NPORT-EX 2 QTLY_1326_20190930.htm

Quarterly Holdings Report
for

Fidelity® Variable Insurance Products:

Strategic Income Portfolio

September 30, 2019







VIPSI-QTLY-1119
1.808796.115





Schedule of Investments September 30, 2019 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 33.2%   
 Principal Amount(a) Value 
Convertible Bonds - 0.1%   
CONSUMER DISCRETIONARY - 0.0%   
Auto Components - 0.0%   
Exide Technologies 7.25% 4/30/27 pay-in-kind (b)(c) $364,724 $91,181 
ENERGY - 0.1%   
Oil, Gas & Consumable Fuels - 0.1%   
Denbury Resources, Inc. 6.375% 12/31/24 (b) 1,966,000 1,143,893 
TOTAL CONVERTIBLE BONDS  1,235,074 
Nonconvertible Bonds - 33.1%   
COMMUNICATION SERVICES - 6.4%   
Diversified Telecommunication Services - 1.9%   
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 315,000 324,745 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 1,215,000 1,259,044 
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) 210,000 211,378 
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b)(d) 1,295,000 1,319,281 
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 (b) 340,000 356,575 
Frontier Communications Corp. 8.5% 4/1/26 (b) 1,595,000 1,594,841 
GCI, Inc. 6.875% 4/15/25 560,000 589,400 
GTH Finance BV 7.25% 4/26/23 (b) 755,000 841,979 
Oztel Holdings SPC Ltd. 5.625% 10/24/23 (b) 295,000 305,343 
Qtel International Finance Ltd.:   
3.25% 2/21/23 (b) 735,000 747,863 
3.75% 6/22/26 (b) 100,000 105,125 
Sable International Finance Ltd. 5.75% 9/7/27 (b) 800,000 826,760 
SFR Group SA:   
5.5% 1/15/28 (b) 1,190,000 1,204,994 
7.375% 5/1/26 (b) 5,100,000 5,468,271 
8.125% 2/1/27 (b) 370,000 408,388 
Sprint Capital Corp.:   
6.875% 11/15/28 4,332,000 4,722,746 
8.75% 3/15/32 3,521,000 4,342,977 
Telecom Argentina SA 8% 7/18/26 (b) 140,000 121,188 
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) 220,000 234,713 
Telefonica del Peru SA 7.375% 4/10/27 (b) PEN2,430,000 764,264 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 1,400,000 1,466,500 
Turk Telekomunikasyon A/S 6.875% 2/28/25 (b) 220,000 231,688 
U.S. West Communications:   
6.875% 9/15/33 170,000 170,018 
7.25% 9/15/25 35,000 39,565 
UPCB Finance IV Ltd. 5.375% 1/15/25 (b) 615,000 631,913 
Virgin Media Finance PLC 4.875% 2/15/22 565,000 567,119 
  28,856,678 
Entertainment - 0.5%   
Lions Gate Entertainment Corp. 5.875% 11/1/24 (b) 215,000 220,913 
Netflix, Inc.:   
4.375% 11/15/26 320,000 324,176 
4.875% 4/15/28 1,465,000 1,490,564 
5.375% 11/15/29 (b) 590,000 613,600 
5.875% 2/15/25 260,000 285,516 
5.875% 11/15/28 3,265,000 3,546,770 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c)(e) 2,098,525 1,112,218 
  7,593,757 
Interactive Media & Services - 0.0%   
Entercom Media Corp. 6.5% 5/1/27 (b) 335,000 350,075 
Media - 3.3%   
Block Communications, Inc. 6.875% 2/15/25 (b) 480,000 500,400 
Cablevision SA 6.5% 6/15/21 (b) 200,000 181,500 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.75% 3/1/30 (b)(d) 1,945,000 1,971,744 
5% 2/1/28 (b) 4,665,000 4,822,444 
5.125% 2/15/23 1,565,000 1,590,431 
5.125% 5/1/23 (b) 720,000 737,813 
5.125% 5/1/27 (b) 3,500,000 3,653,125 
5.375% 5/1/25 (b) 720,000 747,000 
5.375% 6/1/29 (b) 2,815,000 2,997,975 
5.5% 5/1/26 (b) 2,450,000 2,566,130 
5.75% 9/1/23 500,000 510,000 
5.75% 1/15/24 555,000 567,488 
5.75% 2/15/26 (b) 1,030,000 1,086,650 
5.875% 5/1/27 (b) 855,000 904,163 
Cengage Learning, Inc. 9.5% 6/15/24 (b) 1,290,000 1,180,350 
CSC Holdings LLC:   
5.125% 12/15/21 (b) 1,490,000 1,490,298 
5.375% 2/1/28 (b) 1,190,000 1,253,963 
5.5% 5/15/26 (b) 2,555,000 2,688,882 
5.75% 1/15/30 (b)(d) 2,920,000 3,051,750 
6.5% 2/1/29 (b) 1,320,000 1,467,147 
7.5% 4/1/28 (b) 725,000 816,459 
Getty Images, Inc. 9.75% 3/1/27 (b) 1,090,000 1,100,628 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 420,000 435,750 
4.875% 4/11/22 (b) 250,000 260,000 
5.125% 3/31/27 (b) 145,000 148,625 
iHeartCommunications, Inc.:   
6.375% 5/1/26 36,236 39,135 
8.375% 5/1/27 65,677 70,931 
11.25% 3/1/21 (e)(f) 630,000 0 
Liberty Media Corp.:   
8.25% 2/1/30 1,610,000 1,686,475 
8.5% 7/15/29 270,000 287,550 
Nexstar Escrow, Inc. 5.625% 7/15/27 (b) 680,000 712,300 
Quebecor Media, Inc. 5.75% 1/15/23 790,000 859,125 
Sirius XM Radio, Inc.:   
4.625% 5/15/23 (b) 260,000 264,966 
5% 8/1/27 (b) 735,000 758,116 
5.375% 4/15/25 (b) 620,000 642,475 
5.375% 7/15/26 (b) 620,000 650,913 
Tegna, Inc. 5% 9/15/29 (b) 650,000 657,313 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 2,100,000 1,991,151 
Videotron Ltd. 5.125% 4/15/27 (b) 615,000 650,363 
VTR Finance BV 6.875% 1/15/24 (b) 1,289,000 1,325,253 
Ziggo Bond Finance BV 6% 1/15/27 (b) 635,000 662,781 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 1,270,000 1,323,594 
  49,313,156 
Wireless Telecommunication Services - 0.7%   
America Movil S.A.B. de CV 6.45% 12/5/22 MXN18,930,000 924,785 
Comcel Trust 6.875% 2/6/24 (b) 855,000 879,314 
Digicel Group Ltd. 6.75% 3/1/23 (b) 350,000 166,141 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 810,000 755,649 
8.5% 10/15/24 (b) 2,055,000 2,069,775 
9.75% 7/15/25 (b) 2,320,000 2,423,240 
Millicom International Cellular SA:   
6% 3/15/25 (b) 360,000 373,275 
6.625% 10/15/26 (Reg. S) 200,000 218,875 
MTN (Mauritius) Investments Ltd.:   
5.373% 2/13/22 (b) 100,000 102,750 
6.5% 10/13/26 (b) 230,000 251,390 
MTS International Funding Ltd. 5% 5/30/23 (b) 240,000 252,450 
Sprint Corp. 7.625% 3/1/26 1,685,000 1,859,819 
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) 400,000 405,824 
Telesat Canada/Telesat LLC 6.5% 10/15/27 (b)(d) 430,000 437,525 
  11,120,812 
TOTAL COMMUNICATION SERVICES  97,234,478 
CONSUMER DISCRETIONARY - 2.3%   
Auto Components - 0.2%   
Allison Transmission, Inc.:   
5% 10/1/24 (b) 635,000 648,891 
5.875% 6/1/29 (b) 420,000 455,700 
Delphi Technologies PLC 5% 10/1/25 (b) 680,000 601,800 
Exide Technologies:   
10.75% 10/31/21 pay-in-kind (b)(c)(f) 180,000 171,000 
11% 10/31/24 pay-in-kind (b)(c)(f) 450,000 324,000 
11% 10/31/24 pay-in-kind (b)(c)(f) 178,700 98,285 
Metalsa SA de CV 4.9% 4/24/23 (b) 890,000 903,072 
Tenneco, Inc. 5% 7/15/26 450,000 369,000 
  3,571,748 
Distributors - 0.0%   
LKQ Corp. 4.75% 5/15/23 115,000 116,438 
Diversified Consumer Services - 0.2%   
BidFair MergeRight, Inc. 7.375% 10/15/27 (b) 1,355,000 1,380,406 
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) 615,000 658,627 
Laureate Education, Inc. 8.25% 5/1/25 (b) 145,000 157,688 
Service Corp. International 5.125% 6/1/29 300,000 320,625 
  2,517,346 
Hotels, Restaurants & Leisure - 1.4%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
3.875% 1/15/28 (b) 495,000 498,148 
5% 10/15/25 (b) 3,296,000 3,404,768 
Choice Hotels International, Inc. 5.75% 7/1/22 145,000 156,238 
FelCor Lodging LP 6% 6/1/25 565,000 593,250 
Golden Nugget, Inc.:   
6.75% 10/15/24 (b) 1,200,000 1,230,000 
8.75% 10/1/25 (b) 1,235,000 1,287,488 
Hilton Domestic Operating Co., Inc.:   
4.875% 1/15/30 (b) 975,000 1,029,454 
5.125% 5/1/26 925,000 971,250 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 925,000 952,750 
4.875% 4/1/27 435,000 459,882 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (b) 475,000 494,594 
5% 6/1/24 (b) 475,000 492,813 
5.25% 6/1/26 (b) 3,225,000 3,413,663 
LTF Merger Sub, Inc. 8.5% 6/15/23 (b) 380,000 389,500 
Marriott Ownership Resorts, Inc. 6.5% 9/15/26 460,000 495,650 
MCE Finance Ltd.:   
4.875% 6/6/25 (b) 1,502,000 1,517,424 
5.25% 4/26/26 (b) 640,000 650,441 
Merlin Entertainments PLC 5.75% 6/15/26 (b) 615,000 636,141 
Six Flags Entertainment Corp.:   
4.875% 7/31/24 (b) 715,000 740,025 
5.5% 4/15/27 (b) 380,000 405,167 
Studio City Co. Ltd. 7.25% 11/30/21 (b) 350,000 358,750 
Viking Cruises Ltd. 5.875% 9/15/27 (b) 595,000 630,462 
Voc Escrow Ltd. 5% 2/15/28 (b) 545,000 562,767 
Yum! Brands, Inc. 4.75% 1/15/30 (b) 410,000 422,813 
  21,793,438 
Household Durables - 0.2%   
Lennar Corp. 4.75% 11/29/27 620,000 664,950 
LGI Homes, Inc. 6.875% 7/15/26 (b) 605,000 629,200 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) 435,000 464,363 
Toll Brothers Finance Corp. 4.375% 4/15/23 281,000 294,348 
TRI Pointe Homes, Inc. 5.875% 6/15/24 780,000 830,700 
William Lyon Homes, Inc.:   
5.875% 1/31/25 380,000 383,800 
6% 9/1/23 375,000 390,000 
  3,657,361 
Internet & Direct Marketing Retail - 0.2%   
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 1,605,000 1,640,792 
6% 4/1/23 580,000 595,225 
6.375% 5/15/25 120,000 123,576 
  2,359,593 
Specialty Retail - 0.1%   
IAA Spinco, Inc. 5.5% 6/15/27 (b) 250,000 263,750 
Penske Automotive Group, Inc. 5.5% 5/15/26 460,000 481,091 
  744,841 
Textiles, Apparel & Luxury Goods - 0.0%   
Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (b) 200,000 30,250 
TOTAL CONSUMER DISCRETIONARY  34,791,015 
CONSUMER STAPLES - 1.3%   
Beverages - 0.0%   
Central American Bottling Corp. 5.75% 1/31/27 (b) 105,000 110,873 
Food & Staples Retailing - 0.1%   
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (b) 525,000 535,500 
Performance Food Group, Inc. 5.5% 10/15/27 (b) 680,000 714,000 
  1,249,500 
Food Products - 1.1%   
B&G Foods, Inc. 4.625% 6/1/21 565,000 565,113 
CF Industries Holdings, Inc.:   
4.95% 6/1/43 970,000 950,600 
5.15% 3/15/34 779,000 811,134 
5.375% 3/15/44 1,345,000 1,354,452 
JBS Investments II GmbH:   
5.75% 1/15/28 (b) 780,000 812,370 
7% 1/15/26 (b) 1,020,000 1,100,570 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (b) 1,275,000 1,328,321 
6.75% 2/15/28 (b) 925,000 1,024,438 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (b) 1,085,000 1,150,078 
6.5% 4/15/29 (b) 1,550,000 1,720,469 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 425,000 447,270 
4.875% 11/1/26 (b) 430,000 450,425 
Pilgrim's Pride Corp. 5.75% 3/15/25 (b) 925,000 957,375 
Post Holdings, Inc.:   
5% 8/15/26 (b) 2,440,000 2,530,524 
5.5% 3/1/25 (b) 530,000 555,175 
5.5% 12/15/29 (b) 810,000 844,425 
5.75% 3/1/27 (b) 405,000 429,381 
  17,032,120 
Personal Products - 0.1%   
First Quality Finance Co., Inc. 5% 7/1/25 (b) 490,000 505,925 
Prestige Brands, Inc. 5.375% 12/15/21 (b) 725,000 728,625 
  1,234,550 
TOTAL CONSUMER STAPLES  19,627,043 
ENERGY - 6.3%   
Energy Equipment & Services - 0.4%   
Borets Finance DAC 6.5% 4/7/22 (b) 430,000 440,884 
Compressco Partners LP/Compressco Finance, Inc. 7.5% 4/1/25 (b) 280,000 275,100 
Exterran Energy Solutions LP 8.125% 5/1/25 575,000 572,844 
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 385,000 389,331 
Forum Energy Technologies, Inc. 6.25% 10/1/21 715,000 593,450 
Jonah Energy LLC 7.25% 10/15/25 (b) 930,000 311,550 
Nabors Industries, Inc. 5.75% 2/1/25 900,000 666,000 
NuStar Logistics LP 6% 6/1/26 640,000 692,672 
SESI LLC 7.75% 9/15/24 365,000 209,875 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 280,000 324,212 
Summit Midstream Holdings LLC 5.75% 4/15/25 440,000 371,448 
The Oil and Gas Holding Co.:   
7.5% 10/25/27 (b) 415,000 461,376 
7.625% 11/7/24 (b) 200,000 226,938 
Transocean, Inc.:   
7.25% 11/1/25 (b) 590,000 519,938 
7.5% 1/15/26 (b) 645,000 574,050 
  6,629,668 
Oil, Gas & Consumable Fuels - 5.9%   
American Energy-Permian Basin LLC/AEPB Finance Corp. 13% 11/30/20 (b) 940,000 968,200 
Antero Midstream Partners LP/Antero Midstream Finance Corp.:   
5.375% 9/15/24 245,000 220,427 
5.75% 1/15/28 (b) 975,000 809,250 
Antero Resources Corp.:   
5.125% 12/1/22 45,000 39,488 
5.625% 6/1/23 (Reg. S) 560,000 484,400 
Antero Resources Finance Corp. 5.375% 11/1/21 295,000 285,413 
Callon Petroleum Co. 6.125% 10/1/24 225,000 221,625 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 380,000 360,050 
Chesapeake Energy Corp.:   
8% 1/15/25 410,000 296,225 
8% 6/15/27 245,000 164,763 
Citgo Holding, Inc. 9.25% 8/1/24 (b) 1,885,000 2,002,813 
Citgo Petroleum Corp. 6.25% 8/15/22 (b) 900,000 910,125 
CNX Midstream Partners LP 6.5% 3/15/26 (b) 335,000 309,071 
Comstock Escrow Corp. 9.75% 8/15/26 3,060,000 2,555,100 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 5.8685% 6/15/22 (b)(c)(g) 155,000 154,639 
6.5% 5/15/26 (b) 615,000 596,550 
6.875% 6/15/25 (b) 310,000 310,775 
Covey Park Energy LLC 7.5% 5/15/25 (b) 580,000 464,000 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (b) 960,000 980,102 
5.75% 4/1/25 465,000 477,788 
6.25% 4/1/23 1,975,000 2,026,844 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 1,070,000 1,083,375 
DCP Midstream LLC 5.85% 5/21/43 (b)(c) 885,000 803,846 
Denbury Resources, Inc.:   
7.75% 2/15/24 (b) 2,155,000 1,664,738 
9% 5/15/21 (b) 2,385,000 2,212,088 
9.25% 3/31/22 (b) 350,000 306,250 
Diamondback Energy, Inc.:   
4.75% 11/1/24 540,000 552,825 
5.375% 5/31/25 255,000 266,108 
