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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-2737

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

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

Scott C. Goebel, Secretary

245 Summer St.

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

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

Date of fiscal year end:

April 30

 

 

Date of reporting period:

January 31, 2013

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Focused High Income Fund

January 31, 2013 

1.813015.108

FFH-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 90.3%

 

Principal
Amount

Value

Aerospace - 0.0%

GenCorp, Inc. 7.125% 3/15/21 (b)

$ 245,000

$ 253,575

Air Transportation - 3.2%

Continental Airlines, Inc.:

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

132,266

148,964

5.5% 4/29/22

2,035,000

2,126,575

6.25% 10/22/21

2,370,000

2,524,050

6.75% 9/15/15 (b)

10,480,000

11,017,624

9.25% 5/10/17

841,123

937,852

Delta Air Lines, Inc. pass-thru certificates Series 2012-1B Class B, 6.875% 5/7/19 (b)

2,805,000

2,966,288

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

6.375% 1/2/16

1,115,000

1,159,600

6.75% 11/23/15

1,115,000

1,170,750

8.021% 8/10/22

1,338,011

1,465,122

8.954% 8/10/14

2,116,954

2,201,632

Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17

789,474

857,606

U.S. Airways pass-thru certificates Series 2012-2 Class A, 4.625% 12/3/26

470,000

486,450

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

Class B, 7.336% 7/2/19

119,857

119,557

9.75% 1/15/17

1,432,968

1,647,913

12% 1/15/16 (b)

200,189

220,208

 

29,050,191

Automotive - 6.8%

Continental Rubber of America Corp. 4.5% 9/15/19 (b)

1,615,000

1,639,225

Dana Holding Corp.:

6.5% 2/15/19

6,130,000

6,543,775

6.75% 2/15/21

2,145,000

2,338,050

Delphi Corp.:

5.875% 5/15/19

8,770,000

9,438,274

6.125% 5/15/21

3,190,000

3,509,000

Ford Motor Co. 7.45% 7/16/31

5,370,000

6,846,750

Ford Motor Credit Co. LLC:

4.25% 2/3/17

2,345,000

2,499,897

5% 5/15/18

5,200,000

5,700,729

5.625% 9/15/15

2,755,000

3,015,157

5.875% 8/2/21

1,720,000

1,954,900

6.625% 8/15/17

4,330,000

5,049,321

7% 4/15/15

1,505,000

1,666,881

8% 12/15/16

4,675,000

5,601,435

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Automotive - continued

General Motors Financial Co., Inc. 4.75% 8/15/17 (b)

$ 2,345,000

$ 2,450,525

Tenneco, Inc. 6.875% 12/15/20

4,034,000

4,427,315

 

62,681,234

Banks & Thrifts - 0.2%

Ally Financial, Inc. 5.5% 2/15/17

1,281,000

1,377,075

Building Materials - 3.1%

Building Materials Corp. of America:

6.75% 5/1/21 (b)

3,545,000

3,908,363

6.875% 8/15/18 (b)

9,405,000

10,157,400

Gibraltar Industries, Inc. 6.25% 2/1/21 (b)

140,000

144,550

Griffon Corp. 7.125% 4/1/18

4,195,000

4,546,331

Masco Corp.:

5.85% 3/15/17

2,690,000

2,950,287

5.95% 3/15/22

3,475,000

3,846,665

USG Corp. 7.875% 3/30/20 (b)

2,690,000

3,066,600

 

28,620,196

Cable TV - 8.3%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

1,275,000

1,257,469

5.25% 9/30/22

5,955,000

5,895,450

6.5% 4/30/21

13,075,000

13,990,250

6.625% 1/31/22

2,060,000

2,245,400

7% 1/15/19

14,320,000

15,465,600

7.25% 10/30/17

4,545,000

4,919,963

CSC Holdings LLC:

6.75% 11/15/21

3,615,000

4,066,875

8.625% 2/15/19

4,385,000

5,272,963

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

1,080,000

1,115,100

UPCB Finance III Ltd. 6.625% 7/1/20 (b)

15,775,000

16,839,813

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

3,780,000

4,186,350

Virgin Media Finance PLC 4.875% 2/15/22

1,110,000

1,107,225

 

76,362,458

Capital Goods - 0.1%

Amsted Industries, Inc. 8.125% 3/15/18 (b)

1,200,000

1,290,000

Chemicals - 1.8%

Axiall Corp. 4.875% 5/15/23 (b)(c)

290,000

291,813

Celanese U.S. Holdings LLC:

4.625% 11/15/22

1,055,000

1,076,100

6.625% 10/15/18

7,195,000

7,896,513

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Chemicals - continued

Eagle Spinco, Inc. 4.625% 2/15/21 (b)

$ 495,000

$ 497,475

LyondellBasell Industries NV:

5% 4/15/19

3,445,000

3,798,113

6% 11/15/21

625,000

736,750

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

1,870,000

1,916,750

 

16,213,514

Containers - 1.5%

Ardagh Packaging Finance PLC 7.375% 10/15/17 (b)

5,572,000

6,129,200

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc. 7.375% 10/15/17 (b)

245,000

269,500

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

2,455,000

2,408,969

Sealed Air Corp.:

6.5% 12/1/20 (b)

865,000

955,825

8.125% 9/15/19 (b)

2,045,000

2,331,300

8.375% 9/15/21 (b)

1,420,000

1,633,000

 

13,727,794

Diversified Financial Services - 12.1%

Aircastle Ltd.:

6.25% 12/1/19

1,145,000

1,236,600

6.75% 4/15/17

1,390,000

1,529,000

9.75% 8/1/18

3,720,000

4,222,200

CIT Group, Inc.:

4.25% 8/15/17

2,235,000

2,313,225

5% 5/15/17

5,600,000

5,978,000

5% 8/15/22

1,775,000

1,874,617

5.25% 3/15/18

3,460,000

3,702,200

5.375% 5/15/20

2,780,000

3,016,300

5.5% 2/15/19 (b)

2,380,000

2,546,600

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

14,050,000

14,594,438

8% 1/15/18

22,870,000

24,499,469

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

470,000

410,075

International Lease Finance Corp.:

4.875% 4/1/15

2,390,000

2,494,563

5.65% 6/1/14

4,090,000

4,279,163

5.75% 5/15/16

4,280,000

4,604,467

5.875% 4/1/19

1,015,000

1,097,135

5.875% 8/15/22

2,270,000

2,442,758

6.25% 5/15/19

3,945,000

4,359,225

6.75% 9/1/16 (b)

2,935,000

3,309,213

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Diversified Financial Services - continued

International Lease Finance Corp.: - continued

7.125% 9/1/18 (b)

$ 3,390,000

$ 3,966,300

8.625% 9/15/15

6,505,000

7,383,175

8.75% 3/15/17

4,490,000

5,264,525

8.875% 9/1/17

5,425,000

6,530,344

 

111,653,592

Diversified Media - 0.2%

Nielsen Finance LLC/Nielsen Finance Co. 4.5% 10/1/20 (b)

1,445,000

1,423,325

Electric Utilities - 8.5%

Atlantic Power Corp. 9% 11/15/18

3,320,000

3,527,500

Dolphin Subsidiary II, Inc. 6.5% 10/15/16

6,315,000

6,630,750

InterGen NV 9% 6/30/17 (b)

6,414,000

5,965,020

IPALCO Enterprises, Inc.:

5% 5/1/18

2,300,000

2,455,250

7.25% 4/1/16 (b)

805,000

901,600

Mirant Americas Generation LLC 9.125% 5/1/31

3,335,000

3,701,850

Mirant Mid-Atlantic LLC 10.06% 12/30/28

3,936,149

4,487,210

NRG Energy, Inc. 6.625% 3/15/23 (b)

3,150,000

3,370,500

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

10,143,000

10,548,720

NV Energy, Inc. 6.25% 11/15/20

3,545,000

4,220,840

Otter Tail Corp. 9% 12/15/16

1,343,000

1,557,880

Puget Energy, Inc.:

5.625% 7/15/22

785,000

847,542

6.5% 12/15/20

7,035,000

7,844,095

The AES Corp.:

7.375% 7/1/21

7,435,000

8,290,025

7.75% 10/15/15

5,515,000

6,163,013

8% 10/15/17

6,315,000

7,293,825

9.75% 4/15/16

505,000

600,950

 

78,406,570

Energy - 14.1%

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

1,355,000

1,355,000

Chesapeake Energy Corp.:

6.125% 2/15/21

10,190,000

10,903,300

6.5% 8/15/17

2,035,000

2,238,500

6.775% 3/15/19

2,685,000

2,705,138

6.875% 11/15/20

6,400,000

7,040,000

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Energy - continued

Chesapeake Midstream Partners LP/CHKM Finance Corp.:

5.875% 4/15/21

$ 1,985,000

$ 2,099,138

6.125% 7/15/22

5,265,000

5,594,063

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (b)

1,110,000

1,098,900

Denbury Resources, Inc.:

4.625% 7/15/23 (c)

2,175,000

2,131,500

6.375% 8/15/21

7,330,000

7,953,050

Energy Transfer Equity LP 7.5% 10/15/20

5,225,000

6,021,813

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 6.875% 5/1/19

4,000,000

4,340,000

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

13,660,000

14,513,750

Frontier Oil Corp. 6.875% 11/15/18

3,570,000

3,837,750

Kinder Morgan Finance Co. LLC 6% 1/15/18 (b)

4,970,000

5,491,850

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

2,055,000

2,157,750

Oil States International, Inc.:

5.125% 1/15/23 (b)

685,000

693,563

6.5% 6/1/19

7,445,000

7,947,538

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

2,395,000

2,598,575

Petroleum Geo-Services ASA 7.375% 12/15/18 (b)

2,015,000

2,176,200

Plains Exploration & Production Co. 6.125% 6/15/19

5,205,000

5,738,513

Precision Drilling Corp.:

6.5% 12/15/21

180,000

193,050

6.625% 11/15/20

6,630,000

7,060,950

SESI LLC 7.125% 12/15/21

3,360,000

3,721,200

Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.5% 10/1/18

1,448,000

1,563,840

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

5.25% 5/1/23 (b)

1,160,000

1,206,400

6.375% 8/1/22

3,770,000

4,128,150

6.875% 2/1/21

3,270,000

3,580,650

Tesoro Corp. 4.25% 10/1/17

625,000

647,656

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (b)

215,000

224,138

WPX Energy, Inc.:

5.25% 1/15/17

3,155,000

3,320,638

6% 1/15/22

4,780,000

5,138,500

 

129,421,063

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Environmental - 2.9%

Clean Harbors, Inc.:

5.125% 6/1/21 (b)

$ 3,190,000

$ 3,285,700

5.25% 8/1/20

4,075,000

4,258,375

Covanta Holding Corp.:

6.375% 10/1/22

2,335,000

2,548,330

7.25% 12/1/20

15,100,000

16,634,236

 

26,726,641

Food & Drug Retail - 0.1%

ESAL GmbH 6.25% 2/5/23 (b)

1,405,000

1,364,536

Food/Beverage/Tobacco - 0.9%

JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (b)

8,015,000

8,596,088

Gaming - 1.2%

MCE Finance Ltd. 5% 2/15/21 (b)

985,000

985,000

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

5.375% 3/15/22

2,110,000

2,247,150

7.75% 8/15/20

6,935,000

7,836,550

 

11,068,700

Healthcare - 4.8%

Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (b)

7,930,000

8,604,050

HealthSouth Corp. 5.75% 11/1/24

1,560,000

1,575,600

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

2,805,000

3,085,500

Omega Healthcare Investors, Inc.:

6.75% 10/15/22

3,255,000

3,556,088

7.5% 2/15/20

655,000

718,863

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

4,015,000

4,296,050

Valeant Pharmaceuticals International:

6.375% 10/15/20 (b)

1,540,000

1,590,050

6.5% 7/15/16 (b)

5,675,000

5,909,094

6.875% 12/1/18 (b)

12,070,000

12,794,200

VPI Escrow Corp. 6.375% 10/15/20 (b)

2,315,000

2,393,016

 

44,522,511

Homebuilders/Real Estate - 2.7%

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

505,000

532,775

CB Richard Ellis Services, Inc. 6.625% 10/15/20

9,980,000

10,866,224

D.R. Horton, Inc.:

3.625% 2/15/18

2,165,000

2,181,238

4.375% 9/15/22

3,215,000

3,198,925

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Homebuilders/Real Estate - continued

D.R. Horton, Inc.: - continued

4.75% 5/15/17

$ 4,525,000

$ 4,858,719

4.75% 2/15/23

720,000

719,100

Lennar Corp. 4.125% 12/1/18 (b)

2,165,000

2,165,000

 

24,521,981

Hotels - 0.8%

Host Hotels & Resorts LP:

4.75% 3/1/23

1,050,000

1,099,875

5.875% 6/15/19

1,295,000

1,408,313

9% 5/15/17

4,845,000

5,147,813

 

7,656,001

Leisure - 2.6%

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

5,085,000

5,746,050

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

2,405,000

2,549,300

7.25% 3/15/18

1,130,000

1,288,200

7.5% 10/15/27

3,280,000

3,690,000

yankee 7.25% 6/15/16

9,215,000

10,389,913

 

23,663,463

Metals/Mining - 3.6%

Boart Longyear Management Pty Ltd. 7% 4/1/21 (b)

4,950,000

5,123,250

CONSOL Energy, Inc. 8% 4/1/17

6,705,000

7,241,400

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (b)

8,720,000

8,981,600

7% 11/1/15 (b)

7,975,000

8,313,938

Peabody Energy Corp. 6.25% 11/15/21

3,210,000

3,362,475

 

33,022,663

Paper - 0.7%

Sappi Papier Holding GmbH 7.75% 7/15/17 (b)

5,675,000

6,384,375

Services - 1.0%

FTI Consulting, Inc.:

6% 11/15/22 (b)

1,220,000

1,281,000

6.75% 10/1/20

7,775,000

8,338,688

 

9,619,688

Shipping - 0.6%

Navios Maritime Holdings, Inc. 8.875% 11/1/17

5,350,000

5,276,705

Steel - 1.9%

Steel Dynamics, Inc.:

6.125% 8/15/19 (b)

4,055,000

4,379,400

Nonconvertible Bonds - continued

 

Principal
Amount

Value

Steel - continued

Steel Dynamics, Inc.: - continued

6.75% 4/1/15

$ 3,460,000

$ 3,503,250

7.625% 3/15/20

8,945,000

9,973,675

 

17,856,325

Super Retail - 0.3%

Jaguar Land Rover PLC 5.625% 2/1/23 (b)

1,585,000

1,608,775

Netflix, Inc. 5.375% 2/1/21 (b)

725,000

723,188

 

2,331,963

Technology - 1.8%

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

1,335,000

1,321,650

First Data Corp. 12.625% 1/15/21

810,000

862,650

GrafTech International Ltd. 6.375% 11/15/20 (b)

1,175,000

1,254,313

IAC/InterActiveCorp 4.75% 12/15/22 (b)

3,785,000

3,756,613

NCR Corp. 4.625% 2/15/21 (b)

2,305,000

2,307,881

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

3,905,000

4,022,150

Viasystems, Inc. 7.875% 5/1/19 (b)

3,205,000

3,196,988

 

16,722,245

Telecommunications - 4.1%

Altice Financing SA 7.875% 12/15/19 (b)

4,075,000

4,380,625

DigitalGlobe, Inc. 5.25% 2/1/21 (b)

325,000

324,188

NeuStar, Inc. 4.5% 1/15/23 (b)

1,070,000

1,070,000

Qwest Communications International, Inc. 7.125% 4/1/18

1,940,000

2,017,600

Sprint Nextel Corp.:

6% 12/1/16

6,435,000

6,933,713

7% 3/1/20 (b)

8,885,000

10,306,600

9% 11/15/18 (b)

10,610,000

13,129,875

 

38,162,601

Textiles & Apparel - 0.4%

Hanesbrands, Inc. 6.375% 12/15/20

3,625,000

3,937,838

TOTAL NONCONVERTIBLE BONDS

(Cost $777,571,306)


831,914,911

Nonconvertible Preferred Stocks - 0.2%

Shares

 

Banks & Thrifts - 0.2%

Goldman Sachs Group, Inc. 5.95%
(Cost $2,015,875)

80,635


1,991,685

Floating Rate Loans - 5.5%

 

Principal
Amount

Value

Air Transportation - 1.6%

Delta Air Lines, Inc.:

Tranche B 1LN, term loan:

5.25% 10/18/18 (d)

$ 3,365,000

$ 3,419,681

5.5% 4/20/17 (d)

10,718,982

10,839,571

Tranche B 2LN, term loan 4.25% 4/18/16 (d)

840,000

848,400

 

15,107,652

Automotive - 1.8%

Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (d)

7,641,446

7,794,275

Federal-Mogul Corp.:

Tranche B, term loan 2.1464% 12/27/14 (d)

5,977,866

5,664,028

Tranche C, term loan 2.1386% 12/27/15 (d)

3,082,525

2,920,692

 

16,378,995

Cable TV - 0.0%

UPC Broadband Holding BV Tranche AF, term loan 4% 1/31/21 (d)

190,000

191,900

Energy - 0.6%

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (d)

5,605,000

5,738,399

Food & Drug Retail - 0.3%

GNC Corp. Tranche B, term loan 3.75% 3/2/18 (d)

2,263,370

2,283,174

Insurance - 0.7%

Asurion Corp. Tranche 1LN, term loan 5.5% 5/24/18 (d)

6,800,000

6,859,840

Steel - 0.1%

JMC Steel Group, Inc. term loan 4.75% 4/1/17 (d)

643,461

652,308

Super Retail - 0.2%

Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (d)

2,000,000

2,010,000

Technology - 0.2%

GoDaddy.com, Inc. Tranche B 1LN, term loan 5.5% 12/16/18 (d)

1,731,234

1,735,562

TOTAL FLOATING RATE LOANS

(Cost $49,418,294)


50,957,830

Money Market Funds - 3.1%

Shares

 

Fidelity Cash Central Fund, 0.16% (a)
(Cost $28,129,905)

28,129,905


28,129,905

Cash Equivalents - 0.3%

Maturity
Amount

Value

Investments in repurchase agreements in a joint trading account at 0.14%, dated 1/31/13 due 2/1/13 (Collateralized by U.S. Treasury Obligations) #
(Cost $2,385,000)

$ 2,385,009

$ 2,385,000

TOTAL INVESTMENT PORTFOLIO - 99.4%

(Cost $859,520,380)

915,379,331

NET OTHER ASSETS (LIABILITIES) - 0.6%

5,351,338

NET ASSETS - 100%

$ 920,730,669

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $251,947,350 or 27.4% of net assets.

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

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

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$2,385,000 due 2/01/13 at 0.14%

Barclays Capital, Inc.

$ 1,113,088

Merrill Lynch, Pierce, Fenner & Smith, Inc.

