,925

 

900,283

Containers - 1.0%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (e)(h)

217,771

225,171

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (e)

245,000

244,081

7% 11/15/20 (e)

35,294

35,647

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Containers - continued

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e)

$ 155,000

$ 139,500

OI European Group BV 6.75% 9/15/20 (Reg. S)

EUR

200,000

254,794

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 5.75% 10/15/20

455,000

470,925

 

1,370,118

Diversified Financial Services - 4.3%

Aircastle Ltd. 5.125% 3/15/21

395,000

406,850

Arrow Global Finance PLC 5.237% 11/1/21 (h)

EUR

200,000

223,099

Boing Group Financing PLC 6.625% 7/15/19 (Reg. S)

EUR

100,000

107,656

CIT Group, Inc.:

5% 8/15/22

270,000

274,388

5% 8/1/23

440,000

444,400

Comcel Trust 6.875% 2/6/24 (e)

400,000

424,120

Credito Real S.A.B. de CV 7.5% 3/13/19 (e)

400,000

420,000

GCS Holdco Finance I SA 6.5% 11/15/18 (Reg. S)

EUR

100,000

114,218

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.875% 2/1/22

530,000

548,550

International Lease Finance Corp.:

5.875% 8/15/22

475,000

517,750

8.625% 1/15/22

555,000

682,650

International Personal Finance PLC 11.5% 8/6/15

EUR

360,000

395,553

SLM Corp.:

5.5% 1/25/23

320,000

280,000

6.125% 3/25/24

420,000

373,800

7.25% 1/25/22

10,000

9,875

8% 3/25/20

190,000

197,600

Verisure Holding AB 8.75% 9/1/18 (Reg. S)

EUR

300,000

347,431

 

5,767,940

Diversified Media - 0.3%

Lamar Media Corp. 5.875% 2/1/22

55,000

57,338

MDC Partners, Inc. 6.75% 4/1/20 (e)

30,000

29,700

National CineMedia LLC:

6% 4/15/22

300,000

309,000

7.875% 7/15/21

35,000

36,838

Outfront Media Capital LLC / Corp. 5.625% 2/15/24 (e)

25,000

25,500

 

458,376

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Electric Utilities No Longer Use - 0.3%

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

$ 60,000

$ 56,250

7% 6/15/23 (e)

85,000

81,813

Majapahit Holding BV 8% 8/7/19 (Reg. S)

200,000

231,250

 

369,313

Energy - 10.4%

Afren PLC 10.25% 4/8/19 (c)(e)

293,000

7,325

American Energy-Permian Basin LLC/ AEPB Finance Corp.:

6.7798% 8/1/19 (e)(h)

215,000

129,538

7.125% 11/1/20 (e)

290,000

175,450

7.375% 11/1/21 (e)

190,000

111,625

Antero Resources Corp.:

5.125% 12/1/22

420,000

396,900

5.625% 6/1/23 (e)

80,000

77,000

Areva SA 4.875% 9/23/24

EUR

200,000

229,987

BBVA Colombia SA 4.875% 4/21/25 (e)

300,000

299,100

California Resources Corp.:

5.5% 9/15/21

320,000

264,000

6% 11/15/24

55,000

44,550

Carrizo Oil & Gas, Inc. 6.25% 4/15/23

55,000

52,789

Chesapeake Energy Corp. 5.375% 6/15/21

430,000

361,200

Citgo Holding, Inc. 10.75% 2/15/20 (e)

155,000

158,488

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.125% 3/1/22

175,000

172,813

Diamondback Energy, Inc. 7.625% 10/1/21

195,000

206,700

EDC Finance Ltd. 4.875% 4/17/20 (e)

400,000

356,000

Energy Transfer Equity LP 7.5% 10/15/20

30,000

33,600

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (e)

110,000

83,050

EP Energy LLC/Everest Acquisition Finance, Inc.:

6.375% 6/15/23 (e)

95,000

88,825

7.75% 9/1/22

110,000

109,725

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

390,000

402,675

Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22

250,000

223,750

Forum Energy Technologies, Inc. 6.25% 10/1/21

75,000

72,375

Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21

95,000

92,625

Gibson Energy, Inc. 6.75% 7/15/21 (e)

370,000

376,475

Gulfmark Offshore, Inc. 6.375% 3/15/22

340,000

250,750

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (e)

320,000

297,600

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Energy - continued

Hilcorp Energy I LP/Hilcorp Finance Co.: - continued

5.75% 10/1/25 (e)

$ 200,000

$ 190,000

7.625% 4/15/21 (e)

10,000

10,300

Kosmos Energy Ltd. 7.875% 8/1/21 (e)

400,000

362,000

Laredo Petroleum, Inc.:

5.625% 1/15/22

340,000

327,250

6.25% 3/15/23

105,000

104,213

MIE Holdings Corp. 6.875% 2/6/18 (Reg S.)

100,000

76,643

Noble Energy, Inc.:

5.625% 5/1/21

225,000

238,453

5.875% 6/1/24

140,000

151,913

Oasis Petroleum, Inc. 6.875% 3/15/22

45,000

41,400

Pacific Drilling V Ltd. 7.25% 12/1/17 (e)

380,000

323,000

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (e)

500,000

352,500

Pan American Energy LLC 7.875% 5/7/21 (e)

900,000

932,625

Puma International Financing SA 6.75% 2/1/21 (Reg. S)

200,000

203,952

Range Resources Corp. 4.875% 5/15/25 (e)

195,000

187,200

Rice Energy, Inc. 7.25% 5/1/23 (e)

40,000

39,300

Rose Rock Midstream LP/ Rose Rock Finance Corp. 5.625% 7/15/22

125,000

120,625

RSP Permian, Inc. 6.625% 10/1/22 (e)

75,000

75,563

Sabine Pass Liquefaction LLC:

5.625% 2/1/21 (h)

760,000

775,200

5.625% 3/1/25 (e)

35,000

34,475

5.75% 5/15/24

80,000

79,550

SemGroup Corp. 7.5% 6/15/21

370,000

384,800

Sibur Securities Ltd. 3.914% 1/31/18 (e)

250,000

235,938

SM Energy Co. 5.625% 6/1/25

40,000

37,800

Summit Midstream Holdings LLC 7.5% 7/1/21

100,000

105,000

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (e)

60,000

61,650

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

5% 1/15/18 (e)

305,000

315,675

6.375% 8/1/22

60,000

62,250

Teine Energy Ltd. 6.875% 9/30/22 (e)

145,000

134,850

TerraForm Power Operating LLC:

5.875% 2/1/23 (e)

55,000

55,516

6.125% 6/15/25 (e)

25,000

25,063

Transocean, Inc.:

6% 3/15/18

130,000

124,800

6.875% 12/15/21

340,000

287,725

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Energy - continued

Transportadora de Gas del Sur SA 9.625% 5/14/20 (e)

$ 524,847

$ 532,720

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23

40,000

41,100

Western Refining, Inc. 6.25% 4/1/21

105,000

105,525

WPX Energy, Inc.:

7.5% 8/1/20

65,000

65,975

8.25% 8/1/23

100,000

101,625

YPF SA:

8.5% 7/28/25 (e)

400,000

385,360

8.875% 12/19/18 (e)

455,000

473,200

Zhaikmunai International BV 7.125% 11/13/19 (e)

800,000

724,160

 

13,961,809

Entertainment/Film - 0.5%

AMC Entertainment, Inc. 5.75% 6/15/25

140,000

139,300

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

160,000

160,800

5.625% 2/15/24

55,000

56,100

Cinemark U.S.A., Inc. 7.375% 6/15/21

15,000

15,900

NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (e)

170,000

173,825

Regal Entertainment Group 5.75% 6/15/23

70,000

70,525

 

616,450

Environmental - 0.3%

Clean Harbors, Inc.:

5.125% 6/1/21

100,000

100,750

5.25% 8/1/20

110,000

112,629

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (e)

200,000

208,000

 

421,379

Food & Drug Retail - 1.5%

Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (e)

102,000

112,965

Rite Aid Corp.:

6.875% 12/15/28 (e)(h)

705,000

786,075

7.7% 2/15/27

711,000

828,315

Tesco Corporate Treasury Services PLC 2.5% 7/1/24 (Reg. S)

EUR

200,000

209,549

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (e)

120,000

119,100

 

2,056,004

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Food/Beverage/Tobacco - 3.0%

Agrokor d.d. 9.875% 5/1/19 (Reg. S)

EUR

100,000

$ 118,083

ESAL GmbH 6.25% 2/5/23 (e)

155,000

152,675

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (e)

265,000

277,588

Gruma S.A.B. de CV 4.875% 12/1/24 (e)

500,000

524,500

H.J. Heinz Finance Co. 7.125% 8/1/39 (e)

800,000

1,008,320

JB y Co. SA de CV 3.75% 5/13/25 (e)

400,000

391,208

JBS Investments GmbH 7.25% 4/3/24 (e)

210,000

215,513

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.75% 6/15/25 (e)

65,000

64,411

Minerva Luxmbourg SA 7.75% 1/31/23 (e)

600,000

602,820

Post Holdings, Inc. 6.75% 12/1/21 (e)

370,000

372,775

R&R Ice Cream PLC 9.25% 5/15/18 pay-in-kind (Reg. S) (h)

EUR

250,000

277,638

 

4,005,531

Gaming - 1.9%

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22

405,000

313,875

Cirsa Funding Luxembourg SA 8.75% 5/15/18 (Reg. S)

EUR

150,000

168,979

Golden Nugget Escrow, Inc. 8.5% 12/1/21 (e)

130,000

135,200

Graton Economic Development Authority 9.625% 9/1/19 (e)

135,000

145,294

MGM Mirage, Inc. 8.625% 2/1/19

315,000

355,163

Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21

305,000

257,725

Scientific Games Corp. 10% 12/1/22

245,000

237,956

Studio City Finance Ltd. 8.5% 12/1/20 (e)

450,000

459,000

William Hill PLC 4.25% 6/5/20 (Reg. S)

GBP

100,000

157,531

Wynn Macau Ltd. 5.25% 10/15/21 (e)

300,000

285,375

 

2,516,098

Healthcare - 5.1%

Acadia Healthcare Co., Inc. 5.625% 2/15/23 (e)

45,000

45,675

Alere, Inc. 6.375% 7/1/23 (e)

35,000

36,400

Cerba European Lab SAS 7% 2/1/20 (Reg. S)

EUR

200,000

230,633

Concordia Healthcare Corp. 7% 4/15/23 (e)

140,000

142,625

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

40,000

40,800

DaVita HealthCare Partners, Inc. 5% 5/1/25

145,000

143,369

Endo Finance LLC 5.375% 1/15/23 (e)

20,000

20,212

Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:

6% 7/15/23 (e)

400,000

416,000

6% 2/1/25 (e)

295,000

303,850

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Healthcare - continued

Ephios Bondco PLC 6.25% 7/1/22

EUR

100,000

$ 112,022

FMC Finance VII SA 5.25% 2/15/21

EUR

50,000

63,753

HCA Holdings, Inc.:

5% 3/15/24

185,000

192,631

5.375% 2/1/25

165,000

168,713

5.875% 3/15/22

424,000

464,810

6.5% 2/15/20

245,000

273,941

7.5% 2/15/22

180,000

209,700

HealthSouth Corp. 5.75% 11/1/24

100,000

101,000

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (e)(h)

45,000

46,406

Kindred Escrow Corp. II:

8% 1/15/20 (e)

105,000

113,663

8.75% 1/15/23 (e)

105,000

115,763

Labco S.A.S. 8.5% 1/15/18 (Reg. S)

EUR

100,000

114,493

Legend Acquisition, Inc. 10.75% 8/15/20 (c)(e)

255,000

0

Mallinckrodt International Finance SA/Mallinckrodt CB LLC 4.875% 4/15/20 (e)

40,000

41,166

Par Pharmaceutical Companies, Inc. 7.375% 10/15/20

60,000

63,675

Polymer Group, Inc. 6.875% 6/1/19 (e)

100,000

102,000

Quintiles Transnational Corp. 4.875% 5/15/23 (e)

60,000

60,862

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

155,000

160,038

5.5% 2/1/21

120,000

124,500

Tenet Healthcare Corp.:

6.75% 6/15/23 (e)

140,000

146,300

8.125% 4/1/22

655,000

734,831

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (e)

195,000

200,363

5.5% 3/1/23 (e)

115,000

117,588

5.625% 12/1/21 (e)

155,000

159,650

5.875% 5/15/23 (e)

520,000

540,748

6.125% 4/15/25 (e)

205,000

214,225

6.75% 8/15/21 (e)

40,000

41,650

7.25% 7/15/22 (e)

25,000

26,375

7.5% 7/15/21 (e)

323,000

350,455

VWR Funding, Inc. 7.25% 9/15/17

340,000

350,200

Wellcare Health Plans, Inc. 5.75% 11/15/20

100,000

105,000

 

6,896,085

Homebuilders/Real Estate - 6.7%

Agile Property Holdings Ltd. 8.875% 4/28/17 (Reg. S)

300,000

303,750

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Homebuilders/Real Estate - continued

Aldesa Financial Services SA 7.25% 4/1/21 (Reg. S)

EUR

150,000

$ 152,547

Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 6.875% 2/15/21 (e)

405,000

380,700

Beazer Homes U.S.A., Inc. 7.25% 2/1/23

140,000

134,750

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e)

85,000

85,850

CBRE Group, Inc. 5% 3/15/23

770,000

789,712

Cementos Progreso Trust 7.125% 11/6/23 (e)

400,000

427,198

Central China Real Estate Ltd. 6.5% 6/4/18 (Reg.S)

200,000

191,450

China Aoyuan Property Group Ltd. 11.25% 1/17/19 (Reg. S)

200,000

199,975

CIFI Holdings Group Co. Ltd. 8.875% 1/27/19 (Reg. S)

200,000

206,000

Communications Sales & Leasing, Inc. 6% 4/15/23 (e)

40,000

38,400

Country Garden Holdings Co. Ltd. 7.25% 4/4/21 (Reg. S)

400,000

407,520

Evergrande Real Estate Group Ltd.:

8.75% 10/30/18 (Reg. S)

200,000

192,000

12% 2/17/20

200,000

198,303

Future Land Development Holding Ltd. 10.25% 1/31/18 (Reg. S)

100,000

104,250

Howard Hughes Corp. 6.875% 10/1/21 (e)

280,000

296,800

Inversiones y Representaciones SA:

8.5% 2/2/17 (Reg. S)

15,000

14,888

11.5% 7/20/20 (Reg. S)

105,000

117,616

KWG Property Holding Ltd.:

8.25% 8/5/19 (Reg. S)

200,000

199,500

8.975% 1/14/19 (Reg. S)

200,000

203,973

Lodha Developers International Ltd. 12% 3/13/20 (Reg. S)

200,000

202,000

Logan Property Holdings Co. Ltd. 11.25% 6/4/19 (Reg. S)

200,000

207,439

Longfor Properties Co. Ltd. 6.75% 1/29/23 (Reg S.)

200,000

201,420

Modernland Overseas Pte Ltd. 11% 10/25/16 (Reg. S)

200,000

209,000

Oceanwide Real Estate International Holding Co. Ltd. 11.75% 9/8/19 (Reg. S)

100,000

104,500

Odebrecht Finance Ltd. 4.375% 4/25/25 (e)

200,000

140,000

Powerlong Real Estate Holding Ltd. 11.25% 1/25/18 (Reg. S)

100,000

99,917

Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (e)

340,000

342,550

Ryland Group, Inc. 5.375% 10/1/22

55,000

55,688

Shea Homes Ltd. Partnershp/Corp.:

5.875% 4/1/23 (e)

30,000

30,450

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Homebuilders/Real Estate - continued

Shea Homes Ltd. Partnershp/Corp.: - continued

6.125% 4/1/25 (e)

$ 30,000

$ 30,675

Shimao Property Holdings Ltd.:

8.125% 1/22/21 (Reg. S)

200,000

210,000

8.375% 2/10/22 (Reg. S)

200,000

207,329

SOHO China Ltd. 7.125% 11/7/22 (Reg. S)

200,000

203,872

Sunac China Holdings Ltd. 8.75% 12/5/19 (Reg. S)

200,000

199,031

Times Property Holdings Ltd. 12.625% 3/21/19 (Reg. S)

200,000

214,954

Trillion Chance Ltd. 8.5% 1/10/19

400,000

391,420

Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23

90,000

84,713

William Lyon Homes, Inc.:

5.75% 4/15/19

90,000

90,675

7% 8/15/22

160,000

166,800

8.5% 11/15/20

215,000

231,663

Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (e)

265,000

250,425

Wuzhou International Holdings Ltd. 13.75% 9/26/18 (Reg. S)

100,000

98,410

Yanlord Land Group Ltd. 10.625% 3/29/18

200,000

209,684

Yuzhou Properties Co. 8.75% 10/4/18 (Reg. S)

200,000

203,000

 

9,030,797

Hotels - 0.4%

Choice Hotels International, Inc. 5.75% 7/1/22

45,000

48,038

FelCor Lodging LP 6% 6/1/25 (e)

35,000

36,050

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 5.625% 10/15/21

380,000

395,675

 

479,763

Insurance - 0.3%

Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (e)(g)

170,000

170,000

Assicurazioni Generali SpA 10.125% 7/10/42 (h)

EUR

100,000

148,865

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (e)

140,000

142,975

 

461,840

Leisure - 0.1%

24 Hour Holdings III LLC 8% 6/1/22 (e)

100,000

79,500

Metals/Mining - 2.4%

Abja Investment Co. Pte Ltd. 5.95% 7/31/24 (Reg. S)

200,000

197,000

Alpha Natural Resources, Inc. 9.75% 4/15/18

210,000

6,300

ArcelorMittal SA 10.625% 6/3/16 (h)

EUR

100,000

118,495

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Metals/Mining - continued

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (e)

$ 50,000

$ 49,875

Compania Minera Ares SAC 7.75% 1/23/21 (e)

200,000

197,250

Favor Sea Ltd. 11.75% 2/4/19 (Reg. S)

100,000

94,000

Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (e)

625,000

539,063

Mongolian Mining Corp. 8.875% 3/29/17 (Reg. S)