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (c) 2,215,000 2,253,763 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (b) 505,000 525,200 
5.75% 1/30/28 (b) 880,000 935,000 
Energy Transfer Equity LP 5.5% 6/1/27 860,000 925,932 
EnLink Midstream Partners LP:   
4.15% 6/1/25 465,000 431,288 
4.4% 4/1/24 460,000 443,003 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
7.75% 5/15/26 (b) 4,756,000 3,567,000 
8% 11/29/24 (b) 780,000 298,350 
EQT Corp. 3.9% 10/1/27 648,000 561,819 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) 365,000 239,075 
Frontera Energy Corp. 9.7% 6/25/23 (b) 410,000 433,447 
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 465,000 447,563 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 490,000 509,599 
Global Partners LP/GLP Finance Corp. 7% 6/15/23 580,000 597,400 
Gran Tierra Energy International Holdings Ltd. 6.25% 2/15/25 (b) 225,000 200,813 
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) 795,000 830,775 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 510,000 476,850 
5.75% 10/1/25 (b) 580,000 539,400 
6.25% 11/1/28 (b) 590,000 548,700 
Holly Energy Partners LP/Holly Finance Corp. 6% 8/1/24 (b) 390,000 407,063 
Indigo Natural Resources LLC 6.875% 2/15/26 (b) 1,135,000 1,022,919 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 1,055,000 1,093,573 
KazMunaiGaz Finance Sub BV 4.75% 4/24/25 (b) 225,000 245,588 
Kosmos Energy Ltd. 7.125% 4/4/26 (b) 1,040,000 1,071,335 
Medco Strait Services Pte. Ltd. 8.5% 8/17/22 (b) 295,000 316,480 
MEG Energy Corp. 7% 3/31/24 (b) 65,000 62,725 
MPLX LP 6.375% 5/1/24 (b) 245,000 257,007 
Murphy Oil U.S.A., Inc.:   
4.75% 9/15/29 370,000 378,325 
5.625% 5/1/27 305,000 321,775 
Newfield Exploration Co. 5.375% 1/1/26 475,000 515,985 
NGL Energy Partners LP/NGL Energy Finance Corp.:   
6.125% 3/1/25 625,000 595,313 
7.5% 4/15/26 (b) 640,000 642,880 
NGPL PipeCo LLC:   
4.375% 8/15/22 (b) 150,000 155,496 
4.875% 8/15/27 (b) 150,000 160,816 
Nine Energy Service, Inc. 8.75% 11/1/23 (b) 300,000 243,000 
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) 2,340,000 1,190,475 
Pan American Energy LLC 7.875% 5/7/21 (b) 106,667 107,167 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 380,000 385,590 
5.625% 10/15/27 (b) 300,000 309,750 
6.25% 6/1/24 (b) 420,000 434,700 
PBF Holding Co. LLC/PBF Finance Corp.:   
7% 11/15/23 1,695,000 1,747,981 
7.25% 6/15/25 1,145,000 1,186,506 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 435,000 447,232 
PDC Energy, Inc. 6.125% 9/15/24 200,000 199,500 
Pemex Project Funding Master Trust:   
6.625% 6/15/35 1,690,000 1,653,665 
8.625% 12/1/23 (c) 250,000 277,538 
Petrobras Energia SA 7.375% 7/21/23 (b) 335,000 271,402 
Petrobras Global Finance BV:   
5.093% 1/15/30 (b) 824,354 859,925 
5.999% 1/27/28 321,000 357,434 
6.9% 3/19/49 175,000 200,473 
8.75% 5/23/26 1,350,000 1,726,988 
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 634,000 731,450 
Petroleos de Venezuela SA:   
5.375% 4/12/27 (e) 480,000 38,400 
6% 5/16/24 (b)(e) 585,000 46,800 
6% 11/15/26 (b)(e) 930,000 74,400 
12.75% 2/17/22 (b)(e) 110,000 8,800 
Petroleos Mexicanos:   
3 month U.S. LIBOR + 3.650% 5.7884% 3/11/22 (c)(g) 325,000 337,963 
3.5% 1/30/23 780,000 777,270 
4.875% 1/24/22 115,000 118,795 
4.875% 1/18/24 2,210,000 2,275,195 
5.5% 1/21/21 65,000 66,853 
6.5% 6/2/41 465,000 444,075 
6.75% 9/21/47 2,153,000 2,064,727 
7.69% 1/23/50 (b) 2,343,000 2,443,280 
QEP Resources, Inc. 5.25% 5/1/23 610,000 565,787 
Range Resources Corp.:   
4.875% 5/15/25 185,000 152,625 
5% 3/15/23 1,290,000 1,128,750 
Sanchez Energy Corp.:   
6.125% 1/15/23 (e) 1,675,000 104,688 
7.25% 2/15/23 (b)(e) 1,185,000 853,200 
Saudi Arabian Oil Co.:   
2.875% 4/16/24 (b) 220,000 222,420 
3.5% 4/16/29 (b) 1,380,000 1,440,375 
4.25% 4/16/39 (b) 1,165,000 1,257,618 
4.375% 4/16/49 (b) 1,045,000 1,147,567 
SemGroup Corp.:   
6.375% 3/15/25 310,000 320,850 
7.25% 3/15/26 580,000 627,850 
Sinopec Group Overseas Development 2012 Ltd. 4.875% 5/17/42 (b) 95,000 119,581 
Sinopec Group Overseas Development Ltd. 3.68% 8/8/49 (b) 430,000 463,325 
SM Energy Co.:   
5.625% 6/1/25 380,000 325,774 
6.625% 1/15/27 1,055,000 907,300 
6.75% 9/15/26 250,000 218,750 
Southern Star Central Corp. 5.125% 7/15/22 (b) 320,000 322,400 
Southwestern Energy Co.:   
4.1% 3/15/22 820,000 787,200 
6.2% 1/23/25 (c) 100,000 87,998 
7.5% 4/1/26 775,000 674,250 
7.75% 10/1/27 600,000 523,125 
SRC Energy, Inc. 6.25% 12/1/25 380,000 376,192 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 465,000 477,206 
5.5% 2/15/26 595,000 620,984 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5% 1/15/28 620,000 627,006 
5.125% 2/1/25 320,000 329,072 
5.375% 2/1/27 320,000 330,800 
5.875% 4/15/26 925,000 977,031 
6.5% 7/15/27 (b) 325,000 354,604 
6.875% 1/15/29 (b) 580,000 633,691 
Teine Energy Ltd. 6.875% 9/30/22 (b) 590,000 587,050 
Tennessee Gas Pipeline Co. 7.625% 4/1/37 50,000 67,347 
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) 475,000 414,883 
Tullow Oil PLC:   
6.25% 4/15/22 (b) 360,000 363,600 
7% 3/1/25 (b) 280,000 284,288 
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind 538,029 75,324 
Unit Corp. 6.625% 5/15/21 120,000 91,200 
W&T Offshore, Inc. 9.75% 11/1/23 (b) 2,005,000 1,914,013 
Whiting Petroleum Corp. 6.625% 1/15/26 425,000 286,875 
WPX Energy, Inc.:   
5.25% 9/15/24 490,000 502,108 
5.25% 10/15/27 810,000 816,075 
5.75% 6/1/26 465,000 476,625 
YPF SA:   
8.5% 3/23/21 (b) 510,000 440,130 
8.5% 6/27/29 (b) 225,000 173,250 
8.75% 4/4/24 (b) 1,950,000 1,608,750 
  89,646,006 
TOTAL ENERGY  96,275,674 
FINANCIALS - 6.1%   
Banks - 1.0%   
Akbank TAS 7.2% 3/16/27 (b)(c) 440,000 407,138 
Banco de Bogota SA 6.25% 5/12/26 (b) 100,000 113,031 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 205,000 214,930 
Banco Do Brasil SA:   
4.625% 1/15/25 (b) 170,000 178,585 
4.875% 4/19/23 (b) 105,000 110,545 
Banco Macro SA 6.75% 11/4/26 (b)(c) 1,080,000 737,100 
Banco Votorantim SA 4% 9/24/22 (b) 240,000 243,960 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 470,000 419,475 
BBVA Bancomer SA 7.25% 4/22/20 (b) 210,000 214,620 
Biz Finance PLC 9.625% 4/27/22 (b) 505,000 527,220 
BTA Bank JSC 5.5% 12/21/22 (b) 235,905 237,232 
CBOM Finance PLC 5.55% 2/14/23 (b) 310,000 308,256 
Danske Bank A/S 2.5% 6/21/29 (Reg. S) (c) EUR1,905,000 2,185,185 
Development Bank of Mongolia 7.25% 10/23/23 (b) 160,000 165,500 
Development Bank of the Republic of Belarus 6.75% 5/2/24 (b) 105,000 108,990 
Ecobank Transnational, Inc. 9.5% 4/18/24 (b) 295,000 331,108 
Export-Import Bank of Korea 6.2% 8/7/21 (b) INR21,900,000 308,020 
Fidelity Bank PLC 10.5% 10/16/22 (b) 270,000 302,822 
HBOS PLC 4.5% 3/18/30 (c) EUR1,350,000 1,676,425 
Itau Unibanco Holding SA 5.125% 5/13/23 (Reg. S) 330,000 348,872 
JSC BGEO Group 6% 7/26/23 (b) 775,000 790,500 
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) 280,000 292,600 
T.C. Ziraat Bankasi A/S 5.125% 5/3/22 (b) 485,000 469,086 
TBC Bank JSC 5.75% 6/19/24 (b) 120,000 120,906 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 580,000 594,681 
Turkiye Garanti Bankasi A/S:   
4.75% 10/17/19 (b) 185,000 185,000 
6.125% 5/24/27 (b)(c) 480,000 432,000 
Turkiye Is Bankasi A/S:   
5% 4/30/20 (b) 330,000 330,990 
5.5% 4/21/22 (b) 335,000 329,556 
Turkiye Vakiflar Bankasi TAO:   
5.75% 1/30/23 (b) 1,380,000 1,311,138 
6.875% 2/3/25 (b)(c) 50,000 48,016 
6.875% 2/3/25 (Reg. S) (c) 350,000 336,109 
UniCredit SpA 6.95% 10/31/22 (Reg. S) EUR1,146,000 1,479,763 
  15,859,359 
Capital Markets - 0.2%   
AssuredPartners, Inc. 7% 8/15/25 (b) 245,000 245,000 
Balboa Merger Sub, Inc. 11.375% 12/1/21 (b) 1,260,000 1,314,731 
Banco BTG Pactual SA 7.75% 2/15/29 (b)(c) 225,000 234,563 
CyrusOne LP/CyrusOne Finance Corp.:   
5% 3/15/24 165,000 170,775 
5.375% 3/15/27 140,000 149,275 
MSCI, Inc.:   
5.25% 11/15/24 (b) 345,000 356,213 
5.75% 8/15/25 (b) 365,000 382,794 
  2,853,351 
Consumer Finance - 2.7%   
Ally Financial, Inc.:   
8% 11/1/31 16,143,000 22,317,698 
8% 11/1/31 823,000 1,133,683 
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) 310,000 356,791 
Intelsat Connect Finance SA 9.5% 2/15/23 (b) 975,000 901,573 
Navient Corp.:   
5.5% 1/25/23 1,685,000 1,739,763 
5.875% 10/25/24 2,745,000 2,765,588 
6.125% 3/25/24 830,000 860,868 
6.5% 6/15/22 470,000 500,550 
7.25% 1/25/22 2,650,000 2,855,375 
7.25% 9/25/23 285,000 309,795 
Springleaf Finance Corp.:   
6.625% 1/15/28 385,000 413,991 
6.875% 3/15/25 2,580,000 2,842,838 
7.125% 3/15/26 3,405,000 3,777,252 
  40,775,765 
Diversified Financial Services - 1.8%   
1MDB Global Investments Ltd. 4.4% 3/9/23 2,000,000 1,910,625 
ADES International Holding Ltd. 8.625% 4/24/24 (b) 450,000 446,906 
Avolon Holdings Funding Ltd.:   
5.125% 10/1/23 (b) 175,000 185,658 
5.25% 5/15/24 (b) 950,000 1,017,260 
5.5% 1/15/23 (b) 280,000 298,763 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 820,000 613,334 
Diamond Sports Group LLC/Diamond Sports Finance Co.:   
5.375% 8/15/26 (b) 1,265,000 1,312,438 
6.625% 8/15/27 (b) 2,240,000 2,320,752 
Eagle Intermediate Global Holding BV 7.5% 5/1/25 (b) 230,000 204,916 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) 470,000 483,072 
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.875% 5/1/24 (b) 1,280,000 1,369,600 
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (b) 390,000 372,450 
HTA Group Ltd. 9.125% 3/8/22 (b) 565,000 588,162 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
6.25% 5/15/26 (b) 1,290,000 1,351,275 
6.375% 12/15/25 2,785,000 2,928,462 
6.75% 2/1/24 535,000 556,400 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) 410,000 432,899 
James Hardie International Finance Ltd.:   
4.75% 1/15/25 (b) 450,000 463,500 
5% 1/15/28 (b) 455,000 472,063 
KfW 1.125% 5/9/33 (Reg. S) EUR2,700,000 3,434,706 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (b) 225,000 232,830 
5.25% 8/15/22 (b) 485,000 511,142 
5.5% 2/15/24 (b) 40,000 43,216 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 985,000 1,001,496 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 1,590,000 1,680,821 
Sparc Em Spc 0% 12/5/22 (b) 170,833 163,401 
Starfruit Finco BV / Starfruit U.S. Holdco LLC 8% 10/1/26 (b) 545,000 543,638 
Tempo Acquisition LLC 6.75% 6/1/25 (b) 475,000 489,250 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (b) 375,000 394,200 
8.5% 8/15/27 (b) 375,000 405,469 
Valvoline, Inc. 5.5% 7/15/24 230,000 239,200 
Vedanta Resources Finance II PLC 9.25% 4/23/26 (b) 380,000 377,150 
Venator Finance SARL/Venator Capital Management Ltd. 5.75% 7/15/25 (b) 525,000 442,313 
  27,287,367 
Insurance - 0.3%   
Acrisure LLC 10.125% 8/1/26 (b) 605,000 632,225 
Acrisure LLC / Acrisure Finance, Inc.:   
7% 11/15/25 (b) 910,000 848,393 
8.125% 2/15/24 (b) 460,000 495,650 
AmWINS Group, Inc. 7.75% 7/1/26 (b) 300,000 322,500 
Centene Escrow Corp. 5.375% 6/1/26 (b) 1,545,000 1,618,388 
HUB International Ltd. 7% 5/1/26 (b) 595,000 612,106 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 615,000 624,213 
  5,153,475 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 595,000 615,409 
Thrifts & Mortgage Finance - 0.1%   
Nationwide Building Society 2% 7/25/29 (Reg. S) (c) EUR831,000 920,032 
TOTAL FINANCIALS  93,464,758 
HEALTH CARE - 3.1%   
Health Care Equipment & Supplies - 0.1%   
Hologic, Inc.:   
4.375% 10/15/25 (b) 320,000 328,000 
4.625% 2/1/28 (b) 215,000 222,256 
NVA Holdings, Inc. 6.875% 4/1/26 (b) 330,000 350,213 
Teleflex, Inc. 4.625% 11/15/27 255,000 266,156 
  1,166,625 
Health Care Providers & Services - 2.3%   
BCPE Cycle Merger Sub II, Inc. 10.625% 7/15/27 (b) 1,300,000 1,254,500 
Becton Dickinson Euro Finance SARL 1.208% 6/4/26 EUR1,983,000 2,230,427 
Community Health Systems, Inc.:   
8% 3/15/26 (b) 2,880,000 2,872,800 
8.125% 6/30/24 (b) 3,507,000 2,788,065 
8.625% 1/15/24 (b) 2,400,000 2,478,000 
9.875% 6/30/23 (b) 1,825,000 1,551,250 
Encompass Health Corp.:   
5.125% 3/15/23 330,000 335,775 
5.75% 11/1/24 1,040,000 1,050,868 
HCA Holdings, Inc.:   
4.75% 5/1/23 630,000 674,871 
5.25% 6/15/26 750,000 835,273 
5.375% 2/1/25 1,010,000 1,103,425 
5.375% 9/1/26 635,000 697,675 
5.625% 9/1/28 1,565,000 1,743,880 
5.875% 5/1/23 1,925,000 2,117,500 
5.875% 2/15/26 2,635,000 2,945,930 
5.875% 2/1/29 1,815,000 2,030,531 
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b) 650,000 676,000 
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) 335,000 308,619 
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind(b)(c) 1,585,000 1,347,250 
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 260,000 264,914 
Tenet Healthcare Corp.:   
4.625% 7/15/24 305,000 313,458 
4.625% 9/1/24 (b) 650,000 668,642 