345,810

UBS Securities LLC

926,102

 

$ 2,385,000

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

$ 78,503

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Financials

$ 1,991,685

$ 1,991,685

$ -

$ -

Corporate Bonds

831,914,911

-

831,914,911

-

Floating Rate Loans

50,957,830

-

50,957,830

-

Money Market Funds

28,129,905

28,129,905

-

-

Cash Equivalents

2,385,000

-

2,385,000

-

Total Investments in Securities:

$ 915,379,331

$ 30,121,590

$ 885,257,741

$ -

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $855,912,987. Net unrealized appreciation aggregated $59,466,344, of which $60,852,451 related to appreciated investment securities and $1,386,107 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds and floating rate loans, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® High Income Fund

January 31, 2013 

1.813069.108

SPH-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 78.8%

 

Principal
Amount (000s)

Value (000s)

Convertible Bonds - 0.4%

Capital Goods - 0.1%

General Cable Corp.:

0.875% 11/15/13

$ 1,888

$ 1,879

4.5% 11/15/29 (d)

2,126

2,485

 

4,364

Metals/Mining - 0.3%

Peabody Energy Corp. 4.75% 12/15/66

22,142

21,104

TOTAL CONVERTIBLE BONDS

25,468

Nonconvertible Bonds - 78.4%

Aerospace - 0.4%

Alliant Techsystems, Inc. 6.875% 9/15/20

7,103

7,813

GenCorp, Inc. 7.125% 3/15/21 (f)

1,715

1,775

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18

6,185

6,780

7.125% 3/15/21

8,305

9,136

 

25,504

Air Transportation - 0.1%

Continental Airlines, Inc. 6.125% 4/29/18 (f)

2,270

2,259

U.S. Airways pass-thru certificates Series 2012-2 Class A, 4.625% 12/3/26

1,655

1,713

 

3,972

Automotive - 2.6%

ArvinMeritor, Inc. 8.125% 9/15/15

1,020

1,066

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19

7,070

7,742

8.25% 6/15/21

6,785

7,514

Continental Rubber of America Corp. 4.5% 9/15/19 (f)

3,855

3,913

Dana Holding Corp.:

6.5% 2/15/19

2,749

2,935

6.75% 2/15/21

2,802

3,054

Delphi Corp.:

5.875% 5/15/19

12,555

13,512

6.125% 5/15/21

5,810

6,391

Exide Technologies 8.625% 2/1/18

3,691

3,156

Ford Motor Co.:

6.375% 2/1/29

2,308

2,570

6.625% 2/15/28

1,640

1,842

6.625% 10/1/28

575

664

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Automotive - continued

Ford Motor Co.: - continued

7.125% 11/15/25

$ 95

$ 112

7.45% 7/16/31

2,080

2,652

Ford Motor Credit Co. LLC:

5% 5/15/18

17,945

19,673

5.75% 2/1/21

7,407

8,375

5.875% 8/2/21

19,885

22,601

8% 12/15/16

2,136

2,559

8.125% 1/15/20

7,552

9,511

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

21,485

26,910

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

4,110

3,946

Stoneridge, Inc. 9.5% 10/15/17 (f)

1,564

1,673

Tenneco, Inc. 7.75% 8/15/18

2,386

2,613

Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f)

14,530

16,146

 

171,130

Banks & Thrifts - 1.6%

Ally Financial, Inc.:

3.51% 2/11/14 (i)

4,945

5,019

4.5% 2/11/14

4,945

5,044

4.625% 6/26/15

10,000

10,501

5.5% 2/15/17

8,965

9,637

6.25% 12/1/17

4,180

4,640

7.5% 9/15/20

22,185

26,677

8% 3/15/20

16,900

20,724

GMAC LLC:

6.75% 12/1/14

10,609

11,458

8% 12/31/18

4,000

4,710

8% 11/1/31

6,615

8,351

 

106,761

Broadcasting - 0.4%

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

4,055

4,055

Clear Channel Communications, Inc. 10.75% 8/1/16

3,053

2,366

Starz LLC/Starz Finance Corp. 5% 9/15/19 (f)

5,680

5,836

Univision Communications, Inc.:

6.75% 9/15/22 (f)

3,750

3,919

6.875% 5/15/19 (f)

8,040

8,442

 

24,618

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Building Materials - 4.1%

Associated Materials LLC 9.125% 11/1/17

$ 24,729

$ 25,347

BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (f)

1,770

1,828

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

3,080

3,396

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

14,635

16,464

CEMEX Finance LLC:

9.375% 10/12/22 (f)

7,450

8,400

9.5% 12/14/16 (f)

15,970

17,048

CEMEX SA de CV:

5.311% 9/30/15 (f)(i)

33,110

33,607

9% 1/11/18 (f)

18,955

20,471

Gibraltar Industries, Inc. 6.25% 2/1/21 (f)

985

1,017

HD Supply, Inc.:

7.5% 7/15/20 (f)

9,270

9,200

10.5% 1/15/21 (f)

4,005

4,095

11.5% 7/15/20 (f)

18,815

21,637

Headwaters, Inc. 7.625% 4/1/19

18,934

20,259

Interline Brands, Inc. 7.5% 11/15/18

2,789

3,026

Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (f)(i)

1,590

1,737

Masco Corp.:

5.95% 3/15/22

11,425

12,647

6.125% 10/3/16

1,445

1,619

7.125% 3/15/20

6,544

7,689

Masonite International Corp. 8.25% 4/15/21 (f)

2,205

2,414

Ply Gem Industries, Inc.:

8.25% 2/15/18

20,963

22,797

9.375% 4/15/17

2,995

3,250

Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (f)

6,110

6,522

USG Corp.:

7.875% 3/30/20 (f)

7,965

9,080

8.375% 10/15/18 (f)

9,560

10,612

 

264,162

Cable TV - 3.1%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

8,675

8,556

6.5% 4/30/21

30,345

32,469

6.625% 1/31/22

14,585

15,898

7% 1/15/19

19,388

20,939

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Cable TV - continued

CCO Holdings LLC/CCO Holdings Capital Corp.: - continued

7.375% 6/1/20

$ 6,410

$ 7,131

7.875% 4/30/18

1,810

1,934

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f)

13,880

14,435

CSC Holdings LLC:

6.75% 11/15/21

1,685

1,896

8.625% 2/15/19

5,047

6,069

DISH DBS Corp.:

5% 3/15/23 (f)

5,700

5,615

6.75% 6/1/21

8,355

9,337

EchoStar Communications Corp. 7.125% 2/1/16

4,893

5,456

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (f)

2,175

2,387

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

5.5% 1/15/23 (f)

7,325

7,563

7.5% 3/15/19 (f)

1,515

1,655

UPCB Finance III Ltd. 6.625% 7/1/20 (f)

29,492

31,483

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

6,215

6,883

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

3,390

3,704

Virgin Media Finance PLC 4.875% 2/15/22

5,635

5,621

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

7,785

8,135

 

197,166

Capital Goods - 1.0%

Amsted Industries, Inc. 8.125% 3/15/18 (f)

8,610

9,256

Briggs & Stratton Corp. 6.875% 12/15/20

2,646

2,977

CNH Capital LLC 6.25% 11/1/16

4,955

5,451

Coleman Cable, Inc. 9% 2/15/18

13,972

15,178

General Cable Corp. 5.75% 10/1/22 (f)

9,350

9,724

Manitowoc Co., Inc. 5.875% 10/15/22

3,760

3,798

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

7,660

8,043

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

7,340

7,854

 

62,281

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Chemicals - 2.9%

Axiall Corp. 4.875% 5/15/23 (f)(h)

$ 2,025

$ 2,038

Celanese U.S. Holdings LLC:

4.625% 11/15/22

7,175

7,319

5.875% 6/15/21

3,065

3,433

6.625% 10/15/18

4,340

4,763

Chemtura Corp. 7.875% 9/1/18

11,278

12,152

Eagle Spinco, Inc. 4.625% 2/15/21 (f)

3,440

3,457

Hexion US Finance Corp.:

6.625% 4/15/20

1,800

1,773

6.625% 4/15/20 (f)

15,025

14,800

INEOS Finance PLC:

7.5% 5/1/20 (f)

8,095

8,722

8.375% 2/15/19 (f)

3,410

3,734

Kinove German Bondco GmbH 9.625% 6/15/18 (f)

3,005

3,275

Kraton Polymers LLC/Kraton Polymers Capital Corp. 6.75% 3/1/19

3,439

3,559

LyondellBasell Industries NV:

5% 4/15/19

16,015

17,657

6% 11/15/21

3,665

4,320

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

21,240

21,877

NOVA Chemicals Corp. 8.625% 11/1/19

1,623

1,846

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

742

785

Olin Corp. 5.5% 8/15/22

2,585

2,695

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (f)(i)

5,315

5,288

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

11,770

12,064

Taminco Global Chemical Corp. 9.75% 3/31/20 (f)

1,455

1,601

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (f)

49,875

49,314

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

3,125

3,195

 

189,667

Consumer Products - 0.3%

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

1,805

2,013

Libbey Glass, Inc. 6.875% 5/15/20

3,570

3,865

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

900

1,008

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (f)

1,910

2,020

6.625% 11/15/22 (f)

2,255

2,424

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Consumer Products - continued

Tempur-Pedic International, Inc. 6.875% 12/15/20 (f)

$ 2,650

$ 2,816

Wolverine World Wide, Inc. 6.125% 10/15/20 (f)

3,415

3,586

 

17,732

Containers - 3.4%

Ardagh Packaging Finance PLC:

7.375% 10/15/17 (f)

315

347

9.125% 10/15/20 (f)

6,380

7,018

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc.:

7.375% 10/15/17 (f)

1,460

1,606

9.125% 10/15/20 (f)

17,077

18,699

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

4.875% 11/15/22 (f)

1,465

1,465

7% 11/15/20 (f)

3,835

3,883

Berry Plastics Corp. 5.054% 2/15/15 (i)

27,523

27,559

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

2,615

2,811

Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21

4,697

5,108

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

1,815

1,781

Graphic Packaging International, Inc. 7.875% 10/1/18

3,194

3,513

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

5.75% 10/15/20

15,965

16,404

6.875% 2/15/21

14,930

16,012

7.125% 4/15/19

7,985

8,524

7.875% 8/15/19

14,665

16,132

8.25% 2/15/21

15,001

15,714

9% 4/15/19

9,864

10,407

9.875% 8/15/19

14,180

15,492

Sealed Air Corp.:

6.5% 12/1/20 (f)

5,855

6,470

8.125% 9/15/19 (f)

9,615

10,961

8.375% 9/15/21 (f)

10,680

12,282

Tekni-Plex, Inc. 9.75% 6/1/19 (f)

13,890

15,348

 

217,536

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Financial Services - 5.3%

Aircastle Ltd.:

6.25% 12/1/19

$ 7,745

$ 8,365

7.625% 4/15/20

3,920

4,498

9.75% 8/1/18

6,508

7,387

CIT Group, Inc.:

4.25% 8/15/17

5,515

5,708

5% 5/15/17

19,015

20,299

5% 8/15/22

5,515

5,825

5.25% 3/15/18

14,490

15,504

5.375% 5/15/20

13,850

15,027

5.5% 2/15/19 (f)

6,890

7,372

Eileme 2 AB 11.625% 1/31/20 (f)

1,815

2,142

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18

18,800

20,140

International Lease Finance Corp.:

4.875% 4/1/15

10,000

10,438

5.625% 9/20/13

6,002

6,145

5.65% 6/1/14

4,281

4,479

5.75% 5/15/16

7,810

8,402

5.875% 5/1/13

4,440

4,469

6.25% 5/15/19

11,635

12,857

6.625% 11/15/13

9,689

10,052

7.125% 9/1/18 (f)

19,940

23,330

8.25% 12/15/20

3,000

3,675

8.625% 9/15/15

35,369

40,144

8.625% 1/15/22

6,475

8,223

8.75% 3/15/17

30,306

35,534

8.875% 9/1/17

12,220

14,710

SLM Corp.:

5.5% 1/25/23

5,595

5,572

6% 1/25/17

9,085

10,016

6.25% 1/25/16

2,450

2,689

7.25% 1/25/22

2,400

2,682

8% 3/25/20

15,072

17,446

8.45% 6/15/18

9,045

10,776

 

343,906

Diversified Media - 1.1%

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (f)

3,105

3,276

6.5% 11/15/22 (f)

18,900

20,129

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Media - continued

Clear Channel Worldwide Holdings, Inc.: - continued

7.625% 3/15/20

$ 2,795

$ 2,893

7.625% 3/15/20

13,690

14,306

Lamar Media Corp.:

5% 5/1/23 (f)

3,830

3,907

5.875% 2/1/22

2,160

2,376

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20 (f)

3,730

3,674

7.75% 10/15/18

8,950

9,957

Quebecor Media, Inc. 5.75% 1/15/23 (f)

9,385

9,737

WMG Acquisition Corp. 6% 1/15/21 (f)

2,540

2,699

 

72,954

Electric Utilities - 5.5%

Atlantic Power Corp. 9% 11/15/18

13,735

14,593

Calpine Corp.:

7.5% 2/15/21 (f)

44,075

47,601

7.875% 7/31/20 (f)

26,442

29,086

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

10% 12/1/20

2,128

2,447

11% 10/1/21

1,288

1,404

11.75% 3/1/22 (f)

25,500

29,038

GenOn Energy, Inc.:

9.5% 10/15/18

16,505

19,600

9.875% 10/15/20

22,213

25,545

InterGen NV 9% 6/30/17 (f)

59,924

55,729

Mirant Americas Generation LLC:

8.5% 10/1/21

25,173

29,201

9.125% 5/1/31

12,944

14,368

NRG Energy, Inc.:

7.625% 5/15/19

2,975

3,183

7.875% 5/15/21

3,335

3,735

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

8,480

8,819

Puget Energy, Inc.:

5.625% 7/15/22

4,655

5,026

6% 9/1/21

6,915

7,766

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

16,994

18,863

Tenaska Alabama Partners LP 7% 6/30/21 (f)

1,633

1,719

The AES Corp.:

7.375% 7/1/21

13,285

14,813

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Electric Utilities - continued

The AES Corp.: - continued

8% 10/15/17

$ 14,174

$ 16,371

9.75% 4/15/16

4,459

5,306

 

354,213

Energy - 9.0%

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

9,240

9,240

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

3,365

3,634

7% 5/20/22

7,205

7,871

AmeriGas Partners LP/AmeriGas Finance Corp.:

6.25% 8/20/19

4,955

5,252

6.5% 5/20/21

2,350

2,515

Antero Resources Finance Corp. 7.25% 8/1/19

9,910

10,653

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.:

5.875% 8/1/23 (f)(h)

6,150

6,150

6.625% 10/1/20 (f)

1,600

1,680

Atwood Oceanics, Inc. 6.5% 2/1/20

1,305

1,416

Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19

3,165

3,478

Chesapeake Energy Corp.:

6.125% 2/15/21

5,895

6,308

6.625% 8/15/20

8,220

9,021

6.875% 11/15/20

5,925

6,518

7.25% 12/15/18

4,265

4,798

9.5% 2/15/15

21,038

23,826

Chesapeake Midstream Partners LP/CHKM Finance Corp. 6.125% 7/15/22

6,060

6,439

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f)

3,380

3,346

Continental Resources, Inc.:

5% 9/15/22

16,105

17,071

7.125% 4/1/21

2,865

3,237

7.375% 10/1/20

4,203

4,749

Crestwood Midstream Partners LP/Finance Corp.:

7.75% 4/1/19

7,160

7,482

7.75% 4/1/19 (f)

6,195

6,443

Denbury Resources, Inc. 8.25% 2/15/20

2,944

3,275

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

6,365

6,333

Energy Transfer Equity LP 7.5% 10/15/20

22,218

25,606

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

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

$ 4,400

$ 4,730

Everest Acquisition LLC/Everest Acquisition Finance, Inc.:

6.875% 5/1/19

6,885

7,470

9.375% 5/1/20

10,745

12,008

Expro Finance Luxembourg SCA 8.5% 12/15/16 (f)

10,432

11,006

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

9,928

9,928

Forest Oil Corp. 7.25% 6/15/19

21,988

21,988

Gulfmark Offshore, Inc. 6.375% 3/15/22 (f)

7,300

7,519

Hornbeck Offshore Services, Inc. 5.875% 4/1/20

5,715

5,986

Inergy Midstream LP/Inergy Finance Corp. 6% 12/15/20 (f)

10,690

11,011

Key Energy Services, Inc. 6.75% 3/1/21 (f)

3,395

3,403

Kodiak Oil & Gas Corp. 5.5% 1/15/21 (f)

2,595

2,621

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (f)

25,395

25,332

6.5% 5/15/19

6,915

6,984

7.75% 2/1/21

2,458

2,630

8.625% 4/15/20

11,400

12,569

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.5% 7/15/23

11,205

11,149

5.5% 2/15/23

3,030

3,197

6.25% 6/15/22

10,865

11,734

Newfield Exploration Co. 5.625% 7/1/24

6,550

7,041

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

3,040

3,192

Offshore Group Investment Ltd.:

7.5% 11/1/19 (f)

28,460

29,100

11.5% 8/1/15

1,486

1,616

Oil States International, Inc.:

5.125% 1/15/23 (f)

4,835

4,895

6.5% 6/1/19

6,290

6,715

Pioneer Drilling Co. 9.875% 3/15/18

5,603

6,079

Plains Exploration & Production Co.:

6.125% 6/15/19

5,000

5,513

6.5% 11/15/20

8,705

9,619

7.625% 4/1/20

7,329

8,263

Precision Drilling Corp. 6.5% 12/15/21

1,100

1,180

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

Regency Energy Partners LP/Regency Energy Finance Corp.:

5.5% 4/15/23

$ 7,670

$ 8,092

6.875% 12/1/18

7,148

7,738

Rockies Express Pipeline LLC 6% 1/15/19 (f)

1,865

1,828

Sabine Pass Liquefaction LLC 5.625% 2/1/21 (f)

5,565

5,614

Samson Investment Co. 9.75% 2/15/20 (f)

10,545

11,204

SandRidge Energy, Inc. 7.5% 3/15/21

1,845

1,956

SESI LLC 6.375% 5/1/19

8,270

8,787

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

3,221

3,261

Stone Energy Corp. 7.5% 11/15/22

7,655

8,248

Suburban Propane Partners LP/Suburban Energy Finance Corp.:

7.375% 8/1/21

19,455

21,206

7.5% 10/1/18

7,338

7,925

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

5.25% 5/1/23 (f)

11,175

11,622

6.375% 8/1/22

3,105

3,400

6.875% 2/1/21

5,584

6,114

7.875% 10/15/18

9,169

10,040

Tesoro Corp.:

4.25% 10/1/17

3,905

4,047

5.375% 10/1/22

4,395

4,571

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (f)

1,325

1,381

WPX Energy, Inc.:

5.25% 1/15/17

5,100

5,368

6% 1/15/22

6,890

7,407

 

580,628

Entertainment/Film - 0.0%

Cinemark USA, Inc. 5.125% 12/15/22 (f)

1,950

1,974

Environmental - 0.6%

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

5,195

5,526

Clean Harbors, Inc.:

5.125% 6/1/21 (f)

4,035

4,156

5.25% 8/1/20

4,380

4,577

Covanta Holding Corp.:

6.375% 10/1/22

5,740

6,264

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Environmental - continued

Covanta Holding Corp.: - continued

7.25% 12/1/20

$ 6,502

$ 7,163

Tervita Corp. 9.75% 11/1/19 (f)

9,375

9,188

 

36,874

Food & Drug Retail - 2.2%

Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (f)

31,155

33,803

ESAL GmbH 6.25% 2/5/23 (f)

6,800

6,604

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (f)

3,085

3,178

Rite Aid Corp.:

7.5% 3/1/17

10,210

10,465

7.7% 2/15/27

3,030

2,841

9.25% 3/15/20

21,595

23,862

9.5% 6/15/17

35,090

36,581

10.375% 7/15/16

12,624

13,350

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

1,750

1,877

Tops Markets LLC 8.875% 12/15/17 (f)

6,300

6,773

 

139,334

Food/Beverage/Tobacco - 1.8%

Bumble Bee Acquisition Corp. 9% 12/15/17 (f)

26,606

28,868

C&S Group Enterprises LLC 8.375% 5/1/17 (f)

18,849

20,121

Constellation Brands, Inc. 4.625% 3/1/23

1,510

1,533

Dean Foods Co. 7% 6/1/16

4,000

4,440

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

2,240

2,430

JBS Finance II Ltd. 8.25% 1/29/18 (f)

4,630

5,000

JBS USA LLC/JBS USA Finance, Inc.:

7.25% 6/1/21 (f)

4,325

4,455

8.25% 2/1/20 (f)

40,535

43,474

Smithfield Foods, Inc. 6.625% 8/15/22

6,075

6,683

 

117,004

Gaming - 2.5%

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

8,915

9,695

Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (f)

1,615

1,672

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

26,195

26,326

Caesars Operating Escrow LLC/Caesars Escrow Corp.:

9% 2/15/20 (f)

18,030

18,368

9% 2/15/20 (f)

3,840

3,912

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Gaming - continued

Chester Downs & Marina LLC 9.25% 2/1/20 (f)

$ 3,655

$ 3,554

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

3,705

4,113

MCE Finance Ltd. 5% 2/15/21 (f)

3,630

3,630

MGM Mirage, Inc.:

6.625% 12/15/21

3,805

3,919

7.5% 6/1/16

3,365

3,659

7.625% 1/15/17

13,747

15,070

7.75% 3/15/22

10,050

10,955

8.625% 2/1/19

19,190

21,829

Pinnacle Entertainment, Inc. 7.75% 4/1/22

1,980

2,119

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

5.375% 3/15/22

26,060

27,754

7.75% 8/15/20

4,880

5,514

 

162,089

Healthcare - 7.3%

Alere, Inc.:

7.25% 7/1/18 (f)

7,990

8,310

8.625% 10/1/18

8,140

8,466

Community Health Systems, Inc.:

5.125% 8/15/18

6,335

6,668

7.125% 7/15/20

6,270

6,772

8% 11/15/19

48,890

53,901

DaVita, Inc. 5.75% 8/15/22

6,035

6,337

Elan Finance PLC/Elan Finance Corp. 6.25% 10/15/19 (f)

5,785

6,190

Emergency Medical Services Corp. 8.125% 6/1/19

11,987

13,126

Endo Pharmaceuticals Holdings, Inc. 7% 12/15/20

2,727

2,972

Fresenius Medical Care US Finance II, Inc. 6.5% 9/15/18 (f)

2,305

2,613

Grifols, Inc. 8.25% 2/1/18

3,073

3,365

HCA Holdings, Inc.:

6.25% 2/15/21

7,735

8,083

7.75% 5/15/21

9,000

9,855

HCA, Inc.:

4.75% 5/1/23

12,390

12,467

5.875% 3/15/22

12,000

13,050

5.875% 5/1/23

14,595

15,179

6.5% 2/15/20

17,520

19,556

7.25% 9/15/20

2,436

2,704

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

HCA, Inc.: - continued

7.5% 11/6/33

$ 2,576

$ 2,615

7.875% 2/15/20

16,571

18,394

8% 10/1/18

3,000

3,480

8.5% 4/15/19

7,363

8,155

Hologic, Inc. 6.25% 8/1/20 (f)

3,570

3,838

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19

3,745

3,801

IMS Health, Inc. 6% 11/1/20 (f)