100,000

59,690

Murray Energy Corp. 11.25% 4/15/21 (e)

195,000

119,925

Nord Gold NV 6.375% 5/7/18 (e)

400,000

395,000

Peabody Energy Corp.:

6.25% 11/15/21

135,000

38,138

10% 3/15/22 (e)

85,000

43,350

Prince Mineral Holding Corp. 11.5% 12/15/19 (e)

55,000

49,775

Samarco Mineracao SA 5.75% 10/24/23 (Reg. S)

250,000

245,750

Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (e)

115,000

112,413

Southern Copper Corp. 7.5% 7/27/35

250,000

271,400

Vedanta Resources PLC:

8.25% 6/7/21 (Reg. S)

200,000

188,500

9.5% 7/18/18 (Reg. S)

200,000

208,000

Walter Energy, Inc.:

9.5% 10/15/19 (c)(e)

225,000

111,938

12% 4/1/20 pay-in-kind (c)(e)(h)

175,100

3,502

Yancoal International Resources Development Co. Ltd. 5.73% 5/16/22 (Reg. S)

200,000

178,348

 

3,227,712

Paper - 0.3%

Smurfit Kappa Acquisitions 3.25% 6/1/21 (Reg. S)

EUR

400,000

456,916

Publishing/Printing - 0.7%

Cenveo Corp. 6% 8/1/19 (e)

145,000

129,775

Griffey Intermediate, Inc./Griffey Finance Sub LLC 7% 10/15/20 (e)

485,000

204,913

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h)

285,000

315,638

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (e)(h)

345,000

350,175

 

1,000,501

Restaurants - 0.2%

1011778 BC ULC/New Red Finance, Inc. 4.625% 1/15/22 (e)

70,000

70,000

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Restaurants - continued

Landry's Acquisition Co. 9.375% 5/1/20 (e)

$ 105,000

$ 112,613

Landry's Holdings II, Inc. 10.25% 1/1/18 (e)

125,000

130,250

 

312,863

Services - 2.7%

APX Group, Inc.:

6.375% 12/1/19

450,000

439,875

8.75% 12/1/20

705,000

639,788

Audatex North America, Inc.:

6% 6/15/21 (e)

385,000

393,181

6.125% 11/1/23 (e)

105,000

102,638

Blueline Rent Finance Corp./Volvo 7% 2/1/19 (e)

95,000

94,525

FTI Consulting, Inc. 6% 11/15/22

205,000

216,275

Garda World Security Corp.:

7.25% 11/15/21 (e)

100,000

93,500

7.25% 11/15/21 (e)

35,000

32,725

Hertz Corp. 6.25% 10/15/22

105,000

107,100

Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (e)

215,000

150,500

Laureate Education, Inc. 10% 9/1/19 (e)(h)

920,000

865,950

NES Rentals Holdings, Inc. 7.875% 5/1/18 (e)

70,000

70,000

SMCP S.A.S. 8.875% 6/15/20 (Reg. S)

EUR

150,000

176,714

TMS International Corp. 7.625% 10/15/21 (e)

55,000

53,321

United Rentals North America, Inc.:

4.625% 7/15/23

75,000

73,969

5.5% 7/15/25

60,000

57,375

 

3,567,436

Steel - 1.4%

Cliffs Natural Resources, Inc. 8.25% 3/31/20 (e)

90,000

81,675

Evraz, Inc. NA Canada 7.5% 11/15/19 (e)

200,000

198,000

JMC Steel Group, Inc. 8.25% 3/15/18 (e)

710,000

630,125

Metinvest BV 10.25% 1/31/16 (e)

75,000

53,625

Ryerson, Inc./Joseph T Ryerson & Son, Inc.:

9% 10/15/17

270,000

266,625

11.25% 10/15/18

134,000

131,990

Steel Capital SA 5.9% 10/17/22 (Reg. S)

200,000

191,340

ThyssenKrupp Finance Nederland BV 8.5% 2/25/16

EUR

100,000

114,624

TMK Capital SA 7.75% 1/27/18

200,000

196,620

 

1,864,624

Super Retail - 1.0%

Academy Ltd./Academy Finance Corp. 9.25% 8/1/19 (e)

20,000

20,925

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Super Retail - continued

Family Tree Escrow LLC:

5.25% 3/1/20 (e)

$ 30,000

$ 31,650

5.75% 3/1/23 (e)

140,000

147,700

InRetail Shopping Malls 6.5% 7/9/21 (e)

200,000

214,000

JC Penney Corp., Inc.:

5.65% 6/1/20

260,000

234,000

5.75% 2/15/18

80,000

77,800

7.4% 4/1/37

85,000

68,000

Maoye International Holdings Ltd. 7.75% 5/19/17 (Reg. S)

200,000

198,000

MPM Global Pte Ltd. 6.75% 9/19/19 (Reg. S)

100,000

95,640

Sally Holdings LLC 6.875% 11/15/19

35,000

36,610

Sonic Automotive, Inc.:

5% 5/15/23

40,000

39,200

7% 7/15/22

105,000

113,400

 

1,276,925

Technology - 2.5%

Activision Blizzard, Inc. 6.125% 9/15/23 (e)

260,000

280,150

ADT Corp. 6.25% 10/15/21

235,000

249,100

BCP Singapore VI Cayman Financing Co. Ltd. 8% 4/15/21 (e)

200,000

196,500

Blue Coat Systems, Inc. 8.375% 6/1/23 (e)

220,000

224,950

BMC Software Finance, Inc. 8.125% 7/15/21 (e)

285,000

212,325

Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (e)(h)

330,000

204,600

Brocade Communications Systems, Inc. 4.625% 1/15/23

135,000

130,613

CDW LLC/CDW Finance Corp. 6% 8/15/22

255,000

266,475

China Automation Group Ltd. 7.75% 4/20/16

75,000

75,000

Entegris, Inc. 6% 4/1/22 (e)

70,000

71,750

First Data Corp.:

11.25% 1/15/21

348,000

386,280

11.75% 8/15/21

94,000

106,690

Global A&T Electronics Ltd. 10% 2/1/19 (e)

300,000

268,506

Global Cash Access, Inc. 10% 1/15/22 (e)

35,000

34,125

Lucent Technologies, Inc. 6.45% 3/15/29

250,000

263,750

Pacific Emerald Pte Ltd. 9.75% 7/25/18 (Reg. S)

200,000

208,760

Project Homestake Merger Corp. 8.875% 3/1/23 (e)

50,000

47,000

Sensata Technologies BV 4.875% 10/15/23 (e)

120,000

118,800

 

3,345,374

Telecommunications - 10.6%

Alcatel-Lucent U.S.A., Inc. 6.75% 11/15/20 (e)

150,000

161,250

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Telecommunications - continued

Altice Financing SA 6.625% 2/15/23 (e)

$ 200,000

$ 206,000

Altice Finco SA 8.125% 1/15/24 (e)

200,000

208,000

Altice SA:

7.625% 2/15/25 (e)

400,000

392,000

7.75% 5/15/22 (e)

485,000

488,638

Banglalink Digital Communications Ltd.:

8.625% 5/6/19 (e)

400,000

410,480

8.625% 5/6/19 (Reg. S)

200,000

205,240

Broadview Networks Holdings, Inc. 10.5% 11/15/17

187,500

173,438

Columbus International, Inc. 7.375% 3/30/21 (e)

325,000

345,313

CommScope Technologies Finance LLC 6% 6/15/25 (e)

330,000

325,875

Digicel Group Ltd.:

6% 4/15/21 (Reg. S)

200,000

188,500

8.25% 9/30/20 (e)

675,000

666,563

DigitalGlobe, Inc. 5.25% 2/1/21 (e)

205,000

196,800

Eileme 2 AB 11.625% 1/31/20 (e)

220,000

241,175

FairPoint Communications, Inc. 8.75% 8/15/19 (e)

245,000

257,250

GCI, Inc. 6.875% 4/15/25

85,000

86,488

GCX Ltd. 7% 8/1/19 (Reg. S)

200,000

202,006

Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (Reg. S)

250,000

256,324

Intelsat Jackson Holdings SA:

5.5% 8/1/23

165,000

149,738

6.625% 12/15/22 (Reg. S)

345,000

314,813

Intelsat Luxembourg SA 8.125% 6/1/23

285,000

226,575

Level 3 Communications, Inc. 5.75% 12/1/22

120,000

120,900

Millicom International Cellular SA 6.625% 10/15/21 (e)

400,000

416,000

MTS International Funding Ltd.:

5% 5/30/23 (e)

350,000

316,750

8.625% 6/22/20 (e)

450,000

488,876

Numericable Group SA 6% 5/15/22 (e)

755,000

768,213

Portugal Telecom International Finance BV 5.625% 2/8/16

EUR

100,000

111,385

Sable International Finance Ltd. 6.875% 8/1/22 (e)

600,000

591,864

SBA Communications Corp. 4.875% 7/15/22

305,000

300,425

Sprint Capital Corp.:

6.875% 11/15/28

205,000

173,738

6.9% 5/1/19

615,000

602,700

8.75% 3/15/32

175,000

165,594

Sprint Corp.:

7.125% 6/15/24

165,000

150,975

7.875% 9/15/23

530,000

508,138

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Telecommunications - continued

T-Mobile U.S.A., Inc.:

6.25% 4/1/21

$ 180,000

$ 188,550

6.625% 4/1/23

325,000

346,125

6.731% 4/28/22

205,000

217,300

6.836% 4/28/23

80,000

85,600

TBG Global Pte. Ltd.:

4.625% 4/3/18 (e)

400,000

401,000

5.25% 2/10/22 (Reg. S)

200,000

195,354

Telecom Italia SpA 4.875% 9/25/20 (Reg. S)

EUR

500,000

622,114

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (e)

400,000

413,880

Telenet Finance Luxembourg S.C.A. 6.25% 8/15/22 (Reg. S)

EUR

100,000

118,611

Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications)

150,000

163,500

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (e)

300,000

309,420

Wind Acquisition Finance SA:

4% 7/15/20 (Reg S.)

EUR

350,000

392,556

4.75% 7/15/20 (e)

270,000

276,075

 

14,148,109

Textiles/Apparel - 0.3%

Golden Legacy Pte Ltd. 9% 4/24/19 (Reg. S)

200,000

196,000

Texhong Textile Group Ltd. 6.5% 1/18/19 (Reg. S)

200,000

199,500

 

395,500

Transportation Ex Air/Rail - 0.5%

Car, Inc. 6.125% 2/4/20 (Reg. S)

200,000

202,500

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (e)

155,000

152,675

TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19

115,000

124,775

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

155,000

129,813

 

609,763

Utilities - 6.4%

Calpine Corp. 7.875% 1/15/23 (e)

206,000

221,064

Dynegy, Inc.:

6.75% 11/1/19 (e)

125,000

129,063

7.375% 11/1/22 (e)

125,000

129,531

7.625% 11/1/24 (e)

165,000

170,363

Nonconvertible Bonds - continued

 

Principal
Amount (d)

Value

Utilities - continued

Enel SpA 5% 1/15/75 (h)

EUR

100,000

$ 118,303

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc. 11.75% 3/1/22 (c)(e)

1,154,435

1,252,562

GenOn Energy, Inc. 9.875% 10/15/20

385,000

384,038

InterGen NV 7% 6/30/23 (e)

610,000

549,000

Listrindo Capital BV 6.95% 2/21/19 (e)

400,000

419,500

Majapahit Holding BV 7.875% 6/29/37 (Reg. S)

200,000

230,000

Mirant Americas Generation LLC 9.125% 5/1/31

50,000

45,000

NRG Energy, Inc. 6.625% 3/15/23

445,000

451,675

NSG Holdings II, LLC 7.75% 12/15/25 (e)

351,483

387,510

Petrobras International Finance Co. Ltd. 5.375% 1/27/21

300,000

279,288

PPL Energy Supply LLC 6.5% 6/1/25 (e)

65,000

63,700

RJS Power Holdings LLC 5.125% 7/15/19 (e)

410,000

397,700

Techem GmbH 6.125% 10/1/19 (Reg. S)

EUR

300,000

345,537

TXU Corp.:

5.55% 11/15/14 (c)

1,361,000

1,415,440

6.5% 11/15/24 (c)

475,000

494,000

6.55% 11/15/34 (c)

1,000,000

1,040,000

 

8,523,274

TOTAL NONCONVERTIBLE BONDS

(Cost $114,473,110)


112,807,984

Government Obligations - 0.2%

 

Germany - 0.2%

German Federal Republic 0% 12/11/15
(Cost $278,106)

EUR

250,000


274,823

Common Stocks - 1.5%

Shares

 

Automotive & Auto Parts - 0.3%

Chassix Holdings, Inc.

3,510

81,011

General Motors Co.

6,968

219,562

Trinseo SA (a)

4,600

112,056

 

412,629

Broadcasting - 0.1%

Cumulus Media, Inc. Class A (a)

83,000

136,950

Common Stocks - continued

Shares

Value

Chemicals - 0.2%

LyondellBasell Industries NV Class A

2,500

$ 234,575

Westlake Chemical Partners LP

100

2,140

 

236,715

Electric Utilities No Longer Use - 0.1%

NRG Yield, Inc. Class C

7,000

135,030

Energy - 0.1%

The Williams Companies, Inc.

1,900

99,712

Healthcare - 0.0%

Legend Acquisition, Inc.

2,128

31,920

Legend Acquisition, Inc.:

Class A warrants (a)

2,195

0

Class B warrants (a)

2,894

0

 

31,920

Homebuilders/Real Estate - 0.2%

Realogy Holdings Corp. (a)

3,900

177,528

Hotels - 0.2%

Extended Stay America, Inc. unit

15,000

285,000

Services - 0.3%

ARAMARK Holdings Corp.

7,900

251,378

United Rentals, Inc. (a)

1,800

120,582

WP Rocket Holdings, Inc. (a)(i)

356,213

42,746

 

414,706

Telecommunications - 0.0%

Broadview Networks Holdings, Inc. (a)

12,187

16,452

TOTAL COMMON STOCKS

(Cost $2,604,475)


1,946,642

Preferred Stocks - 0.7%

 

 

 

 

Convertible Preferred Stocks - 0.4%

Healthcare - 0.2%

Allergan PLC 5.50%

200

222,426

Homebuilders/Real Estate - 0.2%

American Tower Corp. 5.50% (a)

2,700

273,969

TOTAL CONVERTIBLE PREFERRED STOCKS

496,395

Nonconvertible Preferred Stocks - 0.3%

Banks & Thrifts - 0.3%

Ally Financial, Inc. 7.00% (e)

355

360,469

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

Services - 0.0%

WP Rocket Holdings, Inc.:

15.00% (a)

58,865

$ 58,865

Class C 19.50% (i)

14,869

14,869

 

73,734

TOTAL NONCONVERTIBLE PREFERRED STOCKS

434,203

TOTAL PREFERRED STOCKS

(Cost $811,153)


930,598

Bank Loan Obligations - 1.8%

 

Principal
Amount (d)

 

Automotive & Auto Parts - 0.0%

Chassix, Inc. term loan 12% 7/29/19

$ 44,996

45,446

Cable/Satellite TV - 0.1%

Liberty Cablevision of Puerto Rico:

Tranche 1LN, term loan 4.5% 1/7/22 (h)

20,000

19,550

Tranche 2LN, term loan 7.75% 7/7/23 (h)

85,000

84,150

 

103,700

Diversified Media - 0.3%

McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (h)

436,464

437,010

Energy - 0.4%

Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (h)

69,262

69,522

Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (h)

159,196

131,337

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (h)

300,000

160,500

Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (h)

49,000

39,078

Panda Sherman Power, LLC term loan 9% 9/14/18 (h)

64,533

63,565

Sheridan Investment Partners I term loan 4.25% 12/16/20 (h)

74,056

62,578

Sheridan Production Partners I:

Tranche A, term loan 4.25% 12/16/20 (h)

10,302

8,705

Tranche M, term loan 4.25% 12/16/20 (h)

3,842

3,246

Targa Resources Corp. term loan 5.75% 2/27/22 (h)

27,907

28,153

 

566,684

Bank Loan Obligations - continued

 

Principal
Amount (d)

Value

Healthcare - 0.5%

Dialysis Newco, Inc.:

Tranche 2LN, term loan 7.75% 10/22/21 (h)

$ 130,000

$ 130,650

Tranche B 1LN, term loan 4.5% 4/23/21 (h)

103,950

103,950

Rural/Metro Corp.:

Tranche 2LN, term loan 14.5% 1/31/16

1,651

1,544

Tranche B, term loan 19.5% 1/31/16

5,396

5,045

U.S. Renal Care, Inc.:

Tranche 2LN, term loan 8.5% 1/3/20 (h)

20,000

20,225

Tranche B 2LN, term loan 4.25% 7/3/19 (h)

360,340

360,791

 

622,205

Homebuilders/Real Estate - 0.1%

DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (h)

55,000

54,931

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (h)

62,739

62,112

 

117,043

Metals/Mining - 0.0%

Ameriforge Group, Inc. Tranche B 2LN, term loan 8.75% 12/19/20 (h)

20,000

14,950

Technology - 0.4%

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (h)

310,000

319,300

Renaissance Learning, Inc.:

Tranche 1LN, term loan 4.5% 4/9/21 (h)

108,625

107,539

Tranche 2LN, term loan 8% 4/9/22 (h)

95,000

93,338

 

520,177

Telecommunications - 0.0%

LTS Buyer LLC Tranche 2LN, term loan 8% 4/12/21 (h)

6,325

6,262

TOTAL BANK LOAN OBLIGATIONS

(Cost $2,577,094)


2,433,477

Preferred Securities - 5.3%

 

Banks & Thrifts - 2.9%

Banco Do Brasil SA 9% (e)(f)(h)

250,000

217,005

Bank of America Corp.:

5.2% (f)(h)

345,000

328,066

6.1% (f)(h)

105,000

106,912

Bank of East Asia Ltd. 8.5% (f)(h)

100,000

117,974

Barclays Bank PLC 7.625% 11/21/22

605,000

706,666

Barclays PLC 8% (f)(h)

EUR

200,000

241,938

Preferred Securities - continued

 

Principal
Amount (d)

Value

Banks & Thrifts - continued

Chong Hing Bank Ltd. 6.5% (f)(h)

$ 200,000

$ 210,575

Credit Agricole SA:

6.5%(Reg S.) (f)(h)

EUR

200,000

228,425

6.625% (e)(f)(h)

315,000

316,030

ICICI Bank Ltd. 7.25% (Reg S.) (f)(h)

200,000

207,872

Intesa Sanpaolo SpA 8.047% (f)(h)

EUR

250,000

310,464

JPMorgan Chase & Co. 5.15% (f)(h)

415,000

398,473

Royal Bank of Scotland Group PLC 7.0916% (f)(h)

EUR

50,000

61,804

Societe Generale 6.999% (f)(h)

EUR

200,000

252,082

UniCredit International Bank Luxembourg SA 8.125% (f)(h)

EUR

100,000

126,472

Wells Fargo & Co. 5.875% (f)(h)

70,000

72,191

 

3,902,949

Consumer Products - 0.4%

Cosan Overseas Ltd. 8.25% (f)

600,000

593,837

Diversified Financial Services - 1.6%

Baggot Securities Ltd. 10.24% (Reg. S) (f)

EUR

100,000

118,218

Citigroup, Inc. 5.35% (f)(h)

1,885,000

1,803,609

Hutchison Whampoa Europe Finance, Ltd. 3.75% (Reg. S) (f)(h)

EUR

250,000

285,141

 

2,206,968

Insurance - 0.1%

Groupama SA 6.298% (f)(h)

EUR

100,000

119,581

Telecommunications - 0.3%

Telefonica Europe BV 5% (Reg. S) (f)(h)

EUR

300,000

348,008

TOTAL PREFERRED SECURITIES

(Cost $7,250,898)


7,171,343

Money Market Funds - 5.2%

Shares

 

Fidelity Cash Central Fund, 0.17% (b)
(Cost $6,958,213)

6,958,213


6,958,213

TOTAL INVESTMENT PORTFOLIO - 98.9%

(Cost $134,953,049)

132,523,080

NET OTHER ASSETS (LIABILITIES) - 1.1%

1,513,408

NET ASSETS - 100%

$ 134,036,488

Currency Abbreviations

EUR

-

European Monetary Unit

GBP

-

British pound

Legend

(a) Non-income producing

(b) 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.