4.875% 1/1/26 (b) 1,625,000 1,667,656 
5.125% 5/1/25 305,000 309,209 
5.125% 11/1/27 (b) 975,000 1,007,516 
6.25% 2/1/27 (b) 955,000 993,105 
Vizient, Inc. 6.25% 5/15/27 (b) 145,000 155,513 
Wellcare Health Plans, Inc.:   
5.25% 4/1/25 475,000 494,594 
5.375% 8/15/26 (b) 385,000 410,911 
West Street Merger Sub, Inc. 6.375% 9/1/25 (b) 305,000 280,600 
  35,608,757 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (b) 640,000 670,400 
Pharmaceuticals - 0.7%   
Catalent Pharma Solutions:   
4.875% 1/15/26 (b) 205,000 210,894 
5% 7/15/27 (b) 205,000 212,688 
Inventiv Group Holdings, Inc. / Investment 7.5% 10/1/24 (b) 228,000 235,980 
Mylan NV 3.125% 11/22/28 (Reg. S) EUR1,450,000 1,784,315 
Teva Pharmaceutical Finance Co. BV:   
2.95% 12/18/22 250,000 214,375 
3.65% 11/10/21 75,000 69,375 
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 45,000 41,513 
Valeant Pharmaceuticals International, Inc.:   
5.5% 11/1/25 (b) 3,803,000 3,979,269 
5.75% 8/15/27 (b) 165,000 178,337 
5.875% 5/15/23 (b) 55,000 55,688 
7% 1/15/28 (b) 1,280,000 1,378,688 
7.25% 5/30/29 (b) 640,000 699,072 
8.5% 1/31/27 (b) 1,120,000 1,256,976 
  10,317,170 
TOTAL HEALTH CARE  47,762,952 
INDUSTRIALS - 1.9%   
Aerospace & Defense - 0.9%   
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) 225,000 236,250 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 570,000 580,545 
7.5% 12/1/24 (b) 160,000 160,560 
7.5% 3/15/25 (b) 2,495,000 2,491,881 
7.875% 4/15/27 (b) 1,790,000 1,782,572 
BWX Technologies, Inc. 5.375% 7/15/26 (b) 430,000 452,038 
DAE Funding LLC 4% 8/1/20 (b) 260,000 261,763 
TransDigm UK Holdings PLC 6.875% 5/15/26 1,805,000 1,940,375 
TransDigm, Inc.:   
6.25% 3/15/26 (b) 955,000 1,025,431 
6.375% 6/15/26 3,145,000 3,306,181 
6.5% 5/15/25 835,000 866,313 
7.5% 3/15/27 960,000 1,044,000 
  14,147,909 
Air Freight & Logistics - 0.1%   
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 745,000 800,875 
Airlines - 0.1%   
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (b) 106,830 109,832 
Azul Investments LLP 5.875% 10/26/24 (b) 535,000 533,997 
Continental Airlines, Inc. pass-thru certificates 6.903% 4/19/22 8,549 8,845 
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 82,552 91,476 
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 186,960 190,287 
U.S. Airways pass-thru certificates:   
Series 2011-1 Class A, 7.125% 10/22/23 256,923 289,218 
Series 2012-2 Class B, 6.75% 6/3/21 136,178 143,342 
Series 2013-1 Class B, 5.375% 11/15/21 182,643 190,434 
  1,557,431 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (b) 125,000 126,718 
Elementia S.A.B. de CV 5.5% 1/15/25 (b) 347,000 335,939 
  462,657 
Commercial Services & Supplies - 0.4%   
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) 565,000 589,719 
Covanta Holding Corp.:   
5.875% 3/1/24 1,870,000 1,926,100 
5.875% 7/1/25 165,000 172,013 
6% 1/1/27 585,000 615,713 
KAR Auction Services, Inc. 5.125% 6/1/25 (b) 525,000 543,375 
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner U.S.A. 8.375% 12/1/22 (b) 530,000 552,525 
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (b) 190,000 198,313 
Tervita Escrow Corp. 7.625% 12/1/21 (b) 280,000 284,550 
The Brink's Co. 4.625% 10/15/27 (b) 620,000 623,495 
  5,505,803 
Construction & Engineering - 0.1%   
AECOM 5.125% 3/15/27 625,000 656,250 
Cementos Progreso Trust 7.125% 11/6/23 (b) 420,000 430,763 
JMC Steel Group, Inc. 9.875% 6/15/23 (b) 162,000 170,708 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(e) 1,530,000 158,259 
5.25% 6/27/29 (b)(e) 580,000 62,531 
7.125% 6/26/42 (b)(e) 1,406,000 146,312 
  1,624,823 
Electrical Equipment - 0.1%   
Sensata Technologies BV 5% 10/1/25 (b) 575,000 614,531 
Industrial Conglomerates - 0.0%   
Turk Sise ve Cam Fabrikalari A/S:   
4.25% 5/9/20 (b) 17,000 16,915 
6.95% 3/14/26 (b) 220,000 226,394 
  243,309 
Machinery - 0.0%   
Stevens Holding Co., Inc. 6.125% 10/1/26 (b) 155,000 164,881 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) 150,000 114,375 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (b) 490,000 476,525 
  590,900 
Professional Services - 0.0%   
IHS Markit Ltd.:   
4% 3/1/26 (b) 275,000 289,575 
4.75% 2/15/25 (b) 225,000 244,125 
  533,700 
Road & Rail - 0.0%   
JSC Georgian Railway 7.75% 7/11/22 (b) 100,000 109,375 
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) 328,000 337,430 
  446,805 
Trading Companies & Distributors - 0.1%   
Avantor, Inc. 6% 10/1/24 (b) 625,000 669,706 
FLY Leasing Ltd. 5.25% 10/15/24 490,000 504,700 
United Rentals North America, Inc. 5.5% 5/15/27 405,000 429,300 
  1,603,706 
Transportation Infrastructure - 0.1%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 1,181,250 1,079,367 
DP World Ltd. 5.625% 9/25/48 (b) 195,000 225,164 
  1,304,531 
TOTAL INDUSTRIALS  29,601,861 
INFORMATION TECHNOLOGY - 1.0%   
Communications Equipment - 0.1%   
IHS Netherlands Holdco BV:   
7.125% 3/18/25 (b) 500,000 508,475 
8% 9/18/27 (b) 200,000 204,050 
  712,525 
Electronic Equipment & Components - 0.0%   
MTS Systems Corp. 5.75% 8/15/27 (b) 170,000 176,800 
Internet Software & Services - 0.0%   
Camelot Finance SA 7.875% 10/15/24 (b) 280,000 291,200 
IT Services - 0.3%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) 1,845,000 1,761,053 
CDW LLC/CDW Finance Corp.:   
5% 9/1/23 565,000 579,351 
5% 9/1/25 335,000 349,028 
Fidelity National Information Services, Inc. 1.5% 5/21/27 EUR1,432,000 1,671,710 
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (b) 500,000 525,625 
Grubhub Holdings, Inc. 5.5% 7/1/27 (b) 255,000 260,100 
  5,146,867 
Semiconductors & Semiconductor Equipment - 0.1%   
Qorvo, Inc. 5.5% 7/15/26 300,000 316,875 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 585,000 623,025 
Versum Materials, Inc. 5.5% 9/30/24 (b) 330,000 351,450 
  1,291,350 
Software - 0.4%   
Ascend Learning LLC:   
6.875% 8/1/25 (b) 210,000 217,350 
6.875% 8/1/25 (b) 630,000 655,200 
CDK Global, Inc. 5.875% 6/15/26 225,000 239,344 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 970,000 993,038 
JDA Escrow LLC/JDA Bond Finance, Inc. 7.375% 10/15/24 (b) 225,000 234,000 
Open Text Corp. 5.875% 6/1/26 (b) 465,000 496,481 
Parametric Technology Corp. 6% 5/15/24 190,000 199,025 
Symantec Corp. 5% 4/15/25 (b) 530,000 535,870 
Veritas U.S., Inc./Veritas Bermuda Ltd.:   
7.5% 2/1/23 (b) 875,000 864,888 
10.5% 2/1/24 (b) 1,587,000 1,499,715 
  5,934,911 
Technology Hardware, Storage & Peripherals - 0.1%   
NCR Corp.:   
5.75% 9/1/27 (b) 485,000 501,975 
6.125% 9/1/29 (b) 485,000 511,214 
  1,013,189 
TOTAL INFORMATION TECHNOLOGY  14,566,842 
MATERIALS - 2.2%   
Chemicals - 0.5%   
Braskem Finance Ltd. 5.375% 5/2/22 (b) 315,000 330,061 
Element Solutions, Inc. 5.875% 12/1/25 (b) 945,000 989,037 
Hexion, Inc. 7.875% 7/15/27 (b) 480,000 474,000 
LSB Industries, Inc. 9.625% 5/1/23 (b) 310,000 327,050 
Neon Holdings, Inc. 10.125% 4/1/26 (b) 635,000 639,763 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (b) 770,000 791,830 
5.25% 6/1/27 (b) 660,000 686,961 
OCI NV 6.625% 4/15/23 (b) 270,000 282,474 
OCP SA:   
5.625% 4/25/24 (b) 200,000 218,000 
6.875% 4/25/44 (b) 95,000 117,830 
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) 940,000 918,850 
SABIC Capital II BV 4% 10/10/23 (b) 520,000 546,000 
Sasol Financing U.S.A. LLC 5.875% 3/27/24 205,000 220,952 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) 495,000 440,550 
  6,983,358 
Construction Materials - 0.1%   
CEMEX Finance LLC 6% 4/1/24 (b) 200,000 205,175 
CEMEX S.A.B. de CV 7.75% 4/16/26 (b) 215,000 233,006 
Holcim Finance Luxembourg SA 2.25% 5/26/28 (Reg. S) EUR888,000 1,093,583 
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (b) 260,000 266,500 
U.S. Concrete, Inc. 6.375% 6/1/24 300,000 312,000 
  2,110,264 
Containers & Packaging - 0.2%   
Crown Cork & Seal, Inc.:   
7.375% 12/15/26 1,210,000 1,470,150 
7.5% 12/15/96 160,000 178,400 
Flex Acquisition Co., Inc. 6.875% 1/15/25 (b) 280,000 255,388 
Labl Escrow Issuer LLC:   
6.75% 7/15/26 (b) 975,000 1,013,391 
10.5% 7/15/27 (b) 650,000 656,500 
  3,573,829 
Metals & Mining - 1.3%   
Alcoa Nederland Holding BV:   
6.125% 5/15/28 (b) 200,000 212,980 
6.75% 9/30/24 (b) 430,000 452,038 
7% 9/30/26 (b) 355,000 385,186 
Aleris International, Inc. 6% 6/1/20 (b)(f) 1,759 1,759 
Algoma Steel SCA 0% 12/31/23 (f) 102,200 72,562 
ArcelorMittal SA 2.25% 1/17/24 (Reg. S) EUR850,000 976,514 
Cleveland-Cliffs, Inc.:   
4.875% 1/15/24 (b) 620,000 630,850 
5.75% 3/1/25 160,000 157,200 
5.875% 6/1/27 (b) 960,000 909,216 
Commercial Metals Co. 5.75% 4/15/26 460,000 473,800 
CSN Resources SA:   
6.5% 7/21/20 (b) 256,000 260,640 
7.625% 2/13/23 (b) 1,435,000 1,495,763 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (b) 115,000 110,256 
6.875% 3/1/26 (b) 995,000 945,095 
7.25% 4/1/23 (b) 1,510,000 1,486,170 
7.5% 4/1/25 (b) 95,000 92,981 
FMG Resources (August 2006) Pty Ltd.:   
4.5% 9/15/27 (b) 485,000 473,603 
4.75% 5/15/22 (b) 405,000 415,631 
5.125% 3/15/23 (b) 650,000 670,313 
5.125% 5/15/24 (b) 495,000 514,800 
Freeport-McMoRan, Inc. 5.45% 3/15/43 280,000 252,106 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 225,000 229,008 
5.125% 5/15/24 (b) 100,000 105,688 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (b)(d) 485,000 498,338 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (b) 350,000 368,813 
Metinvest BV 7.75% 4/23/23 (b) 1,490,000 1,562,638 
Mineral Resources Ltd. 8.125% 5/1/27 (b) 960,000 988,128 
Murray Energy Corp.:   
11.25% 4/15/21 (b) 490,000 9,800 
12% 4/15/24 pay-in-kind (b)(c) 548,100 5,481 
Polyus Finance PLC 5.25% 2/7/23 (b) 430,000 454,188 
POSCO 4% 8/1/23 (b) 270,000 283,627 
Stillwater Mining Co. 6.125% 6/27/22 (b) 1,215,000 1,224,113 
United States Steel Corp. 6.25% 3/15/26 615,000 516,600 
Usiminas International SARL 5.875% 7/18/26 (b) 245,000 247,530 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 1,550,000 1,521,422 
8.25% 6/7/21 (b) 365,000 380,513 
  19,385,350 
Paper & Forest Products - 0.1%   
Boise Cascade Co. 5.625% 9/1/24(b) 225,000 232,594 
Mercer International, Inc. 7.375% 1/15/25 (b)(d) 650,000 677,040 
NewPage Corp.:   
3 month U.S. LIBOR + 6.250% 6.7159% 5/1/12 (c)(e)(f)(g) 90,000 0 
11.375% 12/31/2014 (e)(f) 317,581 0 
  909,634 
TOTAL MATERIALS  32,962,435 
REAL ESTATE - 0.7%   
Equity Real Estate Investment Trusts (REITs) - 0.4%   
Crown Castle International Corp. 5.25% 1/15/23 1,530,000 1,669,379 
Equinix, Inc. 5.375% 5/15/27 230,000 247,969 
Iron Mountain, Inc. 4.875% 9/15/29 (b) 1,300,000 1,319,890 
MPT Operating Partnership LP/MPT Finance Corp.:   
4.625% 8/1/29 970,000 999,100 
5% 10/15/27 1,295,000 1,356,513 
5.25% 8/1/26 390,000 408,623 
6.375% 3/1/24 195,000 204,417 
  6,205,891 
Real Estate Management & Development - 0.3%   
Grand City Properties SA 1.375% 8/3/26 (Reg. S) EUR1,100,000 1,247,740 
Howard Hughes Corp. 5.375% 3/15/25 (b) 665,000 691,600 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 85,000 74,545 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 110,000 82,500 
Mattamy Group Corp. 6.875% 12/15/23 (b) 470,000 488,800 
Shimao Property Holdings Ltd. 4.75% 7/3/22 655,000 666,667 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:   
5.625% 3/1/24 (b) 65,000 69,550 
5.875% 6/15/27 (b) 495,000 543,263 
  3,864,665 
TOTAL REAL ESTATE  10,070,556 
UTILITIES - 1.8%   
Electric Utilities - 1.2%   
Enel SpA 3.375% 11/24/81 (Reg. S) (c) EUR480,000 562,869 
Eskom Holdings SOC Ltd.:   
5.75% 1/26/21 (b) 2,300,000 2,323,000 
5.75% 1/26/21 (Reg. S) 600,000 606,000 
6.75% 8/6/23 (b) 350,000 359,830 
7.125% 2/11/25 (b) 360,000 370,800 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 250,000 329,418 
Pacific Gas & Electric Co.:   
3.75% 8/15/42 (e) 405,000 389,813 
3.95% 12/1/47 (e) 1,865,000 1,804,388 
4% 12/1/46 (e) 115,000 111,766 
4.25% 3/15/46 (e) 125,000 125,313 
4.3% 3/15/45 (e) 315,000 317,363 
6.05% 3/1/34 (e) 5,860,000 6,651,100 
Pampa Holding SA 7.5% 1/24/27 (b) 195,000 148,596 
Vistra Operations Co. LLC:   
5% 7/31/27 (b) 1,220,000 1,256,210 
5.5% 9/1/26 (b) 820,000 857,884 
5.625% 2/15/27 (b) 1,495,000 1,573,009 
  17,787,359 
Gas Utilities - 0.0%   
Southern Natural Gas Co.:   
7.35% 2/15/31 175,000 229,298 
8% 3/1/32 335,000 471,664 
  700,962 
Independent Power and Renewable Electricity Producers - 0.6%   
NextEra Energy Partners LP:   
4.25% 7/15/24 (b) 650,000 669,500 
4.25% 9/15/24 (b) 415,000 427,969 
4.5% 9/15/27 (b) 290,000 296,525 
NRG Energy, Inc.:   
5.75% 1/15/28 1,740,000 1,870,500 
6.625% 1/15/27 1,345,000 1,457,106 
Pattern Energy Group, Inc. 5.875% 2/1/24 (b) 295,000 302,006 
Talen Energy Supply LLC:   
6.625% 1/15/28 (b) 645,000 633,713 