3,790

3,951

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

5,010

5,311

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

1,855

2,129

Kindred Healthcare, Inc. 8.25% 6/1/19

2,580

2,541

Legend Acquisition Sub, Inc. 10.75% 8/15/20 (f)

7,485

6,587

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

16,240

17,214

6.75% 10/15/22

11,538

12,605

7.5% 2/15/20

6,951

7,629

Radiation Therapy Services, Inc. 8.875% 1/15/17

7,505

7,430

Rotech Healthcare, Inc. 10.75% 10/15/15

3,982

3,982

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

10,650

11,396

Service Corp. International 4.5% 11/15/20

3,835

3,902

Sky Growth Acquisition Corp. 7.375% 10/15/20 (f)

3,415

3,483

Stewart Enterprises, Inc. 6.5% 4/15/19

3,460

3,707

Tenet Healthcare Corp.:

4.75% 6/1/20 (f)

5,245

5,271

6.25% 11/1/18

6,620

7,265

6.75% 2/1/20

5,635

5,889

8.875% 7/1/19

9,271

10,523

Valeant Pharmaceuticals International:

6.375% 10/15/20 (f)

9,350

9,654

6.5% 7/15/16 (f)

8,345

8,689

6.75% 8/15/21 (f)

16,343

17,119

6.875% 12/1/18 (f)

23,609

25,026

7% 10/1/20 (f)

2,900

3,074

7.25% 7/15/22 (f)

8,905

9,573

Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc.:

7.75% 2/1/19

8,909

9,399

7.75% 2/1/19 (f)

8,150

8,598

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

VPI Escrow Corp. 6.375% 10/15/20 (f)

$ 12,220

$ 12,632

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f)

4,745

4,781

 

469,257

Homebuilders/Real Estate - 1.3%

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

12,885

13,594

CB Richard Ellis Services, Inc.:

6.625% 10/15/20

4,248

4,625

11.625% 6/15/17

11,413

12,440

KB Home:

7.25% 6/15/18

1,690

1,872

8% 3/15/20

6,025

6,959

Realogy Corp.:

7.625% 1/15/20 (f)

4,665

5,318

7.875% 2/15/19 (f)

2,468

2,721

11.5% 4/15/17

5,441

5,849

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

2,115

2,157

Standard Pacific Corp.:

8.375% 5/15/18

11,118

13,119

8.375% 1/15/21

7,216

8,587

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

4,010

4,321

 

81,562

Hotels - 0.8%

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

1,825

2,021

FelCor Lodging LP:

5.625% 3/1/23 (f)

5,520

5,568

6.75% 6/1/19

15,195

16,297

Host Hotels & Resorts LP:

5.25% 3/15/22

10,000

10,900

5.875% 6/15/19

9,380

10,201

6% 10/1/21

4,310

4,930

 

49,917

Leisure - 0.6%

Dave & Buster's Parent, Inc. 0% 2/15/16 (f)

12,449

9,383

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

6,517

7,364

NCL Corp. Ltd. 11.75% 11/15/16

4,465

5,045

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

3,370

3,572

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Leisure - continued

Royal Caribbean Cruises Ltd.: - continued

11.875% 7/15/15

$ 12,179

$ 14,858

yankee 7.25% 6/15/16

1,467

1,654

 

41,876

Metals/Mining - 2.1%

Alpha Natural Resources, Inc.:

6% 6/1/19

14,825

13,305

6.25% 6/1/21

12,735

11,302

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (f)

1,625

1,471

Calcipar SA 6.875% 5/1/18 (f)

1,635

1,715

CONSOL Energy, Inc.:

8% 4/1/17

22,892

24,723

8.25% 4/1/20

16,048

17,372

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

3,800

3,995

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (f)

4,005

4,095

7% 11/1/15 (f)

15,520

16,180

8.25% 11/1/19 (f)

10,500

11,235

Peabody Energy Corp.:

6% 11/15/18

9,620

10,162

7.375% 11/1/16

2,503

2,853

Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 8.375% 6/1/20 (f)

5,530

5,931

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

3,355

3,623

Rain CII Carbon LLC/CII Carbon Corp. 8.25% 1/15/21 (f)

4,130

4,326

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

1,330

1,380

SunCoke Energy, Inc. 7.625% 8/1/19

4,150

4,368

 

138,036

Paper - 0.4%

NewPage Corp. 11.375% 12/31/14 (c)

33,309

0

P.H. Glatfelter Co. 5.375% 10/15/20

2,780

2,905

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

1,800

1,890

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

21,100

19,781

 

24,576

Publishing/Printing - 0.1%

Cengage Learning Acquisitions, Inc. 12% 6/30/19 (f)

9,200

4,002

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Restaurants - 0.4%

DineEquity, Inc. 9.5% 10/30/18

$ 12,340

$ 14,129

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

3,920

4,214

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

4,955

5,128

Roadhouse Financing, Inc. 10.75% 10/15/17

2,773

2,582

 

26,053

Services - 1.4%

Air Lease Corp. 5.625% 4/1/17

7,705

8,129

APX Group, Inc.:

6.375% 12/1/19 (f)

22,995

22,508

8.75% 12/1/20 (f)

5,735

5,620

ARAMARK Corp. 3.8128% 2/1/15 (i)

17,519

17,541

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 2.81% 5/15/14 (i)

6,559

6,535

Laureate Education, Inc. 9.25% 9/1/19 (f)

11,490

12,524

The Geo Group, Inc.:

6.625% 2/15/21

1,988

2,202

7.75% 10/15/17

1,756

1,888

United Rentals North America, Inc.:

5.75% 7/15/18

3,505

3,768

6.125% 6/15/23

6,370

6,752

 

87,467

Shipping - 1.4%

HDTFS, Inc.:

5.875% 10/15/20 (f)

5,815

6,106

6.25% 10/15/22 (f)

5,295

5,692

Kenan Advantage Group, Inc. 8.375% 12/15/18 (f)

6,935

7,299

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17

25,820

24,464

Navios Maritime Holdings, Inc.:

8.125% 2/15/19

20,996

17,847

8.875% 11/1/17

18,506

18,252

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19

1,620

1,620

Teekay Corp. 8.5% 1/15/20

4,508

4,891

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

5,486

5,459

 

91,630

Steel - 0.5%

Essar Steel Algoma, Inc. 9.375% 3/15/15 (f)

9,784

9,466

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Steel - continued

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

$ 17,063

$ 18,172

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

3,620

3,584

 

31,222

Super Retail - 2.5%

Asbury Automotive Group, Inc. 7.625% 3/15/17

18,214

18,760

Claire's Stores, Inc.:

8.875% 3/15/19

1,119

1,097

9% 3/15/19 (f)

42,640

46,691

J. Crew Group, Inc. 8.125% 3/1/19

11,953

12,820

Jaguar Land Rover PLC 5.625% 2/1/23 (f)

5,275

5,354

Limited Brands, Inc.:

6.625% 4/1/21

9,440

10,738

7% 5/1/20

4,578

5,265

Office Depot, Inc. 9.75% 3/15/19 (f)

5,365

5,875

Sally Holdings LLC 6.875% 11/15/19

3,800

4,190

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

30,108

30,823

The Bon-Ton Department Stores, Inc.:

10.25% 3/15/14

3,890

3,890

10.625% 7/15/17 (f)

15,474

15,358

 

160,861

Technology - 5.6%

Avaya, Inc.:

7% 4/1/19 (f)

48,703

46,511

9% 4/1/19 (f)

9,500

9,809

9.75% 11/1/15

41,260

39,506

10.125% 11/1/15 pay-in-kind (i)

48,268

46,337

CDW LLC/CDW Finance Corp.:

8% 12/15/18

5,562

6,188

8.5% 4/1/19

14,555

16,083

Ceridian Corp.:

8.875% 7/15/19 (f)

2,665

2,965

11.25% 11/15/15

1,697

1,718

CommScope, Inc. 8.25% 1/15/19 (f)

2,777

3,041

First Data Corp.:

6.75% 11/1/20 (f)

10,090

10,393

7.375% 6/15/19 (f)

12,775

13,382

8.25% 1/15/21 (f)

4,566

4,703

8.75% 1/15/22 pay-in-kind (f)(i)

6,117

6,362

10.55% 9/24/15 pay-in-kind (i)

2,340

2,412

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Technology - continued

First Data Corp.: - continued

12.625% 1/15/21

$ 8,572

$ 9,129

Freescale Semiconductor, Inc.:

9.25% 4/15/18 (f)

14,181

15,564

10.125% 3/15/18 (f)

12,476

13,786

GrafTech International Ltd. 6.375% 11/15/20 (f)

5,975

6,378

IAC/InterActiveCorp 4.75% 12/15/22 (f)

7,145

7,091

Infor US, Inc. 9.375% 4/1/19

3,310

3,740

Jabil Circuit, Inc.:

4.7% 9/15/22

5,000

5,125

5.625% 12/15/20

3,170

3,463

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

1,049

818

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

14,025

14,446

Radio Systems Corp. 8.375% 11/1/19 (f)

3,795

4,032

Sanmina-SCI Corp. 7% 5/15/19 (f)

12,925

13,216

Serena Software, Inc. 10.375% 3/15/16

1,769

1,800

Spansion LLC 7.875% 11/15/17

7,657

7,963

SunGard Data Systems, Inc. 6.625% 11/1/19 (f)

9,490

9,798

Viasystems, Inc. 7.875% 5/1/19 (f)

7,145

7,127

WEX, Inc. 4.75% 2/1/23 (f)

3,310

3,277

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19 (f)

16,805

18,528

13.375% 10/15/19 (f)

3,110

3,429

 

358,120

Telecommunications - 5.5%

Altice Financing SA 7.875% 12/15/19 (f)

4,180

4,494

Altice Finco SA 9.875% 12/15/20 (f)

5,765

6,370

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

9,374

9,374

Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f)

8,002

8,672

Clearwire Escrow Corp. 12% 12/1/15 (f)

6,021

6,518

Cricket Communications, Inc. 7.75% 10/15/20

14,640

15,189

Crown Castle International Corp. 5.25% 1/15/23 (f)

9,385

9,760

DigitalGlobe, Inc. 5.25% 2/1/21 (f)

2,290

2,284

Dycom Investments, Inc. 7.125% 1/15/21

4,400

4,708

Frontier Communications Corp.:

8.25% 4/15/17

7,119

8,240

8.5% 4/15/20

14,722

16,930

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - continued

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (f)

$ 8,000

$ 8,140

7.25% 4/1/19

14,240

15,344

7.5% 4/1/21

16,635

18,132

Intelsat Luxembourg SA:

11.25% 2/4/17

7,565

8,009

11.5% 2/4/17 pay-in-kind (i)

31,943

33,859

Level 3 Communications, Inc. 8.875% 6/1/19 (f)

3,955

4,311

Level 3 Financing, Inc. 7% 6/1/20 (f)

5,515

5,832

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

8,330

8,840

NeuStar, Inc. 4.5% 1/15/23 (f)

2,365

2,365

NII Capital Corp. 7.625% 4/1/21

4,275

3,356

SBA Communications Corp. 5.625% 10/1/19 (f)

3,740

3,918

Sprint Capital Corp. 6.9% 5/1/19

36,939

40,171

Sprint Nextel Corp.:

6% 11/15/22

28,200

28,271

8.375% 8/15/17

7,914

9,151

9% 11/15/18 (f)

3,320

4,109

Telesat Canada/Telesat LLC 6% 5/15/17 (f)

13,610

14,291

ViaSat, Inc. 6.875% 6/15/20

7,360

7,857

Wind Acquisition Finance SA:

7.25% 2/15/18 (f)

7,159

7,535

11.75% 7/15/17 (f)

14,766

15,873

Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(i)

20,787

21,930

Windstream Corp. 7% 3/15/19

3,196

3,260

 

357,093

Textiles & Apparel - 0.6%

DPL, Inc. 7.75% 10/15/20 (f)

7,910

7,870

Hanesbrands, Inc. 6.375% 12/15/20

26,933

29,257

 

37,127

TOTAL NONCONVERTIBLE BONDS

5,048,304

TOTAL CORPORATE BONDS

(Cost $4,735,593)


5,073,772

Common Stocks - 0.6%

Shares

Value (000s)

Banks & Thrifts - 0.1%

CIT Group, Inc. (a)

130,381

$ 5,522

Building Materials - 0.2%

Nortek, Inc. (a)

166,625

12,022

Chemicals - 0.0%

LyondellBasell Industries NV Class A

671

43

Paper - 0.2%

NewPage Corp.

133,236

12,458

Publishing/Printing - 0.0%

RDA Holding Co. warrants 2/19/14 (a)(j)

54,645

0

Services - 0.0%

Penhall Acquisition Co.:

Class A (a)

17,563

1,529

Class B (a)

5,854

510

 

2,039

Telecommunications - 0.1%

Broadview Networks Holdings, Inc. (e)

609,310

8,226

Textiles & Apparel - 0.0%

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

143,778

1,071

TOTAL COMMON STOCKS

(Cost $78,388)


41,381

Preferred Stocks - 2.3%

 

 

 

 

Convertible Preferred Stocks - 1.3%

Banks & Thrifts - 0.9%

Bank of America Corp. Series L, 7.25%

25,358

30,069

Huntington Bancshares, Inc. 8.50%

22,162

28,146

Wells Fargo & Co. 7.50%

1,813

2,340

 

60,555

Diversified Media - 0.2%

Interpublic Group of Companies, Inc. 5.25%

10,400

11,726

Electric Utilities - 0.0%

PPL Corp. 8.75%

49,100

2,690

Energy - 0.2%

Chesapeake Energy Corp. Series A, 5.75% (f)

10,600

10,779

TOTAL CONVERTIBLE PREFERRED STOCKS

85,750

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - 1.0%

Banks & Thrifts - 0.5%

Ally Financial, Inc. 7.00% (f)

30,659

$ 29,739

Diversified Financial Services - 0.5%

Citigroup Capital XIII 7.875%

223,587

6,229

GMAC Capital Trust I Series 2, 8.125%

995,482

26,550

 

32,779

TOTAL NONCONVERTIBLE PREFERRED STOCKS

62,518

TOTAL PREFERRED STOCKS

(Cost $120,473)


148,268

Floating Rate Loans - 12.1%

 

Principal
Amount (000s)

 

Air Transportation - 0.5%

US Airways Group, Inc. term loan 2.7017% 3/23/14 (i)

$ 34,292

34,164

Automotive - 0.4%

Allison Transmission, Inc. Tranche B 3LN, term loan 4.25% 8/23/19 (i)

2,598

2,624

Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (i)

6,167

6,290

Delphi Corp. Tranche B, term loan 3.5% 3/31/17 (i)

1,424

1,435

Federal-Mogul Corp.:

Tranche B, term loan 2.1464% 12/27/14 (i)

12,074

11,440

Tranche C, term loan 2.1386% 12/27/15 (i)

6,160

5,837

 

27,626

Broadcasting - 0.3%

Univision Communications, Inc. term loan 4.4517% 3/31/17 (i)

13,128

13,177

VNU, Inc. Tranche C, term loan 3.4577% 5/1/16 (i)

3,581

3,604

 

16,781

Building Materials - 0.0%

CPG International I, Inc. term loan 5.75% 9/21/19 (i)

908

919

Cable TV - 1.0%

Cequel Communications LLC Tranche B, term loan 4% 2/14/19 (i)

28,366

28,578

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Cable TV - continued

RCN Telecom Services, LLC Tranche B, term loan 5.25% 8/26/16 (i)

$ 2,383

$ 2,415

WideOpenWest Finance LLC Tranche B, term loan 6.25% 7/17/18 (i)

32,462

32,786

 

63,779

Capital Goods - 0.1%

SRAM LLC.:

2nd LN, term loan 8.5% 12/7/18 (i)

1,755

1,779

Tranche B 1LN, term loan 4.7566% 6/7/18 (i)

4,672

4,707

 

6,486

Chemicals - 0.3%

Arizona Chemical Tranche B, term loan 7.25% 12/22/17 (i)

4,289

4,358

Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (i)

7,617

7,675

INEOS U.S. Finance LLC term loan 6.5% 4/27/18 (i)

5,752

5,881

U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (i)

3,535

3,575

 

21,489

Diversified Financial Services - 0.2%

Blackstone REL 10% 10/1/2017

10,000

10,450

Electric Utilities - 0.7%

Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 4.561% 12/15/14 (i)

21,223

21,197

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7423% 10/10/17 (i)

31,332

20,718

 

41,915

Energy - 0.8%

CCS, Inc. Tranche B, term loan 3.2077% 11/14/14 (i)

14,653

14,580

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (i)

20,000

20,476

MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (i)

12,075

12,211

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

2,630

2,669

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (i)

1,680

1,703

 

51,639

Environmental - 0.0%

ADS Waste Holdings, Inc. Tranche B, term loan 5.25% 10/9/19 (i)

2,570

2,596

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Food & Drug Retail - 0.1%

Rite Aid Corp. Tranche ABL, term loan 1.96% 6/4/14 (i)

$ 6,492

$ 6,476

Food/Beverage/Tobacco - 0.0%

OSI Restaurant Partners LLC Tranche B, term loan 4.75% 10/26/19 (i)

2,514

2,548

Gaming - 0.2%

Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (i)

4,990

5,040

MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (i)

3,515

3,568

NP Opco, LLC Tranche B, term loan 5.5% 9/28/19 (i)

2,608

2,651

 

11,259

Healthcare - 0.6%

Community Health Systems, Inc. term loan 3.8105% 1/25/17 (i)

3,379

3,404

ConvaTec, Inc. term loan 5% 12/22/16 (i)

1,200

1,217

Emergency Medical Services Corp. Tranche B, term loan 5.25% 5/25/18 (i)

1,317

1,317

Genesis HealthCare Corp. Tranche B, term loan 10.0022% 12/4/17 (i)

5,828

5,682

Grifols, Inc. Tranche B, term loan 4.25% 6/1/17 (i)

5,483

5,517

HCA, Inc.:

Tranche B 2LN, term loan 3.561% 3/31/17 (i)

3,376

3,398

Tranche B3, term loan 3.4517% 5/1/18 (i)

10,022

10,072

IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (i)

3,958

3,983

IMS Health, Inc. Tranche B, term loan 4.5% 8/26/17 (i)

768

768

VWR Funding, Inc. Tranche B, term loan 4.2017% 4/3/17 (i)

3,115

3,131

 

38,489

Homebuilders/Real Estate - 0.5%

iStar Financial, Inc. Tranche B, term loan 5.75% 10/15/17 (i)

9,477

9,643

Realogy Corp.:

Credit-Linked Deposit 4.4587% 10/10/16 (i)

1,271

1,280

term loan 4.4557% 10/10/16 (i)

20,082

20,232

 

31,155

Insurance - 0.1%

Alliant Holdings I, Inc. Tranche B, term loan 5% 12/20/19 (i)

4,070

4,131

Metals/Mining - 0.7%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (i)

1,040

1,051

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Metals/Mining - continued

Ameriforge Group, Inc.: - continued

Tranche B 2LN, term loan 8.75% 1/25/21 (i)

$ 625

$ 634

Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (i)

45,486

45,998

 

47,683

Publishing/Printing - 0.5%

Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (i)

7,850

7,929

Thomson Learning Tranche B, term loan 2.71% 7/5/14 (i)

26,718

20,840

 

28,769

Restaurants - 0.1%

Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (i)

7,617

7,705

Services - 0.1%

ServiceMaster Co.:

term loan 2.71% 7/24/14 (i)

4,832

4,832

Tranche DD, term loan 2.7% 7/24/14 (i)

491

491

 

5,323

Super Retail - 1.0%

BJ's Wholesale Club, Inc. Tranche 1LN, term loan 5.75% 9/26/19 (i)

1,601

1,631

Davids Bridal, Inc. Tranche B, term loan 5% 10/11/19 (i)

6,550

6,632

J. Crew Group, Inc. Tranche B, term loan 4.5% 3/7/18 (i)

5,977

5,977

Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (i)

36,970

37,155

Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (i)

13,030

13,177

 

64,572

Technology - 2.8%

Avaya, Inc.:

term loan 3.0615% 10/27/14 (i)

13,519

13,451

Tranche B 3LN, term loan 4.8115% 10/26/17 (i)

35,222

33,021

CDW Corp. Tranche B, term loan 4% 7/15/17 (i)

16,174

16,295

Ceridian Corp. Tranche B, term loan 5.9557% 5/10/17 (i)

1,170

1,185

First Data Corp. term loan 4.2047% 3/24/18 (i)

57,625

57,029

Freescale Semiconductor, Inc. term loan 4.4597% 12/1/16 (i)

20,160

20,160

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Technology - continued

Kronos, Inc. Tranche B 1LN, term loan 5.5% 10/30/19 (i)

$ 6,135

$ 6,235

Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (i)

10,977

11,102

NXP BV:

Tranche A 1LN, term loan 4.5% 3/4/17 (i)

2,970

3,022

Tranche A6, term loan 5.25% 3/19/19 (i)

7,369

7,480

Tranche C, term loan 4.75% 1/11/20 (i)

4,570

4,650

SunGard Data Systems, Inc. Tranche C, term loan 3.9577% 2/28/17 (i)

5,153

5,231

 

178,861

Telecommunications - 1.1%

Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (i)

4,060

4,076

FairPoint Communications, Inc. term loan 6.4047% 1/24/16 (i)

46,814

45,994

Intelsat Jackson Holdings SA:

term loan 3.2047% 2/1/14 (i)

12,730

12,698

Tranche B, term loan 4.5% 4/2/18 (i)

10,519

10,638

 

73,406

TOTAL FLOATING RATE LOANS

(Cost $765,558)


778,221

Preferred Securities - 0.1%

 

 

 

 

Banks & Thrifts - 0.1%

Bank of America Corp.:

8% (g)(i)

680

762

8.125% (g)(i)

4,768

5,436

TOTAL PREFERRED SECURITIES

(Cost $5,470)


6,198

Money Market Funds - 4.1%

Shares

 

Fidelity Cash Central Fund, 0.16% (b)
(Cost $261,705)

261,705,085


261,705

Cash Equivalents - 0.2%

Maturity
Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at 0.14%, dated 1/31/13 due 2/1/13 (Collateralized by U.S. Treasury Obligations) #
(Cost $15,508)

$ 15,508

$ 15,508

TOTAL INVESTMENT PORTFOLIO - 98.2%

(Cost $5,982,695)

6,325,053

NET OTHER ASSETS (LIABILITIES) - 1.8%

112,961

NET ASSETS - 100%

$ 6,438,014

Legend

(a) Non-income producing

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

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

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) Affiliated company

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,977,133,000 or 30.7% of net assets.