(c) Non-income producing - Security is in default.

(d) Amount is stated in United States dollars unless otherwise noted.

(e) 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 $52,168,771 or 38.9% of net assets.

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

(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(i) Restricted securities - 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 $57,615 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

WP Rocket Holdings, Inc.

6/24/11 - 2/2/15

$ 184,731

WP Rocket Holdings, Inc. Class C 19.50%

2/2/15

$ 14,869

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

Fidelity Cash Central Fund

$ 2,448

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 973,901

$ 892,890

$ -

$ 81,011

Energy

99,712

99,712

-

-

Financials

811,966

451,497

360,469

-

Health Care

254,346

222,426

-

31,920

Industrials

237,062

120,582

-

116,480

Materials

348,771

348,771

-

-

Telecommunication Services

16,452

16,452

-

-

Utilities

135,030

135,030

-

-

Corporate Bonds

112,807,984

-

112,807,984

-

Government Obligations

274,823

-

274,823

-

Bank Loan Obligations

2,433,477

-

2,234,126

199,351

Preferred Securities

7,171,343

-

7,171,343

-

Money Market Funds

6,958,213

6,958,213

-

-

Total Investments in Securities:

$ 132,523,080

$ 9,245,573

$ 122,848,745

$ 428,762

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $134,661,667. Net unrealized depreciation aggregated $2,138,587, of which $4,691,920 related to appreciated investment securities and $6,830,507 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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.

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.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

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.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® High Income Fund

July 31, 2015 

1.804875.111

SPH-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 79.6%

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - 0.1%

Capital Goods - 0.0%

General Cable Corp. 4.5% 11/15/29 (d)

$ 1,126

$ 842

Metals/Mining - 0.1%

Peabody Energy Corp. 4.75% 12/15/41

25,752

2,849

TOTAL CONVERTIBLE BONDS

3,691

Nonconvertible Bonds - 79.5%

Aerospace - 0.3%

Bombardier, Inc. 7.5% 3/15/25 (f)

4,045

3,347

Huntington Ingalls Industries, Inc.:

5% 12/15/21 (f)

3,650

3,750

7.125% 3/15/21

3,175

3,362

TransDigm, Inc. 6% 7/15/22

6,310

6,294

 

16,753

Air Transportation - 0.1%

Air Canada 7.75% 4/15/21 (f)

1,680

1,806

U.S. Airways pass-thru certificates Series 2013-1 Class B, 5.375% 5/15/23

2,915

2,995

United Continental Holdings, Inc. 6.375% 6/1/18

1,270

1,334

 

6,135

Automotive & Auto Parts - 0.6%

Dana Holding Corp. 6.75% 2/15/21

2,802

2,949

Gates Global LLC / Gates Global Co. 6% 7/15/22 (f)

3,355

2,978

Schaeffler Finance BV 4.75% 5/15/21 (f)

11,095

11,123

Schaeffler Holding Finance BV:

6.75% 11/15/22 pay-in-kind (f)(i)

3,330

3,605

6.875% 8/15/18 pay-in-kind (f)(i)

3,825

3,959

ZF North America Capital, Inc. 4% 4/29/20 (f)

4,380

4,418

 

29,032

Banks & Thrifts - 0.4%

Ocwen Financial Corp. 7.125% 5/15/19 (f)(i)

1,765

1,668

Royal Bank of Scotland Group PLC 5.125% 5/28/24

17,130

17,329

 

18,997

Broadcasting - 0.6%

Clear Channel Communications, Inc.:

5.5% 12/15/16

7,535

7,045

10% 1/15/18

19,255

15,404

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Broadcasting - continued

Clear Channel Communications, Inc.: - continued

11.25% 3/1/21

$ 4,185

$ 3,997

Starz LLC/Starz Finance Corp. 5% 9/15/19

2,680

2,727

 

29,173

Building Materials - 2.0%

Building Materials Corp. of America 6.75% 5/1/21 (f)

3,080

3,234

CEMEX Espana SA (Luxembourg) 9.875% 4/30/19 (f)

11,380

12,461

CEMEX Finance LLC:

6% 4/1/24 (f)

4,395

4,418

9.375% 10/12/22 (f)

17,455

19,523

CEMEX S.A.B. de CV:

5.875% 3/25/19 (f)

4,030

4,101

7.25% 1/15/21 (f)

19,665

20,943

CPG Merger Sub LLC 8% 10/1/21 (f)

4,055

4,136

HD Supply, Inc. 7.5% 7/15/20

12,505

13,349

Ply Gem Industries, Inc. 6.5% 2/1/22

5,865

5,799

USG Corp.:

5.5% 3/1/25 (f)

2,150

2,155

5.875% 11/1/21 (f)

3,875

4,059

7.875% 3/30/20 (f)

7,965

8,513

 

102,691

Cable/Satellite TV - 2.6%

Altice SA:

5.375% 7/15/23 (f)

9,165

9,211

7.75% 7/15/25 (f)

6,420

6,308

7.75% 7/15/25 (f)

5,770

5,727

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

3,400

3,370

5.25% 3/15/21

3,970

4,039

5.75% 9/1/23

6,260

6,409

6.5% 4/30/21

15,660

16,374

6.625% 1/31/22

11,585

12,237

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f)

10,990

11,072

Cequel Communications Holdings I LLC/Cequel Capital Corp.:

5.125% 12/15/21 (f)

2,200

2,043

5.125% 12/15/21 (f)

3,760

3,492

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Cable/Satellite TV - continued

DISH DBS Corp.:

5% 3/15/23

$ 6,810

$ 6,376

5.875% 7/15/22

4,085

4,065

6.75% 6/1/21

8,003

8,463

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (f)

1,010

1,055

UPCB Finance V Ltd. 7.25% 11/15/21 (f)

5,594

6,027

UPCB Finance VI Ltd. 6.875% 1/15/22 (f)

3,051

3,257

Virgin Media Finance PLC 4.875% 2/15/22

5,635

5,226

VTR Finance BV 6.875% 1/15/24 (f)

6,835

6,955

WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f)

10,392

10,626

 

132,332

Capital Goods - 1.0%

AECOM Technology Corp. 5.75% 10/15/22 (f)

3,225

3,273

Amsted Industries, Inc. 5% 3/15/22 (f)

3,440

3,431

Belden, Inc. 5.25% 7/15/24 (f)

1,645

1,616

General Cable Corp. 5.75% 10/1/22 (i)

19,670

18,047

Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (f)

18,020

13,335

SPL Logistics Escrow LLC/SPL Logistics Finance Corp. 8.875% 8/1/20 (f)

8,660

9,245

 

48,947

Chemicals - 2.5%

A. Schulman, Inc. 6.875% 6/1/23 (f)

7,880

7,979

Chemtura Corp. 5.75% 7/15/21

3,105

3,136

Evolution Escrow Issuer LLC 7.5% 3/15/22 (f)

8,210

6,732

Hexion U.S. Finance Corp. 6.625% 4/15/20

1,767

1,619

Huntsman International LLC 4.875% 11/15/20

4,205

4,121

LSB Industries, Inc. 7.75% 8/1/19

2,250

2,368

Momentive Performance Materials, Inc. 3.88% 10/24/21

15,830

13,733

MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (c)

15,830

0

Platform Specialty Products Corp. 6.5% 2/1/22 (f)

6,090

6,303

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (f)

22,525

22,018

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 6.75% 5/1/22 (f)

2,440

2,452

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Chemicals - continued

Tronox Finance LLC 6.375% 8/15/20

$ 60,170

$ 49,339

W.R. Grace & Co. - Conn:

5.125% 10/1/21 (f)

4,485

4,530

5.625% 10/1/24 (f)

1,800

1,836

 

126,166

Consumer Products - 0.2%

Elizabeth Arden, Inc. 7.375% 3/15/21

5,720

4,118

Spectrum Brands Holdings, Inc.:

6.375% 11/15/20

1,910

2,034

6.625% 11/15/22

2,255

2,413

 

8,565

Containers - 4.0%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (f)(i)

21,180

21,899

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (f)

7,410

7,382

6.25% 1/31/19 (f)

9,025

9,273

6.75% 1/31/21 (f)

31,530

32,318

7% 11/15/20 (f)

2,189

2,211

9.125% 10/15/20 (f)

24,917

26,132

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f)

27,235

24,512

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23

1,795

1,741

Graphic Packaging International, Inc. 4.75% 4/15/21

2,000

2,042

Owens-Brockway Glass Container, Inc.:

5% 1/15/22 (f)

6,190

6,190

5.375% 1/15/25 (f)

4,130

4,099

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

13,965

14,454

6.875% 2/15/21

15,710

16,420

8.25% 2/15/21 (i)

18,181

18,863

Sealed Air Corp.:

5.25% 4/1/23 (f)

6,590

6,689

6.5% 12/1/20 (f)

7,805

8,664

 

202,889

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Financial Services - 4.7%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

3.75% 5/15/19

$ 9,630

$ 9,652

4.5% 5/15/21

12,675

12,865

Aircastle Ltd.:

4.625% 12/15/18

7,440

7,765

5.125% 3/15/21

12,830

13,215

5.5% 2/15/22

3,085

3,216

6.25% 12/1/19

7,745

8,587

7.625% 4/15/20

4,630

5,348

CIT Group, Inc.:

3.875% 2/19/19

11,695

11,753

5% 8/15/22

5,515

5,605

5.375% 5/15/20

11,850

12,524

5.5% 2/15/19 (f)

6,890

7,286

FLY Leasing Ltd.:

6.375% 10/15/21

3,378

3,429

6.75% 12/15/20

4,320

4,460

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

18,370

18,944

6% 8/1/20

11,915

12,541

ILFC E-Capital Trust I 4.69% 12/21/65 (f)(i)

4,040

3,929

International Lease Finance Corp.:

4.625% 4/15/21

6,665

6,806

5.875% 8/15/22

4,115

4,485

6.25% 5/15/19

8,165

8,899

8.25% 12/15/20

3,000

3,593

8.625% 1/15/22

7,715

9,489

8.75% 3/15/17 (i)

5,356

5,841

National Financial Partners Corp. 9% 7/15/21 (f)

6,570

6,586

SLM Corp.:

4.875% 6/17/19

17,170

16,397

5.5% 1/25/23

3,425

2,997

6.125% 3/25/24

5,985

5,327

7.25% 1/25/22

4,400

4,345

8% 3/25/20

15,072

15,675

8.45% 6/15/18

6,045

6,529

 

238,088

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Media - 1.4%

Clear Channel Worldwide Holdings, Inc.:

Series A:

6.5% 11/15/22

$ 7,860

$ 8,076

7.625% 3/15/20

10,040

10,404

Series B, 6.5% 11/15/22

9,290

9,685

MDC Partners, Inc. 6.75% 4/1/20 (f)

19,450

19,256

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20

4,470

4,559

5% 4/15/22 (f)

22,650

22,452

 

74,432

Electric Utilities No Longer Use - 0.3%

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

1,250

1,172

7% 6/15/23 (f)

14,135

13,605

 

14,777

Energy - 7.7%

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

3,365

3,525

7% 5/20/22

5,205

5,536

AmeriGas Partners LP/AmeriGas Finance Corp.:

6.25% 8/20/19

3,335

3,423

6.5% 5/20/21

2,350

2,444

Antero Resources Corp.:

5.125% 12/1/22

1,440

1,361

5.625% 6/1/23 (f)

5,005

4,817

Antero Resources Finance Corp. 5.375% 11/1/21

7,240

7,041

Baytex Energy Corp.:

5.125% 6/1/21 (f)

3,125

2,781

5.625% 6/1/24 (f)

3,950

3,397

California Resources Corp.:

5% 1/15/20

6,780

5,814

6% 11/15/24

5,995

4,856

Chesapeake Energy Corp.:

4.875% 4/15/22

13,800

11,109

5.375% 6/15/21

11,565

9,715

5.75% 3/15/23

3,500

2,958

6.125% 2/15/21

5,260

4,537

6.875% 11/15/20

2,670

2,396

Citgo Petroleum Corp. 6.25% 8/15/22 (f)

17,365

17,018

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

Clayton Williams Energy, Inc. 7.75% 4/1/19

$ 2,245

$ 1,992

Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22

4,755

4,482

Consolidated Energy Finance SA 6.75% 10/15/19 (f)

16,960

17,130

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6% 12/15/20

11,370

11,455

6.125% 3/1/22

4,745

4,686

6.25% 4/1/23 (f)

4,535

4,558

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

11,663

11,721

Endeavor Energy Resources LP/EER Finance, Inc.:

7% 8/15/21 (f)

7,240

6,950

8.125% 9/15/23 (f)

1,425

1,417

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (f)

9,180

6,931

EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22

2,525

2,519

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

6,955

7,181

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21

8,828

8,850

Gulfmark Offshore, Inc. 6.375% 3/15/22

5,950

4,388

Halcon Resources Corp. 8.625% 2/1/20 (f)

2,650

2,531

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (f)

8,875

8,254

5.75% 10/1/25 (f)

4,380

4,161

Hornbeck Offshore Services, Inc.:

5% 3/1/21

250

198

5.875% 4/1/20

505

427

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (i)

27,480

16,642

6.5% 5/15/19

9,250

5,689

8.625% 4/15/20

1,770

1,089

NGL Energy Partners LP/NGL Energy Finance Corp. 5.125% 7/15/19

3,695

3,598

Noble Energy, Inc.:

5.625% 5/1/21

5,965

6,322

5.875% 6/1/24

6,975

7,569

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

4,065

4,146

Pacific Drilling SA 5.375% 6/1/20 (f)

3,700

2,849

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

PetroBakken Energy Ltd. 8.625% 2/1/20 (f)

$ 11,885

$ 5,096

Regency Energy Partners LP/Regency Energy Finance Corp. 5.5% 4/15/23

3,870

3,880

Rose Rock Midstream LP/ Rose Rock Finance Corp.:

5.625% 7/15/22

2,685

2,591

5.625% 11/15/23 (f)

4,380

4,161

RSP Permian, Inc. 6.625% 10/1/22 (f)

2,650

2,670

Sabine Pass Liquefaction LLC:

5.625% 2/1/21 (i)

6,320

6,446

5.625% 4/15/23

16,100

15,939

5.625% 3/1/25 (f)

10,105

9,953

5.75% 5/15/24

10,800

10,739

6.25% 3/15/22

15,930

16,408

SemGroup Corp. 7.5% 6/15/21

6,010

6,250

Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17

3,221

3,380

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (f)

2,625

2,573

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (f)

3,785

3,889

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

4.25% 11/15/23

5,295

4,898

5.25% 5/1/23

2,920

2,884

6.375% 8/1/22

2,365

2,454

6.625% 10/1/20 (Reg. S) (f)

5,190

5,424

6.875% 2/1/21

5,584

5,807

Teine Energy Ltd. 6.875% 9/30/22 (f)

410

381

TerraForm Power Operating LLC:

5.875% 2/1/23 (f)

5,825

5,880

6.125% 6/15/25 (f)

1,655

1,659

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.875% 10/1/20

5,955

6,178

6.125% 10/15/21

6,660

6,943

6.25% 10/15/22 (f)

3,705

3,872

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23

2,305

2,368

 

393,186

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Entertainment/Film - 0.4%

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

$ 7,095

$ 7,130

5.625% 2/15/24

2,800

2,856

5.875% 3/15/25

10,155

10,434

 

20,420

Environmental - 2.0%

ADS Waste Holdings, Inc. 8.25% 10/1/20

13,535

14,144

Clean Harbors, Inc.:

5.125% 6/1/21

5,715

5,758

5.25% 8/1/20

5,810

5,949

Covanta Holding Corp.:

5.875% 3/1/24

2,110

2,068

6.375% 10/1/22

6,490

6,815

7.25% 12/1/20

4,832

5,062

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f)

18,820

19,573

Tervita Corp.:

8% 11/15/18 (f)