7.25% 5/15/27 (b) 1,635,000 1,661,651 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b) 320,000 326,400 
5% 1/31/28 (b) 320,000 332,800 
6.625% 6/15/25 (b)(c) 418,000 440,576 
The AES Corp. 4.5% 3/15/23 260,000 265,850 
  8,684,596 
Multi-Utilities - 0.0%   
RWE AG 5.75% 2/14/33 (Reg. S) EUR300,000 530,924 
TOTAL UTILITIES  27,703,841 
TOTAL NONCONVERTIBLE BONDS  504,061,455 
TOTAL CORPORATE BONDS   
(Cost $496,880,481)  505,296,529 
U.S. Government and Government Agency Obligations - 17.0%   
U.S. Government Agency Obligations - 0.1%   
Tennessee Valley Authority:   
5.25% 9/15/39 $126,000 $178,615 
5.375% 4/1/56 302,000 483,493 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  662,108 
U.S. Treasury Obligations - 16.7%   
U.S. Treasury Bonds:   
2.25% 8/15/49 540,000 555,926 
2.5% 2/15/45 17,524,000 18,871,158 
2.875% 5/15/49 1,000,000 1,166,962 
3% 2/15/48 1,472,000 1,749,150 
3% 2/15/49 18,291,000 21,826,307 
4.75% 2/15/37 (h)(i) 8,126,000 11,651,605 
6.25% 8/15/23 (h) 2,249,000 2,643,366 
U.S. Treasury Notes:   
1.375% 4/30/20 2,787,000 2,778,944 
1.375% 8/31/23 500,000 496,406 
1.5% 10/31/19 3,630,000 3,628,221 
1.5% 7/15/20 1,668,000 1,663,309 
1.5% 8/31/21 2,000,000 1,994,063 
1.5% 9/30/24 1,895,000 1,890,485 
1.625% 7/31/20 1,500,000 1,497,129 
1.625% 8/31/22 4,833,000 4,837,342 
1.625% 5/31/23 760,000 761,544 
1.625% 9/30/26 3,882,000 3,882,758 
1.75% 7/31/21 1,475,000 1,477,017 
2% 9/30/20 3,047,000 3,052,475 
2% 8/15/25 768,000 785,100 
2% 11/15/26 8,354,000 8,567,092 
2.125% 12/31/22 553,000 562,505 
2.125% 3/31/24 5,843,000 5,984,967 
2.125% 7/31/24 9,671,000 9,920,330 
2.125% 5/15/25 1,911,000 1,965,269 
2.25% 2/29/20 1,000,000 1,001,367 
2.25% 3/31/21 800,000 805,875 
2.25% 4/30/21 1,350,000 1,360,811 
2.25% 7/31/21 1,379,000 1,392,844 
2.25% 4/30/24 3,531,000 3,637,896 
2.25% 12/31/24 8,414,000 8,698,301 
2.25% 3/31/26 3,329,000 3,459,169 
2.375% 4/15/21 9,090,000 9,175,929 
2.375% 5/15/29 3,393,000 3,604,135 
2.5% 12/31/20 15,611,000 15,745,767 
2.5% 1/31/21 2,753,000 2,779,024 
2.5% 2/28/21 5,080,000 5,131,991 
2.5% 1/15/22 27,856,000 28,395,637 
2.5% 1/31/24 630,000 654,437 
2.5% 2/28/26 8,215,000 8,656,235 
2.625% 8/31/20 5,000,000 5,034,961 
2.625% 12/31/23 8,827,000 9,208,699 
2.625% 2/15/29 8,172,000 8,846,828 
2.75% 9/30/20 9,640,000 9,727,363 
2.75% 6/30/25 6,174,000 6,562,287 
2.875% 11/30/25 3,892,000 4,179,643 
3.125% 11/15/28 1,580,000 1,774,291 
TOTAL U.S. TREASURY OBLIGATIONS  254,042,920 
Other Government Related - 0.2%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.399% 12/7/20 (NCUA Guaranteed) (c)(g) 76,039 75,997 
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 2.5073% 1/8/20 (NCUA Guaranteed) (c)(g) 89,195 89,246 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 3,400,000 3,480,882 
TOTAL OTHER GOVERNMENT RELATED  3,646,125 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $244,646,555)  258,351,153 
U.S. Government Agency - Mortgage Securities - 3.9%   
Fannie Mae - 0.4%   
12 month U.S. LIBOR + 1.365% 3.961% 10/1/35 (c)(g) 761 788 
12 month U.S. LIBOR + 1.495% 4.509% 1/1/35 (c)(g) 3,415 3,543 
12 month U.S. LIBOR + 1.553% 4.337% 6/1/36 (c)(g) 594 620 
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (c)(g) 1,407 1,466 
12 month U.S. LIBOR + 1.617% 4.582% 3/1/33 (c)(g) 2,331 2,425 
12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (c)(g) 2,701 2,833 
12 month U.S. LIBOR + 1.655% 4.539% 11/1/36 (c)(g) 942 984 
12 month U.S. LIBOR + 1.711% 4.595% 6/1/42 (c)(g) 9,117 9,479 
12 month U.S. LIBOR + 1.745% 4.746% 7/1/35 (c)(g) 6,331 6,608 
12 month U.S. LIBOR + 1.760% 4.84% 2/1/37 (c)(g) 9,001 9,388 
12 month U.S. LIBOR + 1.800% 4.492% 7/1/41 (c)(g) 10,740 11,228 
12 month U.S. LIBOR + 1.800% 4.786% 1/1/42 (c)(g) 25,609 26,521 
12 month U.S. LIBOR + 1.818% 4.531% 7/1/41 (c)(g) 6,587 6,871 
12 month U.S. LIBOR + 1.818% 4.553% 9/1/41 (c)(g) 4,408 4,603 
12 month U.S. LIBOR + 1.818% 4.932% 2/1/42 (c)(g) 30,550 31,757 
12 month U.S. LIBOR + 1.830% 4.657% 10/1/41 (c)(g) 4,369 4,560 
12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (c)(g) 479 502 
12 month U.S. LIBOR + 1.885% 4.926% 4/1/36 (c)(g) 7,368 7,740 
12 month U.S. LIBOR + 1.901% 4.772% 8/1/35 (c)(g) 3,869 4,067 
6 month U.S. LIBOR + 1.550% 4.067% 9/1/33 (c)(g) 9,027 9,332 
6 month U.S. LIBOR + 1.550% 4.274% 11/1/35 (c)(g) 4,357 4,509 
2.5% 6/1/34 396,206 399,586 
3% 5/1/33 to 7/1/33 599,412 617,440 
3.5% 7/1/32 999,434 1,041,646 
4% 5/1/29 612,324 639,027 
4.5% 11/1/25 109,330 113,266 
5.5% 12/1/39 to 5/1/44 1,861,563 2,060,631 
6% 1/1/34 to 6/1/36 219,470 249,601 
6.5% 5/1/26 to 8/1/36 212,839 243,134 
TOTAL FANNIE MAE  5,514,155 
Freddie Mac - 0.2%   
12 month U.S. LIBOR + 1.325% 4.175% 1/1/36 (c)(g) 1,726 1,783 
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (c)(g) 1,523 1,590 
12 month U.S. LIBOR + 1.665% 4.79% 7/1/36 (c)(g) 122,950 128,069 
12 month U.S. LIBOR + 1.754% 4.222% 9/1/41 (c)(g) 67,570 70,076 
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(g) 1,946 2,032 
12 month U.S. LIBOR + 1.877% 4.789% 4/1/41 (c)(g) 4,682 4,870 
12 month U.S. LIBOR + 1.880% 4.274% 9/1/41 (c)(g) 5,736 5,998 
12 month U.S. LIBOR + 1.880% 4.713% 10/1/41 (c)(g) 47,941 49,751 
12 month U.S. LIBOR + 1.883% 4.502% 10/1/42 (c)(g) 37,116 38,617 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (c)(g) 5,155 5,377 
12 month U.S. LIBOR + 1.910% 4.729% 6/1/41 (c)(g) 9,341 9,748 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (c)(g) 8,053 8,456 
12 month U.S. LIBOR + 1.910% 4.808% 5/1/41 (c)(g) 9,358 9,745 
12 month U.S. LIBOR + 2.045% 4.785% 7/1/36 (c)(g) 3,067 3,220 
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (c)(g) 1,953 2,015 
6 month U.S. LIBOR + 1.661% 4.199% 2/1/37 (c)(g) 1,536 1,594 
6 month U.S. LIBOR + 1.711% 4.22% 1/1/37 (c)(g) 5,742 5,964 
6 month U.S. LIBOR + 1.720% 4.247% 8/1/37 (c)(g) 2,738 2,854 
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (c)(g) 731 760 
6 month U.S. LIBOR + 1.843% 4.416% 10/1/36 (c)(g) 7,726 8,054 
6 month U.S. LIBOR + 1.912% 4.408% 10/1/35 (c)(g) 4,812 5,017 
6 month U.S. LIBOR + 2.010% 4.635% 5/1/37 (c)(g) 2,723 2,837 
6 month U.S. LIBOR + 2.010% 4.731% 5/1/37 (c)(g) 3,637 3,788 
6 month U.S. LIBOR + 2.020% 4.6% 6/1/37 (c)(g) 1,412 1,472 
6 month U.S. LIBOR + 2.040% 4.665% 6/1/37 (c)(g) 2,122 2,215 
6 month U.S. LIBOR + 2.276% 4.955% 10/1/35 (c)(g) 564 587 
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.581% 6/1/33 (c)(g) 6,692 7,037 
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.956% 7/1/35 (c)(g) 4,400 4,640 
2.5% 10/1/31 to 7/1/34 765,489 773,476 
3% 4/1/33 to 11/1/33 1,840,227 1,896,590 
3.5% 7/1/32 358,817 374,173 
6% 1/1/24 31,234 32,741 
6.5% 9/1/21 to 3/1/22 4,196 4,332 
TOTAL FREDDIE MAC  3,469,478 
Ginnie Mae - 3.0%   
6% 6/15/36 184,507 209,652 
3% 10/1/49 (d) 2,300,000 2,360,555 
3% 10/1/49 (d) 2,400,000 2,463,187 
3% 10/1/49 (d) 1,200,000 1,231,594 
3% 10/1/49 (d) 2,950,000 3,027,668 
3% 10/1/49 (d) 2,600,000 2,668,453 
3% 10/1/49 (d) 3,400,000 3,489,516 
3% 10/1/49 (d) 1,200,000 1,231,594 
3% 10/1/49(d) 1,200,000 1,231,594 
3% 10/1/49 (d) 700,000 718,430 
3% 10/1/49 (d) 300,000 307,898 
3% 11/1/49 (d) 3,900,000 3,999,480 
3.5% 8/20/42 to 9/20/46 3,129,729 3,301,457 
3.5% 10/1/49 (d) 4,150,000 4,299,405 
3.5% 10/1/49 (d) 2,550,000 2,641,803 
4% 3/20/47 to 7/20/47 1,971,393 2,068,007 
4.469% 2/20/62 (c)(j) 24,495 24,764 
4.5% 6/20/48 7,740,616 8,147,311 
4.573% 2/20/62 (c)(j) 4,560 4,577 
4.98% 1/20/62 (c)(j) 24,215 24,499 
5% 4/20/48 1,142,608 1,221,977 
5.47% 8/20/59 (c)(j) 410 444 
TOTAL GINNIE MAE  44,673,865 
Uniform Mortgage Backed Securities - 0.3%   
3% 10/1/49 (d) 950,000 964,328 
3% 10/1/49 (d) 900,000 913,573 
3% 10/1/49 (d) 950,000 964,328 
3% 10/1/49 (d) 700,000 710,557 
3% 10/1/49 (d) 700,000 710,557 
3% 10/1/49 (d) 700,000 710,557 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  4,973,900 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $58,404,493)  58,631,398 
Asset-Backed Securities - 0.1%   
ALG Student Loan Trust Series 2017-1A Class A3, 3 month U.S. LIBOR + 0.090% 2.3458% 6/28/23(b)(c)(g)   
(Cost $994,034) 998,316 $992,061 
Collateralized Mortgage Obligations - 1.8%   
U.S. Government Agency - 1.8%   
Fannie Mae:   
floater Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.9484% 6/25/36 (c)(g) 188,086 190,592 
planned amortization class:   
Series 2003-70 Class BJ, 5% 7/25/33 9,907 10,881 
Series 2005-19 Class PA, 5.5% 7/25/34 12,430 12,532 
Series 2005-64 Class PX, 5.5% 6/25/35 38,909 41,307 
Series 2005-68 Class CZ, 5.5% 8/25/35 252,984 285,607 
Series 2010-118 Class PB, 4.5% 10/25/40 167,276 179,969 
Series 2012-149:   
Class DA, 1.75% 1/25/43 75,696 74,928 
Class GA, 1.75% 6/25/42 79,299 77,910 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 28,004 29,023 
Series 2004-52 Class KZ, 5.5% 7/25/34 448,711 502,996 
Series 2004-91 Class Z, 5% 12/25/34 158,704 174,462 
Series 2005-117 Class JN, 4.5% 1/25/36 12,031 12,921 
Series 2005-14 Class ZB, 5% 3/25/35 65,982 72,559 
Series 2006-72 Class CY, 6% 8/25/26 25,685 27,362 
Series 2009-59 Class HB, 5% 8/25/39 92,668 101,892 
Series 2009-85 Class IB, 4.5% 8/25/24 (k) 274 0 
Series 2010-139 Class NI, 4.5% 2/25/40 (k) 73,062 5,390 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.9384% 3/25/36 (c)(g) 119,012 121,393 
Series 2010-97 Class CI, 4.5% 8/25/25 (k) 7,227 110 
Series 2011-67 Class AI, 4% 7/25/26 (k) 22,848 1,635 
Series 2012-27 Class EZ, 4.25% 3/25/42 400,811 444,073 
Series 2016-26 Class CG, 3% 5/25/46 598,203 606,312 
Freddie Mac:   
floater Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.9275% 2/15/33 (c)(g) 56,642 57,469 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 2.4275% 3/15/34 (c)(g) 79,291 79,262 
planned amortization class:   
Series 2101 Class PD, 6% 11/15/28 1,179 1,284 
Series 2996 Class MK, 5.5% 6/15/35 2,285 2,468 
Series 3415 Class PC, 5% 12/15/37 26,033 28,463 
Series 3857 Class ZP, 5% 5/15/41 193,995 236,705 
Series 4135 Class AB, 1.75% 6/15/42 59,051 58,450 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 364,972 412,137 
Series 2303 Class ZV, 6% 4/15/31 3,285 3,598 
Series 2877 Class ZD, 5% 10/15/34 196,843 216,496 
Series 3745 Class KV, 4.5% 12/15/26 308,043 325,984 
Series 3843 Class PZ, 5% 4/15/41 170,547 203,290 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 183,992 190,572 
Series 4341 Class ML, 3.5% 11/15/31 326,032 342,485 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.5443% 7/20/37 (c)(g) 40,013 40,169 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.5243% 1/20/38 (c)(g) 10,329 10,369 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.9043% 8/20/38 (c)(g) 67,488 68,453 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.9443% 9/20/38(c)(g) 55,417 56,587 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.6275% 11/16/39 (c)(g) 44,086 44,390 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 2.5575% 12/16/39 (c)(g) 34,132 34,321 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.4695% 7/20/60 (c)(g)(j) 319,635 318,279 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.5285% 9/20/60 (c)(g)(j) 378,401 376,641 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.5285% 8/20/60 (c)(g)(j) 414,364 412,508 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.6085% 12/20/60 (c)(g)(j) 184,137 183,634 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 12/20/60 (c)(g)(j) 221,420 221,519 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 2/20/61 (c)(g)(j) 393,392 393,549 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.7185% 2/20/61 (c)(g)(j) 557,209 557,340 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 4/20/61 (c)(g)(j) 181,709 181,790 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.7285% 5/20/61 (c)(g)(j) 228,299 228,409 
Class FC, 1 month U.S. LIBOR + 0.500% 2.7285% 5/20/61 (c)(g)(j) 205,992 206,087 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.7585% 6/20/61 (c)(g)(j) 247,303 247,575 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.8285% 10/20/61 (c)(g)(j) 284,715 285,489 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.9285% 11/20/61 (c)(g)(j) 259,409 260,713 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.9285% 1/20/62 (c)(g)(j) 168,128 168,938 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.8585% 1/20/62 (c)(g)(j) 246,339 247,185 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.8585% 3/20/62 (c)(g)(j) 153,651 153,848 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.8785% 5/20/61 (c)(g)(j) 6,870 6,890 