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

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

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

(j) 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 $1,071,000 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Arena Brands Holding Corp. Class B

6/18/97

$ 5,807

RDA Holding Co. warrants 2/19/14

2/27/07 - 6/21/07

$ 16,939

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(000s)

$15,508,000 due 2/01/13 at 0.14%

Barclays Capital, Inc.

$ 7,237

Merrill Lynch, Pierce, Fenner & Smith, Inc.

2,249

UBS Securities LLC

6,022

 

$ 15,508

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 776

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Broadview Networks Holdings, Inc.

$ -

$ -

$ -

$ -

$ 8,226

Total

$ -

$ -

$ -

$ -

$ 8,226

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 12,797

$ -

$ 11,726

$ 1,071

Energy

10,779

-

10,779

-

Financials

128,595

98,856

29,739

-

Industrials

14,061

12,022

-

2,039

Materials

12,501

43

-

12,458

Telecommunication Services

8,226

-

-

8,226

Utilities

2,690

-

2,690

-

Corporate Bonds

5,073,772

-

5,064,398

9,374

Floating Rate Loans

778,221

-

767,771

10,450

Preferred Securities

6,198

-

6,198

-

Money Market Funds

261,705

261,705

-

-

Cash Equivalents

15,508

-

15,508

-

Total Investments in Securities:

$ 6,325,053

$ 372,626

$ 5,908,809

$ 43,618

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $5,949,831,000. Net unrealized appreciation aggregated $375,222,000, of which $457,093,000 related to appreciated investment securities and $81,871,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Series High Income Fund

January 31, 2013 

1.924276.101

FSH-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 77.1%

 

Principal
Amount

Value

Convertible Bonds - 0.4%

Capital Goods - 0.0%

General Cable Corp.:

0.875% 11/15/13

$ 1,612,000

$ 1,603,940

4.5% 11/15/29 (d)

1,814,000

2,120,022

 

3,723,962

Metals/Mining - 0.4%

Peabody Energy Corp. 4.75% 12/15/66

35,838,000

34,158,094

TOTAL CONVERTIBLE BONDS

37,882,056

Nonconvertible Bonds - 76.7%

Aerospace - 0.3%

Alliant Techsystems, Inc. 6.875% 9/15/20

6,062,000

6,668,200

GenCorp, Inc. 7.125% 3/15/21 (f)

2,580,000

2,670,300

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18

8,013,000

8,784,251

7.125% 3/15/21

13,013,000

14,314,300

 

32,437,051

Air Transportation - 0.1%

Continental Airlines, Inc.:

3.4355% 6/2/13 (i)

2,056,690

2,056,936

6.125% 4/29/18 (f)

3,315,000

3,298,425

Delta Air Lines, Inc. pass-thru trust certificates 8.021% 8/10/22

2,790,249

3,055,323

U.S. Airways pass-thru certificates Series 2012-2 Class A, 4.625% 12/3/26

2,410,000

2,494,350

 

10,905,034

Automotive - 2.9%

ArvinMeritor, Inc. 8.125% 9/15/15

1,795,000

1,875,775

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19

10,810,000

11,836,950

8.25% 6/15/21

8,965,000

9,928,738

Continental Rubber of America Corp. 4.5% 9/15/19 (f)

5,805,000

5,892,075

Dana Holding Corp.:

6.5% 2/15/19

4,575,000

4,883,813

6.75% 2/15/21

4,885,000

5,324,650

Delphi Corp.:

5.875% 5/15/19

22,965,000

24,714,933

6.125% 5/15/21

15,255,000

16,780,500

Exide Technologies 8.625% 2/1/18

6,810,000

5,822,550

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Automotive - continued

Ford Motor Co.:

6.375% 2/1/29

$ 4,276,000

$ 4,760,608

6.625% 2/15/28

2,943,000

3,306,254

6.625% 10/1/28

1,075,000

1,242,136

7.125% 11/15/25

175,000

205,625

7.45% 7/16/31

3,680,000

4,692,000

Ford Motor Credit Co. LLC:

5% 5/15/18

29,955,000

32,839,487

5.75% 2/1/21

7,744,000

8,756,133

5.875% 8/2/21

41,310,000

46,951,707

6.625% 8/15/17

8,930,000

10,413,496

8% 12/15/16

1,824,000

2,185,458

8.125% 1/15/20

6,448,000

8,120,250

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

26,411,000

33,079,778

General Motors Corp.:

6.75% 5/1/28 (c)

11,501,000

1

7.2% 1/15/11 (c)

5,277,000

1

7.7% 4/15/16 (c)

8,201,000

1

8.25% 7/15/23 (c)

7,519,000

1

8.375% 7/15/33 (c)

15,931,000

2

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

8,050,000

7,728,000

Stoneridge, Inc. 9.5% 10/15/17 (f)

2,582,000

2,762,740

Tenneco, Inc.:

6.875% 12/15/20

7,083,000

7,773,593

7.75% 8/15/18

4,072,000

4,458,840

Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f)

21,213,000

23,571,886

 

289,907,981

Banks & Thrifts - 1.6%

Ally Financial, Inc.:

3.51% 2/11/14 (i)

21,335,000

21,655,025

4.5% 2/11/14

4,220,000

4,304,400

5.5% 2/15/17

15,315,000

16,463,625

6.25% 12/1/17

1,024,000

1,136,640

7.5% 9/15/20

33,775,000

40,614,438

8% 3/15/20

28,438,000

34,872,098

General Motors Acceptance Corp. 6.75% 12/1/14

9,100,000

9,805,250

GMAC LLC:

6.75% 12/1/14

13,444,000

14,519,520

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Banks & Thrifts - continued

GMAC LLC: - continued

8% 12/31/18

$ 7,311,000

$ 8,608,703

8% 11/1/31

2,725,000

3,440,313

 

155,420,012

Broadcasting - 0.4%

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

5,920,000

5,920,000

Clear Channel Communications, Inc.:

4.9% 5/15/15

2,524,000

2,233,740

10.75% 8/1/16

5,749,000

4,455,475

Starz LLC/Starz Finance Corp. 5% 9/15/19 (f)

8,565,000

8,800,538

Univision Communications, Inc.:

6.75% 9/15/22 (f)

5,640,000

5,893,800

6.875% 5/15/19 (f)

13,680,000

14,364,000

 

41,667,553

Building Materials - 4.1%

Associated Materials LLC 9.125% 11/1/17

40,142,000

41,145,550

BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (f)

2,655,000

2,741,288

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

7,455,000

8,219,138

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

20,100,000

22,612,500

CEMEX Finance LLC:

9.375% 10/12/22 (f)

11,065,000

12,475,788

9.5% 12/14/16 (f)

21,015,000

22,433,513

CEMEX SA de CV:

5.311% 9/30/15 (f)(i)

51,910,000

52,688,650

9% 1/11/18 (f)

28,880,000

31,190,400

Gibraltar Industries, Inc. 6.25% 2/1/21 (f)

1,480,000

1,528,100

HD Supply, Inc.:

7.5% 7/15/20 (f)

14,130,000

14,024,025

10.5% 1/15/21 (f)

6,015,000

6,150,338

11.5% 7/15/20 (f)

27,880,000

32,062,000

Headwaters, Inc. 7.625% 4/1/19

29,216,000

31,261,120

Interline Brands, Inc. 7.5% 11/15/18

2,381,000

2,583,385

Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (f)(i)

2,455,000

2,682,088

Masco Corp.:

5.95% 3/15/22

18,445,000

20,417,767

6.125% 10/3/16

2,705,000

3,030,401

7.125% 3/15/20

7,186,000

8,443,550

Masonite International Corp. 8.25% 4/15/21 (f)

3,975,000

4,352,625

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Building Materials - continued

Ply Gem Industries, Inc.:

8.25% 2/15/18

$ 36,097,000

$ 39,255,488

9.375% 4/15/17

4,475,000

4,855,375

Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (f)

10,705,000

11,427,588

USG Corp.:

7.875% 3/30/20 (f)

9,590,000

10,932,600

8.375% 10/15/18 (f)

11,760,000

13,053,600

 

399,566,877

Cable TV - 3.0%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

12,660,000

12,485,925

6.5% 4/30/21

38,860,000

41,580,200

6.625% 1/31/22

16,840,000

18,355,600

7% 1/15/19

34,476,000

37,234,080

7.375% 6/1/20

11,590,000

12,893,875

7.875% 4/30/18

3,467,000

3,705,356

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f)

20,270,000

21,080,800

CSC Holdings LLC:

6.75% 11/15/21

3,100,000

3,487,500

8.625% 2/15/19

4,308,000

5,180,370

DISH DBS Corp.:

5% 3/15/23 (f)

8,320,000

8,195,200

6.75% 6/1/21

13,130,000

14,672,775

EchoStar Communications Corp. 7.125% 2/1/16

11,031,000

12,299,565

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (f)

3,500,000

3,841,250

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

5.5% 1/15/23 (f)

10,655,000

11,001,288

7.5% 3/15/19 (f)

2,795,000

3,053,538

UPCB Finance III Ltd. 6.625% 7/1/20 (f)

42,728,000

45,612,140

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

11,355,000

12,575,663

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

5,860,000

6,402,050

Virgin Media Finance PLC 4.875% 2/15/22

8,120,000

8,099,700

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

11,770,000

12,299,650

 

294,056,525

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Capital Goods - 0.8%

Amsted Industries, Inc. 8.125% 3/15/18 (f)

$ 7,350,000

$ 7,901,250

Briggs & Stratton Corp. 6.875% 12/15/20

2,784,000

3,132,000

CNH Capital LLC 6.25% 11/1/16

6,105,000

6,715,500

Coleman Cable, Inc. 9% 2/15/18

15,926,000

17,300,414

General Cable Corp. 5.75% 10/1/22 (f)

13,990,000

14,549,600

Manitowoc Co., Inc. 5.875% 10/15/22

5,585,000

5,640,850

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

11,035,000

11,586,750

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

11,310,000

12,101,700

 

78,928,064

Chemicals - 2.9%

Axiall Corp. 4.875% 5/15/23 (f)(h)

3,045,000

3,064,031

Celanese U.S. Holdings LLC:

4.625% 11/15/22

10,320,000

10,526,400

5.875% 6/15/21

5,630,000

6,305,600

6.625% 10/15/18

8,055,000

8,840,363

Chemtura Corp. 7.875% 9/1/18

10,347,000

11,148,893

Eagle Spinco, Inc. 4.625% 2/15/21 (f)

5,170,000

5,195,850

Hexion US Finance Corp.:

6.625% 4/15/20

2,905,000

2,861,425

6.625% 4/15/20 (f)

22,580,000

22,241,300

INEOS Finance PLC:

7.5% 5/1/20 (f)

12,935,000

13,937,463

8.375% 2/15/19 (f)

5,870,000

6,427,650

Kinove German Bondco GmbH 9.625% 6/15/18 (f)

5,545,000

6,044,050

Kraton Polymers LLC/Kraton Polymers Capital Corp. 6.75% 3/1/19

2,936,000

3,038,760

LyondellBasell Industries NV:

5% 4/15/19

28,980,000

31,950,450

6% 11/15/21

6,710,000

7,909,748

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

29,905,000

30,802,150

NOVA Chemicals Corp. 8.625% 11/1/19

1,712,000

1,947,400

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

1,112,000

1,175,940

Olin Corp. 5.5% 8/15/22

3,945,000

4,112,663

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (f)(i)

8,100,000

8,059,500

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

17,610,000

18,050,250

Taminco Global Chemical Corp. 9.75% 3/31/20 (f)

2,550,000

2,805,000

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Chemicals - continued

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (f)

$ 75,305,000

$ 74,457,819

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

4,700,000

4,805,750

 

285,708,455

Consumer Products - 0.3%

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

3,023,000

3,370,645

Libbey Glass, Inc. 6.875% 5/15/20

5,690,000

6,159,425

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

1,575,000

1,764,000

Revlon Consumer Products Corp. 9.75% 11/15/15

3,922,000

4,137,710

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (f)

2,750,000

2,908,125

6.625% 11/15/22 (f)

3,250,000

3,493,750

Tempur-Pedic International, Inc. 6.875% 12/15/20 (f)

3,870,000

4,111,875

Wolverine World Wide, Inc. 6.125% 10/15/20 (f)

5,085,000

5,339,250

 

31,284,780

Containers - 3.2%

Ardagh Packaging Finance PLC:

7.375% 10/15/17 (f)

6,425,000

7,067,500

9.125% 10/15/20 (f)

10,647,000

11,711,700

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc.:

7.375% 10/15/17 (f)

2,260,000

2,486,000

9.125% 10/15/20 (f)

20,729,000

22,698,255

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

4.875% 11/15/22 (f)

2,200,000

2,200,000

7% 11/15/20 (f)

5,770,000

5,842,125

Berry Plastics Corp. 5.054% 2/15/15 (i)

32,653,000

32,695,449

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

4,095,000

4,402,125

Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21

9,503,000

10,334,513

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

2,720,000

2,669,000

Graphic Packaging International, Inc. 7.875% 10/1/18

2,726,000

2,998,600

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

5.75% 10/15/20

19,625,000

20,164,688

6.875% 2/15/21

28,046,000

30,079,335

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Containers - continued

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

7.125% 4/15/19

$ 6,077,000

$ 6,487,198

7.875% 8/15/19

26,275,000

28,902,500

8.25% 2/15/21

25,364,000

26,568,790

9% 4/15/19

9,686,000

10,218,730

9.875% 8/15/19

20,695,000

22,609,288

Sealed Air Corp.:

6.5% 12/1/20 (f)

8,430,000

9,315,150

8.125% 9/15/19 (f)

16,295,000

18,576,300

8.375% 9/15/21 (f)

18,235,000

20,970,250

Tekni-Plex, Inc. 9.75% 6/1/19 (f)

17,170,000

18,972,850

 

317,970,346

Diversified Financial Services - 5.4%

Aircastle Ltd.:

6.25% 12/1/19

11,280,000

12,182,400

7.625% 4/15/20

3,080,000

3,534,300

9.75% 8/1/18

11,849,000

13,448,615

CIT Group, Inc.:

4.25% 8/15/17

8,475,000

8,771,625

5% 5/15/17

30,415,000

32,468,013

5% 8/15/22

8,475,000

8,950,634

5.25% 3/15/18

23,120,000

24,738,400

5.375% 5/15/20

20,560,000

22,307,600

5.5% 2/15/19 (f)

11,890,000

12,722,300

6.625% 4/1/18 (f)

3,000,000

3,360,000

Eileme 2 AB 11.625% 1/31/20 (f)

3,185,000

3,758,300

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18

29,839,000

31,965,029

International Lease Finance Corp.:

5.625% 9/20/13

6,328,000

6,478,290

5.65% 6/1/14

3,798,000

3,973,658

5.75% 5/15/16

14,235,000

15,314,155

5.875% 5/1/13

5,475,000

5,510,588

6.25% 5/15/19

22,245,000

24,580,725

6.625% 11/15/13

19,195,000

19,914,813

7.125% 9/1/18 (f)

29,553,000

34,577,010

8.25% 12/15/20

14,326,000

17,549,350

8.625% 9/15/15

55,155,000

62,600,925

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Diversified Financial Services - continued

International Lease Finance Corp.: - continued

8.625% 1/15/22

$ 10,880,000

$ 13,817,600

8.75% 3/15/17

37,296,000

43,729,560

8.875% 9/1/17

27,430,000

33,018,863

SLM Corp.:

5.5% 1/25/23

8,410,000

8,376,070

6% 1/25/17

15,240,000

16,802,100

6.25% 1/25/16

2,430,000

2,666,925

7.25% 1/25/22

4,055,000

4,531,463

8% 3/25/20

22,883,000

26,487,073

8.45% 6/15/18

10,520,000

12,533,086

 

530,669,470

Diversified Media - 0.9%

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (f)

4,465,000

4,710,575

6.5% 11/15/22 (f)

14,855,000

15,820,575

7.625% 3/15/20

4,230,000

4,378,050

7.625% 3/15/20

19,835,000

20,727,575

Lamar Media Corp.:

5% 5/1/23 (f)

5,515,000

5,625,300

5.875% 2/1/22

3,760,000

4,136,000

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20 (f)

5,605,000

5,520,925

7.75% 10/15/18

9,435,000

10,496,438

Quebecor Media, Inc. 5.75% 1/15/23 (f)

13,960,000

14,483,500

WMG Acquisition Corp. 6% 1/15/21 (f)

3,660,000

3,888,750

 

89,787,688

Electric Utilities - 5.7%

Atlantic Power Corp. 9% 11/15/18

25,315,000

26,897,188

Calpine Corp.:

7.5% 2/15/21 (f)

60,400,000

65,232,000

7.875% 7/31/20 (f)

21,744,000

23,918,400

7.875% 1/15/23 (f)

29,510,000

32,534,775

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

10% 12/1/20

5,587,000

6,425,050

11% 10/1/21

18,381,000

20,035,290

11.75% 3/1/22 (f)

38,610,000

43,967,138

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Electric Utilities - continued

GenOn Energy, Inc.:

9.5% 10/15/18

$ 35,499,000

$ 42,155,063

9.875% 10/15/20

44,812,000

51,533,800

InterGen NV 9% 6/30/17 (f)

87,852,000

81,702,360

Mirant Americas Generation LLC:

8.5% 10/1/21

35,482,000

41,159,120

9.125% 5/1/31

14,621,000

16,229,310

NRG Energy, Inc.:

7.625% 5/15/19

5,470,000

5,852,900

7.875% 5/15/21

6,125,000

6,860,000

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

10,021,000

10,421,840

Puget Energy, Inc.:

5.625% 7/15/22

7,350,000

7,935,582

6% 9/1/21

12,615,000

14,167,402

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

14,506,000

16,101,660

Tenaska Alabama Partners LP 7% 6/30/21 (f)

1,388,181

1,461,060

The AES Corp.:

7.375% 7/1/21

23,825,000

26,564,875

8% 10/15/17

16,106,000

18,602,430

9.75% 4/15/16

3,806,000

4,529,140

 

564,286,383

Energy - 8.7%

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

13,485,000

13,485,000

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

5,940,000

6,415,200

7% 5/20/22

12,725,000

13,902,063

AmeriGas Partners LP/AmeriGas Finance Corp.:

6.25% 8/20/19

9,120,000

9,667,200

6.5% 5/20/21

2,007,000

2,147,490

Antero Resources Finance Corp. 7.25% 8/1/19

16,240,000

17,458,000

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.:

5.875% 8/1/23 (f)(h)

9,365,000

9,365,000

6.625% 10/1/20 (f)

2,390,000

2,509,500

Atwood Oceanics, Inc. 6.5% 2/1/20

2,285,000

2,479,225

Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19

5,625,000

6,180,469

Chesapeake Energy Corp.:

6.125% 2/15/21

8,180,000

8,752,600

6.625% 8/15/20

11,430,000

12,544,425

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Energy - continued

Chesapeake Energy Corp.: - continued

6.875% 11/15/20

$ 11,310,000

$ 12,441,000

7.25% 12/15/18

6,815,000

7,666,875

9.5% 2/15/15

28,431,000

32,198,108

Chesapeake Midstream Partners LP/CHKM Finance Corp. 6.125% 7/15/22

10,715,000

11,384,688

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f)

6,295,000

6,232,050

Continental Resources, Inc.:

5% 9/15/22

16,880,000

17,892,800

7.125% 4/1/21

2,445,000

2,762,850

7.375% 10/1/20

3,587,000

4,053,310

Crestwood Midstream Partners LP/Finance Corp.:

7.75% 4/1/19

12,590,000

13,156,550

7.75% 4/1/19 (f)