34,750

30,580

9.75% 11/1/19 (f)

10,805

6,483

10.875% 2/15/18 (f)

9,760

6,051

 

102,483

Food & Drug Retail - 1.5%

BI-LO LLC/BI-LO Finance Corp.:

8.625% 9/15/18 pay-in-kind (f)(i)

20,885

18,953

9.25% 2/15/19 (f)

21,520

21,843

Rite Aid Corp.:

6.75% 6/15/21

15,800

16,788

7.7% 2/15/27

3,030

3,530

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (f)

14,485

14,376

 

75,490

Food/Beverage/Tobacco - 4.9%

C&S Group Enterprises LLC 5.375% 7/15/22 (f)

33,260

31,098

ESAL GmbH 6.25% 2/5/23 (f)

19,570

19,276

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (f)

14,490

15,178

H.J. Heinz Co. 6.375% 7/15/28

1,205

1,362

H.J. Heinz Finance Co. 7.125% 8/1/39 (f)

4,940

6,226

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Food/Beverage/Tobacco - continued

JBS Investments GmbH:

7.25% 4/3/24 (f)

$ 8,250

$ 8,467

7.75% 10/28/20 (f)

24,505

26,465

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (f)

4,150

4,112

7.25% 6/1/21 (f)

14,720

15,474

7.25% 6/1/21 (f)

5,070

5,330

8.25% 2/1/20 (f)

15,785

16,732

Minerva Luxmbourg SA 7.75% 1/31/23 (f)

25,490

25,610

Post Holdings, Inc.:

6% 12/15/22 (f)

9,740

9,448

6.75% 12/1/21 (f)

20,295

20,447

7.375% 2/15/22

46,400

47,444

 

252,669

Gaming - 2.0%

Ameristar Casinos, Inc. 7.5% 4/15/21

3,915

4,160

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22

13,365

10,358

Eldorado Resorts, Inc. 7% 8/1/23 (f)

3,490

3,499

Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f)

11,070

11,513

Isle of Capri Casinos, Inc. 5.875% 3/15/21

1,860

1,930

MCE Finance Ltd. 5% 2/15/21 (f)

3,630

3,449

MGM Mirage, Inc.:

7.75% 3/15/22

2,230

2,475

8.625% 2/1/19

6,830

7,701

Pinnacle Entertainment, Inc. 6.375% 8/1/21

9,870

10,647

Scientific Games Corp.:

6.625% 5/15/21

17,550

13,952

7% 1/1/22 (f)

4,130

4,280

10% 12/1/22

9,785

9,504

Seminole Hard Rock Entertainment, Inc. 5.875% 5/15/21 (f)

3,705

3,770

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.375% 3/15/22

7,235

7,298

Wynn Macau Ltd. 5.25% 10/15/21 (f)

6,920

6,583

 

101,119

Healthcare - 11.1%

Alere, Inc. 6.5% 6/15/20

8,995

9,355

AmSurg Corp. 5.625% 7/15/22

7,725

7,946

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

Community Health Systems, Inc.:

5.125% 8/1/21

$ 25,040

$ 25,979

6.875% 2/1/22

55,530

59,417

7.125% 7/15/20

8,705

9,271

Concordia Healthcare Corp. 7% 4/15/23 (f)

3,480

3,545

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

2,160

2,203

DaVita HealthCare Partners, Inc.:

5% 5/1/25

8,445

8,350

5.125% 7/15/24

9,575

9,649

DJO Finco, Inc. 8.125% 6/15/21 (f)

8,770

9,011

Endo Finance LLC:

5.375% 1/15/23 (f)

12,300

12,431

7% 12/15/20 (f)

2,727

2,863

Endo Finance LLC/Endo Ltd./Endo Finco, Inc. 6% 7/15/23 (f)

6,680

6,947

HCA Holdings, Inc.:

5.875% 3/15/22

9,465

10,376

5.875% 5/1/23

12,595

13,540

6.25% 2/15/21

7,735

8,470

6.5% 2/15/20

16,520

18,471

7.5% 11/6/33

2,576

2,782

Hologic, Inc. 5.25% 7/15/22 (f)

5,755

5,942

Horizon Pharma Financing, Inc. 6.625% 5/1/23 (f)

6,575

6,904

Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (f)

1,660

1,768

JLL/Delta Dutch Newco BV 7.5% 2/1/22 (f)

740

777

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (f)(i)

2,850

2,939

Kindred Escrow Corp. II:

8% 1/15/20 (f)

16,015

17,336

8.75% 1/15/23 (f)

2,055

2,266

LifePoint Hospitals, Inc. 5.5% 12/1/21

3,460

3,590

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (f)

2,545

2,619

5.5% 4/15/25 (f)

2,120

2,136

5.75% 8/1/22 (f)

5,305

5,530

MPT Operating Partnership LP/MPT Finance Corp. 5.5% 5/1/24

2,615

2,693

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

Omega Healthcare Investors, Inc. 6.75% 10/15/22

$ 4,188

$ 4,361

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

10,645

10,991

5.5% 2/1/21

16,370

16,984

Service Corp. International 4.5% 11/15/20

3,835

3,950

Surgical Care Affiliates, Inc. 6% 4/1/23 (f)

4,185

4,248

Tenet Healthcare Corp.:

3.7861% 6/15/20 (f)(i)

7,975

8,204

4.375% 10/1/21

23,865

23,990

4.5% 4/1/21

780

784

4.75% 6/1/20

5,245

5,402

5% 3/1/19 (f)

9,110

9,201

6% 10/1/20

7,130

7,754

6.75% 2/1/20

5,005

5,293

6.75% 6/15/23 (f)

8,430

8,809

8.125% 4/1/22

58,590

65,720

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (f)

18,640

19,153

5.5% 3/1/23 (f)

7,010

7,168

5.625% 12/1/21 (f)

3,595

3,703

5.875% 5/15/23 (f)

15,440

16,056

6.125% 4/15/25 (f)

12,700

13,272

6.75% 8/15/21 (f)

16,343

17,017

7.25% 7/15/22 (f)

6,655

7,021

VPI Escrow Corp. 6.375% 10/15/20 (f)

25,390

26,755

Wellcare Health Plans, Inc. 5.75% 11/15/20

4,375

4,594

 

565,536

Homebuilders/Real Estate - 1.1%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f)

4,345

4,236

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f)

3,715

3,752

Communications Sales & Leasing, Inc. 8.25% 10/15/23 (f)

2,020

1,929

KB Home:

7.25% 6/15/18

1,690

1,821

8% 3/15/20

4,030

4,453

Lennar Corp. 4.5% 6/15/19

1,122

1,158

Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 12/1/21 (f)

4,130

4,233

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Homebuilders/Real Estate - continued

Standard Pacific Corp. 8.375% 1/15/21

$ 6,321

$ 7,443

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (f)

10,197

9,917

TRI Pointe Homes, Inc.:

4.375% 6/15/19

4,055

4,014

5.875% 6/15/24

2,965

2,921

WCI Communities, Inc. 6.875% 8/15/21

2,860

2,967

William Lyon Homes, Inc.:

5.75% 4/15/19

2,530

2,549

8.5% 11/15/20

7,090

7,639

 

59,032

Insurance - 1.3%

Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (f)(h)

6,545

6,545

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f)

41,330

42,208

Hub Holdings LLC / Hub Holdings Finance, Inc. 8.125% 7/15/19 pay-in-kind (f)(i)

17,840

17,840

 

66,593

Leisure - 0.5%

24 Hour Holdings III LLC 8% 6/1/22 (f)

12,230

9,723

Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21

8,942

9,266

NCL Corp. Ltd. 5.25% 11/15/19 (f)

6,190

6,407

 

25,396

Metals/Mining - 1.5%

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (f)

3,945

3,935

Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp. 6.375% 3/15/24

2,025

1,235

CONSOL Energy, Inc. 5.875% 4/15/22

17,230

13,386

Eldorado Gold Corp. 6.125% 12/15/20 (f)

3,800

3,477

First Quantum Minerals Ltd.:

6.75% 2/15/20 (f)

3,250

2,503

7% 2/15/21 (f)

14,825

11,304

7.25% 5/15/22 (f)

6,790

5,042

FMG Resources (August 2006) Pty Ltd. 8.25% 11/1/19 (f)

2,495

1,815

Imperial Metals Corp. 7% 3/15/19 (f)

1,275

1,211

Murray Energy Corp. 11.25% 4/15/21 (f)

13,590

8,358

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Metals/Mining - continued

Peabody Energy Corp.:

6% 11/15/18

$ 8,990

$ 3,281

7.875% 11/1/26

5,270

1,476

10% 3/15/22 (f)

6,125

3,124

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (f)

3,375

3,299

8.25% 1/15/21 (f)

7,505

7,336

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.:

7.375% 2/1/20 (f)

1,330

1,303

7.375% 2/1/20 (f)

2,995

2,935

Walter Energy, Inc.:

9.5% 10/15/19 (c)(f)

8,100

4,030

12% 4/1/20 pay-in-kind (c)(f)(i)

10,109

202

 

79,252

Paper - 0.4%

NewPage Corp. 11.375% 12/31/14 (c)

30,721

0

Xerium Technologies, Inc. 8.875% 6/15/18

20,125

20,729

Publishing/Printing - 0.1%

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(i)

5,380

5,461

Restaurants - 0.2%

Landry's Acquisition Co. 9.375% 5/1/20 (f)

5,220

5,598

Landry's Holdings II, Inc. 10.25% 1/1/18 (f)

5,630

5,866

 

11,464

Services - 3.6%

Anna Merger Sub, Inc. 7.75% 10/1/22 (f)

16,205

16,002

APX Group, Inc.:

6.375% 12/1/19

29,630

28,963

8.75% 12/1/20

16,940

15,373

ARAMARK Corp. 5.75% 3/15/20

4,440

4,640

Audatex North America, Inc. 6% 6/15/21 (f)

4,455

4,550

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:

5.125% 6/1/22 (f)

6,440

6,408

5.5% 4/1/23

4,125

4,146

Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (f)

13,530

12,515

Corrections Corp. of America 4.125% 4/1/20

6,105

6,120

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Services - continued

Hertz Corp.:

5.875% 10/15/20

$ 5,815

$ 5,917

6.25% 10/15/22

7,300

7,446

IHS, Inc. 5% 11/1/22 (f)

4,120

4,125

Laureate Education, Inc. 10% 9/1/19 (f)(i)

67,979

63,985

The GEO Group, Inc. 6.625% 2/15/21

1,988

2,082

TMS International Corp. 7.625% 10/15/21 (f)

1,340

1,299

 

183,571

Steel - 1.6%

Cliffs Natural Resources, Inc. 8.25% 3/31/20 (f)

7,635

6,929

Commercial Metals Co. 4.875% 5/15/23

5,500

5,033

Evraz, Inc. NA Canada 7.5% 11/15/19 (f)

5,295

5,242

JMC Steel Group, Inc. 8.25% 3/15/18 (f)

37,275

33,082

Ryerson, Inc./Joseph T Ryerson & Son, Inc. 11.25% 10/15/18

2,418

2,382

Steel Dynamics, Inc.:

5.125% 10/1/21

15,335

15,297

5.5% 10/1/24

13,150

13,019

 

80,984

Super Retail - 2.7%

Argos Merger Sub, Inc. 7.125% 3/15/23 (f)

24,105

25,491

Asbury Automotive Group, Inc. 6% 12/15/24

6,190

6,438

Chinos Intermediate Holdings A, Inc. 7.75% 5/1/19 pay-in-kind (f)(i)

15,275

10,425

Claire's Stores, Inc.:

6.125% 3/15/20 (f)

6,325

4,997

7.75% 6/1/20 (f)

8,468

2,921

8.875% 3/15/19

1,119

484

9% 3/15/19 (f)

28,810

24,957

DPL, Inc. 7.75% 10/15/20 (f)

11,715

9,255

Family Tree Escrow LLC:

5.25% 3/1/20 (f)

1,665

1,757

5.75% 3/1/23 (f)

8,325

8,783

Hanesbrands, Inc. 6.375% 12/15/20

1,843

1,924

JC Penney Corp., Inc.:

5.65% 6/1/20

1,235

1,112

6.375% 10/15/36

3,180

2,274

7.4% 4/1/37

2,583

2,066

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Super Retail - continued

Serta Simmons Holdings, LLC 8.125% 10/1/20 (f)

$ 30,773

$ 32,658

The Bon-Ton Department Stores, Inc. 8% 6/15/21

1,700

1,275

 

136,817

Technology - 1.9%

ADT Corp. 6.25% 10/15/21

6,025

6,387

Avaya, Inc. 10.5% 3/1/21 (f)

3,973

3,228

Blue Coat Systems, Inc. 8.375% 6/1/23 (f)

4,705

4,811

BMC Software Finance, Inc. 8.125% 7/15/21 (f)

2,725

2,030

BMC Software, Inc. 7.25% 6/1/18

4,655

4,073

Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (f)(i)

2,400

1,488

CDW LLC/CDW Finance Corp. 5.5% 12/1/24

3,295

3,311

CommScope, Inc. 4.375% 6/15/20 (f)

4,705

4,734

Compiler Finance Sub, Inc. 7% 5/1/21 (f)

6,390

4,697

First Data Corp.:

6.75% 11/1/20 (f)

5,266

5,569

8.75% 1/15/22 pay-in-kind (f)(i)

2,582

2,737

10.625% 6/15/21

2,401

2,677

12.625% 1/15/21

2,217

2,566

Global Cash Access, Inc. 10% 1/15/22 (f)

3,610

3,520

Lucent Technologies, Inc.:

6.45% 3/15/29

17,140

18,083

6.5% 1/15/28

330

347

Micron Technology, Inc. 5.25% 1/15/24 (f)

4,385

4,210

NXP BV/NXP Funding LLC 3.75% 6/1/18 (f)

2,435

2,465

Sanmina Corp. 4.375% 6/1/19 (f)

7,080

7,186

VeriSign, Inc. 4.625% 5/1/23

4,455

4,310

WideOpenWest Finance LLC/WideOpenWest Capital Corp. 10.25% 7/15/19

10,520

11,140

 

99,569

Telecommunications - 11.4%

Alcatel-Lucent U.S.A., Inc.:

4.625% 7/1/17 (f)

2,645

2,731

6.75% 11/15/20 (f)

10,890

11,707

Altice Financing SA 6.5% 1/15/22 (f)

23,800

24,574

Altice Finco SA:

8.125% 1/15/24 (f)

19,575

20,358

9.875% 12/15/20 (f)

11,745

13,037

Altice SA 7.75% 5/15/22 (f)

57,500

57,931

Broadview Networks Holdings, Inc. 10.5% 11/15/17

9,374

8,671

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - continued

Columbus International, Inc. 7.375% 3/30/21 (f)

$ 32,965

$ 35,025

CommScope Technologies Finance LLC 6% 6/15/25 (f)

6,560

6,478

Crown Castle International Corp. 5.25% 1/15/23

4,630

4,850

Digicel Group Ltd.:

6% 4/15/21 (f)

27,030

25,476

6.75% 3/1/23 (f)

8,505

8,161

GCI, Inc. 6.875% 4/15/25

6,590

6,705

Inmarsat Finance PLC 4.875% 5/15/22 (f)

9,590

9,422

Intelsat Jackson Holdings SA:

5.5% 8/1/23

22,460

20,382

6.625% 12/15/22 (Reg. S)

4,520

4,125

7.5% 4/1/21

11,615

11,557

Intelsat Luxembourg SA 7.75% 6/1/21

14,300

11,369

Level 3 Financing, Inc.:

5.125% 5/1/23 (f)

13,140

12,779

5.375% 5/1/25 (f)

2,190

2,133

6.125% 1/15/21

7,470

7,834

MetroPCS Wireless, Inc. 6.625% 11/15/20

4,675

4,862

Millicom International Cellular SA 4.75% 5/22/20 (f)

4,010

3,900

Numericable Group SA:

4.875% 5/15/19 (f)

19,030

19,315

6% 5/15/22 (f)

18,095

18,412

6.25% 5/15/24 (f)

6,295

6,402

Sable International Finance Ltd. 6.875% 8/1/22 (f)

3,430

3,383

SBA Communications Corp. 5.625% 10/1/19

3,740

3,918

Sprint Capital Corp.:

6.875% 11/15/28

15,280

12,950

6.9% 5/1/19

32,719

32,065

Sprint Communications, Inc. 6% 11/15/22

26,940

23,667

Sprint Corp.:

7.125% 6/15/24

9,730

8,903

7.25% 9/15/21

19,770

18,905

7.625% 2/15/25

2,120

1,966

7.875% 9/15/23

23,405

22,440

T-Mobile U.S.A., Inc.:

6% 3/1/23

3,700

3,857

6.125% 1/15/22

4,775

4,990

6.25% 4/1/21

10,715

11,224

6.542% 4/28/20

4,200

4,424

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - continued

T-Mobile U.S.A., Inc.: - continued

6.625% 4/1/23

$ 15,910

$ 16,944

6.633% 4/28/21

8,810

9,327

ViaSat, Inc. 6.875% 6/15/20

5,360

5,668

Wind Acquisition Finance SA:

4.75% 7/15/20 (f)

26,060

26,646

7.375% 4/23/21 (f)

9,570

10,144

Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (f)

4,380

4,331

 

583,948

Transportation Ex Air/Rail - 1.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f)

8,645

8,515

Navios Maritime Holdings, Inc.:

7.375% 1/15/22 (f)

22,005

18,759

8.125% 2/15/19

15,381

12,151

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f)

3,145

2,956

Teekay Corp. 8.5% 1/15/20

5,438

5,968

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

9,100

7,621

 

55,970

Utilities - 1.8%

Calpine Corp. 6% 1/15/22 (f)

4,030

4,262

Dolphin Subsidiary II, Inc. 7.25% 10/15/21

2,460

2,623

Dynegy, Inc.:

7.375% 11/1/22 (f)

8,200

8,497

7.625% 11/1/24 (f)

9,205

9,504

GenOn Energy, Inc.:

9.5% 10/15/18

1,310

1,317

9.875% 10/15/20

2,493

2,487

InterGen NV 7% 6/30/23 (f)

22,895

20,606

Mirant Americas Generation LLC:

8.5% 10/1/21

3,022

2,810

9.125% 5/1/31

3,664

3,298

NRG Energy, Inc. 7.875% 5/15/21

3,335

3,512

NSG Holdings II, LLC 7.75% 12/15/25 (f)

8,018

8,840

PPL Energy Supply LLC 6.5% 6/1/25 (f)

4,265

4,180

RJS Power Holdings LLC 5.125% 7/15/19 (f)

14,150

13,726

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Utilities - continued

RRI Energy, Inc. 7.875% 6/15/17

$ 4,809

$ 4,845

The AES Corp. 3.2828% 6/1/19 (i)

4,145

4,104

 

94,611

TOTAL NONCONVERTIBLE BONDS

4,063,277

TOTAL CORPORATE BONDS

(Cost $4,198,740)


4,066,968

Common Stocks - 0.3%

Shares

 

Automotive & Auto Parts - 0.0%

Chassix Holdings, Inc.