Series 2013-H19 Class FD, 1 month U.S. LIBOR + 0.600% 2.8285% 8/20/63 (c)(g)(j) 159,034 159,333 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 2.7285% 6/20/64 (c)(g)(j) 1,226,865 1,227,437 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.5085% 5/20/63 (c)(g)(j) 52,890 52,829 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.4285% 4/20/63 (c)(g)(j) 49,391 49,262 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.6285% 12/20/62 (c)(g)(j) 47,551 47,529 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.2943% 10/20/47 (c)(g) 403,404 399,695 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.3443% 5/20/48 (c)(g) 495,007 491,060 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.3443% 6/20/48 (c)(g) 571,497 566,768 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 620,000 712,743 
Series 2011-136 Class WI, 4.5% 5/20/40 (k) 49,884 4,094 
Series 2017-134 Class BA, 2.5% 11/20/46 79,809 80,749 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 470,000 501,967 
Series 2013-H06 Class HA, 1.65% 1/20/63 (j) 74,396 74,054 
Series 2013-H26 Class HA, 3.5% 9/20/63 (j) 515,518 519,857 
Series 2014-H04 Class HA, 2.75% 2/20/64 (j) 1,269,877 1,282,363 
Series 2014-H12 Class KA, 2.75% 5/20/64 (j) 245,961 247,359 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.7285% 9/20/62 (c)(g)(j) 293,629 293,687 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.8785% 11/20/65 (c)(g)(j) 34,709 34,741 
Series 2017-139 Class BA, 3% 9/20/47 1,116,950 1,125,355 
Series 2018-H12 Class HA, 3.25% 8/20/68 (j) 1,466,510 1,534,690 
Series 2004-22 Class M1, 5.5% 4/20/34 53,596 68,262 
Series 2010-169 Class Z, 4.5% 12/20/40 427,309 475,927 
Series 2010-H15 Class TP, 5.15% 8/20/60 (j) 97,407 97,742 
Series 2010-H16 Class BA, 3.55% 7/20/60 (j) 223,407 225,751 
Series 2010-H17 Class XP, 5.2855% 7/20/60 (c)(j) 76,032 76,241 
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(j) 95,161 95,563 
Series 2010-H22 Class LA, 3.75% 10/20/60 (j) 136,738 136,861 
Series 2010-H28 Class KA, 3.75% 12/20/60 (j) 454,895 455,905 
Series 2012-64 Class KI, 3.5% 11/20/36 (k) 32,912 1,193 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 5.941% 4/20/39 (c)(l) 117,465 120,807 
Class ST, 8.800% - 1 month U.S. LIBOR 6.0743% 8/20/39 (c)(l) 409,480 424,174 
Series 2013-H01 Class FA, 1.65% 1/20/63 (j) 456,708 454,460 
Series 2013-H07 Class JA, 1.75% 3/20/63(j) 802,502 799,133 
Series 2013-H08 Class MA, 3% 3/20/63 (j) 1,022,632 1,024,487 
Series 2015-H17 Class HA, 2.5% 5/20/65 (j) 323,734 323,509 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (j) 311,235 310,891 
Class JA, 2.5% 6/20/65 (j) 73,335 73,283 
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(j) 568,315 565,953 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.44% 5/20/66 (c)(g)(j) 910,235 910,305 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.29% 8/20/66 (c)(g)(j) 1,088,241 1,085,266 
Series 2090-118 Class XZ, 5% 12/20/39 853,961 976,805 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $27,837,741)  27,945,290 
Commercial Mortgage Securities - 0.1%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 248,251 253,024 
sequential payer:   
Series K006 Class A2, 4.251% 1/25/20 763,039 764,281 
Series K712 Class A2, 1.869% 11/25/19 425,143 424,463 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,446,029)  1,441,768 
Foreign Government and Government Agency Obligations - 16.8%   
Angola Republic 9.5% 11/12/25 (b) 300,000 336,375 
Arab Republic of Egypt:   
, yield at date of purchase 17.8821% 11/19/19 EGP4,225,000 253,845 
5.577% 2/21/23 (b) 210,000 213,675 
5.75% 4/29/20(b) 55,000 55,481 
6.125% 1/31/22 (b) 1,195,000 1,231,597 
6.2004% 3/1/24 (b) 255,000 266,156 
7.5% 1/31/27 (b) 2,870,000 3,085,250 
7.6003% 3/1/29 (b) 1,180,000 1,247,481 
7.903% 2/21/48 (b) 335,000 336,884 
8.5% 1/31/47 (b) 580,000 614,981 
8.7002% 3/1/49 (b) 100,000 107,375 
Argentine Republic:   
5.625% 1/26/22 2,440,000 1,065,060 
6.875% 4/22/21 4,595,000 2,256,145 
7.5% 4/22/26 4,995,000 2,185,313 
8.75% 5/7/24 187,515 65,982 
Australian Commonwealth:   
1.75% 11/21/20 AUD3,250,000 2,217,079 
2.25% 11/21/22 AUD8,675,000 6,129,473 
Azerbaijan Republic 4.75% 3/18/24 (b) 220,000 232,980 
Bahamian Republic 6% 11/21/28 (b) 180,000 190,238 
Bahrain Kingdom 5.5% 3/31/20 (b) 175,000 175,875 
Belarus Republic:   
6.875% 2/28/23 (b) 880,000 941,600 
7.625% 6/29/27 (b) 105,000 117,994 
Bermuda Government:   
3.717% 1/25/27 (b) 265,000 278,498 
4.75% 2/15/29 (b) 550,000 623,563 
Brazilian Federative Republic:   
5.625% 1/7/41 210,000 235,134 
5.625% 2/21/47 300,000 336,188 
8.25% 1/20/34 1,295,000 1,776,578 
10% 1/1/23 BRL2,935,000 785,459 
Buenos Aires Province:   
9.95% 6/9/21 (b) 335,000 129,017 
10.875% 1/26/21 (b) 833,333 400,000 
10.875% 1/26/21 (Reg. S) 2,043,333 980,800 
Buoni del Tesoro Poliennali 3.85% 9/1/49 (b) EUR5,150,000 8,099,186 
Cameroon Republic 9.5% 11/19/25 (b) 1,230,000 1,343,391 
Canadian Government:   
1.25% 11/1/19 CAD4,450,000 3,357,695 
2.25% 6/1/29 CAD8,400,000 6,844,524 
City of Buenos Aires:   
7.5% 6/1/27 (Reg. S) 400,000 286,500 
8.95% 2/19/21 (b) 462,300 388,910 
Costa Rican Republic 4.25% 1/26/23 (b) 350,000 342,563 
Danish Kingdom 1.75% 11/15/25 DKK9,800,000 1,654,356 
Democratic Socialist Republic of Sri Lanka:   
5.75% 4/18/23 (b) 30,000 29,803 
6.25% 10/4/20 (b) 170,000 172,550 
6.25% 7/27/21 (b) 120,000 121,913 
6.85% 3/14/24 (b) 225,000 229,500 
Dominican Republic:   
5.95% 1/25/27 (b) 200,000 216,438 
6% 7/19/28 (b) 290,000 316,009 
6.4% 6/5/49 (b) 170,000 180,678 
6.85% 1/27/45 (b) 190,000 211,613 
6.875% 1/29/26 (b) 295,000 332,797 
7.45% 4/30/44 (b) 590,000 699,888 
Dutch Government:   
0% 1/15/24(Reg. S) (b) EUR8,750,000 9,835,954 
0.25% 7/15/29(Reg. S) (b) EUR5,950,000 6,925,587 
El Salvador Republic:   
5.875% 1/30/25 (Reg.S) 775,000 798,734 
6.375% 1/18/27 (b) 650,000 674,375 
7.1246% 1/20/50 (b) 365,000 372,072 
7.375% 12/1/19 (b) 1,185,000 1,190,555 
7.625% 9/21/34 (b) 160,000 169,600 
7.65% 6/15/35 (Reg. S) 100,000 107,188 
Emirate of Abu Dhabi 3.125% 9/30/49 (b) 445,000 431,647 
Export Credit Bank of Turkey 5.375% 2/8/21 (b) 385,000 383,075 
French Government 0% 2/25/20 EUR650,000 710,147 
German Federal Republic:   
0% 3/13/20 EUR500,000 546,537 
0% 6/12/20 EUR6,013,433 6,584,662 
0% 9/11/20(Reg. S) EUR1,000,000 1,097,141 
0% 4/5/24 EUR18,000,000 20,330,410 
0.25% 2/15/29 EUR11,004,575 12,984,865 
Ghana Republic:   
7.875% 8/7/23 (b) 375,000 409,688 
7.875% 3/26/27 (b) 210,000 215,250 
8.125% 1/18/26 (b) 320,000 338,500 
Guatemalan Republic 4.9% 6/1/30 (b) 220,000 232,994 
Hong Kong Government SAR 1.32% 12/23/19 HKD1,700,000 216,589 
Indonesian Republic:   
4.35% 1/11/48 400,000 439,500 
5.125% 1/15/45 (b) 585,000 698,892 
5.25% 1/17/42 (b) 355,000 427,109 
5.95% 1/8/46 (b) 265,000 352,284 
6.75% 1/15/44 (b) 250,000 358,750 
7.75% 1/17/38 (b) 690,000 1,035,000 
8.5% 10/12/35 (Reg. S) 700,000 1,099,000 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 440,000 441,375 
8.25% 4/15/24 (b) 95,000 102,541 
Israeli State (guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 5,659,000 6,484,847 
5.5% 12/4/23 1,628,000 1,868,986 
Ivory Coast 5.75% 12/31/32 1,086,800 1,065,404 
Jamaican Government:   
6.75% 4/28/28 75,000 89,273 
7.875% 7/28/45 160,000 209,600 
Japan Government:   
0.1% 6/20/28 JPY1,390,000,000 13,318,803 
0.4% 3/20/56 JPY551,700,000 5,085,131 
0.9% 6/20/22 JPY1,578,700,000 15,097,701 
Jordanian Kingdom:   
3% 6/30/25 1,179,000 1,249,740 
6.125% 1/29/26 (b) 60,000 62,831 
Kazakhstan Republic 6.5% 7/21/45 (b) 75,000 108,938 
Kingdom of Norway 3.75% 5/25/21 (b) NOK5,500,000 629,536 
Kingdom of Saudi Arabia:   
4.5% 10/26/46 (b) 310,000 345,650 
4.625% 10/4/47 (b) 290,000 329,150 
5.25% 1/16/50 (b) 855,000 1,065,009 
Lebanese Republic:   
5.8% 4/14/20 720,000 682,200 
6.15% 6/19/20 215,000 199,211 
6.375% 3/9/20 1,855,000 1,769,786 
8.25% 4/12/21 (Reg.S) 105,000 89,513 
Mendoza Province 8.375% 5/19/24 (b) 80,000 44,801 
Ministry of Finance of the Russian Federation:   
5.1% 3/28/35 (b) 2,600,000 2,938,000 
5.1% 3/28/35(Reg. S) 400,000 452,000 
5.25% 6/23/47 (b) 2,000,000 2,374,375 
5.625% 4/4/42 (b) 400,000 492,000 
7.25% 5/10/34 RUB36,725,000 571,779 
7.6% 7/20/22 RUB33,970,000 537,339 
8.15% 2/3/27 RUB33,570,000 557,084 
Mongolian People's Republic 8.75% 3/9/24 (b) 95,000 106,370 
Moroccan Kingdom:   
4.25% 12/11/22 (b) 720,000 752,625 
5.5% 12/11/42 (b) 70,000 83,650 
New Zealand Government 6% 5/15/21 NZD1,050,000 712,366 
Papua New Guinea 8.375% 10/4/28 (b) 300,000 316,969 
Peruvian Republic 4% 3/7/27 (f)(m) 570,000 571,971 
Philippine Republic 4.95% 1/15/21 PHP28,735,000 559,747 
Plurinational State of Bolivia 5.95% 8/22/23 (b) 100,000 108,219 
Province of Santa Fe 7% 3/23/23 (b) 1,310,000 867,875 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 2,540,000 1,571,625 
7.45% 9/1/24 (b) 775,000 441,266 
Republic of Iraq 5.8% 1/15/28 (Reg. S) 2,550,000 2,490,234 
Republic of Kenya 6.875% 6/24/24 (b) 100,000 105,125 
Republic of Nigeria:   
, yield at date of purchase 13.6947% to 13.7447% 11/7/19 to 11/28/19 NGN123,230,000 334,038 
6.375% 7/12/23 (b) 200,000 210,000 
6.5% 11/28/27 (b) 430,000 434,031 
6.75% 1/28/21 (b) 90,000 93,150 
7.625% 11/21/25 (b) 900,000 986,625 
Republic of Paraguay 5.4% 3/30/50 (b) 60,000 67,838 
Republic of Serbia 7.25% 9/28/21 (b) 235,000 256,738 
Republic of Singapore 3.25% 9/1/20 SGD4,750,000 3,485,906 
Romanian Republic 5.125% 6/15/48 (b) 470,000 543,878 
Rwanda Republic 6.625% 5/2/23 (b) 170,000 183,388 
State of Qatar:   
4% 3/14/29 (b) 575,000 637,531 
4.5% 4/23/28 (b) 200,000 227,750 
4.817% 3/14/49 (b) 955,000 1,183,603 
5.103% 4/23/48 (b) 920,000 1,177,313 
9.75% 6/15/30 (b) 375,000 616,641 
Sultanate of Oman:   
3.875% 3/8/22 (b) 440,000 436,700 
4.125% 1/17/23 (b) 110,000 109,725 
6.75% 1/17/48 (b) 245,000 231,219 
Sweden Kingdom 5% 12/1/20 SEK25,900,000 2,803,387 
Switzerland Confederation 2.25% 7/6/20(Reg. S) CHF3,400,000 3,487,380 
Turkish Republic:   
3.25% 3/23/23 250,000 233,594 
5.125% 3/25/22 3,020,000 3,044,538 
5.625% 3/30/21 1,380,000 1,417,519 
5.75% 5/11/47 570,000 498,750 
6.25% 9/26/22 3,605,000 3,707,517 
6.35% 8/10/24 270,000 274,641 
7.25% 12/23/23 610,000 645,266 
7.375% 2/5/25 330,000 350,316 
Ukraine Government:   
1.471% 9/29/21 1,600,000 1,593,556 
7.375% 9/25/32 (b) 355,000 357,219 
7.75% 9/1/20 (b) 3,070,000 3,132,935 
7.75% 9/1/21 (b) 4,718,000 4,906,720 
7.75% 9/1/22 (b) 1,581,000 1,663,212 
7.75% 9/1/23 (b) 310,000 325,810 
7.75% 9/1/24 (b) 730,000 771,063 
7.75% 9/1/26 (b) 255,000 266,794 
7.75% 9/1/27 (b) 210,000 219,188 
15.84% 2/26/25 UAH5,345,000 225,321 
United Kingdom, Great Britain and Northern Ireland:   
0.75% 7/22/23(Reg. S) GBP3,500,000 4,378,257 
4.25% 12/7/27 GBP6,100,000 9,886,531 
4.75% 3/7/20 GBP50,000 62,578 
United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S) GBP2,100,000 4,165,629 
United Mexican States:   
5.75% 10/12/10 715,000 824,484 
6.05% 1/11/40 1,835,000 2,314,853 
6.5% 6/9/22 MXN14,060,000 709,127 
Venezuelan Republic:   
oil recovery warrants 4/15/20 (f)(n) 1,251 1,251 
9.25% 9/15/27 (e) 2,395,000 227,525 
11.95% 8/5/31 (Reg. S) (e) 1,090,000 103,550 
12.75% 8/23/22 (e) 190,000 18,050 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 2.8476% 3/13/28(c)(g) 75,000 74,635 
5.5% 3/12/28 1,978,000 1,999,016 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $259,029,691)  255,523,426 
Supranational Obligations - 0.2%   
European Bank for Reconstruction & Development 6% 5/4/20 (Reg. S) INR35,500,000 497,523 
European Financial Stability Facility 0.875% 4/10/35 (Reg. S) EUR1,447,000 1,779,466 
European Investment Bank 0.05% 10/13/34 (Reg. S) EUR1,154,000 1,268,116 
TOTAL SUPRANATIONAL OBLIGATIONS   
(Cost $3,548,074)  3,545,105 
 Shares Value 
Common Stocks - 4.7%   
COMMUNICATION SERVICES - 0.6%   
Interactive Media & Services - 0.2%   
Alphabet, Inc. Class A (o) 1,600 1,953,824 
Facebook, Inc. Class A (o) 7,800 1,389,024 
  3,342,848 
Media - 0.3%   
Altice U.S.A., Inc. Class A (o) 56,000 1,606,080 
Comcast Corp. Class A 30,300 1,365,924 
iHeartMedia, Inc. (o) 753 11,295 
iHeartMedia, Inc. warrants 5/1/39 (o) 5,655 84,822 
Nexstar Broadcasting Group, Inc. Class A 5,000 511,550 
Sinclair Broadcast Group, Inc. Class A 12,800 547,072 
  4,126,743 
Wireless Telecommunication Services - 0.1%   
T-Mobile U.S., Inc. (o) 30,200 2,378,854 
TOTAL COMMUNICATION SERVICES  9,848,445 
CONSUMER DISCRETIONARY - 0.4%   
Auto Components - 0.1%   
Chassix Holdings, Inc. warrants 7/29/20 (f)(o) 1,921 8,030 
Exide Technologies (f)(p) 31,463 280,335 
Exide Technologies (f)(o) 2,115 2,115 
Exide Technologies (f)(o) 7,052 0 
UC Holdings, Inc. (f)(o) 33,750 625,725 
  916,205 
Hotels, Restaurants & Leisure - 0.2%   
Boyd Gaming Corp. 50,200 1,202,290 