8,915,000

9,271,600

Denbury Resources, Inc. 8.25% 2/15/20

4,907,000

5,459,038

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

9,545,000

9,497,275

Energy Transfer Equity LP 7.5% 10/15/20

36,250,000

41,778,125

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

6,720,000

7,224,000

Everest Acquisition LLC/Everest Acquisition Finance, Inc.:

6.875% 5/1/19

11,035,000

11,972,975

9.375% 5/1/20

17,220,000

19,243,350

Expro Finance Luxembourg SCA 8.5% 12/15/16 (f)

15,826,000

16,696,430

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

15,740,000

15,740,000

Forest Oil Corp. 7.25% 6/15/19

26,757,000

26,757,000

Gulfmark Offshore, Inc. 6.375% 3/15/22 (f)

10,890,000

11,216,700

Hornbeck Offshore Services, Inc. 5.875% 4/1/20

9,240,000

9,678,900

Inergy Midstream LP/Inergy Finance Corp. 6% 12/15/20 (f)

15,650,000

16,119,500

Kodiak Oil & Gas Corp. 5.5% 1/15/21 (f)

3,895,000

3,933,950

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (f)

34,940,000

34,852,650

6.5% 5/15/19

10,850,000

10,958,500

7.75% 2/1/21

7,187,000

7,690,090

8.625% 4/15/20

21,983,000

24,236,258

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.5% 7/15/23

16,805,000

16,720,975

5.5% 2/15/23

4,635,000

4,889,925

6.25% 6/15/22

20,225,000

21,843,000

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Energy - continued

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

$ 4,380,000

$ 4,599,000

Offshore Group Investment Ltd.:

7.5% 11/1/19 (f)

41,610,000

42,546,225

11.5% 8/1/15

3,645,000

3,963,938

Oil States International, Inc.:

5.125% 1/15/23 (f)

7,060,000

7,148,250

6.5% 6/1/19

11,590,000

12,372,325

Pioneer Drilling Co. 9.875% 3/15/18

8,092,000

8,779,820

Plains Exploration & Production Co.:

6.625% 5/1/21

18,000,000

19,912,500

7.625% 4/1/20

6,256,000

7,053,640

Precision Drilling Corp. 6.5% 12/15/21

2,020,000

2,166,450

Regency Energy Partners LP/Regency Energy Finance Corp.:

5.5% 4/15/23

11,430,000

12,058,650

6.875% 12/1/18

7,529,000

8,150,143

Rockies Express Pipeline LLC 6% 1/15/19 (f)

2,805,000

2,748,900

Sabine Pass Liquefaction LLC 5.625% 2/1/21 (f)

8,475,000

8,549,156

Samson Investment Co. 9.75% 2/15/20 (f)

15,150,000

16,096,875

SandRidge Energy, Inc. 7.5% 3/15/21

2,825,000

2,994,500

SESI LLC 6.375% 5/1/19

15,160,000

16,107,500

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

6,431,000

6,511,388

Stone Energy Corp. 7.5% 11/15/22

11,035,000

11,890,213

Suburban Propane Partners LP/Suburban Energy Finance Corp.:

7.375% 8/1/21

29,453,000

32,103,770

7.5% 10/1/18

15,134,000

16,344,720

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

5.25% 5/1/23 (f)

16,125,000

16,770,000

6.375% 8/1/22

5,410,000

5,923,950

6.875% 2/1/21

6,047,000

6,621,465

7.875% 10/15/18

7,826,000

8,569,470

Tesoro Corp.:

4.25% 10/1/17

5,885,000

6,098,331

5.375% 10/1/22

6,620,000

6,884,800

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (f)

2,000,000

2,085,000

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Energy - continued

WPX Energy, Inc.:

5.25% 1/15/17

$ 9,345,000

$ 9,835,613

6% 1/15/22

9,735,000

10,465,125

 

853,826,361

Entertainment/Film - 0.0%

Cinemark USA, Inc. 5.125% 12/15/22 (f)

2,835,000

2,870,438

Environmental - 0.6%

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

7,755,000

8,249,381

Clean Harbors, Inc.:

5.125% 6/1/21 (f)

5,870,000

6,046,100

5.25% 8/1/20

6,780,000

7,085,100

Covanta Holding Corp.:

6.375% 10/1/22

9,165,000

10,002,333

7.25% 12/1/20

12,118,000

13,349,249

Tervita Corp. 9.75% 11/1/19 (f)

13,685,000

13,411,300

 

58,143,463

Food & Drug Retail - 2.1%

Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (f)

44,098,000

47,846,330

ESAL GmbH 6.25% 2/5/23 (f)

10,365,000

10,066,488

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (f)

4,585,000

4,722,550

Rite Aid Corp.:

7.5% 3/1/17

16,796,000

17,215,900

7.7% 2/15/27

4,550,000

4,265,625

9.25% 3/15/20

30,990,000

34,243,950

9.5% 6/15/17

57,788,000

60,243,990

10.375% 7/15/16

12,776,000

13,510,620

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

2,520,000

2,702,700

Tops Markets LLC 8.875% 12/15/17 (f)

9,185,000

9,873,875

 

204,692,028

Food/Beverage/Tobacco - 1.6%

Bumble Bee Acquisition Corp. 9% 12/15/17 (f)

35,310,000

38,311,350

C&S Group Enterprises LLC 8.375% 5/1/17 (f)

21,725,000

23,191,438

Constellation Brands, Inc. 4.625% 3/1/23

2,305,000

2,339,575

Dean Foods Co. 7% 6/1/16

3,415,000

3,790,650

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

3,270,000

3,547,950

JBS Finance II Ltd. 8.25% 1/29/18 (f)

7,385,000

7,975,800

JBS USA LLC/JBS USA Finance, Inc.:

7.25% 6/1/21 (f)

6,484,000

6,678,520

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Food/Beverage/Tobacco - continued

JBS USA LLC/JBS USA Finance, Inc.: - continued

8.25% 2/1/20 (f)

$ 55,793,000

$ 59,837,993

Smithfield Foods, Inc. 6.625% 8/15/22

9,395,000

10,334,500

 

156,007,776

Gaming - 2.6%

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

16,225,000

17,644,688

Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (f)

2,475,000

2,561,625

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

33,055,000

33,220,275

Caesars Operating Escrow LLC/Caesars Escrow Corp.:

9% 2/15/20 (f)

21,350,000

21,750,313

9% 2/15/20 (f)

5,585,000

5,689,719

Chester Downs & Marina LLC 9.25% 2/1/20 (f)

5,895,000

5,732,888

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

5,625,000

6,243,750

Harrah's Operating Co., Inc. 11.25% 6/1/17

8,189,000

8,700,813

MCE Finance Ltd. 5% 2/15/21 (f)

5,530,000

5,530,000

MGM Mirage, Inc.:

6.625% 12/15/21

5,540,000

5,706,200

7.5% 6/1/16

11,553,000

12,563,888

7.625% 1/15/17

7,781,000

8,529,921

7.75% 3/15/22

15,985,000

17,423,650

8.625% 2/1/19

33,710,000

38,345,125

10% 11/1/16

3,823,000

4,520,698

Pinnacle Entertainment, Inc. 7.75% 4/1/22

3,200,000

3,424,000

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

5.375% 3/15/22

42,035,000

44,767,275

7.75% 8/15/20

8,697,000

9,827,610

 

252,182,438

Healthcare - 7.3%

Alere, Inc.:

7.25% 7/1/18 (f)

11,635,000

12,100,400

8.625% 10/1/18

12,105,000

12,589,200

Apria Healthcare Group, Inc. 11.25% 11/1/14

7,481,000

7,668,025

Community Health Systems, Inc.:

5.125% 8/15/18

9,675,000

10,182,938

7.125% 7/15/20

9,750,000

10,530,000

8% 11/15/19

73,275,000

80,785,688

DaVita, Inc. 6.375% 11/1/18

5,041,000

5,400,423

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Healthcare - continued

Elan Finance PLC/Elan Finance Corp. 6.25% 10/15/19 (f)

$ 8,640,000

$ 9,244,800

Emergency Medical Services Corp. 8.125% 6/1/19

22,025,000

24,117,375

Endo Pharmaceuticals Holdings, Inc. 7% 12/15/20

4,918,000

5,360,620

Fresenius Medical Care US Finance II, Inc. 6.5% 9/15/18 (f)

4,395,000

4,982,612

Grifols, Inc. 8.25% 2/1/18

5,745,000

6,290,775

HCA Holdings, Inc.:

6.25% 2/15/21

11,250,000

11,756,250

7.75% 5/15/21

66,432,000

72,743,040

HCA, Inc.:

6.5% 2/15/20

33,210,000

37,069,002

7.25% 9/15/20

11,344,000

12,591,840

7.5% 11/6/33

2,199,000

2,231,985

7.875% 2/15/20

14,144,000

15,699,840

8.5% 4/15/19

7,992,000

8,851,140

Hologic, Inc. 6.25% 8/1/20 (f)

5,525,000

5,939,375

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19

5,915,000

6,003,725

IMS Health, Inc. 6% 11/1/20 (f)

5,540,000

5,775,450

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

7,420,000

7,865,200

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

3,375,000

3,872,813

Kindred Healthcare, Inc. 8.25% 6/1/19

3,950,000

3,890,750

Legend Acquisition Sub, Inc. 10.75% 8/15/20 (f)

11,260,000

9,908,800

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

26,245,000

27,819,700

6.75% 10/15/22

25,361,000

27,706,893

7.5% 2/15/20

8,934,000

9,805,065

Radiation Therapy Services, Inc. 8.875% 1/15/17

11,960,000

11,840,400

Rotech Healthcare, Inc. 10.75% 10/15/15

7,566,000

7,566,000

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

18,676,000

19,983,320

Service Corp. International 4.5% 11/15/20

5,510,000

5,606,425

Sky Growth Acquisition Corp. 7.375% 10/15/20 (f)

5,130,000

5,232,600

Stewart Enterprises, Inc. 6.5% 4/15/19

6,280,000

6,727,764

Tenet Healthcare Corp.:

4.75% 6/1/20 (f)

7,795,000

7,833,975

6.25% 11/1/18

12,130,000

13,312,675

6.75% 2/1/20

8,375,000

8,751,875

8.875% 7/1/19

9,725,000

11,037,875

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Healthcare - continued

Valeant Pharmaceuticals International:

6.375% 10/15/20 (f)

$ 13,990,000

$ 14,444,675

6.5% 7/15/16 (f)

10,766,000

11,210,098

6.75% 8/15/21 (f)

23,271,000

24,376,373

6.875% 12/1/18 (f)

40,495,000

42,924,700

7% 10/1/20 (f)

5,255,000

5,570,300

7.25% 7/15/22 (f)

11,781,000

12,664,575

Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc.:

7.75% 2/1/19

14,956,000

15,778,580

7.75% 2/1/19 (f)

11,815,000

12,464,825

VPI Escrow Corp. 6.375% 10/15/20 (f)

16,790,000

17,355,823

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f)

8,430,000

8,493,225

 

721,959,807

Homebuilders/Real Estate - 1.4%

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

18,885,000

19,923,675

CB Richard Ellis Services, Inc.:

6.625% 10/15/20

9,450,000

10,289,160

11.625% 6/15/17

16,463,000

17,944,670

KB Home:

7.25% 6/15/18

2,985,000

3,305,888

8% 3/15/20

10,065,000

11,625,075

Realogy Corp.:

7.625% 1/15/20 (f)

8,135,000

9,273,900

7.875% 2/15/19 (f)

4,602,000

5,073,705

11.5% 4/15/17

8,856,000

9,520,200

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

3,180,000

3,243,600

Standard Pacific Corp.:

8.375% 5/15/18

20,467,000

24,151,060

8.375% 1/15/21

16,484,000

19,615,960

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

5,765,000

6,211,788

 

140,178,681

Hotels - 0.7%

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

2,865,000

3,172,988

FelCor Lodging LP:

5.625% 3/1/23 (f)

8,055,000

8,125,079

6.75% 6/1/19

29,550,000

31,692,375

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Hotels - continued

Host Hotels & Resorts LP:

5.875% 6/15/19

$ 17,210,000

$ 18,715,875

6% 10/1/21

7,865,000

8,995,594

 

70,701,911

Leisure - 0.5%

Dave & Buster's Parent, Inc. 0% 2/15/16 (f)

10,626,000

8,009,348

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

9,820,000

11,096,600

NCL Corp. Ltd. 11.75% 11/15/16

9,650,000

10,904,500

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

4,855,000

5,146,300

11.875% 7/15/15

10,396,000

12,683,120

yankee 7.25% 6/15/16

1,253,000

1,412,758

 

49,252,626

Metals/Mining - 2.0%

Alpha Natural Resources, Inc.:

6% 6/1/19

22,610,000

20,292,475

6.25% 6/1/21

16,935,000

15,029,813

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (f)

2,990,000

2,705,950

Calcipar SA 6.875% 5/1/18 (f)

3,020,000

3,167,074

CONSOL Energy, Inc.:

8% 4/1/17

25,295,000

27,318,600

8.25% 4/1/20

28,710,000

31,078,575

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

5,545,000

5,829,181

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (f)

6,385,000

6,528,663

7% 11/1/15 (f)

20,089,000

20,942,783

8.25% 11/1/19 (f)

20,460,000

21,892,200

Peabody Energy Corp.:

6% 11/15/18

12,130,000

12,812,919

7.375% 11/1/16

2,137,000

2,436,180

Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 8.375% 6/1/20 (f)

8,815,000

9,454,088

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

4,885,000

5,275,800

Rain CII Carbon LLC/CII Carbon Corp. 8.25% 1/15/21 (f)

6,020,000

6,305,950

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Metals/Mining - continued

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

$ 2,000,000

$ 2,075,000

SunCoke Energy, Inc. 7.625% 8/1/19

6,760,000

7,114,900

 

200,260,151

Paper - 0.4%

NewPage Corp. 11.375% 12/31/14 (c)

61,214,000

6

P.H. Glatfelter Co. 5.375% 10/15/20

4,150,000

4,336,750

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

4,955,000

5,202,750

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

33,715,000

31,607,813

 

41,147,319

Publishing/Printing - 0.1%

Cengage Learning Acquisitions, Inc. 12% 6/30/19 (f)

13,802,000

6,003,870

Restaurants - 0.4%

DineEquity, Inc. 9.5% 10/30/18

18,221,000

20,863,045

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

6,290,000

6,761,750

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

7,230,000

7,483,050

Roadhouse Financing, Inc. 10.75% 10/15/17

4,926,000

4,587,338

 

39,695,183

Services - 1.2%

Air Lease Corp. 5.625% 4/1/17

12,295,000

12,971,225

APX Group, Inc.:

6.375% 12/1/19 (f)

33,085,000

32,383,598

8.75% 12/1/20 (f)

8,255,000

8,089,900

ARAMARK Corp. 3.8128% 2/1/15 (i)

17,211,000

17,232,514

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 2.81% 5/15/14 (i)

5,941,000

5,919,018

Laureate Education, Inc. 9.25% 9/1/19 (f)

16,550,000

18,039,500

The Geo Group, Inc.:

6.625% 2/15/21

1,697,000

1,879,428

7.75% 10/15/17

2,306,000

2,478,950

United Rentals North America, Inc.:

5.75% 7/15/18

5,895,000

6,337,125

6.125% 6/15/23

9,175,000

9,725,500

 

115,056,758

Shipping - 1.3%

HDTFS, Inc.:

5.875% 10/15/20 (f)

8,640,000

9,072,000

6.25% 10/15/22 (f)

7,840,000

8,428,000

Kenan Advantage Group, Inc. 8.375% 12/15/18 (f)

10,135,000

10,667,088

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Shipping - continued

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17

$ 35,937,000

$ 34,050,308

Navios Maritime Holdings, Inc.:

8.125% 2/15/19

28,746,000

24,434,100

8.875% 11/1/17

21,927,000

21,626,600

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19

2,930,000

2,930,000

Teekay Corp. 8.5% 1/15/20

7,565,000

8,208,025

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

7,696,000

7,657,520

 

127,073,641

Steel - 0.5%

Essar Steel Algoma, Inc. 9.375% 3/15/15 (f)

11,335,000

10,966,613

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

22,037,000

23,469,405

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

5,420,000

5,365,800

Severstal Columbus LLC 10.25% 2/15/18

7,816,000

8,382,660

 

48,184,478

Super Retail - 2.3%

Asbury Automotive Group, Inc.:

7.625% 3/15/17

16,127,000

16,610,810

8.375% 11/15/20

2,572,000

2,867,780

Claire's Stores, Inc.:

8.875% 3/15/19

2,305,000

2,258,900

9% 3/15/19 (f)

63,805,000

69,866,475

J. Crew Group, Inc. 8.125% 3/1/19

15,877,000

17,028,083

Jaguar Land Rover PLC 5.625% 2/1/23 (f)

7,925,000

8,043,875

Limited Brands, Inc.:

6.625% 4/1/21

21,985,000

25,007,938

7% 5/1/20

3,907,000

4,493,050

Office Depot, Inc. 9.75% 3/15/19 (f)

8,545,000

9,356,775

Sally Holdings LLC 6.875% 11/15/19

6,960,000

7,673,400

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

37,000,000

37,878,750

Sonic Automotive, Inc. 9% 3/15/18

2,436,000

2,685,690

The Bon-Ton Department Stores, Inc.:

10.25% 3/15/14

5,790,000

5,790,000

10.625% 7/15/17 (f)

20,535,000

20,380,988

 

229,942,514

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Technology - 5.3%

Avaya, Inc.:

7% 4/1/19 (f)

$ 91,215,000

$ 87,110,325

9% 4/1/19 (f)

13,865,000

14,315,613

9.75% 11/1/15

48,151,000

46,104,583

10.125% 11/1/15 pay-in-kind (i)

82,608,800

79,304,448

CDW LLC/CDW Finance Corp.:

8% 12/15/18

8,181,000

9,101,363

8.5% 4/1/19

25,775,000

28,481,375

Ceridian Corp.:

8.875% 7/15/19 (f)

4,185,000

4,655,813

11.25% 11/15/15

3,386,000

3,428,325

CommScope, Inc. 8.25% 1/15/19 (f)

4,843,000

5,303,085

Fidelity National Information Services, Inc. 7.875% 7/15/20

3,590,000

4,065,675

First Data Corp.:

6.75% 11/1/20 (f)

11,495,000

11,839,850

7.375% 6/15/19 (f)

15,590,000

16,330,525

8.25% 1/15/21 (f)

5,418,000

5,580,540

8.75% 1/15/22 pay-in-kind (f)(i)

6,321,000

6,573,840

10.55% 9/24/15 pay-in-kind (i)

3,203,613

3,301,724

12.625% 1/15/21

10,813,000

11,515,845

Freescale Semiconductor, Inc.:

9.25% 4/15/18 (f)

14,917,000

16,371,408

10.125% 3/15/18 (f)

15,085,000

16,668,925

GrafTech International Ltd. 6.375% 11/15/20 (f)

8,605,000

9,185,838

IAC/InterActiveCorp 4.75% 12/15/22 (f)

10,450,000

10,371,625

Infor US, Inc. 9.375% 4/1/19

5,320,000

6,011,600

Jabil Circuit, Inc. 5.625% 12/15/20

4,705,000

5,140,213

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

2,216,000

1,728,480

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

20,695,000

21,315,850

Radio Systems Corp. 8.375% 11/1/19 (f)

5,550,000

5,896,875

Sanmina-SCI Corp. 7% 5/15/19 (f)

20,065,000

20,516,463

Serena Software, Inc. 10.375% 3/15/16

1,494,000

1,520,145

Spansion LLC 7.875% 11/15/17

9,667,000

10,053,680

SunGard Data Systems, Inc. 6.625% 11/1/19 (f)

13,865,000

14,315,613

Viasystems, Inc. 7.875% 5/1/19 (f)

11,460,000

11,431,350

WEX, Inc. 4.75% 2/1/23 (f)

4,975,000

4,925,250

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Technology - continued

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19 (f)

$ 24,495,000

$ 27,005,738

13.375% 10/15/19 (f)

4,815,000

5,308,538

 

524,780,520

Telecommunications - 5.5%

Altice Financing SA 7.875% 12/15/19 (f)

6,080,000

6,536,000

Altice Finco SA 9.875% 12/15/20 (f)

8,410,000

9,293,050

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

8,001,000

8,001,000

Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f)

9,719,000

10,532,966

Clearwire Escrow Corp. 12% 12/1/15 (f)

12,665,000

13,709,863

Cricket Communications, Inc. 7.75% 10/15/20

23,210,000

24,080,375

Crown Castle International Corp. 5.25% 1/15/23 (f)

13,960,000

14,518,400

Digicel Group Ltd.:

8.25% 9/1/17 (f)

2,177,000

2,307,620

10.5% 4/15/18 (f)

5,028,000

5,606,220

DigitalGlobe, Inc. 5.25% 2/1/21 (f)

3,440,000

3,431,400

Dycom Investments, Inc. 7.125% 1/15/21

3,755,000

4,017,850

Frontier Communications Corp.:

8.25% 4/15/17

12,284,000

14,218,730

8.5% 4/15/20

24,715,000

28,422,250

Intelsat Jackson Holdings SA:

7.25% 4/1/19

22,535,000

24,281,463

7.5% 4/1/21

25,120,000

27,380,800

8.5% 11/1/19

4,411,000

4,907,238

Intelsat Luxembourg SA:

11.25% 2/4/17

19,258,000

20,389,408

11.5% 2/4/17 pay-in-kind (i)

52,175,000

55,305,500

Level 3 Communications, Inc. 8.875% 6/1/19 (f)

6,100,000

6,649,000

Level 3 Financing, Inc. 7% 6/1/20 (f)

8,475,000

8,962,313

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

14,495,000

15,382,094

NeuStar, Inc. 4.5% 1/15/23 (f)

3,545,000

3,545,000

NII Capital Corp. 7.625% 4/1/21

4,280,000

3,359,800

SBA Communications Corp. 5.625% 10/1/19 (f)

5,595,000

5,860,763

Sprint Capital Corp.:

6.875% 11/15/28

5,954,000

6,013,540

6.9% 5/1/19

61,148,000

66,498,450

8.75% 3/15/32

3,616,000

4,266,880

Corporate Bonds - continued

 

Principal
Amount

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Sprint Nextel Corp.:

6% 12/1/16

$ 18,743,000

$ 20,195,583

6% 11/15/22

2,780,000

2,786,950

8.375% 8/15/17

6,756,000

7,811,625

9% 11/15/18 (f)

6,060,000

7,499,250

Telesat Canada/Telesat LLC 6% 5/15/17 (f)

15,605,000

16,385,250

ViaSat, Inc. 6.875% 6/15/20

10,970,000

11,710,475

Wind Acquisition Finance SA:

7.25% 2/15/18 (f)

7,609,000

8,008,473

11.75% 7/15/17 (f)

25,348,000

27,249,100

Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(i)

34,882,350

36,800,879

Windstream Corp. 7% 3/15/19

2,729,000

2,783,580

 

538,709,138

Textiles & Apparel - 0.6%

DPL, Inc. 7.75% 10/15/20 (f)

11,715,000

11,656,425

Hanesbrands, Inc. 6.375% 12/15/20

42,707,000

46,392,614

 

58,049,039

TOTAL NONCONVERTIBLE BONDS

7,561,314,359

TOTAL CORPORATE BONDS

(Cost $7,171,202,000)


7,599,196,415

Common Stocks - 1.1%

Shares

 

Automotive - 0.3%

Delphi Automotive PLC (a)

672,362

25,993,515

General Motors Co.:

warrants 7/10/16 (a)

177,998

3,353,482

warrants 7/10/19 (a)

177,998

2,171,576

Motors Liquidation Co. GUC Trust (a)

49,155

1,147,769

 

32,666,342

Banks & Thrifts - 0.1%

CIT Group, Inc. (a)

111,200

4,709,320

Common Stocks - continued

Shares

Value

Building Materials - 0.3%

Nortek, Inc. (a)

354,100

$ 25,548,315

Nortek, Inc. warrants 12/7/14 (a)

10,000

200,000

 

25,748,315

Capital Goods - 0.0%

Remy International, Inc.