103,443

2,387

Chassix Holdings, Inc. warrants (a)

27,188

0

 

2,387

Banks & Thrifts - 0.1%

CIT Group, Inc.

58,981

2,774

Building Materials - 0.2%

Nortek, Inc. (a)

112,625

9,189

Chemicals - 0.0%

LyondellBasell Industries NV Class A

306

29

Telecommunications - 0.0%

Broadview Networks Holdings, Inc. (a)(e)

609,310

823

TOTAL COMMON STOCKS

(Cost $20,479)


15,202

Preferred Stocks - 1.5%

 

 

 

 

Convertible Preferred Stocks - 1.2%

Banks & Thrifts - 0.8%

Bank of America Corp. Series L, 7.25% (g)

15,158

16,860

Huntington Bancshares, Inc. 8.50% (a)

17,162

23,255

Wells Fargo & Co. 7.50%

1,813

2,161

 

42,276

Preferred Stocks - continued

Shares

Value (000s)

Convertible Preferred Stocks - continued

Energy - 0.4%

Chesapeake Energy Corp. Series A 5.75% (a)

38,800

$ 20,108

TOTAL CONVERTIBLE PREFERRED STOCKS

62,384

Nonconvertible Preferred Stocks - 0.3%

Banks & Thrifts - 0.3%

Ally Financial, Inc. 7.00% (f)

16,101

16,349

TOTAL PREFERRED STOCKS

(Cost $73,736)


78,733

Bank Loan Obligations - 9.4%

 

Principal Amount (000s)

 

Aerospace - 0.2%

TransDigm, Inc.:

Tranche C, term loan 3.75% 2/28/20 (i)

$ 4,457

4,451

Tranche D, term loan 3.75% 6/4/21 (i)

7,148

7,130

 

11,581

Automotive & Auto Parts - 0.0%

Chassix, Inc. term loan 12% 7/29/19

1,217

1,229

Broadcasting - 0.1%

Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (i)

3,845

3,845

Building Materials - 0.1%

Nortek, Inc. Tranche B, term loan 3.5% 10/30/20 (i)

3,257

3,249

Cable/Satellite TV - 0.2%

Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (i)

6,143

6,113

Charter Communications Operating LLC Tranche F, term loan 3% 1/3/21 (i)

6,108

6,093

 

12,206

Capital Goods - 0.4%

Gardner Denver, Inc. Tranche B, term loan 4.25% 7/30/20 (i)

9,616

9,292

Rexnord LLC Tranche B, term loan 4% 8/21/20 (i)

9,040

9,074

SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (i)

4,448

4,404

 

22,770

Bank Loan Obligations - continued

 

Principal Amount (000s)

Value (000s)

Chemicals - 0.0%

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (i)

$ 835

$ 831

Consumer Products - 0.2%

Tempur Sealy International, Inc. Tranche B, term loan 3.5% 3/18/20 (i)

9,242

9,265

Containers - 0.2%

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (i)

5,654

5,654

Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (i)

3,852

3,833

 

9,487

Diversified Financial Services - 0.1%

Flying Fortress Holdings LLC Tranche B, term loan 3.5% 4/30/20 (i)

3,970

3,990

Diversified Media - 0.1%

WMG Acquisition Corp. term loan 3.75% 7/1/20 (i)

4,239

4,218

Energy - 0.3%

Energy Transfer Equity LP Tranche B, term loan 3.25% 12/2/19 (i)

9,560

9,493

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (i)

9,995

5,347

Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (i)

9,805

2,917

 

17,757

Entertainment/Film - 0.2%

AMC Entertainment, Inc. Tranche B, term loan 3.5% 4/30/20 (i)

4,731

4,731

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Tranche B, term loan 3% 1/31/21 (i)

6,255

6,247

 

10,978

Environmental - 0.6%

ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (i)

27,354

27,252

Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (i)

1,981

1,754

 

29,006

Bank Loan Obligations - continued

 

Principal Amount (000s)

Value (000s)

Food/Beverage/Tobacco - 0.1%

Darling International, Inc. Tranche B, term loan 3.25% 1/6/21 (i)

$ 5,362

$ 5,409

Gaming - 0.5%

Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (i)

26,622

22,529

MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (i)

3,427

3,414

Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (i)

1,793

1,795

 

27,738

Healthcare - 0.7%

Dialysis Newco, Inc.:

Tranche 2LN, term loan 7.75% 10/22/21 (i)

3,605

3,623

Tranche B 1LN, term loan 4.5% 4/23/21 (i)

3,657

3,657

HCA Holdings, Inc.:

Tranche B 4LN, term loan 3.0318% 5/1/18 (i)

7,963

7,983

Tranche B 5LN, term loan 2.9396% 3/31/17 (i)

3,040

3,044

MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (i)

10,444

10,352

Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (i)

4,111

4,121

Surgical Care Affiliates, Inc. Tranche B, term loan 4.25% 3/17/22 (i)

4,145

4,145

 

36,925

Homebuilders/Real Estate - 0.2%

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (i)

581

575

Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (i)

8,871

8,894

 

9,469

Hotels - 0.4%

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (i)

18,396

18,419

Insurance - 0.5%

HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (i)

25,348

25,158

Metals/Mining - 0.1%

Alpha Natural Resources, Inc. Tranche B, term loan 3.5% 5/22/20 (i)

3,838

2,572

Bank Loan Obligations - continued

 

Principal Amount (000s)

Value (000s)

Services - 1.5%

ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (i)

$ 10,319

$ 10,294

Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (i)

5,008

4,783

Garda World Security Corp.:

term loan 4% 11/8/20 (i)

8,377

8,273

Tranche DD, term loan 4% 11/8/20 (i)

2,143

2,116

Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (i)

53,726

50,100

 

75,566

Super Retail - 1.2%

Davids Bridal, Inc. Tranche B, term loan 5% 10/11/19 (i)

7,123

6,874

J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (i)

16,638

13,809

JC Penney Corp., Inc. Tranche B, term loan 6% 5/22/18 (i)

11,924

11,909

Neiman Marcus Group Ltd., Inc. Tranche B, term loan 4.25% 10/25/20 (i)

16,696

16,571

PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (i)

11,072

11,107

 

60,270

Technology - 1.1%

Activision Blizzard, Inc. Tranche B, term loan 3.25% 10/11/20 (i)

1,561

1,567

Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (i)

960

960

Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (i)

27,560

27,456

Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (i)

13,979

13,909

NXP BV Tranche D, term loan 3.25% 1/11/20 (i)

3,341

3,332

Renaissance Learning, Inc.:

Tranche 1LN, term loan 4.5% 4/9/21 (i)

3,106

3,075

Tranche 2LN, term loan 8% 4/9/22 (i)

2,680

2,633

SunGard Data Systems, Inc.:

Tranche C, term loan 3.9382% 2/28/17 (i)

2,955

2,955

Tranche E, term loan 4% 3/8/20 (i)

1,990

1,992

 

57,879

Telecommunications - 0.1%

Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (i)

3,959

3,945

Bank Loan Obligations - continued

 

Principal Amount (000s)

Value (000s)

Utilities - 0.3%

Calpine Construction Finance Co. LP:

Tranche B 1LN, term loan 3% 5/3/20 (i)

$ 13,446

$ 13,194

Tranche B 2LN, term loan 3.25% 1/31/22 (i)

2,151

2,138

 

15,332

TOTAL BANK LOAN OBLIGATIONS

(Cost $501,152)


479,094

Preferred Securities - 4.3%

 

Banks & Thrifts - 3.2%

Bank of America Corp.:

6.1% (g)(i)

12,150

12,371

6.25% (g)(i)

6,240

6,404

Barclays Bank PLC 7.625% 11/21/22

18,275

21,346

Barclays PLC:

6.625% (g)(i)

20,820

20,802

8.25% (g)(i)

15,125

16,350

Credit Agricole SA:

6.625% (f)(g)(i)

9,755

9,787

7.875% (f)(g)(i)

9,400

9,831

Credit Suisse Group 7.5% (f)(g)(i)

8,415

9,050

Credit Suisse Group AG 6.25% (f)(g)(i)

6,645

6,520

Goldman Sachs Group, Inc. 5.375% (g)(i)

6,575

6,632

JPMorgan Chase & Co.:

5.3% (g)(i)

10,950

11,072

6.125% (g)(i)

3,445

3,520

6.75% (g)(i)

8,255

9,024

Lloyds Banking Group PLC 7.5% (g)(i)

16,220

17,025

Societe Generale 6% (f)(g)(i)

4,990

4,732

 

164,466

Diversified Financial Services - 1.1%

Citigroup, Inc.:

5.875% (g)(i)

41,035

42,170

6.3% (g)(i)

11,320

11,245

 

53,415

TOTAL PREFERRED SECURITIES

(Cost $212,057)


217,881

Money Market Funds - 3.2%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.17% (b)
(Cost $161,864)

161,863,933

$ 161,864

TOTAL INVESTMENT PORTFOLIO - 98.3%

(Cost $5,168,028)

5,019,742

NET OTHER ASSETS (LIABILITIES) - 1.7%

87,854

NET ASSETS - 100%

$ 5,107,596

Legend

(a) Non-income producing

(b) 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.

(c) Non-income producing - Security is in default.

(d) 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.

(e) Affiliated company

(f) 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 $2,182,096,000 or 42.7% of net assets.

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

(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

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

$ 78

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Broadview Networks Holdings, Inc.

$ 1,036

$ -

$ -

$ -

$ 823

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 2,387

$ -

$ -

$ 2,387

Energy

20,108

20,108

-

-

Financials

61,399

45,050

16,349

-

Industrials

9,189

9,189

-

-

Materials

29

29

-

-

Telecommunication Services

823

823

-

-

Corporate Bonds

4,066,968

-

4,066,968

-

Bank Loan Obligations

479,094

-

474,896

4,198

Preferred Securities

217,881

-

217,881

-

Money Market Funds

161,864

161,864

-

-

Total Investments in Securities:

$ 5,019,742

$ 237,063

$ 4,776,094

$ 6,585

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $5,159,082,000. Net unrealized depreciation aggregated $139,340,000, of which $127,868,000 related to appreciated investment securities and $267,208,000 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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.

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.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Series High Income Fund

July 31, 2015 

1.924275.104

FSH-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 80.0%

 

Principal Amount

Value

Convertible Bonds - 0.1%

Capital Goods - 0.0%

General Cable Corp. 4.5% 11/15/29 (e)

$ 1,814,000

$ 1,357,099

Metals/Mining - 0.1%

Peabody Energy Corp. 4.75% 12/15/41

37,678,000

4,168,129

TOTAL CONVERTIBLE BONDS

5,525,228

Nonconvertible Bonds - 79.9%

Aerospace - 0.2%

Huntington Ingalls Industries, Inc. 5% 12/15/21 (h)

4,550,000

4,675,125

TransDigm, Inc. 6% 7/15/22

5,635,000

5,620,913

 

10,296,038

Air Transportation - 0.1%

Air Canada 7.75% 4/15/21 (h)

3,310,000

3,558,250

Automotive & Auto Parts - 0.6%

Dana Holding Corp. 6.75% 2/15/21

4,885,000

5,141,463

Schaeffler Finance BV 4.75% 5/15/21 (h)

17,585,000

17,628,963

Schaeffler Holding Finance BV:

6.75% 11/15/22 pay-in-kind (h)(k)

4,160,000

4,503,200

6.875% 8/15/18 pay-in-kind (h)(k)

4,105,000

4,248,675

ZF North America Capital, Inc. 4% 4/29/20 (h)

4,800,000

4,842,000

 

36,364,301

Banks & Thrifts - 0.3%

Ocwen Financial Corp. 7.125% 5/15/19 (h)(k)

1,617,000

1,528,065

Royal Bank of Scotland Group PLC 5.125% 5/28/24

17,120,000

17,319,140

 

18,847,205

Broadcasting - 0.7%

Clear Channel Communications, Inc.:

5.5% 12/15/16

13,320,000

12,454,200

10% 1/15/18

25,380,000

20,304,000

11.25% 3/1/21

5,795,000

5,534,225

 

38,292,425

Building Materials - 2.0%

CEMEX Espana SA (Luxembourg) 9.875% 4/30/19 (h)

12,620,000

13,818,900

CEMEX Finance LLC:

6% 4/1/24 (h)

4,695,000

4,719,179

9.375% 10/12/22 (h)

20,160,000

22,547,952

CEMEX S.A.B. de CV:

5.875% 3/25/19 (h)

4,260,000

4,334,550

7.25% 1/15/21 (h)

24,590,000

26,188,350

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Building Materials - continued

CPG Merger Sub LLC 8% 10/1/21 (h)

$ 5,790,000

$ 5,905,800

HD Supply, Inc. 7.5% 7/15/20

19,025,000

20,309,188

Ply Gem Industries, Inc. 6.5% 2/1/22

6,670,000

6,594,963

USG Corp.:

5.5% 3/1/25 (h)

2,770,000

2,776,925

5.875% 11/1/21 (h)

4,985,000

5,221,788

 

112,417,595

Cable/Satellite TV - 2.5%

Altice SA:

5.375% 7/15/23 (h)

10,090,000

10,140,450

7.75% 7/15/25 (h)

7,070,000

6,946,275

7.75% 7/15/25 (h)

6,350,000

6,302,375

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

4,665,000

4,624,181

5.25% 3/15/21

7,595,000

7,727,913

5.75% 9/1/23

5,240,000

5,364,450

6.5% 4/30/21

10,860,000

11,355,488

6.625% 1/31/22

16,840,000

17,787,250

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (h)

14,525,000

14,633,938

Cequel Communications Holdings I LLC/Cequel Capital Corp.:

5.125% 12/15/21 (h)

2,415,000

2,242,931

5.125% 12/15/21 (h)

6,375,000

5,920,781

DISH DBS Corp.:

5% 3/15/23

8,965,000

8,393,481

5.875% 7/15/22

5,260,000

5,233,700

6.75% 6/1/21

6,315,000

6,678,113

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h)

3,495,000

3,652,275

UPCB Finance V Ltd. 7.25% 11/15/21 (h)

1,219,500

1,314,011

UPCB Finance VI Ltd. 6.875% 1/15/22 (h)

5,274,000

5,629,995

Virgin Media Finance PLC 4.875% 2/15/22

8,120,000

7,531,300

WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h)

11,295,000

11,549,138

 

143,028,045

Capital Goods - 1.3%

AECOM Technology Corp. 5.75% 10/15/22 (h)

4,425,000

4,491,375

Amsted Industries, Inc. 5% 3/15/22 (h)

4,000,000

3,990,000

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Capital Goods - continued

General Cable Corp. 5.75% 10/1/22 (k)

$ 30,260,000

$ 27,763,550

Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (h)

30,105,000

22,277,700

SPL Logistics Escrow LLC/SPL Logistics Finance Corp. 8.875% 8/1/20 (h)

12,565,000

13,413,138

 

71,935,763

Chemicals - 2.8%

A. Schulman, Inc. 6.875% 6/1/23 (h)

8,665,000

8,773,313

Evolution Escrow Issuer LLC 7.5% 3/15/22 (h)

7,285,000

5,973,700

Hexion U.S. Finance Corp. 6.625% 4/15/20

2,490,000

2,281,463

Momentive Performance Materials, Inc. 3.88% 10/24/21

24,786,000

21,501,855

MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (d)

26,786,000

3

Platform Specialty Products Corp. 6.5% 2/1/22 (h)

7,805,000

8,078,175

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (h)

33,665,000

32,907,538

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 6.75% 5/1/22 (h)

2,675,000

2,688,375

Tronox Finance LLC 6.375% 8/15/20

78,490,000

64,361,800

W.R. Grace & Co. - Conn:

5.125% 10/1/21 (h)

6,165,000

6,226,650

5.625% 10/1/24 (h)

2,475,000

2,524,500

 

155,317,372

Consumer Products - 0.2%

Elizabeth Arden, Inc. 7.375% 3/15/21

7,458,000

5,369,760

Spectrum Brands Holdings, Inc.:

6.375% 11/15/20

2,750,000

2,928,750

6.625% 11/15/22

2,250,000

2,407,500

 

10,706,010

Containers - 4.4%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(k)

18,080,850

18,695,222

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (h)

4,535,000

4,517,994

6.25% 1/31/19 (h)

15,530,000

15,957,075

6.75% 1/31/21 (h)

38,600,000

39,565,000

7% 11/15/20 (h)

4,215,882

4,258,041

9.125% 10/15/20 (h)

39,129,000

41,036,539

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Containers - continued

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h)

$ 33,248,000

$ 29,923,200

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23

3,045,000

2,953,650

Owens-Brockway Glass Container, Inc.:

5% 1/15/22 (h)

7,710,000

7,710,000

5.375% 1/15/25 (h)

5,140,000

5,101,450

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

13,625,000

14,101,875

6.875% 2/15/21

19,266,000

20,137,054

8.25% 2/15/21 (k)

23,104,000

23,970,400

Sealed Air Corp.:

5.25% 4/1/23 (h)

5,920,000

6,008,800

6.5% 12/1/20 (h)

11,685,000

12,970,350

 

246,906,650

Diversified Financial Services - 4.9%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

3.75% 5/15/19

16,275,000

16,312,433

4.5% 5/15/21

16,415,000

16,661,225

Aircastle Ltd.:

4.625% 12/15/18

11,175,000

11,662,509

5.125% 3/15/21

17,325,000

17,844,750

6.25% 12/1/19

11,280,000

12,506,700

7.625% 4/15/20

4,275,000

4,937,625

CIT Group, Inc.:

3.875% 2/19/19

14,895,000

14,969,475

5% 8/15/22

9,475,000

9,628,969

5.375% 5/15/20

11,560,000

12,217,533

5.5% 2/15/19 (h)

6,890,000

7,286,175

FLY Leasing Ltd.:

6.375% 10/15/21

3,715,000

3,770,725

6.75% 12/15/20

6,975,000

7,201,688

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

17,970,000

18,531,563

6% 8/1/20

16,135,000

16,982,088

ILFC E-Capital Trust I 4.69% 12/21/65 (h)(k)

5,220,000

5,076,450

International Lease Finance Corp.:

4.625% 4/15/21

13,525,000

13,812,001

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Diversified Financial Services - continued

International Lease Finance Corp.: - continued

5.875% 8/15/22

$ 2,230,000

$ 2,430,700

6.25% 5/15/19

4,055,000

4,419,342

8.625% 1/15/22

4,920,000

6,051,600

8.75% 3/15/17 (k)

7,556,000

8,240,725

National Financial Partners Corp. 9% 7/15/21 (h)

7,215,000

7,233,038

SLM Corp.:

4.875% 6/17/19

20,835,000

19,897,425

5.5% 1/25/23

4,470,000

3,911,250

6.125% 3/25/24

1,990,000

1,771,100

7.25% 1/25/22

7,690,000

7,593,875

8% 3/25/20

19,883,000

20,678,320

8.45% 6/15/18

2,720,000

2,937,600

 

274,566,884

Diversified Media - 1.5%

Clear Channel Worldwide Holdings, Inc.:

Series A:

6.5% 11/15/22

8,940,000

9,185,850

7.625% 3/15/20

12,300,000

12,745,875

Series B, 6.5% 11/15/22

8,775,000

9,147,938

MDC Partners, Inc. 6.75% 4/1/20 (h)

23,677,000

23,440,230

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20

8,755,000

8,930,100

5% 4/15/22 (h)

22,905,000

22,704,581

 

86,154,574

Electric Utilities No Longer Use - 0.2%

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

1,740,000

1,631,250

7% 6/15/23 (h)

10,940,000

10,529,750

 

12,161,000

Energy - 7.4%

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

3,940,000

4,127,150

7% 5/20/22

4,725,000

5,025,510

AmeriGas Partners LP/AmeriGas Finance Corp. 6.25% 8/20/19

6,135,000

6,296,044

Antero Resources Corp.:

5.125% 12/1/22

1,810,000

1,710,450

5.625% 6/1/23 (h)

6,455,000

6,212,938

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Energy - continued

Antero Resources Finance Corp. 5.375% 11/1/21

$ 8,220,000

$ 7,993,950

Baytex Energy Corp.:

5.125% 6/1/21 (h)

5,270,000

4,690,300

5.625% 6/1/24 (h)

5,300,000

4,558,000

California Resources Corp.:

5% 1/15/20

7,320,000

6,276,900

6% 11/15/24

7,530,000

6,099,300

Chesapeake Energy Corp.:

4.875% 4/15/22

13,825,000

11,129,125

5.375% 6/15/21

13,855,000

11,638,200

6.125% 2/15/21

6,930,000

5,977,125

6.875% 11/15/20

5,095,000

4,572,763

Citgo Petroleum Corp. 6.25% 8/15/22 (h)

14,800,000

14,504,000

Clayton Williams Energy, Inc. 7.75% 4/1/19

1,395,000

1,238,063

Consolidated Energy Finance SA 6.75% 10/15/19 (h)

5,070,000

5,120,801

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6% 12/15/20

11,855,000

11,943,913

6.125% 3/1/22

8,580,000

8,472,750

6.25% 4/1/23 (h)

5,675,000

5,703,375

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

14,430,000

14,502,150

Endeavor Energy Resources LP/EER Finance, Inc.:

7% 8/15/21 (h)

10,130,000

9,724,800

8.125% 9/15/23 (h)

1,620,000

1,611,014

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (h)

11,420,000

8,622,100

EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22

2,865,000

2,857,838

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

4,075,000

4,207,438

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21

6,995,000

7,012,488

Gulfmark Offshore, Inc. 6.375% 3/15/22

6,345,000

4,679,438

Halcon Resources Corp. 8.625% 2/1/20 (h)

2,910,000

2,779,050

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (h)

9,150,000

8,509,500

5.75% 10/1/25 (h)

4,810,000

4,569,500

Hornbeck Offshore Services, Inc.:

5% 3/1/21

275,000

217,938

5.875% 4/1/20

560,000

473,200

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (k)

30,605,000

18,535,000

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Energy - continued

LINN Energy LLC/LINN Energy Finance Corp.: - continued

6.5% 5/15/19

$ 11,670,000

$ 7,177,050

8.625% 4/15/20

2,213,000

1,360,995

NGL Energy Partners LP/NGL Energy Finance Corp. 5.125% 7/15/19

3,670,000

3,573,663

Noble Energy, Inc.:

5.625% 5/1/21

8,325,000

8,822,760

5.875% 6/1/24

7,775,000

8,436,606

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

5,700,000

5,814,000

PetroBakken Energy Ltd. 8.625% 2/1/20 (h)

15,780,000

6,765,675

Regency Energy Partners LP/Regency Energy Finance Corp. 5.5% 4/15/23

5,770,000

5,784,425

Rose Rock Midstream LP/ Rose Rock Finance Corp.:

5.625% 7/15/22

4,540,000

4,381,100

5.625% 11/15/23 (h)

4,810,000

4,569,500

Sabine Pass Liquefaction LLC:

5.625% 2/1/21 (k)

11,440,000

11,668,800

5.625% 4/15/23

16,340,000

16,176,600

5.625% 3/1/25 (h)

13,040,000

12,844,400

5.75% 5/15/24

12,880,000

12,807,550

6.25% 3/15/22

16,495,000

16,989,850

SemGroup Corp. 7.5% 6/15/21

8,685,000

9,032,400

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (h)

4,445,000

4,356,100

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

4.25% 11/15/23

6,190,000

5,725,750

5.25% 5/1/23

5,510,000

5,441,125

6.375% 8/1/22

5,058,000

5,247,675

6.625% 10/1/20 (Reg. S) (h)

8,250,000

8,621,250

Teine Energy Ltd. 6.875% 9/30/22 (h)

525,000

488,250

TerraForm Power Operating LLC:

5.875% 2/1/23 (h)

6,990,000

7,055,566

6.125% 6/15/25 (h)

1,815,000

1,819,538

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.875% 10/1/20

5,423,000

5,626,363

6.125% 10/15/21

9,620,000

10,028,850

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Energy - continued

Tesoro Logistics LP/Tesoro Logistics Finance Corp.: - continued

6.25% 10/15/22 (h)

$ 4,640,000

$ 4,848,800

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23

2,965,000

3,046,538

 

420,103,290

Entertainment/Film - 0.4%

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

7,935,000

7,974,675

5.625% 2/15/24

4,285,000

4,370,700

5.875% 3/15/25

11,950,000

12,278,625

 

24,624,000

Environmental - 2.3%

ADS Waste Holdings, Inc. 8.25% 10/1/20

17,905,000

18,710,725

Clean Harbors, Inc.:

5.125% 6/1/21

4,870,000

4,906,525

5.25% 8/1/20

7,130,000

7,300,407

Covanta Holding Corp.:

5.875% 3/1/24

3,675,000

3,601,500

6.375% 10/1/22

10,324,000

10,840,200

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h)

29,015,000

30,175,600

Tervita Corp.:

8% 11/15/18 (h)

39,825,000

35,046,000

9.75% 11/1/19 (h)

13,535,000

8,121,000

10.875% 2/15/18 (h)

16,960,000

10,515,200

 

129,217,157

Food & Drug Retail - 1.4%

BI-LO LLC/BI-LO Finance Corp.:

8.625% 9/15/18 pay-in-kind (h)(k)

22,865,000

20,749,988

9.25% 2/15/19 (h)

20,825,000

21,137,375

Rite Aid Corp.:

6.75% 6/15/21

15,355,000

16,314,688

7.7% 2/15/27

4,550,000

5,300,750

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h)

15,915,000

15,795,638

 

79,298,439

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Food/Beverage/Tobacco - 5.3%

C&S Group Enterprises LLC 5.375% 7/15/22 (h)

$ 39,860,000

$ 37,269,100

ESAL GmbH 6.25% 2/5/23 (h)

27,845,000

27,427,325

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h)

19,875,000

20,819,063

H.J. Heinz Co. 6.375% 7/15/28

1,875,000

2,118,750

H.J. Heinz Finance Co. 7.125% 8/1/39 (h)

6,960,000

8,772,384

JBS Investments GmbH:

7.25% 4/3/24 (h)

7,980,000

8,189,475

7.75% 10/28/20 (h)

31,140,000

33,631,200

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (h)

4,565,000

4,523,664

7.25% 6/1/21 (h)

5,649,000

5,938,511

7.25% 6/1/21 (h)

16,325,000

17,161,656

8.25% 2/1/20 (h)

17,318,000

18,357,080

Minerva Luxmbourg SA 7.75% 1/31/23 (h)

29,590,000

29,729,073

Post Holdings, Inc.:

6% 12/15/22 (h)

8,155,000

7,910,350

6.75% 12/1/21 (h)

22,225,000

22,391,688

7.375% 2/15/22

54,267,000

55,488,008

 

299,727,327

Gaming - 1.8%

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22

15,445,000

11,969,875

Eldorado Resorts, Inc. 7% 8/1/23 (h)

3,825,000

3,834,563

Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h)

14,915,000

15,511,600

Isle of Capri Casinos, Inc. 5.875% 3/15/21

2,080,000

2,158,000

MCE Finance Ltd. 5% 2/15/21 (h)

4,530,000

4,303,500

MGM Mirage, Inc. 7.75% 3/15/22

3,795,000

4,212,450

Pinnacle Entertainment, Inc. 6.375% 8/1/21

8,060,000

8,694,725

Scientific Games Corp.:

6.625% 5/15/21

25,155,000

19,998,225

7% 1/1/22 (h)

5,140,000

5,326,325

10% 12/1/22

9,110,000

8,848,088

Seminole Hard Rock Entertainment, Inc. 5.875% 5/15/21 (h)

2,265,000

2,304,638

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.375% 3/15/22

7,134,000

7,196,423

Wynn Macau Ltd. 5.25% 10/15/21 (h)

8,445,000

8,033,306

 

102,391,718

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Healthcare - 10.3%

Alere, Inc. 6.5% 6/15/20

$ 12,610,000

$ 13,114,400

Community Health Systems, Inc.:

5.125% 8/1/21

26,885,000

27,893,188

6.875% 2/1/22

69,675,000

74,552,250

7.125% 7/15/20

5,965,000

6,352,725

Concordia Healthcare Corp. 7% 4/15/23 (h)

3,820,000

3,891,625

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

3,645,000

3,717,900

DaVita HealthCare Partners, Inc. 5.125% 7/15/24

9,975,000

10,051,957

DJO Finco, Inc. 8.125% 6/15/21 (h)

9,610,000

9,874,275

Endo Finance LLC:

5.375% 1/15/23 (h)

10,920,000

11,035,970

7% 12/15/20 (h)

4,918,000

5,163,900

Endo Finance LLC/Endo Ltd./Endo Finco, Inc. 6% 7/15/23 (h)

7,345,000

7,638,800

HCA Holdings, Inc.:

5.875% 3/15/22

3,715,000

4,072,569

5.875% 5/1/23

7,490,000

8,051,750

6.25% 2/15/21

18,100,000

19,819,500

6.5% 2/15/20

10,070,000

11,259,519

7.5% 11/6/33

2,199,000

2,374,920

Hologic, Inc. 5.25% 7/15/22 (h)

6,320,000

6,525,400

Horizon Pharma Financing, Inc. 6.625% 5/1/23 (h)

7,210,000

7,570,500

JLL/Delta Dutch Newco BV 7.5% 2/1/22 (h)

950,000

997,500

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (h)(k)

3,130,000

3,227,813

Kindred Escrow Corp. II:

8% 1/15/20 (h)

13,280,000

14,375,600

8.75% 1/15/23 (h)

2,590,000

2,855,475

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (h)

2,800,000

2,881,620

5.5% 4/15/25 (h)

2,330,000

2,347,475

5.75% 8/1/22 (h)

4,825,000

5,030,063

MPT Operating Partnership LP/MPT Finance Corp. 5.5% 5/1/24

1,965,000

2,023,950

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

16,260,000

16,788,450

5.5% 2/1/21

9,985,000

10,359,438

Service Corp. International 4.5% 11/15/20

3,510,000

3,615,300

Surgical Care Affiliates, Inc. 6% 4/1/23 (h)

5,245,000

5,323,675

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Healthcare - continued

Tenet Healthcare Corp.:

4.375% 10/1/21

$ 30,420,000

$ 30,579,705

4.75% 6/1/20

5,795,000

5,968,850

5% 3/1/19 (h)

10,665,000

10,771,650

6% 10/1/20

9,650,000

10,494,375

6.75% 2/1/20

5,070,000

5,361,525

8.125% 4/1/22

75,911,000

85,163,033

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (h)

23,370,000

24,012,675

5.5% 3/1/23 (h)

9,060,000

9,263,850

5.625% 12/1/21 (h)

6,495,000

6,689,850

5.875% 5/15/23 (h)

19,360,000

20,132,464

6.125% 4/15/25 (h)

10,925,000

11,416,625

6.75% 8/15/21 (h)

17,271,000

17,983,429

7.25% 7/15/22 (h)

7,311,000

7,713,105

VPI Escrow Corp. 6.375% 10/15/20 (h)

27,610,000

29,094,038

Wellcare Health Plans, Inc. 5.75% 11/15/20

4,815,000

5,055,750

 

582,488,431

Homebuilders/Real Estate - 1.2%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (h)

8,285,000

8,077,875

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (h)

3,295,000

3,327,950

Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h)

2,615,000

2,497,325

KB Home 8% 3/15/20

5,100,000

5,635,500

Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 12/1/21 (h)

5,140,000

5,268,500

Standard Pacific Corp. 8.375% 1/15/21

6,434,000

7,576,035

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (h)

10,165,000

9,885,463

TRI Pointe Homes, Inc.:

4.375% 6/15/19

4,840,000

4,791,600

5.875% 6/15/24

5,000,000

4,925,000

William Lyon Homes, Inc.:

5.75% 4/15/19

4,390,000

4,422,925

8.5% 11/15/20

8,335,000

8,980,963

 

65,389,136

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Insurance - 1.4%

Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (h)(j)

$ 7,220,000

$ 7,220,000

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (h)

55,920,000

57,108,300

Hub Holdings LLC / Hub Holdings Finance, Inc. 8.125% 7/15/19 pay-in-kind (h)(k)

15,005,000

15,005,000

 

79,333,300

Leisure - 0.5%

24 Hour Holdings III LLC 8% 6/1/22 (h)

14,655,000

11,650,725

Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21

11,025,000

11,424,105

NCL Corp. Ltd. 5.25% 11/15/19 (h)

6,710,000

6,944,850

 

30,019,680

Metals/Mining - 1.6%

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (h)

4,165,000

4,154,588

Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp. 6.375% 3/15/24

2,610,000

1,592,100

CONSOL Energy, Inc. 5.875% 4/15/22

19,465,000

15,121,872

First Quantum Minerals Ltd.:

6.75% 2/15/20 (h)

4,155,000

3,199,350

7% 2/15/21 (h)

13,375,000

10,198,438

7.25% 5/15/22 (h)

8,500,000

6,311,250

FMG Resources (August 2006) Pty Ltd. 8.25% 11/1/19 (h)

2,205,000

1,604,138

Murray Energy Corp. 11.25% 4/15/21 (h)

14,940,000

9,188,100

Peabody Energy Corp.:

6% 11/15/18

11,705,000

4,272,325

7.875% 11/1/26

8,885,000

2,487,800

10% 3/15/22 (h)

7,755,000

3,955,050

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (h)

5,585,000

5,459,338

8.25% 1/15/21 (h)

12,195,000

11,920,613

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.:

7.375% 2/1/20 (h)

2,000,000

1,960,000

7.375% 2/1/20 (h)

3,860,000

3,782,800

Walter Energy, Inc.:

9.5% 10/15/19 (d)(h)

10,615,000

5,280,963

12% 4/1/20 pay-in-kind (d)(h)(k)

17,108,300

342,166

 

90,830,891

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Paper - 0.6%

NewPage Corp. 11.375% 12/31/14 (d)

$ 56,458,756

$ 6

Xerium Technologies, Inc. 8.875% 6/15/18

31,795,000

32,748,850

 

32,748,856

Publishing/Printing - 0.1%

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(k)

6,755,000

6,856,325

Restaurants - 0.2%

Landry's Holdings II, Inc. 10.25% 1/1/18 (h)

8,445,000

8,799,690

Services - 4.0%

Anna Merger Sub, Inc. 7.75% 10/1/22 (h)

16,725,000

16,515,938

APX Group, Inc.:

6.375% 12/1/19

36,115,000

35,302,413

8.75% 12/1/20

22,055,000

20,014,913

ARAMARK Corp. 5.75% 3/15/20

3,775,000

3,944,875

Audatex North America, Inc. 6% 6/15/21 (h)

3,050,000

3,114,813

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:

5.125% 6/1/22 (h)

4,470,000

4,447,650

5.5% 4/1/23

5,145,000

5,170,725

Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h)

15,720,000

14,541,000

Corrections Corp. of America 4.125% 4/1/20

7,310,000

7,328,275

Hertz Corp.:

5.875% 10/15/20

8,640,000

8,791,200

6.25% 10/15/22

5,555,000

5,666,100

IHS, Inc. 5% 11/1/22 (h)

4,155,000

4,160,194

Laureate Education, Inc. 10% 9/1/19 (h)(k)