Eldorado Resorts, Inc. (o) 7,600 303,012 
Melco Crown Entertainment Ltd. sponsored ADR 46,891 910,154 
Penn National Gaming, Inc. (o) 27,600 514,050 
Royal Caribbean Cruises Ltd. 6,000 649,980 
Studio City International Holdings Ltd. ADR 11,100 223,110 
  3,802,596 
Internet & Direct Marketing Retail - 0.1%   
Amazon.com, Inc. (o) 700 1,215,137 
Specialty Retail - 0.0%   
Ulta Beauty, Inc. (o) 2,400 601,560 
TOTAL CONSUMER DISCRETIONARY  6,535,498 
CONSUMER STAPLES - 0.2%   
Food & Staples Retailing - 0.0%   
Southeastern Grocers, Inc. (f)(o) 9,431 363,282 
Food Products - 0.2%   
Darling International, Inc. (o) 40,100 767,113 
JBS SA 288,600 2,277,571 
Reddy Ice Holdings, Inc. (f) 2,286 686 
Reddy Ice Holdings, Inc. (f)(o) 5,683 0 
  3,045,370 
TOTAL CONSUMER STAPLES  3,408,652 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. (o) 6,562 3,937 
Oil, Gas & Consumable Fuels - 0.0%   
Chaparral Energy, Inc. Class A (o) 5,029 6,739 
Goodrich Petroleum Corp. (o) 4,211 44,763 
Harvest Oil & Gas Corp. (o) 13,350 174,218 
MEG Energy Corp. (o) 77,100 337,533 
Ultra Petroleum Corp. warrants 7/14/25 (o) 10,710 0 
VNR Finance Corp. (f)(o) 4,091 0 
VNR Finance Corp. (b)(f)(o) 19,701 0 
  563,253 
TOTAL ENERGY  567,190 
FINANCIALS - 0.2%   
Banks - 0.1%   
Bank of America Corp. 36,200 1,055,954 
JPMorgan Chase & Co. 10,000 1,176,900 
  2,232,854 
Capital Markets - 0.0%   
Motors Liquidation Co. GUC Trust (o) 137 1,395 
Penson Worldwide, Inc. Class A (f)(o) 314,563 3 
  1,398 
Consumer Finance - 0.1%   
OneMain Holdings, Inc. 21,400 784,952 
TOTAL FINANCIALS  3,019,204 
HEALTH CARE - 0.5%   
Biotechnology - 0.0%   
Alexion Pharmaceuticals, Inc. (o) 5,800 568,052 
Health Care Providers & Services - 0.2%   
Cigna Corp. 4,400 667,876 
Humana, Inc. 3,200 818,144 
Rotech Healthcare, Inc. (f)(o) 6,069 62,875 
UnitedHealth Group, Inc. 4,100 891,012 
  2,439,907 
Life Sciences Tools & Services - 0.2%   
IQVIA Holdings, Inc. (o) 13,900 2,076,382 
Thermo Fisher Scientific, Inc. 3,500 1,019,445 
  3,095,827 
Pharmaceuticals - 0.1%   
Jazz Pharmaceuticals PLC (o) 6,500 832,910 
TOTAL HEALTH CARE  6,936,696 
INDUSTRIALS - 0.5%   
Airlines - 0.2%   
Air Canada (o) 106,500 3,473,499 
Commercial Services & Supplies - 0.0%   
Novus Holdings Ltd. 3,285 614 
Machinery - 0.0%   
Allison Transmission Holdings, Inc. 12,900 606,945 
Marine - 0.0%   
U.S. Shipping Partners Corp. (f)(o) 644 0 
U.S. Shipping Partners Corp. warrants 12/31/29 (f)(o) 6,028 0 
  0 
Trading Companies & Distributors - 0.3%   
Air Lease Corp. Class A 18,300 765,306 
HD Supply Holdings, Inc. (o) 37,300 1,461,228 
Penhall Acquisition Co.:   
Class A (f)(o) 321 21,062 
Class B (f)(o) 107 7,021 
United Rentals, Inc. (o) 14,763 1,840,060 
  4,094,677 
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA:   
Class A1 (f)(o)(p) 16,755 19 
Class A2 (f)(o)(p) 16,755 19 
Class A3 (f)(o)(p) 16,755 19 
Class A4 (f)(o)(p) 16,755 19 
Class A5 (f)(o)(p) 16,755 19 
Class A6 (f)(o)(p) 16,755 19 
Class A7 (f)(o)(p) 16,755 19 
Class A8 (f)(o)(p) 16,755 19 
Class A9 (f)(o)(p) 16,755 19 
  171 
TOTAL INDUSTRIALS  8,175,906 
INFORMATION TECHNOLOGY - 1.8%   
Electronic Equipment & Components - 0.2%   
CDW Corp. 8,600 1,059,864 
Dell Technologies, Inc. (o) 9,700 503,042 
Zebra Technologies Corp. Class A (o) 3,800 784,206 
  2,347,112 
IT Services - 0.8%   
EPAM Systems, Inc. (o) 8,700 1,586,184 
Fiserv, Inc. (o) 9,726 1,007,516 
Global Payments, Inc. 14,600 2,321,400 
GoDaddy, Inc. (o) 10,100 666,398 
MasterCard, Inc. Class A 10,100 2,742,857 
PayPal Holdings, Inc. (o) 19,200 1,988,928 
Verra Mobility Corp. (o) 21,100 302,785 
Visa, Inc. Class A 9,800 1,685,698 
  12,301,766 
Semiconductors & Semiconductor Equipment - 0.3%   
Advanced Micro Devices, Inc. (o) 25,900 750,841 
Lam Research Corp. 5,500 1,271,105 
Microchip Technology, Inc. 23,200 2,155,512 
ON Semiconductor Corp. (o) 40,500 778,005 
  4,955,463 
Software - 0.5%   
Adobe, Inc. (o) 7,700 2,127,125 
Microsoft Corp. 16,900 2,349,607 
Palo Alto Networks, Inc. (o) 3,800 774,554 
Salesforce.com, Inc. (o) 5,000 742,200 
SS&C Technologies Holdings, Inc. 9,308 480,014 
VMware, Inc. Class A 3,800 570,228 
  7,043,728 
TOTAL INFORMATION TECHNOLOGY  26,648,069 
MATERIALS - 0.1%   
Chemicals - 0.1%   
CF Industries Holdings, Inc. 12,700 624,840 
Hexion U.S. Finance Corp. (o) 4,798 53,978 
The Chemours Co. LLC 21,000 313,740 
  992,558 
Metals & Mining - 0.0%   
Aleris Corp. (f)(o) 2,037 0 
Algoma Steel GP (f) 10,220 204 
Algoma Steel SCA (f) 10,220 1,635 
Elah Holdings, Inc. (o) 14 840 
First Quantum Minerals Ltd. 63,200 530,940 
  533,619 
TOTAL MATERIALS  1,526,177 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.1%   
Crown Castle International Corp. 8,800 1,223,288 
UTILITIES - 0.3%   
Electric Utilities - 0.2%   
PG&E Corp. (o) 70,700 707,000 
Portland General Electric Co. 140 7,892 
Vistra Energy Corp. 85,300 2,280,069 
  2,994,961 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 27,900 1,104,840 
TOTAL UTILITIES  4,099,801 
TOTAL COMMON STOCKS   
(Cost $59,918,462)  71,988,926 
Nonconvertible Preferred Stocks - 0.0%   
INDUSTRIALS - 0.0%   
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA (f)(o)(p)   
(Cost $286,754) 8,042,141 2,716 
 Principal Amount(a) Value 
Bank Loan Obligations - 2.0%   
COMMUNICATION SERVICES - 0.1%   
Diversified Telecommunication Services - 0.0%   
Triton Bidco Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 9/23/26 (g)(q) 485,000 477,041 
Media - 0.1%   
CSC Holdings LLC Tranche B4 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.0275% 4/15/27 (c)(g) 947,625 947,625 
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.807% 6/19/26 (c)(g) 240,000 240,974 
  1,188,599 
Wireless Telecommunication Services - 0.0%   
iHeartMedia Capital I LLC 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1002% 5/1/26 (c)(g) 124,993 125,732 
TOTAL COMMUNICATION SERVICES  1,791,372 
CONSUMER DISCRETIONARY - 0.2%   
Diversified Consumer Services - 0.0%   
BidFair MergeRight, Inc. 1LN, term loan 3 month U.S. LIBOR + 5.500% 1/23/27 (g)(q) 650,000 642,285 
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.3544% 8/22/25 (c)(g) 305,000 302,905 
  945,190 
Hotels, Restaurants & Leisure - 0.1%   
Travelport Finance Luxembourg SARL Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.1044% 5/28/27 (c)(g) 1,260,000 1,083,600 
Specialty Retail - 0.1%   
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.5421% 2/5/26 (c)(g) 952,613 957,080 
TOTAL CONSUMER DISCRETIONARY  2,985,870 
ENERGY - 0.8%   
Energy Equipment & Services - 0.0%   
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.7935% 11/3/25 (c)(g) 289,275 259,141 
Forbes Energy Services LLC Tranche B, term loan 16% 4/13/21 (c)(f) 61,801 62,265 
  321,406 
Oil, Gas & Consumable Fuels - 0.8%   
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.2935% 6/22/24 (c)(g) 449,650 412,104 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 12.4185% 12/31/21 (c)(g) 4,920,000 4,271,200 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.7935% 12/31/22 (c)(g) 4,970,000 4,402,575 
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 9.0435% 8/1/23 (c)(g) 75,000 76,313 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.04% 3/1/26 (c)(g) 1,900,000 1,797,875 
Sanchez Energy Corp. 1LN, term loan 3 month U.S. LIBOR + 8.000% 10.057% 5/11/20 (c)(f)(g)(r) 521,300 495,235 
  11,455,302 
TOTAL ENERGY  11,776,708 
FINANCIALS - 0.1%   
Capital Markets - 0.0%   
Citadel Securities LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.5435% 2/27/26 (c)(g) 159,200 159,598 
Insurance - 0.1%   
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.2663% 4/25/25 (c)(g) 271,563 268,206 
TOTAL FINANCIALS  427,804 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.0625% 6/13/26 (c)(g) 1,950,000 1,837,875 
Pharmaceuticals - 0.0%   
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.0386% 6/1/25 (c)(g) 103,357 103,734 
TOTAL HEALTH CARE  1,941,609 
INDUSTRIALS - 0.0%   
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1044% 4/4/26 (c)(g) 65,035 65,299 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.000% 6.1044% 4/4/26 (c)(g) 34,965 35,107 
  100,406 
Construction & Engineering - 0.0%   
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.05% 9/27/24 (c)(g) 153,450 134,652 
TOTAL INDUSTRIALS  235,058 
INFORMATION TECHNOLOGY - 0.6%   
Internet Software & Services - 0.1%   
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 5.7935% 9/29/24 (c)(g) 237,435 237,867 
3 month U.S. LIBOR + 8.500% 10.5435% 9/29/25 (c)(g) 1,264,375 1,274,654 
  1,512,521 
IT Services - 0.1%   
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.7775% 10/11/26 (c)(g) 1,142,513 1,108,238 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.7775% 10/11/25 (c)(g) 545,205 535,713 
  1,643,951 
Semiconductors & Semiconductor Equipment - 0.0%   
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 9/19/26 (g)(q) 420,000 421,735 
Software - 0.4%   
Almonde, Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.4463% 6/13/25 (c)(g) 2,199,344 2,096,260 
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.2935% 10/2/25 (c)(g) 1,865,900 1,793,671 
Kronos, Inc. 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.5031% 11/1/24 (c)(g) 1,090,000 1,104,988 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 6.3% 1/20/24 (c)(g) 165,982 165,257 
3 month U.S. LIBOR + 9.000% 11.05% 1/20/25 (c)(g) 535,000 526,306 
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.7935% 5/4/26 (c)(g) 190,000 190,950 
  5,877,432 
TOTAL INFORMATION TECHNOLOGY  9,455,639 
MATERIALS - 0.1%   
Containers & Packaging - 0.1%   
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5689% 6/29/25 (c)(g) 841,526 809,177 
Metals & Mining - 0.0%   
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.3544% 10/17/22 (c)(g) 1,217,407 457,136 
TOTAL MATERIALS  1,266,313 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $32,262,641)  29,880,373 
 Shares Value 
Fixed-Income Funds - 8.7%   
Fidelity Floating Rate Central Fund (s)   
(Cost $136,282,646) 1,311,467 132,956,524 
 Principal Amount(a) Value 
Preferred Securities - 4.1%   
COMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Colombia Telecomunicaciones SA 8.5% (b)(c)(t) 445,000 456,820 
CONSUMER STAPLES - 0.1%   
Food Products - 0.1%   
Cosan Overseas Ltd. 8.25% (t) 1,785,000 1,843,570 
ENERGY - 0.5%   
Oil, Gas & Consumable Fuels - 0.5%   
DCP Midstream Partners LP 7.375% (c)(t) 775,000 736,250 
Energy Transfer Partners LP:   
6.25% (c)(t) 3,540,000 3,283,350 
6.625% (c)(t) 1,370,000 1,294,650 
MPLX LP 6.875% (c)(t) 1,550,000 1,548,140 
Summit Midstream Partners LP 9.5% (c)(t) 775,000 558,000 
  7,420,390 
FINANCIALS - 3.5%   
Banks - 3.0%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(t) 675,000 690,398 
Banco Do Brasil SA:   
6.25% (b)(c)(t) 475,000 468,320 
9% (b)(c)(t) 265,000 296,237 
Banco Mercantil del Norte SA 7.625% (b)(c)(t) 210,000 213,872 
Bank of America Corp.:   
3 month U.S. LIBOR + 3.387% 5.5264%(c)(g)(t) 273,000 273,355 
5.125% (c)(t) 1,950,000 2,020,688 
5.2% (c)(t) 3,067,000 3,166,678 
5.875% (c)(t) 5,125,000 5,548,325 
6.25% (c)(t) 1,410,000 1,534,080 
Citigroup, Inc.:   
5% (c)(t) 3,245,000 3,284,589 
5.8% (c)(t) 1,130,000 1,130,848 
5.9% (c)(t) 1,455,000 1,513,200 
5.95% (c)(t) 2,675,000 2,782,000 
6.25% (c)(t) 920,000 1,024,650 
6.3% (c)(t) 270,000 286,826 
Credit Agricole SA 7.875% (b)(c)(t) 210,000 234,150 
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (c)(t) 200,000 205,500 
Huntington Bancshares, Inc. 5.7% (c)(t) 650,000 662,071 
Itau Unibanco Holding SA:   
5.5% 8/6/22 (b) 490,000 518,634 
6.125% (b)(c)(t) 110,000 110,993 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 3.320% 5.4186% (c)(g)(t) 2,145,000 2,145,000 
5% (c)(t) 1,660,000 1,705,650 
5.3% (c)(t) 865,000 873,615 
6% (c)(t) 6,524,000 6,971,351 
6.125% (c)(t) 850,000 921,035 
6.75% (c)(t) 400,000 444,000 
Tinkoff Credit Systems 9.25% (Reg. S) (c)(t) 805,000 840,722 
Wells Fargo & Co.:   
5.875% (c)(t) 2,600,000 2,865,720 
5.9% (c)(t) 3,065,000 3,290,086 
  46,022,593 
Capital Markets - 0.5%   
Goldman Sachs Group, Inc.:   
3 month U.S. LIBOR + 3.884% 6.065%(c)(g)(t) 1,243,000  1,247,661 
5% (c)(t) 4,331,000 4,251,743 
5.375% (c)(t) 1,665,000 1,677,488 
  7,176,892 
TOTAL FINANCIALS  53,199,485 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(e)(t) 1,875,000 208,008 
7.5% (Reg. S) (e)(t) 100,000 11,094 
  219,102 
TOTAL PREFERRED SECURITIES   
(Cost $62,305,477)  63,139,367 
 Shares Value 
Money Market Funds - 9.7%   
Fidelity Cash Central Fund 1.96% (u)   
(Cost $147,879,810) 147,858,792 147,888,364 