93,400

1,587,800

Energy - 0.0%

Chesapeake Energy Corp.

98,900

1,995,802

Metals/Mining - 0.0%

Aleris International, Inc. (a)(k)

46,900

2,198,438

Paper - 0.2%

NewPage Corp.

244,856

22,894,036

Shipping - 0.1%

DeepOcean Group Holding BV (a)(f)

419,352

7,094,676

Navios Maritime Holdings, Inc.

771,100

2,883,914

 

9,978,590

Telecommunications - 0.1%

Broadview Networks Holdings, Inc. (e)

520,065

7,020,878

TOTAL COMMON STOCKS

(Cost $127,872,074)


108,799,521

Preferred Stocks - 2.0%

 

 

 

 

Convertible Preferred Stocks - 1.0%

Banks & Thrifts - 0.6%

Bank of America Corp. Series L, 7.25%

25,200

29,881,404

Huntington Bancshares, Inc. 8.50%

18,781

23,851,870

Wells Fargo & Co. 7.50%

2,900

3,743,610

 

57,476,884

Diversified Media - 0.2%

Interpublic Group of Companies, Inc. 5.25%

19,300

21,760,750

Electric Utilities - 0.0%

PPL Corp. 8.75%

88,900

4,870,831

Energy - 0.2%

Chesapeake Energy Corp. Series A, 5.75% (f)

16,800

17,083,500

TOTAL CONVERTIBLE PREFERRED STOCKS

101,191,965

Nonconvertible Preferred Stocks - 1.0%

Banks & Thrifts - 0.5%

Ally Financial, Inc. 7.00% (f)

45,654

44,284,380

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

Diversified Financial Services - 0.5%

Citigroup Capital XIII 7.875%

190,900

$ 5,318,474

GMAC Capital Trust I Series 2, 8.125%

1,634,300

43,586,781

 

48,905,255

TOTAL NONCONVERTIBLE PREFERRED STOCKS

93,189,635

TOTAL PREFERRED STOCKS

(Cost $178,051,639)


194,381,600

Floating Rate Loans - 12.4%

 

Principal
Amount

 

Air Transportation - 0.7%

United Air Lines, Inc. Tranche B, term loan 2.25% 2/1/14 (i)

$ 10,642,123

10,628,821

US Airways Group, Inc. term loan 2.7017% 3/23/14 (i)

58,746,313

58,526,014

 

69,154,835

Automotive - 0.4%

Allison Transmission, Inc. Tranche B 3LN, term loan 4.25% 8/23/19 (i)

3,885,263

3,924,115

Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (i)

13,536,638

13,807,371

Delphi Corp. Tranche B, term loan 3.5% 3/31/17 (i)

2,611,926

2,631,516

Federal-Mogul Corp.:

Tranche B, term loan 2.1464% 12/27/14 (i)

16,091,735

15,246,919

Tranche C, term loan 2.1386% 12/27/15 (i)

8,210,249

7,779,211

 

43,389,132

Broadcasting - 0.3%

Univision Communications, Inc. term loan 4.4517% 3/31/17 (i)

22,319,668

22,403,367

VNU, Inc. Tranche C, term loan 3.4577% 5/1/16 (i)

3,042,588

3,061,604

 

25,464,971

Building Materials - 0.0%

CPG International I, Inc. term loan 5.75% 9/21/19 (i)

1,361,588

1,378,607

Cable TV - 0.9%

CCO Holdings, LLC Tranche 3LN, term loan 2.7017% 9/6/14 (i)

7,656,000

7,656,000

Cequel Communications LLC Tranche B, term loan 4% 2/14/19 (i)

41,516,275

41,827,647

Floating Rate Loans - continued

 

Principal
Amount

Value

Cable TV - continued

RCN Telecom Services, LLC Tranche B, term loan 5.25% 8/26/16 (i)

$ 3,614,179

$ 3,663,873

WideOpenWest Finance LLC Tranche B, term loan 6.25% 7/17/18 (i)

39,307,475

39,700,550

 

92,848,070

Capital Goods - 0.1%

SRAM LLC.:

2nd LN, term loan 8.5% 12/7/18 (i)

3,210,000

3,254,138

Tranche B 1LN, term loan 4.7566% 6/7/18 (i)

8,531,911

8,595,900

 

11,850,038

Chemicals - 0.4%

Arizona Chemical Tranche B, term loan 7.25% 12/22/17 (i)

7,279,644

7,397,939

Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (i)

12,232,563

12,324,307

INEOS U.S. Finance LLC term loan 6.5% 4/27/18 (i)

9,135,963

9,341,522

U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (i)

5,315,000

5,374,794

 

34,438,562

Containers - 0.1%

Berry Plastics Holding Corp. Tranche C, term loan 2.2017% 4/3/15 (i)

6,882,943

6,882,943

Diversified Financial Services - 0.2%

Blackstone REL 10% 10/1/2017

15,000,000

15,675,000

Electric Utilities - 0.6%

Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 4.561% 12/15/14 (i)

21,390,880

21,364,142

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7423% 10/10/17 (i)

58,641,470

38,776,672

 

60,140,814

Energy - 0.5%

CCS, Inc. Tranche B, term loan 3.2077% 11/14/14 (i)

22,389,232

22,277,286

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (i)

10,000,000

10,238,000

MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (i)

17,401,388

17,597,153

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (i)

2,515,000

2,549,707

 

52,662,146

Floating Rate Loans - continued

 

Principal
Amount

Value

Environmental - 0.0%

ADS Waste Holdings, Inc. Tranche B, term loan 5.25% 10/9/19 (i)

$ 3,835,000

$ 3,873,350

Food & Drug Retail - 0.1%

Rite Aid Corp. Tranche ABL, term loan 1.96% 6/4/14 (i)

5,515,245

5,501,457

Food/Beverage/Tobacco - 0.0%

OSI Restaurant Partners LLC Tranche B, term loan 4.75% 10/26/19 (i)

3,621,100

3,670,890

Gaming - 0.2%

Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (i)

9,029,815

9,120,113

Harrah's Entertainment, Inc. Tranche B 4LN, term loan 9.5% 10/31/16 (i)

1,434,424

1,459,527

MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (i)

5,125,000

5,201,875

NP Opco, LLC Tranche B, term loan 5.5% 9/28/19 (i)

3,920,175

3,984,074

 

19,765,589

Healthcare - 0.5%

Community Health Systems, Inc. term loan 3.8105% 1/25/17 (i)

2,869,649

2,891,171

ConvaTec, Inc. term loan 5% 12/22/16 (i)

1,800,000

1,824,750

Emergency Medical Services Corp. Tranche B, term loan 5.25% 5/25/18 (i)

2,424,467

2,424,467

Genesis HealthCare Corp. Tranche B, term loan 10.0022% 12/4/17 (i)

8,665,641

8,449,000

Grifols, Inc. Tranche B, term loan 4.25% 6/1/17 (i)

8,332,508

8,384,586

HCA, Inc.:

Tranche B 2LN, term loan 3.561% 3/31/17 (i)

6,386,000

6,426,232

Tranche B3, term loan 3.4517% 5/1/18 (i)

8,514,000

8,556,570

IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (i)

6,460,393

6,501,094

IMS Health, Inc. Tranche B, term loan 4.5% 8/26/17 (i)

1,122,137

1,122,137

VWR Funding, Inc. Tranche B, term loan 4.2017% 4/3/17 (i)

4,745,000

4,768,725

 

51,348,732

Homebuilders/Real Estate - 0.5%

iStar Financial, Inc. Tranche B, term loan 5.75% 10/15/17 (i)

14,038,963

14,284,645

Realogy Corp.:

Credit-Linked Deposit 3.2087% 10/10/13 (i)

451,099

439,821

Credit-Linked Deposit 4.4587% 10/10/16 (i)

1,672,933

1,685,480

term loan 4.4557% 10/10/16 (i)

28,162,940

28,374,162

 

44,784,108

Floating Rate Loans - continued

 

Principal
Amount

Value

Insurance - 0.1%

Alliant Holdings I, Inc. Tranche B, term loan 5% 12/20/19 (i)

$ 5,930,000

$ 6,018,950

Metals/Mining - 0.7%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (i)

1,565,000

1,582,121

Tranche B 2LN, term loan 8.75% 1/25/21 (i)

940,000

952,925

Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (i)

67,051,950

67,806,284

 

70,341,330

Publishing/Printing - 0.4%

Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (i)

11,680,000

11,796,800

Thomson Learning Tranche B, term loan 2.71% 7/5/14 (i)

36,555,674

28,513,426

 

40,310,226

Restaurants - 0.1%

Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (i)

12,232,563

12,372,625

Services - 0.1%

ServiceMaster Co.:

term loan 2.71% 7/24/14 (i)

8,435,687

8,435,687

Tranche DD, term loan 2.7% 7/24/14 (i)

879,848

879,848

 

9,315,535

Shipping - 0.0%

Trico Shipping A/S:

Tranche A, term loan 10% 5/13/14 (i)

657,890

651,311

Tranche D, term loan 4% 5/13/14 (i)(j)

1,158,324

1,146,740

 

1,798,051

Super Retail - 1.0%

BJ's Wholesale Club, Inc. Tranche 1LN, term loan 5.75% 9/26/19 (i)

2,389,013

2,433,806

Davids Bridal, Inc. Tranche B, term loan 5% 10/11/19 (i)

9,710,000

9,831,375

J. Crew Group, Inc. Tranche B, term loan 4.5% 3/7/18 (i)

4,972,216

4,972,216

Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (i)

57,440,319

57,727,521

Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (i)

19,480,000

19,699,150

 

94,664,068

Floating Rate Loans - continued

 

Principal
Amount

Value

Technology - 3.1%

Avaya, Inc.:

term loan 3.0615% 10/27/14 (i)

$ 29,061,723

$ 28,916,415

Tranche B 3LN, term loan 4.8115% 10/26/17 (i)

49,790,931

46,678,997

CDW Corp. Tranche B, term loan 4% 7/15/17 (i)

37,403,431

37,683,956

First Data Corp. term loan 4.2047% 3/24/18 (i)

100,440,336

99,435,877

Freescale Semiconductor, Inc. term loan 4.4597% 12/1/16 (i)

40,476,427

40,476,427

Kronos, Inc. Tranche B 1LN, term loan 5.5% 10/30/19 (i)

8,840,000

8,983,650

Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (i)

16,393,913

16,579,164

NXP BV:

Tranche A 1LN, term loan 4.5% 3/4/17 (i)

2,942,290

2,993,780

Tranche A6, term loan 5.25% 3/19/19 (i)

12,480,688

12,667,898

Tranche C, term loan 4.75% 1/11/20 (i)

6,650,000

6,766,375

SunGard Data Systems, Inc. Tranche C, term loan 3.9577% 2/28/17 (i)

4,378,571

4,444,250

 

305,626,789

Telecommunications - 1.4%

Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (i)

7,093,300

7,120,255

FairPoint Communications, Inc. term loan 6.4047% 1/24/16 (i)

77,245,026

75,893,238

Intelsat Jackson Holdings SA:

term loan 3.2047% 2/1/14 (i)

32,164,000

32,083,590

Tranche B, term loan 4.5% 4/2/18 (i)

27,140,494

27,447,182

 

142,544,265

TOTAL FLOATING RATE LOANS

(Cost $1,219,015,653)


1,225,821,083

Preferred Securities - 0.1%

 

 

 

 

Banks & Thrifts - 0.1%

Bank of America Corp.:

8% (g)(i)

1,839,000

2,060,493

8.125% (g)(i)

8,657,000

9,869,040

TOTAL PREFERRED SECURITIES

(Cost $10,452,835)


11,929,533

Money Market Funds - 5.4%

Shares

Value

Fidelity Cash Central Fund, 0.16% (b)
(Cost $530,509,571)

530,509,571

$ 530,509,571

Cash Equivalents - 0.2%

Maturity
Amount

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 1/31/13 due 2/1/13 (Collateralized by U.S. Treasury Obligations) #
(Cost $17,955,000)

$ 17,955,068


17,955,000

TOTAL INVESTMENT PORTFOLIO - 98.3%

(Cost $9,255,058,772)

9,688,592,723

NET OTHER ASSETS (LIABILITIES) - 1.7%

162,867,531

NET ASSETS - 100%

$ 9,851,460,254

Legend

(a) Non-income producing

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

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

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) Affiliated company

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,904,071,451 or 29.5% of net assets.

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

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

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

(j) 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 $926,659 and $917,392, respectively. The coupon rate will be determined at time of settlement.

(k) 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 $2,198,438 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Aleris International, Inc.

3/11/11

$ 2,860,900

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$17,955,000 due 2/01/13 at 0.14%

Barclays Capital, Inc.

$ 8,379,661

Merrill Lynch, Pierce, Fenner & Smith, Inc.

2,603,365

UBS Securities LLC

6,971,974

 

$ 17,955,000

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

$ 784,709

Fidelity Securities Lending Cash Central Fund

785

Total

$ 785,494

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Broadview Networks Holdings, Inc.

$ -

$ -

$ -

$ -

$ 7,020,878

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 56,014,892

$ 34,254,142

$ 21,760,750

$ -

Energy

19,079,302

1,995,802

17,083,500

-

Financials

155,375,839

111,091,459

44,284,380

-

Industrials

35,726,905

28,632,229

-

7,094,676

Materials

25,092,474

-

-

25,092,474

Telecommunication Services

7,020,878

-

-

7,020,878

Utilities

4,870,831

-

4,870,831

-

Corporate Bonds

7,599,196,415

-

7,591,195,403

8,001,012

Floating Rate Loans

1,225,821,083

-

1,210,146,083

15,675,000

Preferred Securities

11,929,533

-

11,929,533

-

Money Market Funds

530,509,571

530,509,571

-

-

Cash Equivalents

17,955,000

-

17,955,000

-

Total Investments in Securities:

$ 9,688,592,723

$ 706,483,203

$ 8,919,225,480

$ 62,884,040

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $9,233,107,212. Net unrealized appreciation aggregated $455,485,511, of which $557,518,039 related to appreciated investment securities and $102,032,528 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.

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

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Global High Income Fund

January 31, 2013 

1.926257.101

GHI-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 78.4%

 

Principal Amount (c)

Value

Convertible Bonds - 0.1%

Energy - 0.0%

Chesapeake Energy Corp. 2.75% 11/15/35

$ 50,000

$ 50,344

Homebuilders/Real Estate - 0.0%

Kaisa Group Holdings Ltd. 8% 12/20/15

CNY

1,000,000

178,089

Metals/Mining - 0.1%

Massey Energy Co. 3.25% 8/1/15

230,000

220,800

TOTAL CONVERTIBLE BONDS

449,233

Nonconvertible Bonds - 78.3%

Aerospace - 0.3%

Bombardier, Inc.:

4.25% 1/15/16 (e)

660,000

679,800

6.125% 1/15/23 (e)

185,000

187,313

GenCorp, Inc. 7.125% 3/15/21 (e)

55,000

56,925

 

924,038

Air Transportation - 0.1%

BW Group Ltd. 6.625% 6/28/17 (Reg. S)

400,000

426,000

Continental Airlines, Inc. 6.125% 4/29/18 (e)

55,000

54,725

 

480,725

Automotive - 7.1%

ArvinMeritor, Inc. 8.125% 9/15/15

285,000

297,825

Banque PSA Finance:

3.625% 9/17/13 (Reg. S)

EUR

500,000

685,757

8.375% 7/15/14

EUR

190,000

272,635

Conti-Gummi Finance BV:

6.5% 1/15/16 (Reg. S)

EUR

200,000

286,735

7.5% 9/15/17 (Reg. S)

EUR

400,000

576,544

8.5% 7/15/15 (Reg. S)

EUR

250,000

362,363

Continental Rubber of America Corp. 4.5% 9/15/19 (e)

150,000

152,250

Delphi Corp. 6.125% 5/15/21

800,000

880,000

Fiat Finance & Trade Ltd. SA:

6.375% 4/1/16

EUR

480,000

671,296

7.625% 9/15/14

EUR

50,000

71,811

7.75% 10/17/16

EUR

650,000

935,560

Fiat Industrial Finance Europe SA:

5.25% 3/11/15

EUR

520,000

736,964

6.25% 3/9/18

EUR

200,000

300,549

Ford Motor Co. 6.625% 10/1/28

5,000

5,777

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Automotive - continued

Ford Motor Credit Co. LLC:

2.375% 1/16/18

$ 5,000,000

$ 4,934,065

3.875% 1/15/15

4,490,000

4,666,327

4.25% 2/3/17

870,000

927,467

5.875% 8/2/21

765,000

869,476

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

415,000

519,788

General Motors Financial Co., Inc.:

4.75% 8/15/17 (e)

1,095,000

1,144,275

6.75% 6/1/18

2,840,000

3,266,000

GT 2005 Bonds BV 8% 7/21/14 (h)

300,000

300,000

Lear Corp. 4.75% 1/15/23 (e)

200,000

198,500

Penske Automotive Group, Inc. 5.75% 10/1/22 (e)

225,000

232,313

PT Gadjah Tunggal Tbk:

7.75% 2/6/18 (e)(g)

200,000

199,000

7.75% 2/6/18 (Reg. S) (g)

200,000

199,000

Renault SA 4.375% 5/24/13

EUR

100,000

273,948

Schaeffler Finance BV 8.75% 2/15/19 (Reg. S)

EUR

400,000

613,720

 

24,579,945

Banks & Thrifts - 6.1%

Access Finance BV 7.25% 7/25/17 (e)

200,000

214,000

Allied Irish Banks PLC 5.625% 11/12/14

EUR

300,000

413,450

Ally Financial, Inc.:

4.5% 2/11/14

230,000

234,600

4.625% 6/26/15

305,000

320,294

5.5% 2/15/17

600,000

645,000

7.5% 9/15/20

2,065,000

2,483,163

8% 3/15/20

185,000

226,856

8.3% 2/12/15

500,000

556,875

Banco Espirito Santo SA:

4.75% 1/15/18

EUR

500,000

671,497

5.875% 11/9/15

EUR

400,000

562,129

Bank of Ceylon 6.875% 5/3/17 (Reg. S)

200,000

207,500

Bank of East Asia Ltd. 8.5% (f)(h)