98,639,000

92,843,915

The GEO Group, Inc. 6.625% 2/15/21

1,697,000

1,777,608

 

223,619,619

Steel - 1.1%

Cliffs Natural Resources, Inc. 8.25% 3/31/20 (h)

960,000

871,200

Commercial Metals Co. 4.875% 5/15/23

5,495,000

5,027,925

Evraz, Inc. NA Canada 7.5% 11/15/19 (h)

3,775,000

3,737,250

JMC Steel Group, Inc. 8.25% 3/15/18 (h)

56,537,000

50,176,588

Ryerson, Inc./Joseph T Ryerson & Son, Inc. 11.25% 10/15/18

3,624,000

3,569,640

 

63,382,603

Super Retail - 3.0%

Argos Merger Sub, Inc. 7.125% 3/15/23 (h)

25,725,000

27,204,188

Asbury Automotive Group, Inc. 6% 12/15/24

5,710,000

5,938,400

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Super Retail - continued

Chinos Intermediate Holdings A, Inc. 7.75% 5/1/19 pay-in-kind (h)(k)

$ 16,440,000

$ 11,220,300

Claire's Stores, Inc.:

6.125% 3/15/20 (h)

10,985,000

8,678,150

7.75% 6/1/20 (h)

16,147,000

5,570,715

9% 3/15/19 (h)

32,990,000

28,577,588

DPL, Inc. 7.75% 10/15/20 (h)

13,170,000

10,404,300

Family Tree Escrow LLC:

5.25% 3/1/20 (h)

2,140,000

2,257,700

5.75% 3/1/23 (h)

10,705,000

11,293,775

JC Penney Corp., Inc.:

5.65% 6/1/20

1,545,000

1,390,500

6.375% 10/15/36

3,985,000

2,849,275

7.4% 4/1/37

3,235,000

2,588,000

Serta Simmons Holdings, LLC 8.125% 10/1/20 (h)

45,232,000

48,002,460

The Bon-Ton Department Stores, Inc. 8% 6/15/21

1,710,000

1,282,500

 

167,257,851

Technology - 1.6%

ADT Corp. 6.25% 10/15/21

4,910,000

5,204,600

Avaya, Inc. 10.5% 3/1/21 (h)

4,369,800

3,550,463

Blue Coat Systems, Inc. 8.375% 6/1/23 (h)

5,170,000

5,286,325

BMC Software Finance, Inc. 8.125% 7/15/21 (h)

2,700,000

2,011,500

BMC Software, Inc. 7.25% 6/1/18

6,280,000

5,495,000

Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (h)(k)

2,990,000

1,853,800

CDW LLC/CDW Finance Corp. 5.5% 12/1/24

4,100,000

4,120,500

CommScope, Inc. 4.375% 6/15/20 (h)

5,180,000

5,212,375

Compiler Finance Sub, Inc. 7% 5/1/21 (h)

12,715,000

9,345,525

First Data Corp.:

8.75% 1/15/22 pay-in-kind (h)(k)

2,436,000

2,582,160

10.625% 6/15/21

4,402,000

4,908,230

Global Cash Access, Inc. 10% 1/15/22 (h)

3,965,000

3,865,875

Lucent Technologies, Inc.:

6.45% 3/15/29

24,572,000

25,923,460

6.5% 1/15/28

420,000

441,000

Micron Technology, Inc. 5.25% 1/15/24 (h)

4,810,000

4,617,600

Sanmina Corp. 4.375% 6/1/19 (h)

3,940,000

3,999,100

VeriSign, Inc. 4.625% 5/1/23

4,185,000

4,048,988

 

92,466,501

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Telecommunications - 11.1%

Alcatel-Lucent U.S.A., Inc.:

4.625% 7/1/17 (h)

$ 4,750,000

$ 4,904,375

6.75% 11/15/20 (h)

12,475,000

13,410,625

Altice Financing SA 6.5% 1/15/22 (h)

28,550,000

29,477,875

Altice Finco SA:

8.125% 1/15/24 (h)

25,815,000

26,847,600

9.875% 12/15/20 (h)

16,535,000

18,353,850

Altice SA 7.75% 5/15/22 (h)

55,215,000

55,629,113

Broadview Networks Holdings, Inc. 10.5% 11/15/17

8,001,000

7,400,925

Columbus International, Inc. 7.375% 3/30/21 (h)

37,990,000

40,364,375

CommScope Technologies Finance LLC 6% 6/15/25 (h)

7,220,000

7,129,750

Crown Castle International Corp. 5.25% 1/15/23

6,885,000

7,212,038

Digicel Group Ltd.:

6% 4/15/21 (h)

23,740,000

22,374,950

6.75% 3/1/23 (h)

7,470,000

7,167,465

GCI, Inc. 6.875% 4/15/25

1,450,000

1,475,375

Inmarsat Finance PLC 4.875% 5/15/22 (h)

8,715,000

8,562,488

Intelsat Jackson Holdings SA:

5.5% 8/1/23

26,225,000

23,799,188

6.625% 12/15/22 (Reg. S)

5,685,000

5,187,563

7.5% 4/1/21

14,520,000

14,447,400

Intelsat Luxembourg SA 7.75% 6/1/21

15,535,000

12,350,325

Level 3 Financing, Inc.:

5.125% 5/1/23 (h)

14,440,000

14,042,900

5.375% 5/1/25 (h)

2,405,000

2,341,869

6.125% 1/15/21

9,460,000

9,921,175

MetroPCS Wireless, Inc. 6.625% 11/15/20

7,010,000

7,290,400

Numericable Group SA:

4.875% 5/15/19 (h)

22,005,000

22,335,075

6% 5/15/22 (h)

22,675,000

23,071,813

6.25% 5/15/24 (h)

9,760,000

9,925,432

Sable International Finance Ltd. 6.875% 8/1/22 (h)

3,790,000

3,738,608

Sprint Capital Corp.:

6.875% 11/15/28

22,564,000

19,122,990

6.9% 5/1/19

36,338,000

35,611,240

Sprint Communications, Inc. 6% 11/15/22

19,120,000

16,796,920

Sprint Corp.:

7.125% 6/15/24

8,670,000

7,933,050

7.25% 9/15/21

29,095,000

27,822,094

7.625% 2/15/25

2,730,000

2,532,075

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Sprint Corp.: - continued

7.875% 9/15/23

$ 29,530,000

$ 28,311,888

T-Mobile U.S.A., Inc.:

6.125% 1/15/22

5,630,000

5,883,350

6.25% 4/1/21

13,650,000

14,298,375

6.542% 4/28/20

5,115,000

5,388,141

6.625% 4/1/23

11,825,000

12,593,625

6.633% 4/28/21

12,825,000

13,577,828

ViaSat, Inc. 6.875% 6/15/20

3,970,000

4,198,275

Wind Acquisition Finance SA:

4.75% 7/15/20 (h)

14,385,000

14,708,663

7.375% 4/23/21 (h)

12,755,000

13,520,300

Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h)

4,810,000

4,755,888

 

625,817,254

Transportation Ex Air/Rail - 1.3%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h)

10,575,000

10,416,375

Navios Maritime Holdings, Inc.:

7.375% 1/15/22 (h)

26,790,000

22,838,475

8.125% 2/15/19

18,461,000

14,584,190

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h)

5,350,000

5,029,000

Teekay Corp. 8.5% 1/15/20

9,015,000

9,893,963

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

15,050,000

12,604,375

 

75,366,378

Utilities - 1.6%

Calpine Corp. 6% 1/15/22 (h)

5,950,000

6,292,125

Dolphin Subsidiary II, Inc. 7.25% 10/15/21

3,175,000

3,385,344

Dynegy, Inc.:

7.375% 11/1/22 (h)

10,215,000

10,585,294

7.625% 11/1/24 (h)

8,905,000

9,194,413

GenOn Energy, Inc.:

9.5% 10/15/18

1,874,000

1,883,370

9.875% 10/15/20

2,682,000

2,675,295

InterGen NV 7% 6/30/23 (h)

25,000,000

22,500,000

Mirant Americas Generation LLC:

8.5% 10/1/21

3,227,000

3,001,110

9.125% 5/1/31

4,141,000

3,726,900

NRG Energy, Inc. 7.875% 5/15/21

6,125,000

6,450,360

Corporate Bonds - continued

 

Principal Amount

Value

Nonconvertible Bonds - continued

Utilities - continued

NSG Holdings II, LLC 7.75% 12/15/25 (h)

$ 9,392,553

$ 10,355,289

PPL Energy Supply LLC 6.5% 6/1/25 (h)

4,685,000

4,591,300

RJS Power Holdings LLC 5.125% 7/15/19 (h)

2,610,000

2,531,700

RRI Energy, Inc. 7.875% 6/15/17

2,106,000

2,121,795

 

89,294,295

TOTAL NONCONVERTIBLE BONDS

4,509,584,853

TOTAL CORPORATE BONDS

(Cost $4,695,242,860)


4,515,110,081

Common Stocks - 0.6%

Shares

 

Automotive & Auto Parts - 0.2%

Chassix Holdings, Inc.

180,361

4,162,732

Chassix Holdings, Inc. warrants (a)

48,731

0

General Motors Co.

16,125

508,099

General Motors Co.:

warrants 7/10/16 (a)

192,657

4,238,454

warrants 7/10/19 (a)

5,208

76,610

Motors Liquidation Co. GUC Trust (a)

49,155

835,635

 

9,821,530

Banks & Thrifts - 0.0%

CIT Group, Inc.

49,400

2,323,776

Building Materials - 0.3%

Nortek, Inc. (a)

170,720

13,929,045

Energy - 0.0%

Chesapeake Energy Corp. (f)

98,900

856,474

Metals/Mining - 0.0%

Aleris International, Inc. (a)(l)

46,900

503,706

Telecommunications - 0.0%

Broadview Networks Holdings, Inc. (a)(g)

520,065

702,088

Common Stocks - continued

Shares

Value

Transportation Ex Air/Rail - 0.1%

DeepOcean Group Holding BV (a)(h)

419,352

$ 4,729,883

Navios Maritime Holdings, Inc. (f)

771,100

2,853,070

 

7,582,953

TOTAL COMMON STOCKS

(Cost $45,329,841)


35,719,572

Preferred Stocks - 1.5%

 

 

 

 

Convertible Preferred Stocks - 1.2%

Banks & Thrifts - 0.7%

Bank of America Corp. Series L, 7.25% (i)

14,300

15,905,890

Huntington Bancshares, Inc. 8.50% (a)

18,577

25,171,835

 

41,077,725

Energy - 0.5%

Chesapeake Energy Corp. Series A 5.75% (a)

48,400

25,083,121

TOTAL CONVERTIBLE PREFERRED STOCKS

66,160,846

Nonconvertible Preferred Stocks - 0.3%

Banks & Thrifts - 0.3%

Ally Financial, Inc. 7.00% (h)

16,153

16,401,858

TOTAL PREFERRED STOCKS

(Cost $86,461,986)


82,562,704

Bank Loan Obligations - 8.3%

 

Principal Amount

 

Aerospace - 0.3%

TransDigm, Inc.:

Tranche C, term loan 3.75% 2/28/20 (k)

$ 5,225,260

5,218,729

Tranche D, term loan 3.75% 6/4/21 (k)

10,068,288

10,043,117

 

15,261,846

Automotive & Auto Parts - 0.0%

Chassix, Inc. term loan 12% 7/29/19

2,116,108

2,137,269

Broadcasting - 0.1%

Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (k)

4,775,776

4,775,776

Capital Goods - 0.3%

Gardner Denver, Inc. Tranche B, term loan 4.25% 7/30/20 (k)

5,671,270

5,479,865

Bank Loan Obligations - continued

 

Principal Amount

Value

Capital Goods - continued

Rexnord LLC Tranche B, term loan 4% 8/21/20 (k)

$ 6,357,639

$ 6,381,480

SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (k)

5,594,456

5,538,511

 

17,399,856

Chemicals - 0.0%

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (k)

920,000

915,400

Consumer Products - 0.1%

Tempur Sealy International, Inc. Tranche B, term loan 3.5% 3/18/20 (k)

8,178,965

8,199,413

Containers - 0.1%

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (k)

5,613,358

5,613,358

Diversified Financial Services - 0.1%

Flying Fortress Holdings LLC Tranche B, term loan 3.5% 4/30/20 (k)

4,360,000

4,381,800

Diversified Media - 0.1%

WMG Acquisition Corp. term loan 3.75% 7/1/20 (k)

6,597,488

6,564,500

Energy - 0.3%

Energy Transfer Equity LP Tranche B, term loan 3.25% 12/2/19 (k)

7,700,000

7,645,869

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (k)

11,630,000

6,222,050

Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (k)

13,600,000

4,046,000

 

17,913,919

Entertainment/Film - 0.1%

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Tranche B, term loan 3% 1/31/21 (k)

4,755,000

4,749,056

Environmental - 0.6%

ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (k)

32,133,675

32,013,174

Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (k)

3,388,895

2,999,172

 

35,012,346

Food/Beverage/Tobacco - 0.1%

Darling International, Inc. Tranche B, term loan 3.25% 1/6/21 (k)

6,194,075

6,248,273

Bank Loan Obligations - continued

 

Principal Amount

Value

Gaming - 0.4%

Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (k)

$ 27,590,463

$ 23,348,429

Healthcare - 0.8%

Dialysis Newco, Inc.:

Tranche 2LN, term loan 7.75% 10/22/21 (k)

6,110,000

6,140,550

Tranche B 1LN, term loan 4.5% 4/23/21 (k)

5,873,442

5,873,442

HCA Holdings, Inc.:

Tranche B 4LN, term loan 3.0318% 5/1/18 (k)

7,473,591

7,492,275

Tranche B 5LN, term loan 2.9396% 3/31/17 (k)

3,575,211

3,579,859

MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (k)

11,577,339

11,476,037

Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (k)

4,391,931

4,402,911

Surgical Care Affiliates, Inc. Tranche B, term loan 4.25% 3/17/22 (k)

5,196,975

5,196,975

 

44,162,049

Homebuilders/Real Estate - 0.2%

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (k)

765,205

757,553

Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (k)

8,552,511

8,573,892

 

9,331,445

Hotels - 0.2%

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (k)

14,500,501

14,518,627

Insurance - 0.5%

HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (k)

26,620,157

26,420,506

Metals/Mining - 0.1%

Alpha Natural Resources, Inc. Tranche B, term loan 3.5% 5/22/20 (k)

5,993,035

4,015,334

Services - 1.5%

ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (k)

7,978,689

7,958,743

Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (k)

6,068,466

5,795,385

Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (k)

75,907,831

70,784,053

 

84,538,181

Bank Loan Obligations - continued

 

Principal Amount

Value

Super Retail - 1.1%

Davids Bridal, Inc. Tranche B, term loan 5% 10/11/19 (k)

$ 10,227,380

$ 9,869,422

J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (k)

16,496,188

13,691,836

JC Penney Corp., Inc. Tranche B, term loan 6% 5/22/18 (k)

11,371,976

11,357,761

Neiman Marcus Group Ltd., Inc. Tranche B, term loan 4.25% 10/25/20 (k)

14,738,357

14,627,819

PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (k)

12,159,525

12,197,584

 

61,744,422

Technology - 1.0%

Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (k)

1,055,000

1,055,443

Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (k)

27,125,848

27,024,126

Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (k)

17,069,270

16,983,924

Renaissance Learning, Inc.:

Tranche 1LN, term loan 4.5% 4/9/21 (k)

5,372,000

5,318,280

Tranche 2LN, term loan 8% 4/9/22 (k)

4,635,000

4,553,888

 

54,935,661

Utilities - 0.3%

Calpine Construction Finance Co. LP:

Tranche B 1LN, term loan 3% 5/3/20 (k)

13,405,071

13,153,726

Tranche B 2LN, term loan 3.25% 1/31/22 (k)

3,351,751

3,330,802

 

16,484,528

TOTAL BANK LOAN OBLIGATIONS

(Cost $496,878,838)


468,671,994

Preferred Securities - 4.0%

 

Banks & Thrifts - 3.0%

Bank of America Corp.:

6.1% (i)(k)

15,230,000

15,507,327

6.25% (i)(k)

4,190,000

4,299,928

Barclays Bank PLC 7.625% 11/21/22

18,860,000

22,029,301

Barclays PLC:

6.625% (i)(k)

22,085,000

22,065,417

8.25% (i)(k)

18,107,000

19,573,734

Credit Agricole SA:

6.625% (h)(i)(k)

3,565,000

3,576,661

Preferred Securities - continued

 

Principal Amount

Value

Banks & Thrifts - continued

Credit Agricole SA: - continued

7.875% (h)(i)(k)

$ 13,465,000

$ 14,082,596

Credit Suisse Group 7.5% (h)(i)(k)

10,120,000

10,883,562

Credit Suisse Group AG 6.25% (h)(i)(k)

7,520,000

7,379,103

Goldman Sachs Group, Inc. 5.375% (i)(k)

7,215,000

7,277,290

JPMorgan Chase & Co.:

5.3% (i)(k)

12,035,000

12,168,673

6.125% (i)(k)

3,995,000

4,082,145

6.75% (i)(k)

3,065,000

3,350,428

Lloyds Banking Group PLC 7.5% (i)(k)

19,080,000

20,027,001

Societe Generale 6% (h)(i)(k)

6,100,000

5,784,723

 

172,087,889

Diversified Financial Services - 1.0%

Citigroup, Inc.:

5.875% (i)(k)

46,450,000

47,734,812

6.3% (i)(k)

8,855,000

8,796,143

 

56,530,955

TOTAL PREFERRED SECURITIES

(Cost $222,149,418)


228,618,844

Money Market Funds - 3.9%

Shares

 

Fidelity Cash Central Fund, 0.17% (b)

219,216,979

219,216,979

Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c)

1,938,000

1,938,000

TOTAL MONEY MARKET FUNDS

(Cost $221,154,979)


221,154,979

TOTAL INVESTMENT PORTFOLIO - 98.3%

(Cost $5,767,217,922)

5,551,838,174

NET OTHER ASSETS (LIABILITIES) - 1.7%

95,488,876

NET ASSETS - 100%

$ 5,647,327,050

Legend

(a) Non-income producing

(b) 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.