Purchased Swaptions - 0.2%    
 Expiration Date Notional Amount Value 
Put Swaptions - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 4,400,000 $117,431 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.215% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/10/24 2,000,000 34,926 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 1,700,000 26,678 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.58% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 1,400,000 11,556 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.54% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 8,000,000 67,240 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 3,300,000 7,132 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 2,000,000 14,831 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.815% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2029 3/7/22 6,000,000 33,767 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 2,600,000 78,490 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027 12/8/20 3,900,000 10,279 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 1,100,000 2,098 
TOTAL PUT SWAPTIONS   404,428 
Call Swaptions - 0.2%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 4,400,000 138,041 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.215% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/10/24 2,000,000 88,741 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 1,700,000 81,541 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.58% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 1,400,000 104,341 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.54% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 8,000,000 578,923 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 3,300,000 225,955 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 2,000,000 155,932 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.815% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2029 3/7/22 6,000,000 525,926 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 2,600,000 71,402 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027 12/8/20 3,900,000 277,142 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 1,100,000 79,560 
TOTAL CALL SWAPTIONS   2,327,504 
TOTAL PURCHASED SWAPTIONS    
(Cost $2,106,094)   2,731,932 
TOTAL INVESTMENT IN SECURITIES - 102.5%    
(Cost $1,533,828,982)   1,560,314,932 
NET OTHER ASSETS (LIABILITIES) - (2.5)%   (37,635,224) 
NET ASSETS - 100%   $1,522,679,708 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
3% 10/1/49 $(5,500,000) $(5,644,804) 
3% 10/1/49 (900,000) (923,695) 
3% 10/1/49 (600,000) (615,797) 
3% 10/1/49 (3,900,000) (4,002,680) 
3% 10/1/49 (3,300,000) (3,386,883) 
3.5% 10/1/49 (4,200,000) (4,351,204) 
3.5% 10/1/49 (1,800,000) (1,864,802) 
3.5% 10/1/49 (700,000) (725,201) 
TOTAL GINNIE MAE  (21,515,066) 
Uniform Mortgage Backed Securities   
3% 10/1/49 (9,600,000) (9,744,784) 
3% 10/1/49 (3,700,000) (3,755,802) 
3.5% 10/1/49 (1,100,000) (1,128,347) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (14,628,933) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $36,144,867)  $(36,143,999) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Options    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 4,100,000 $(135,522) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 1,000,000 (21,717) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.6875% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2030 9/17/20 5,000,000 (99,851) 
TOTAL PUT OPTIONS   (257,090) 
Call Options    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 4,100,000 (101,960) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 1,000,000 (37,320) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.6875% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2030 9/17/20 5,000,000 (157,773) 
TOTAL CALL OPTIONS   (297,053) 
TOTAL WRITTEN SWAPTIONS   $(554,143) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 72 Dec. 2019 $9,382,500 $(20,359) $(20,359) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 172 Dec. 2019 37,066,000 (52,291) (52,291) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 112 Dec. 2019 13,344,625 (52,458) (52,458) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 15 Dec. 2019 2,434,688 4,994 4,994 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 41 Dec. 2019 5,838,656 (24,441) (24,441) 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 28 Dec. 2019 5,373,375 (153,755) (153,755) 
TOTAL FUTURES CONTRACTS     $(298,310) 