500,000

571,518

Bank of Ireland:

10% 7/30/16

EUR

200,000

278,686

10% 12/19/22

EUR

200,000

296,679

Bayerische Landesbank Girozentrale 4.5% 2/7/19 (h)

EUR

450,000

531,640

BDO Unibank, Inc. 4.5% 2/16/17

600,000

622,557

Caja Madrid SA:

4% 2/3/25

EUR

300,000

347,495

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Banks & Thrifts - continued

Caja Madrid SA: - continued

4.125% 3/24/36

EUR

50,000

$ 55,554

Canara Bank 6.365% 11/28/21 (h)

250,000

256,930

CBA Capital Trust II 6.024% (Reg. S) (f)(h)

350,000

362,153

Commerzbank AG 7.75% 3/16/21

EUR

200,000

289,211

Fortis Banque SA 4.625% (Reg. S) (f)(h)

EUR

450,000

556,019

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

200,000

209,500

GMAC LLC:

6.75% 12/1/14

1,150,000

1,242,000

8% 12/31/18

30,000

35,325

8% 11/1/31

1,970,000

2,487,125

HBOS PLC:

4.5% 3/18/30 (h)

EUR

350,000

405,846

4.875% 3/20/15

EUR

200,000

279,724

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

900,000

931,500

Industrial Senior Trust 5.5% 11/1/22 (e)

100,000

101,000

Kazkommerts International BV 6.875% 2/13/17

EUR

150,000

192,468

LBG Capital No. 1 PLC 6.439% 5/23/20

EUR

400,000

537,689

Mizuho Capital Investment (USD) 2 Ltd. 14.95% (Reg. S) (f)(h)

200,000

234,620

National Capital Trust II 5.486% (Reg. S) (h)

300,000

302,846

PKO Finance AB 4.63% 9/26/22 (e)

350,000

366,625

RBS Capital Trust C 4.243% (f)(h)

EUR

300,000

297,358

Resona Preferred Global Securities (Cayman) Ltd. 7.191% (Reg. S) (f)(h)

100,000

108,016

Rizal Commercial Banking Corp. 5.25% 1/31/17

250,000

263,565

RSHB Capital SA 5.298% 12/27/17 (e)

200,000

214,240

SBB Capital Corp. 6.62% (f)(h)

300,000

306,005

Scotiabank Peru SA 4.5% 12/13/27 (e)(h)

35,000

34,475

State Bank of India 6.439% (f)(h)

400,000

392,774

Trade & Development Bank of Mongolia LLC 8.5% 9/20/15

200,000

200,528

UniCredit SpA 6.95% 10/31/22 (Reg. S)

EUR

300,000

419,153

Woori Bank 6.208% 5/2/67 (Reg. S) (h)

600,000

645,000

 

20,911,188

Broadcasting - 0.6%

AMC Networks, Inc.:

4.75% 12/15/22

100,000

100,000

7.75% 7/15/21

5,000

5,713

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Broadcasting - continued

Central European Media Enterprises Ltd. 11.625% 9/15/16 (Reg. S)

EUR

300,000

$ 427,707

Clear Channel Communications, Inc. 5.5% 9/15/14

500,000

480,000

EN Germany Holdings BV 10.75% 11/15/15 (Reg. S)

EUR

300,000

378,623

Mood Media Corp. 9.25% 10/15/20 (e)

190,000

204,725

Polish Television Holding BV 11.25% 5/15/17 (d)

EUR

410,000

595,667

 

2,192,435

Building Materials - 2.1%

Associated Materials LLC 9.125% 11/1/17

65,000

66,625

BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (e)

60,000

61,950

CEMEX Finance LLC:

9.375% 10/12/22 (e)

400,000

451,000

9.625% 12/14/17 (Reg. S)

EUR

260,000

384,094

CEMEX SA de CV 5.311% 9/30/15 (e)(h)

345,000

350,175

China Liansu Group Holdings Ltd. 7.875% 5/13/16 (Reg. S)

400,000

412,000

China Shanshui Cement Group Ltd.:

8.5% 5/25/16 (Reg. S)

600,000

630,000

10.5% 4/27/17 (Reg. S)

200,000

225,000

Gibraltar Industries, Inc. 6.25% 2/1/21 (e)

30,000

30,975

HD Supply, Inc.:

8.125% 4/15/19 (e)

330,000

374,550

10.5% 1/15/21 (e)

120,000

122,700

HeidelbergCement Finance AG:

7.5% 10/31/14

EUR

326,000

479,382

8% 1/31/17

EUR

250,000

391,386

8.5% 10/31/19

EUR

300,000

494,918

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

EUR

100,000

168,367

Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (e)(h)

40,000

43,700

Lafarge SA:

5.375% 6/26/17

EUR

650,000

939,937

8.875% 11/24/16

EUR

350,000

565,524

Nortek, Inc. 8.5% 4/15/21 (e)

120,000

135,600

Ply Gem Industries, Inc. 8.25% 2/15/18

423,000

460,013

USG Corp.:

6.3% 11/15/16

20,000

21,050

7.875% 3/30/20 (e)

105,000

119,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Building Materials - continued

USG Corp.: - continued

9.75% 1/15/18

$ 135,000

$ 157,950

West China Cement Ltd. 7.5% 1/25/16

200,000

194,500

 

7,281,096

Cable TV - 3.4%

Cablevision Systems Corp. 5.875% 9/15/22

375,000

369,863

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

975,000

961,594

6.5% 4/30/21

450,000

481,500

6.625% 1/31/22

240,000

261,600

7.375% 6/1/20

95,000

105,688

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e)

45,000

46,800

CET 21 spol. s r.o. 9% 11/1/17 (Reg. S)

EUR

200,000

294,643

Cyfrowy Polsat Finance AB 7.125% 5/20/18 (Reg. S)

EUR

100,000

145,964

DISH DBS Corp.:

5% 3/15/23 (e)

1,765,000

1,738,525

5.875% 7/15/22

325,000

344,500

EchoStar Communications Corp. 7% 10/1/13

1,000,000

1,036,200

Kabel Deutschland GmbH 6.5% 7/31/17 (Reg. S)

EUR

200,000

289,211

Kabel Deutschland Vertrieb und Service GmbH 6.5% 6/29/18 (Reg. S)

EUR

740,000

1,060,034

Nara Cable Funding Ltd. 8.875% 12/1/18 (Reg. S)

EUR

300,000

417,727

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

0% 12/1/17 (Reg. S)

EUR

250,993

367,211

5.125% 1/21/23 (Reg. S)

EUR

250,000

330,964

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

EUR

600,000

816,717

5.5% 1/15/23 (e)

200,000

206,500

7.5% 3/15/19 (Reg. S)

EUR

400,000

592,055

9.5% 3/15/21 (Reg. S)

EUR

200,000

310,624

9.625% 12/1/19 (Reg S.)

EUR

100,000

149,881

UPC Holding BV:

8% 11/1/16 (Reg. S)

EUR

50,000

69,723

9.75% 4/15/18 (Reg. S)

EUR

389,000

557,446

UPCB Finance III Ltd. 6.625% 7/1/20 (e)

270,000

288,225

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

150,000

166,125

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

150,000

163,875

 

11,573,195

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Capital Goods - 0.8%

Anixter International, Inc. 5.625% 5/1/19

$ 80,000

$ 84,800

Fosun International Ltd. 7.5% 5/12/16 (Reg. S)

200,000

205,000

Franz Haniel & Compagnie GmbH 6.25% 2/8/18

EUR

500,000

761,208

ISS Holdings A/S 8.875% 5/15/16 (Reg. S)

EUR

150,000

209,780

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

EUR

100,000

146,982

Wendel SA:

4.375% 8/9/17

EUR

250,000

347,936

4.875% 11/4/14

EUR

150,000

211,919

5.875% 9/17/19

EUR

100,000

145,285

Zoomlion HK SPV Co. Ltd.:

6.125% 12/20/22 (Reg. S)

400,000

399,000

6.875% 4/5/17 (Reg. S)

200,000

212,819

 

2,724,729

Chemicals - 1.6%

Axiall Corp. 4.875% 5/15/23 (e)(g)

65,000

65,406

Brenntag Finance BV 5.5% 7/19/18 (Reg. S)

EUR

150,000

228,051

Eagle Spinco, Inc. 4.625% 2/15/21 (e)

110,000

110,550

Hexion US Finance Corp. 6.625% 4/15/20 (e)

475,000

467,875

INEOS Group Holdings PLC:

7.875% 2/15/16

EUR

710,000

966,448

8.5% 2/15/16 (e)

370,000

372,775

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

EUR

100,000

132,046

Kinove German Bondco GmbH:

9.625% 6/15/18 (e)

357,000

389,130

10% 6/15/18 (Reg. S)

EUR

90,000

135,339

LyondellBasell Industries NV 6% 11/15/21

200,000

235,760

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

415,000

427,450

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (e)(h)

200,000

199,000

OXEA Finance & CY S.C.A. 9.625% 7/15/17

EUR

301,796

444,610

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

300,000

307,500

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (e)

885,000

875,044

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV:

5.75% 2/1/21 (Reg. S) (g)

EUR

100,000

134,422

7.375% 5/1/21 (e)(g)

150,000

153,375

 

5,644,781

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Consumer Products - 0.4%

Alphabet Holding Co., Inc. 7.75% 11/1/17 pay-in-kind (e)

$ 190,000

$ 197,600

Dispensing Dynamics International 12.5% 1/1/18 (e)

660,000

650,100

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

25,000

28,000

Reddy Ice Corp. 11.25% 3/15/15

100,000

104,000

Revlon Consumer Products Corp. 9.75% 11/15/15

150,000

158,250

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (e)

45,000

47,588

6.625% 11/15/22 (e)

55,000

59,125

 

1,244,663

Containers - 3.0%

ARD Finance SA:

11.125% 6/1/18 pay-in-kind

EUR

418,080

594,568

11.125% 6/1/18 pay-in-kind (e)

236,160

252,691

Ardagh Glass Finance PLC 7.125% 6/15/17 (Reg. S)

EUR

350,000

482,358

Ardagh Packaging Finance PLC:

7.375% 10/15/17 (e)

700,000

770,000

7.375% 10/15/17 (Reg. S)

EUR

100,000

145,285

9.125% 10/15/20 (e)

1,215,000

1,336,500

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc.:

7.375% 10/15/17 (e)

200,000

220,000

7.375% 10/15/17 (Reg. S)

EUR

100,000

145,285

9.125% 10/15/20 (e)

460,000

503,700

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

4.875% 11/15/22 (e)

200,000

200,000

7% 11/15/20 (e)

200,000

202,500

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

65,000

69,875

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

1,455,000

1,427,719

Crown European Holdings SA 7.125% 8/15/18
(Reg. S)

EUR

400,000

581,138

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

EUR

200,000

306,184

Rexam PLC 6.75% 6/29/67 (h)

EUR

325,000

462,070

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

5.75% 10/15/20

1,155,000

1,186,763

6.875% 2/15/21

500,000

536,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Containers - continued

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

7.875% 8/15/19

$ 250,000

$ 275,000

8.25% 2/15/21

250,000

261,875

Sealed Air Corp. 6.5% 12/1/20 (e)

145,000

160,225

Tekni-Plex, Inc. 9.75% 6/1/19 (e)

135,000

149,175

 

10,269,161

Diversified Financial Services - 8.4%

Beverage Packaging Holdings (Luxembourg) SA 8% 12/15/16 (Reg. S)

EUR

400,000

543,120

BOATS Investments (Netherlands) BV 11% 3/31/17 pay-in-kind

EUR

236,042

185,453

Boparan Holdings Ltd. 9.75% 4/30/18 (Reg. S)

EUR

300,000

453,573

CIT Group, Inc.:

4.25% 8/15/17

340,000

351,900

4.75% 2/15/15 (e)

1,095,000

1,149,750

5% 8/15/22

270,000

285,153

5.25% 3/15/18

365,000

390,550

5.375% 5/15/20

330,000

358,050

5.5% 2/15/19 (e)

575,000

615,250

Citigroup, Inc. 5.9% (f)(h)

770,000

772,888

Eileme 2 AB:

11.625% 1/31/20 (e)

220,000

259,600

11.75% 1/31/20 (Reg. S)

EUR

200,000

315,010

Eksportfinans A/S 4.75% 6/11/13

EUR

100,000

136,459

GMAC International Finance BV 7.5% 4/21/15

EUR

350,000

519,308

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18

850,000

910,563

International Lease Finance Corp.:

4.875% 4/1/15

180,000

187,875

5.625% 9/20/13

766,000

784,193

5.75% 5/15/16

120,000

129,097

5.875% 5/1/13

1,580,000

1,590,270

6.25% 5/15/19

640,000

707,200

8.25% 12/15/20

4,545,000

5,567,583

8.625% 9/15/15

975,000

1,106,625

8.625% 1/15/22

2,030,000

2,578,100

International Personal Finance PLC 11.5% 8/6/15

EUR

360,000

558,561

JGSH Philippines Ltd. 4.375% 1/23/23 (Reg. S)

200,000

199,930

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Diversified Financial Services - continued

Numericable Finance & Co. SCA:

8.07% 10/15/18 (Reg. S) (h)

EUR

100,000

$ 138,156

12.375% 2/15/19 (Reg. S)

EUR

100,000

156,486

Qtel International Finance Ltd. 5% 10/19/25 (e)

200,000

221,700

SLM Corp.:

3.875% 9/10/15

3,000,000

3,121,110

5.5% 1/25/23

655,000

652,357

8% 3/25/20

145,000

167,838

8.45% 6/15/18

30,000

35,741

Studio City Finance Ltd.:

8.5% 12/1/20 (e)

760,000

836,000

8.5% 12/1/20 (Reg. S)

750,000

825,000

TMD Friction Finance SA 10.75% 5/15/17

EUR

125,000

186,698

TMF Group Holding BV 9.875% 12/1/19 (Reg. S)

EUR

100,000

137,817

UPCB Finance Ltd.:

6.375% 7/1/20 (Reg. S)

EUR

500,000

714,542

7.625% 1/15/20 (Reg. S)

EUR

250,000

364,909

Verisure Holding AB:

8.75% 9/1/18 (Reg. S)

EUR

300,000

437,891

8.75% 12/1/18 (Reg. S)

EUR

300,000

413,450

 

29,065,756

Diversified Media - 1.2%

Block Communications, Inc. 7.25% 2/1/20 (e)

660,000

709,500

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (e)

100,000

105,500

6.5% 11/15/22 (e)

275,000

292,875

7.625% 3/15/20

65,000

67,275

7.625% 3/15/20

465,000

485,925

Lamar Media Corp. 5.875% 2/1/22

55,000

60,500

National CineMedia LLC:

6% 4/15/22

300,000

320,250

7.875% 7/15/21

35,000

38,892

Nielsen Finance LLC/Nielsen Finance Co. 4.5% 10/1/20 (e)

1,855,000

1,827,175

WMG Acquisition Corp.:

6% 1/15/21 (e)

65,000

69,063

6.25% 1/15/21 (Reg. S)

EUR

100,000

136,798

 

4,113,753

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Electric Utilities - 5.7%

Atlantic Power Corp. 9% 11/15/18

$ 395,000

$ 419,688

Calpine Construction Finance Co. LP 8% 6/1/16 (e)

500,000

528,750

Calpine Corp. 7.875% 1/15/23 (e)

629,000

693,473

China Resources Power East Foundation Co. Ltd. 7.25% (f)(h)

700,000

716,885

Duquesne Light Holdings, Inc. 5.9% 12/1/21 (e)

37,000

43,129

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

6.875% 8/15/17 (e)

60,000

64,500

10% 12/1/20

390,000

448,500

10% 12/1/20 (e)

2,290,000

2,622,050

11.75% 3/1/22 (e)

2,490,000

2,835,488

GenOn Energy, Inc.:

9.5% 10/15/18

55,000

65,313

9.875% 10/15/20

385,000

442,750

Hrvatska Elektroprivreda 6% 11/9/17 (e)

200,000

213,250

InterGen NV:

8.5% 6/30/17 (Reg. S)

EUR

150,000

186,358

9% 6/30/17 (e)

1,160,000

1,078,800

Listrindo Capital BV 6.95% 2/21/19 (Reg. S)

400,000

446,085

Majapahit Holding BV:

7.75% 1/20/20 (Reg. S)

200,000

249,000

8% 8/7/19 (Reg. S)

100,000

126,000

Mirant Americas Generation LLC 9.125% 5/1/31

185,000

205,350

NRG Energy, Inc. 6.625% 3/15/23 (e)

405,000

433,350

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

375,000

390,000

NV Energy, Inc. 6.25% 11/15/20

1,000,000

1,190,646

Perusahaan Listrik Negara PT 5.5% 11/22/21 (Reg. S)

200,000

223,000

Puget Energy, Inc.:

5.625% 7/15/22

120,000

129,561

6% 9/1/21

1,045,000

1,173,598

RRI Energy, Inc. 7.625% 6/15/14

540,000

577,800

Star Energy Geothermal Wayang Windu Ltd. 11.5% 2/12/15 (Reg. S)

400,000

424,000

Techem Energy Metering Service GmbH & Co. KG 7.875% 10/1/20 (Reg. S)

EUR

100,000

145,624

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

EUR

300,000

431,780

The AES Corp.:

7.375% 7/1/21

35,000

39,025

8% 10/15/17

300,000

346,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Electric Utilities - continued

TXU Corp.:

5.55% 11/15/14

$ 1,361,000

$ 1,272,535

6.5% 11/15/24

610,000

416,325

6.55% 11/15/34

1,015,000

662,288

Viridian Group FundCo II 11.125% 4/1/17 (Reg. S)

EUR

200,000

283,101

 

19,524,502

Energy - 7.3%

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

230,000

230,000

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

85,000

91,800

7% 5/20/22

180,000

196,650

Antero Resources Finance Corp. 6% 12/1/20 (e)

585,000

599,625

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.:

5.875% 8/1/23 (e)(g)

205,000

205,000

8.75% 6/15/18

979,000

1,047,530

Chesapeake Energy Corp. 6.775% 3/15/19

310,000

312,325

Chesapeake Midstream Partners LP/CHKM Finance Corp.:

5.875% 4/15/21

500,000

528,750

6.125% 7/15/22

170,000

180,625

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (e)

65,000

64,350

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

390,000

386,100

Continental Resources, Inc. 8.25% 10/1/19

300,000

337,500

Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19 (e)

150,000

156,000

Denbury Resources, Inc. 4.625% 7/15/23 (g)

810,000

793,800

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

115,000

114,425

Edgen Murray Corp. 8.75% 11/1/20 (e)

150,000

153,750

EDP Finance BV:

4.75% 9/26/16

EUR

350,000

485,746

5.75% 9/21/17

EUR

200,000

287,854

Energy Transfer Equity LP 7.5% 10/15/20

30,000

34,575

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

110,000

118,250

EPE Holdings LLC/EP Energy Bond Co., Inc. 8.125% 12/15/17 pay-in-kind (e)(h)

195,000

196,463

Everest Acquisition LLC/Everest Acquisition Finance, Inc.:

6.875% 5/1/19

180,000

195,300

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Energy - continued

Everest Acquisition LLC/Everest Acquisition Finance, Inc.: - continued

9.375% 5/1/20

$ 565,000

$ 631,388

Ferrellgas Partners LP / Ferrellgas Partners Finance Corp. 8.625% 6/15/20

730,000

733,650

Forest Oil Corp.:

7.25% 6/15/19

215,000

215,000

7.5% 9/15/20 (e)

130,000

138,450

Gulfmark Offshore, Inc. 6.375% 3/15/22 (e)

340,000

350,200

Halcon Resources Corp. 8.875% 5/15/21 (e)

135,000

143,775

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

80,000

86,600

Indo Energy Finance II BV 6.375% 1/24/23 (e)

200,000

204,750

Indo Integrated Energy II BV 9.75% 11/5/16 (Reg. S)

200,000

218,500

Israel Electric Corp. Ltd. 6.7% 2/10/17 (e)

200,000

220,000

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (e)

275,000

326,233

7% 5/5/20 (e)

100,000

121,630

9.125% 7/2/18 (e)

100,000

129,130

Kodiak Oil & Gas Corp.:

5.5% 1/15/21 (e)

80,000

80,800

8.125% 12/1/19

285,000

319,200

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (e)

435,000

433,913

6.5% 5/15/19

335,000

338,350

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.5% 7/15/23

1,160,000

1,154,200

5.5% 2/15/23

75,000

79,125

6.25% 6/15/22

105,000

113,400

MIE Holdings Corp. 9.75% 5/12/16

400,000

432,000

Offshore Group Investment Ltd.:

7.5% 11/1/19 (e)

1,510,000

1,543,975

11.5% 8/1/15

630,000

685,125

Oil States International, Inc. 6.5% 6/1/19

30,000

32,025

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

380,000

395,200

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

150,000

176,250

Petrohawk Energy Corp. 6.25% 6/1/19

500,000

569,000

Petroleos de Venezuela SA:

4.9% 10/28/14

650,000

619,125

5.5% 4/12/37

750,000

521,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Energy - continued

Petroleos de Venezuela SA: - continued

8.5% 11/2/17 (e)