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

(d) Non-income producing - Security is in default.

(e) 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.

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

(g) Affiliated company

(h) 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 $2,450,732,001 or 43.4% of net assets.

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

(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(k) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(l) Restricted securities - 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 $503,706 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Aleris International, Inc.

3/11/11

$ 2,860,900

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

Fidelity Cash Central Fund

$ 81,481

Fidelity Securities Lending Cash Central Fund

8,014

Total

$ 89,495

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Broadview Networks Holdings, Inc.

$ 884,111

$ -

$ -

$ -

$ 702,088

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 8,985,895

$ 4,823,163

$ -

$ 4,162,732

Energy

25,939,595

25,939,595

-

-

Financials

60,638,994

44,237,136

16,401,858

-

Industrials

21,511,998

16,782,115

-

4,729,883

Materials

503,706

-

-

503,706

Telecommunica-tion Services

702,088

702,088

-

-

Corporate Bonds

4,515,110,081

-

4,515,110,072

9

Bank Loan Obligations

468,671,994

-

461,773,891

6,898,103

Preferred Securities

228,618,844

-

228,618,844

-

Money Market Funds

221,154,979

221,154,979

-

-

Total Investments in Securities:

$ 5,551,838,174

$ 313,639,076

$ 5,221,904,665

$ 16,294,433

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $5,758,516,489. Net unrealized depreciation aggregated $206,678,315, of which $136,665,949 related to appreciated investment securities and $343,344,264 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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.

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.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Investments July 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Short Duration
High Income Fund

July 31, 2015 

1.969439.101

SDH-QTLY-0915

Investments July 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 83.2%

 

Principal Amount

Value

Air Transportation - 7.0%

Air Canada 6.625% 5/15/18 (b)

$ 785,000

$ 817,381

Allegiant Travel Co. 5.5% 7/15/19

380,000

384,750

American Airlines Group, Inc.:

4.625% 3/1/20 (b)

290,000

283,475

5.5% 10/1/19 (b)

340,000

348,075

U.S. Airways Group, Inc. 6.125% 6/1/18

1,600,000

1,672,000

United Continental Holdings, Inc. 6.375% 6/1/18

1,000,000

1,050,000

 

4,555,681

Automotive - 0.3%

Ford Motor Credit Co. LLC 2.875% 10/1/18

200,000

202,929

Banks & Thrifts - 0.8%

Bank of America Corp.:

2% 1/11/18

150,000

150,508

6% 9/1/17

250,000

270,970

JPMorgan Chase & Co. 2.35% 1/28/19

97,000

97,685

 

519,163

Broadcasting - 1.9%

Clear Channel Communications, Inc.:

5.5% 12/15/16

450,000

420,750

6.875% 6/15/18

110,000

98,450

9% 12/15/19

685,000

658,456

10% 1/15/18

65,000

52,000

 

1,229,656

Building Materials - 2.4%

Building Materials Holding Corp. 9% 9/15/18 (b)

95,000

101,769

CEMEX S.A.B. de CV 6.5% 12/10/19 (b)

1,420,000

1,478,149

 

1,579,918

Cable/Satellite TV - 0.7%

Cablevision Systems Corp. 7.75% 4/15/18

150,000

162,188

DISH DBS Corp. 5.125% 5/1/20

100,000

101,250

Time Warner Cable, Inc. 5.85% 5/1/17

200,000

212,885

 

476,323

Chemicals - 1.2%

LSB Industries, Inc. 7.75% 8/1/19

260,000

273,650

Nufarm Australia Ltd. 6.375% 10/15/19 (b)

500,000

507,500

 

781,150

Containers - 2.1%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (b)(d)

1,001,750

1,035,789

Nonconvertible Bonds - continued

 

Principal Amount

Value

Containers - continued

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

3.2859% 12/15/19 (b)(d)

$ 150,000

$ 147,973

7% 11/15/20 (b)

167,647

169,324

Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (b)

25,000

24,875

 

1,377,961

Diversified Financial Services - 7.1%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.25% 7/1/20

150,000

151,313

Aircastle Ltd. 6.25% 12/1/19

665,000

737,319

Citigroup, Inc. 4.45% 1/10/17

200,000

208,375

CNH Industrial Capital LLC 3.875% 7/16/18 (b)

300,000

302,250

Discover Financial Services 6.45% 6/12/17

200,000

216,667

FLY Leasing Ltd. 6.75% 12/15/20

65,000

67,113

Goldman Sachs Group, Inc. 1.3739% 11/15/18 (d)

200,000

201,216

Hyundai Capital America 2.55% 2/6/19 (b)

100,000

100,870

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 4.875% 3/15/19

535,000

551,719

ILFC E-Capital Trust I 4.69% 12/21/65 (b)(d)

105,000

102,113

ILFC E-Capital Trust II 6.25% 12/21/65 (b)(d)

45,000

44,213

Morgan Stanley 2.125% 4/25/18

150,000

151,106

Navient Corp. 5.875% 3/25/21

250,000

234,375

SLM Corp.:

4.875% 6/17/19

825,000

787,875

5.5% 1/15/19

710,000

694,025

8.45% 6/15/18

65,000

70,200

 

4,620,749

Diversified Media - 0.9%

MDC Partners, Inc. 6.75% 4/1/20 (b)

610,000

603,900

Energy - 8.7%

California Resources Corp. 5% 1/15/20

880,000

754,600

Citgo Holding, Inc. 10.75% 2/15/20 (b)

245,000

250,513

Consolidated Energy Finance SA 6.75% 10/15/19 (b)

1,020,000

1,030,220

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

760,000

784,700

Forbes Energy Services Ltd. 9% 6/15/19

345,000

252,713

Halcon Resources Corp. 8.625% 2/1/20 (b)

395,000

377,225

Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20

22,000

22,163

Nonconvertible Bonds - continued

 

Principal Amount

Value

Energy - continued

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (d)

$ 185,000

$ 112,040

6.5% 5/15/19

25,000

15,375

Pacific Drilling V Ltd. 7.25% 12/1/17 (b)

85,000

72,250

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20

200,000

211,000

Petroleos Mexicanos 3.5% 7/18/18

250,000

256,563

Sunoco LP / Sunoco Finance Corp. 5.5% 8/1/20 (b)

110,000

111,925

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.5% 10/15/19 (b)

35,000

36,225

Western Gas Partners LP 2.6% 8/15/18

200,000

200,083

Whiting Petroleum Corp. 5% 3/15/19

650,000

624,000

WPX Energy, Inc. 7.5% 8/1/20

600,000

609,000

 

5,720,595

Food/Beverage/Tobacco - 1.4%

JBS Investments GmbH 7.75% 10/28/20 (b)

700,000

756,000

Vector Group Ltd. 7.75% 2/15/21

120,000

128,100

 

884,100

Gaming - 1.3%

MCE Finance Ltd. 5% 2/15/21 (b)

400,000

380,000

Wynn Macau Ltd. 5.25% 10/15/21 (b)

500,000

475,625

 

855,625

Healthcare - 7.2%

Kindred Escrow Corp. II 8% 1/15/20 (b)

1,305,000

1,412,663

Mallinckrodt International Finance SA/Mallinckrodt CB LLC 4.875% 4/15/20 (b)

25,000

25,729

Polymer Group, Inc. 6.875% 6/1/19 (b)

725,000

739,500

Tenet Healthcare Corp.:

4.75% 6/1/20

200,000

206,000

5% 3/1/19 (b)

1,720,000

1,737,200

Valeant Pharmaceuticals International, Inc. 5.375% 3/15/20 (b)

600,000

616,500

 

4,737,592

Homebuilders/Real Estate - 5.7%

Brandywine Operating Partnership LP 4.95% 4/15/18

150,000

159,757

DDR Corp. 4.75% 4/15/18

150,000

159,338

Essex Portfolio LP 5.5% 3/15/17

250,000

265,029

Lennar Corp. 4.5% 11/15/19

130,000

134,388

Liberty Property LP 6.625% 10/1/17

150,000

164,814

Mack-Cali Realty LP 2.5% 12/15/17

150,000

150,496

Nonconvertible Bonds - continued

 

Principal Amount

Value

Homebuilders/Real Estate - continued

TRI Pointe Homes, Inc. 4.375% 6/15/19

$ 820,000

$ 811,800

William Lyon Homes, Inc. 5.75% 4/15/19

1,835,000

1,848,763

 

3,694,385

Insurance - 0.3%

ING U.S., Inc. 2.9% 2/15/18 (d)

200,000

205,248

Metals/Mining - 3.4%

Anglo American Capital PLC 1.2388% 4/15/16 (b)(d)

200,000

199,987

First Quantum Minerals Ltd. 6.75% 2/15/20 (b)

1,160,000

893,200

Freeport-McMoRan, Inc. 2.375% 3/15/18

200,000

186,500

Lundin Mining Corp. 7.5% 11/1/20 (b)

445,000

451,675

Peabody Energy Corp. 6% 11/15/18

625,000

228,125

Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (b)

290,000

283,475

 

2,242,962

Paper - 0.1%

Xerium Technologies, Inc. 8.875% 6/15/18

85,000

87,550

Publishing/Printing - 0.9%

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(d)

555,000

563,325

Services - 6.5%

ADT Corp. 4.125% 4/15/19

1,495,000

1,519,294

APX Group, Inc.:

6.375% 12/1/19

1,375,000

1,344,063

8.75% 12/1/20

230,000

208,725

Blueline Rent Finance Corp./Volvo 7% 2/1/19 (b)

1,175,000

1,169,125

 

4,241,207

Steel - 0.3%

JMC Steel Group, Inc. 8.25% 3/15/18 (b)

70,000

62,125

Steel Dynamics, Inc. 5.125% 10/1/21

160,000

159,600

 

221,725

Super Retail - 2.5%

DPL, Inc. 7.75% 10/15/20 (b)

300,000

237,000

JC Penney Corp., Inc.:

5.65% 6/1/20

299,000

269,100

5.75% 2/15/18

650,000

632,125

8.125% 10/1/19

495,000

492,525

 

1,630,750

Technology - 0.3%

NXP BV/NXP Funding LLC 4.125% 6/15/20 (b)

200,000

200,750

Nonconvertible Bonds - continued

 

Principal Amount

Value

Telecommunications - 12.9%

Alcatel-Lucent U.S.A., Inc. 6.75% 11/15/20 (b)

$ 200,000

$ 215,000

AT&T, Inc. 1.1945% 11/27/18 (d)

200,000

200,641

Digicel Group Ltd. 8.25% 9/30/20 (b)

500,000

493,750

FairPoint Communications, Inc. 8.75% 8/15/19 (b)

90,000

94,500

Intelsat Jackson Holdings SA 7.25% 10/15/20

1,755,000

1,739,644

Numericable Group SA 4.875% 5/15/19 (b)

2,045,000

2,075,665

Sprint Communications, Inc.:

7% 3/1/20 (b)

980,000

1,043,700

9% 11/15/18 (b)

505,000

565,600

T-Mobile U.S.A., Inc.:

6.464% 4/28/19

1,275,000

1,314,844

6.542% 4/28/20

365,000

384,491

Verizon Communications, Inc. 3.65% 9/14/18

250,000

262,900

Wind Acquisition Finance SA 4.75% 7/15/20 (b)

70,000

71,575

 

8,462,310

Transportation Ex Air/Rail - 1.2%

Navios Maritime Holdings, Inc. 8.125% 2/15/19

980,000

774,200

Utilities - 6.1%

DCP Midstream Operating LP 2.5% 12/1/17

100,000

96,375

DPL, Inc. 6.75% 10/1/19

550,000

589,875

Dynegy, Inc. 6.75% 11/1/19 (b)

1,995,000

2,059,838

RJS Power Holdings LLC 5.125% 7/15/19 (b)

1,265,000

1,227,050

 

3,973,138

TOTAL NONCONVERTIBLE BONDS

(Cost $55,513,088)


54,442,892

Bank Loan Obligations - 11.5%

 

Aerospace - 0.3%

TransDigm, Inc. Tranche D, term loan 3.75% 6/4/21 (d)

193,547

193,064

Air Transportation - 0.3%

American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (d)

165,000

165,000

Broadcasting - 0.7%

Clear Channel Communications, Inc. Tranche D, term loan 6.9396% 1/30/19 (d)

395,000

362,906

Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (d)

100,000

100,000

 

462,906

Bank Loan Obligations - continued

 

Principal Amount

Value

Building Materials - 0.2%

GYP Holdings III Corp.:

Tranche 1LN, term loan 4.75% 4/1/21 (d)

$ 133,313

$ 127,313

Tranche 2LN, term loan 7.75% 4/1/22 (d)

25,000

23,750

 

151,063

Cable/Satellite TV - 0.8%

Charter Communications Operating LLC Tranche F, term loan 3% 1/3/21 (d)

344,230

343,369

CSC Holdings LLC Tranche B, term loan 2.6896% 4/17/20 (d)

74,609

74,236

Numericable LLC:

Tranche B 1LN, term loan 4.5% 5/8/20 (d)

66,684

66,934

Tranche B 2LN, term loan 4.5% 5/8/20 (d)

57,691

57,907

 

542,446

Capital Goods - 0.2%

Rexnord LLC Tranche B, term loan 4% 8/21/20 (d)

149,116

149,675

Containers - 0.7%

Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (d)

253,078

253,078

Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (d)

219,556

218,458

 

471,536

Diversified Financial Services - 0.5%

IBC Capital U.S. LLC:

Tranche 2LN, term loan 8% 11/15/22 (d)

100,000

97,875

Tranche B 1LN, term loan 4.75% 11/15/21 (d)

24,938

24,189

TransUnion LLC Tranche B 2LN, term loan 3.75% 4/9/21 (d)

224,432

222,989

 

345,053

Energy - 0.6%

Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (d)

305,000

280,600

Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (d)

98,643

96,423

 

377,023

Food & Drug Retail - 0.2%

Albertson's LLC Tranche B 3LN, term loan 5% 8/25/19 (d)

3,188

3,199

SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (d)

98,258

98,627

 

101,826

Bank Loan Obligations - continued

 

Principal Amount

Value

Gaming - 1.6%

Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (d)

$ 164,462

$ 165,489

Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (d)

98,005

91,635

Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (d)

233,660

197,735

Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (d)

15,000

15,028

Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (d)

359,772

358,423

Scientific Games Corp. Tranche B 2LN, term loan 6% 10/1/21 (d)

238,800

239,707

 

1,068,017

Healthcare - 0.4%

Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (d)

59,200

59,200

Pharmedium Healthcare Corp.:

Tranche 2LN, term loan 7.75% 1/28/22 (d)

85,000

85,000

Tranche B 1LN, term loan 4.25% 1/28/21 (d)

118,153

116,972

 

261,172

Leisure - 0.0%

24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (d)

14,850

14,182

Metals/Mining - 0.3%

Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (d)

112,739

92,446

Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (d)

98,744

75,786

 

168,232

Publishing/Printing - 0.7%

Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (d)

462,563

463,141

Services - 1.4%

Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (d)

68,950

65,847

Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (d)

143,850

107,888

Garda World Security Corp.:

term loan 4% 11/8/20 (d)

318,548

314,566

Tranche DD, term loan 4% 11/8/20 (d)

77,595

76,625

Bank Loan Obligations - continued

 

Principal Amount

Value

Services - continued

Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (d)

$ 277,033

$ 258,333

Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (d)

69,125

67,743

 

891,002

Super Retail - 0.8%

J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (d)

50,000

41,500

JC Penney Corp., Inc. Tranche B, term loan:

5% 6/20/19 (d)

9,900

9,913

6% 5/22/18 (d)

217,605

217,333

PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (d)

269,325

270,168

 

538,914

Technology - 0.6%

Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (d)

15,000

15,006

Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (d)

264,338

264,020

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (d)

14,488

14,379

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (d)

49,961

51,460

Lux FinCo U.S. SPV:

Tranche 2LN, term loan 7/31/23 (e)

10,000

9,925

Tranche B 1LN, term loan 7/31/22 (e)

10,000

9,975

SS&C Technologies, Inc.:

Tranche B 1LN, term loan 4% 7/8/22 (d)

28,565

28,767

Tranche B 2LN, term loan 4% 7/8/22 (d)

4,709

4,742

 

398,274

Utilities - 1.2%

Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (d)

263,336

258,398

Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (d)

54,277

52,920

Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (d)

310,000

311,163

Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (d)

149,239

142,150

 

764,631

TOTAL BANK LOAN OBLIGATIONS

(Cost $7,694,211)


7,527,157

Bank Notes - 0.4%

 

Principal Amount

Value

Regions Bank 7.5% 5/15/18
(Cost $282,372)

$ 250,000

$ 285,389

Preferred Securities - 0.1%

 

Diversified Financial Services - 0.1%

Citigroup, Inc. 5.95% (c)(d)
(Cost $98,197)

100,000


99,104

Money Market Funds - 2.6%

Shares

 

Fidelity Cash Central Fund, 0.17% (a)
(Cost $1,698,286)

1,698,286


1,698,286

TOTAL INVESTMENT PORTFOLIO - 97.8%

(Cost $65,286,154)

64,052,828

NET OTHER ASSETS (LIABILITIES) - 2.2%

1,411,749

NET ASSETS - 100%

$ 65,464,577

Legend

(a) 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.

(b) 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 $25,996,571 or 39.7% of net assets.

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

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

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

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

Fidelity Cash Central Fund

$ 981

Other Information

The following is a summary of the inputs used, as of July 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 54,442,892

$ -

$ 54,442,892

$ -

Bank Loan Obligations

7,527,157

-

7,527,157

-

Bank Notes

285,389

-

285,389

-

Preferred Securities

99,104

-

99,104

-

Money Market Funds

1,698,286

1,698,286

-

-

Total Investments in Securities:

$ 64,052,828

$ 1,698,286

$ 62,354,542

$ -

Income Tax Information

At July 31, 2015, the cost of investment securities for income tax purposes was $65,231,456. Net unrealized depreciation aggregated $1,178,628, of which $530,518 related to appreciated investment securities and $1,709,146 related to depreciated investment securities.

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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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 notes, bank loan obligations and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Investments in 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.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Summer Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Summer Street Trust

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

September 29, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

September 29, 2015

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

September 29, 2015