The notional amount of futures purchased as a percentage of Net Assets is 4.8%

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(2) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
1.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2021 $1,460,000 $(6,200) $0 $(6,200) 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Dec. 2026 2,005,000 25,939 0 25,939 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 9,745,000 193,902 0 193,902 
TOTAL INTEREST RATE SWAPS       $213,641 $0 $213,641 

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

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

 (3) Represents floating rate.

Currency Abbreviations

AUD – Australian dollar

BRL – Brazilian real

CAD – Canadian dollar

CHF – Swiss franc

DKK – Danish krone

EGP – Egyptian pound

EUR – European Monetary Unit

GBP – British pound

HKD – Hong Kong dollar

INR – Indian rupee

JPY – Japanese yen

MXN – Mexican peso

NGN – Nigerian naira

NOK – Norwegian krone

NZD – New Zealand dollar

PEN – Peruvian new sol

PHP – Philippine peso

RUB – Russian ruble

SEK – Swedish krona

SGD – Singapore dollar

UAH – Ukrainian hryvnia

Legend

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

 (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 $381,540,226 or 25.1% of net assets.

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

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

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

 (f) Level 3 security

 (g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $569,474.

 (i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $618,002.

 (j) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

 (l) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (m) 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.

 (n) Quantity represents share amount.

 (o) Non-income producing

 (p) 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 $283,222 or 0.0% of net assets.

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

 (r) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $372,357 and $353,740, respectively.

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

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

 (u) 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.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Exide Technologies 4/30/15 - 6/1/19 $509,540 
Tricer Holdco SCA 10/16/09 - 12/30/17 $286,754 
Tricer Holdco SCA Class A1 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A2 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A3 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A4 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A5 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A6 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A7 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A8 10/16/09 - 10/29/09 $45,666 
Tricer Holdco SCA Class A9 10/16/09 - 10/29/09 $45,706 

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 $2,031,605 
Fidelity Floating Rate Central Fund 5,774,927 
Fidelity Securities Lending Cash Central Fund 931 
Total $7,807,463 

Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Floating Rate Central Fund $121,211,148 $8,153,015 $-- $-- $3,592,361 $132,956,524 6.8% 
Total $121,211,148 $8,153,015 $-- $-- $3,592,361 $132,956,524  

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

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

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

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

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

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

Credit Risk.

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

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

The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds





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

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