$ 895,000

$ 877,100

12.75% 2/17/22 (e)

1,200,000

1,365,000

Petroleos Mexicanos 6.625% (e)(f)

200,000

211,200

Petroleum Co. of Trinidad & Tobago Ltd. 9.75% 8/14/19 (e)

150,000

199,500

Plains Exploration & Production Co. 6.75% 2/1/22

185,000

208,125

Precision Drilling Corp. 6.5% 12/15/21

10,000

10,725

PT Pertamina Persero 5.25% 5/23/21 (Reg. S)

200,000

220,000

QR Energy LP/QRE Finance Corp. 9.25% 8/1/20

135,000

142,425

Range Resources Corp. 5.75% 6/1/21

250,000

265,000

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

195,000

205,725

Rockies Express Pipeline LLC 6% 1/15/19 (e)

365,000

357,700

Sabine Pass Liquefaction LLC 5.625% 2/1/21 (e)

660,000

665,775

Santos Finance Ltd. 8.25% 9/22/70 (h)

EUR

350,000

503,744

Suburban Propane Partners LP/Suburban Energy Finance Corp.:

7.375% 8/1/21

287,000

312,830

7.5% 10/1/18

245,000

264,600

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22

80,000

87,600

Tesoro Corp.:

4.25% 10/1/17

100,000

103,625

5.375% 10/1/22

110,000

114,400

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (e)

35,000

36,488

Unit Corp. 6.625% 5/15/21

650,000

674,375

WPX Energy, Inc.:

5.25% 1/15/17

55,000

57,888

6% 1/15/22

85,000

91,375

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

475,000

509,438

 

25,213,300

Entertainment/Film - 0.0%

Cinemark USA, Inc.:

5.125% 12/15/22 (e)

50,000

50,625

7.375% 6/15/21

15,000

16,613

Regal Entertainment Group 5.75% 2/1/25

55,000

54,863

 

122,101

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Environmental - 0.3%

Clean Harbors, Inc.:

5.125% 6/1/21 (e)

$ 100,000

$ 103,000

5.25% 8/1/20

110,000

114,950

Covanta Holding Corp. 6.375% 10/1/22

145,000

158,247

Tervita Corp. 9.75% 11/1/19 (e)

355,000

347,900

Zinc Capital SA 8.875% 5/15/18 (Reg. S)

EUR

200,000

289,890

 

1,013,987

Food & Drug Retail - 1.3%

Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (e)

135,000

146,475

ESAL GmbH 6.25% 2/5/23 (e)

950,000

922,640

FPC Finance Ltd. 6% 6/28/19

200,000

219,073

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (e)

80,000

82,400

Rite Aid Corp.:

7.5% 3/1/17

1,000,000

1,025,000

7.7% 2/15/27

20,000

18,750

8% 8/15/20

750,000

855,000

9.25% 3/15/20

155,000

171,275

10.375% 7/15/16

870,000

920,025

Tops Markets LLC 8.875% 12/15/17 (e)

95,000

102,125

 

4,462,763

Food/Beverage/Tobacco - 0.7%

Agrokor d.d.:

8.875% 2/1/20 (e)

200,000

224,750

9.125% 2/1/20 (Reg. S)

EUR

300,000

456,730

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

EUR

100,000

152,963

Constellation Brands, Inc. 4.625% 3/1/23

85,000

86,275

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

100,000

108,500

Fresenius Finance BV 2.875% 7/15/20 (Reg. S)

EUR

300,000

403,776

Michael Foods Holding, Inc. 8.5% 7/15/18 pay-in-kind (e)(h)

60,000

61,950

Post Holdings, Inc. 7.375% 2/15/22

170,000

188,700

Tereos Europe 6.375% 4/15/14 (Reg. S)

EUR

450,000

632,395

 

2,316,039

Gaming - 0.9%

American Casino & Entertainment Properties LLC 11% 6/15/14

142,000

144,840

Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (e)

40,000

41,400

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Gaming - continued

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

$ 495,000

$ 497,475

Chester Downs & Marina LLC 9.25% 2/1/20 (e)

45,000

43,763

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

135,000

149,850

MCE Finance Ltd.:

5% 2/15/21 (e)

230,000

230,000

10.25% 5/15/18

300,000

348,000

MGM Mirage, Inc.:

5.875% 2/27/14

300,000

312,390

6.625% 12/15/21

150,000

154,500

8.625% 2/1/19

315,000

358,313

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

1,126

1,182

Pinnacle Entertainment, Inc. 7.75% 4/1/22

50,000

53,500

Station Casinos LLC 3.66% 6/18/18 (d)

715,000

636,350

 

2,971,563

Healthcare - 4.7%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

195,000

209,138

Community Health Systems, Inc.:

5.125% 8/15/18

160,000

168,400

7.125% 7/15/20

160,000

172,800

8% 11/15/19

210,000

231,525

DaVita, Inc.:

5.75% 8/15/22

155,000

162,750

6.625% 11/1/20

300,000

327,750

Emergency Medical Services Corp. 8.125% 6/1/19

45,000

49,275

FMC Finance VII SA 5.25% 2/15/21

EUR

290,000

435,973

FMC Finance VIII SA 5.25% 7/31/19 (Reg S.)

EUR

300,000

452,376

Fresenius Medical Care US Finance II, Inc.:

5.625% 7/31/19 (e)

445,000

482,825

5.875% 1/31/22 (e)

625,000

682,813

6.5% 9/15/18 (e)

20,000

22,674

Fresenius US Finance II, Inc. 8.75% 7/15/15 (Reg. S)

EUR

100,000

157,233

HCA Holdings, Inc.:

6.25% 2/15/21

195,000

203,775

7.75% 5/15/21

950,000

1,040,250

HCA, Inc.:

4.75% 5/1/23

1,290,000

1,298,063

5.875% 3/15/22

620,000

674,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Healthcare - continued

HCA, Inc.: - continued

5.875% 5/1/23

$ 340,000

$ 353,600

6.5% 2/15/20

895,000

998,999

7.25% 9/15/20

1,000,000

1,110,000

7.5% 2/15/22

180,000

207,450

8.5% 4/15/19

1,000,000

1,107,500

HealthSouth Corp.:

5.75% 11/1/24

100,000

101,000

7.75% 9/15/22

270,000

295,650

IMS Health, Inc. 6% 11/1/20 (e)

95,000

99,038

Kindred Healthcare, Inc. 8.25% 6/1/19

15,000

14,775

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

EUR

300,000

428,725

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

375,000

330,000

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

360,000

381,600

6.75% 10/15/22

250,000

273,125

7.5% 2/15/20

300,000

329,250

Radiation Therapy Services, Inc. 8.875% 1/15/17

440,000

435,600

Rottapharm Ltd. 6.125% 11/15/19 (Reg. S)

EUR

300,000

422,177

Rural/Metro Corp. 10.125% 7/15/19 (e)

110,000

110,275

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

110,000

117,700

Sky Growth Acquisition Corp. 7.375% 10/15/20 (e)

60,000

61,200

Teleflex, Inc. 6.875% 6/1/19

40,000

43,500

Tenet Healthcare Corp.:

4.5% 4/1/21 (e)(g)

180,000

176,850

4.75% 6/1/20 (e)

135,000

135,675

6.25% 11/1/18

85,000

93,288

6.75% 2/1/20

145,000

151,525

9.25% 2/1/15

300,000

339,750

Valeant Pharmaceuticals International:

6.375% 10/15/20 (e)

190,000

196,175

6.75% 8/15/21 (e)

185,000

193,788

7% 10/1/20 (e)

90,000

95,400

7.25% 7/15/22 (e)

25,000

26,875

VPI Escrow Corp. 6.375% 10/15/20 (e)

340,000

351,458

VWR Funding, Inc. 7.25% 9/15/17 (e)

340,000

359,975

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e)

30,000

30,225

 

16,144,018

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Homebuilders/Real Estate - 4.1%

Agile Property Holdings Ltd.:

8.875% 4/28/17 (Reg. S)

$ 300,000

$ 315,000

9.875% 3/20/17 (Reg. S)

200,000

222,500

10% 11/14/16 (Reg. S)

400,000

431,520

Beazer Homes USA, Inc. 7.25% 2/1/23 (e)

140,000

141,050

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

85,000

89,675

Central China Real Estate Ltd. 12.25% 10/20/15
(Reg. S)

100,000

109,250

China SCE Property Holdings Ltd. 11.5% 11/14/17 (Reg. S)

200,000

210,928

China South City Holdings Ltd. 13.5% 1/14/16 (Reg. S)

200,000

208,296

Country Garden Holdings Co. Ltd.:

7.5% 1/10/23 (Reg. S)

300,000

307,125

11.25% 4/22/17 (Reg. S)

500,000

556,250

11.75% 9/10/14

200,000

221,000

Evergrande Real Estate Group Ltd. 13% 1/27/15
(Reg. S)

700,000

750,750

Fantasia Holdings Group Co. Ltd. 13.75% 9/27/17

400,000

442,983

Franshion Development Ltd. 6.75% 4/15/21 (Reg S.)

200,000

214,700

Franshion Investment Ltd. 4.7% 10/26/17 (Reg. S)

600,000

597,445

Gemdale International Investment Ltd. 7.125% 11/16/17 (Reg. S)

200,000

203,205

Glorious Property Holdings Ltd. 13% 10/25/15

200,000

204,382

Hopson Development Holdings Ltd. 11.75% 1/21/16

200,000

208,530

Kaisa Group Holdings Ltd.:

10.25% 1/8/20 (Reg. S)

200,000

203,626

12.875% 9/18/17

200,000

225,058

13.5% 4/28/15

300,000

324,000

KWG Property Holding Ltd.:

8.625% 2/5/20 (Reg. S)

400,000

395,020

12.5% 8/18/17 (Reg. S)

400,000

444,097

12.75% 3/30/16 (Reg. S)

200,000

221,509

Longfor Properties Co. Ltd.:

6.875% 10/18/19

400,000

413,335

9.5% 4/7/16 (Reg. S)

400,000

433,000

M.D.C. Holdings, Inc. 6% 1/15/43

1,160,000

1,148,400

Neo-China Group (Holdings) Ltd. 9.75% 7/23/14 unit (Reg. S)

200,000

213,503

Obrascon Huarte Lain SA 7.625% 3/15/20 (Reg. S)

EUR

300,000

427,707

Odebrecht Finance Ltd. 7.5% (e)(f)

300,000

323,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Homebuilders/Real Estate - continued

Realogy Corp. 9% 1/15/20 (e)

$ 125,000

$ 145,625

Renhe Commercial Holdings Co. Ltd.:

11.75% 5/18/15 (Reg. S)

200,000

160,833

13% 3/10/16 (Reg. S)

100,000

79,500

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

55,000

56,100

Shimao Property Holdings Ltd.:

6.625% 1/14/20 (Reg. S)

300,000

293,836

8% 12/1/16 (Reg. S)

100,000

102,750

9.65% 8/3/17

300,000

323,235

11% 3/8/18

300,000

336,995

Sigma Capital Pte. Ltd. 9% 4/30/15

200,000

210,706

SOHO China Ltd.:

5.75% 11/7/17 (Reg. S)

200,000

196,576

7.125% 11/7/22 (Reg. S)

400,000

392,996

Sunac China Holdings Ltd. 12.5% 10/16/17 (Reg. S)

200,000

222,885

Theta Capital Pte Ltd.:

6.125% 11/14/20 (Reg. S)

200,000

206,380

7% 5/16/19

200,000

212,752

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

90,000

91,800

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

100,000

107,750

Yanlord Land Group Ltd. 9.5% 5/4/17 (Reg. S)

400,000

417,000

Yuzhou Properties Co.:

11.75% 10/25/17 (Reg. S)

200,000

216,667

13.5% 12/15/15 (Reg. S)

100,000

109,765

 

14,091,245

Hotels - 0.1%

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

45,000

49,838

Host Hotels & Resorts LP:

4.75% 3/1/23

160,000

167,600

5.875% 6/15/19

10,000

10,875

6% 10/1/21

60,000

68,625

 

296,938

Insurance - 0.2%

A-S Co.-Issuer Subsidiary, Inc./A-S Merger Sub LLC 7.875% 12/15/20 (e)

80,000

80,200

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

EUR

200,000

319,083

MAPFRE SA 5.921% 7/24/37 (h)

EUR

150,000

173,120

 

572,403

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Leisure - 0.8%

Equinox Holdings, Inc. 9.5% 2/1/16 (e)

$ 500,000

$ 523,750

FGI Operating Co. LLC/FGI Finance, Inc. 7.875% 5/1/20 (e)

70,000

71,925

Lottomatica SpA 8.25% 3/31/66 (Reg. S) (h)

EUR

400,000

558,056

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

85,000

90,100

5.625% 1/27/14

EUR

250,000

349,634

Speedway Motorsports, Inc. 6.75% 2/1/19 (e)

1,160,000

1,229,600

 

2,823,065

Metals/Mining - 2.3%

Alpha Natural Resources, Inc.:

6% 6/1/19

60,000

53,850

6.25% 6/1/21

35,000

31,063

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (e)

235,000

212,675

ArcelorMittal SA 4.625% 11/17/17

EUR

500,000

722,180

Berau Capital Resources Pte Ltd. 12.5% 7/8/15 (Reg. S)

300,000

322,500

Berau Coal Energy Tbk PT 7.25% 3/13/17 (Reg. S)

400,000

394,000

Bumi Capital Pte. Ltd. 12% 11/10/16 (Reg. S)

100,000

92,250

Bumi Investment Pte Ltd. 10.75% 10/6/17 (Reg. S)

300,000

255,000

CITIC Resources Finance (2007) Ltd. 6.75% 5/15/14 (Reg. S)

200,000

208,500

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (e)

200,000

204,500

6.875% 2/1/18 (e)

60,000

62,250

6.875% 4/1/22 (e)

200,000

207,000

7% 11/1/15 (e)

225,000

234,563

8.25% 11/1/19 (e)

605,000

647,350

Hidili Industry International Development Ltd. 8.625% 11/4/15 (Reg. S)

100,000

75,250

Indo Energy Finance BV 7% 5/7/18 (Reg. S)

200,000

213,500

Inmet Mining Corp. 7.5% 6/1/21 (e)

100,000

107,750

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

400,000

410,000

New Gold, Inc.:

6.25% 11/15/22 (e)

80,000

84,600

7% 4/15/20 (e)

40,000

43,000

Novelis, Inc. 8.75% 12/15/20

400,000

451,000

Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 8.375% 6/1/20 (e)

120,000

128,700

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

55,000

59,400

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Metals/Mining - continued

PT Adaro Indonesia 7.625% 10/22/19 (Reg. S)

$ 500,000

$ 550,000

Rain CII Carbon LLC/CII Carbon Corp. 8.25% 1/15/21 (e)

200,000

209,500

Vedanta Resources PLC:

6.75% 6/7/16 (e)

200,000

209,400

6.75% 6/7/16 (Reg. S)

200,000

209,400

8.25% 6/7/21 (e)

200,000

230,000

8.75% 1/15/14 (Reg. S)

400,000

417,832

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

500,000

591,250

Winsway Coking Coal Holding Ltd. 8.5% 4/8/16
(Reg. S)

200,000

160,000

 

7,798,263

Paper - 0.5%

Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (e)

45,000

46,350

Clearwater Paper Corp. 4.5% 2/1/23 (e)

215,000

212,850

Lecta SA 8.875% 5/15/19 (Reg. S)

EUR

100,000

137,138

Norske Skogindustrier ASA 7% 6/26/17

EUR

100,000

94,707

Smurfit Kappa Acquisitions:

5.125% 9/15/18 (Reg. S)

EUR

100,000

141,551

7.25% 11/15/17 (Reg. S)

EUR

160,000

229,848

7.75% 11/15/19 (Reg. S)

EUR

120,000

178,415

Verso Paper Holdings LLC/Verso Paper, Inc.:

11.75% 1/15/19

545,000

574,975

11.75% 1/15/19

184,000

132,480

 

1,748,314

Publishing/Printing - 0.0%

Seat Pagine Gialle SpA:

10.5% 1/31/17

EUR

2,500

1,222

10.5% 1/31/17 (Reg. S)

EUR

50,000

24,440

Sheridan Group, Inc. 12.5% 4/15/14

97,262

82,673

 

108,335

Railroad - 0.2%

Refer-Rede Ferroviaria Nacional SA:

4% 3/16/15

EUR

200,000

255,546

4.25% 12/13/21

EUR

400,000

426,404

 

681,950

Restaurants - 0.2%

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

105,000

112,875

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Restaurants - continued

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

$ 125,000

$ 129,375

NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20

500,000

580,000

 

822,250

Services - 0.7%

APX Group, Inc.:

6.375% 12/1/19 (e)

450,000

440,460

8.75% 12/1/20 (e)

300,000

294,000

ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (e)(h)

300,000

306,750

FTI Consulting, Inc. 6% 11/15/22 (e)

205,000

215,250

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

125,000

126,094

Laureate Education, Inc. 9.25% 9/1/19 (e)

520,000

566,800

Road King Infrastructure Finance 2010 Ltd. 9.5% 9/21/15

300,000

316,433

TransUnion Holding Co., Inc.:

8.125% 6/15/18 pay-in-kind (e)

155,000

162,363

9.625% 6/15/18 pay-in-kind (h)

90,000

96,075

 

2,524,225

Shipping - 0.2%

HDTFS, Inc.:

5.875% 10/15/20 (e)

150,000

157,500

6.25% 10/15/22 (e)

105,000

112,875

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17

25,000

23,688

Navios Maritime Holdings, Inc. 8.125% 2/15/19

10,000

8,500

NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (e)

110,000

119,900

TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (e)

115,000

121,900

Western Express, Inc. 12.5% 4/15/15 (e)

315,000

199,238

 

743,601

Steel - 0.8%

China Oriental Group Co. Ltd. 8% 8/18/15 (Reg. S)

500,000

506,250

CITIC Pacific Ltd. 6.875% 1/21/18 (Reg. S)

800,000

843,686

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

9% 10/15/17 (e)

520,000

559,000

11.25% 10/15/18 (e)

125,000

123,750

Severstal Columbus LLC 10.25% 2/15/18

425,000

455,813

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Steel - continued

Steel Dynamics, Inc.:

6.125% 8/15/19 (e)

$ 140,000

$ 151,200

6.375% 8/15/22 (e)

120,000

129,300

 

2,768,999

Super Retail - 0.6%

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

20,000

22,400

Claire's Stores, Inc. 9% 3/15/19 (e)

1,075,000

1,177,125

Hengdeli Holding Ltd. 6.25% 1/29/18 (Reg. S)

200,000

200,900

Jo-Ann Stores, Inc. 9.75% 10/15/19 pay-in-kind (e)(h)

155,000

158,488

Limited Brands, Inc. 5.625% 2/15/22

250,000

269,375

Sally Holdings LLC 6.875% 11/15/19

35,000

38,588

Sonic Automotive, Inc. 7% 7/15/22

105,000

115,894

 

1,982,770

Technology - 2.7%

Avaya, Inc. 7% 4/1/19 (e)

905,000

864,275

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

135,000

133,650

Ceridian Corp. 8.875% 7/15/19 (e)

135,000

150,188

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

200,000

192,363

First Data Corp.:

6.75% 11/1/20 (e)

1,905,000

1,962,150

11.25% 1/15/21 (e)(g)

745,000

746,863

Freescale Semiconductor, Inc. 9.25% 4/15/18 (e)

285,000

312,788

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

200,000

200,000

IAC/InterActiveCorp 4.75% 12/15/22 (e)

205,000

203,463

Infor US, Inc. 9.375% 4/1/19

85,000

96,050

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

1,000,000

780,000

Metropolitan Light International Ltd. 5.25% 1/17/18

200,000

197,235

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

80,000

82,400

NXP BV/NXP Funding LLC:

2.945% 10/15/13 (h)

EUR

205,176

278,588

5.75% 2/15/21 (e)(g)

290,000

290,000

Rexel SA:

7% 12/17/18

EUR

400,000

594,716

8.25% 12/15/16

EUR

200,000

293,964

STATS ChipPAC Ltd.:

5.375% 3/31/16 (Reg. S)

300,000

312,000

7.5% 8/12/15 (Reg. S)

200,000

211,750

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Technology - continued

SunGard Data Systems, Inc. 6.625% 11/1/19 (e)

$ 295,000

$ 304,588

Viasystems, Inc. 7.875% 5/1/19 (e)

295,000

294,263

WEX, Inc. 4.75% 2/1/23 (e)

110,000

108,900

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19 (e)

400,000

441,000

13.375% 10/15/19 (e)

220,000

242,550

 

9,293,744

Telecommunications - 8.8%

Altice Financing SA:

7.875% 12/15/19 (e)

975,000

1,048,125

8% 12/15/19 (Reg. S)

EUR

650,000

935,524

Altice Finco SA 9.875% 12/15/20 (e)

865,000

955,825

Bakrie Telecom Pte Ltd. 11.5% 5/7/15 (Reg. S)

200,000

116,000

Bite Finance International BV 7.7441% 2/15/18 (Reg. S) (h)

EUR

200,000

270,202

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

187,500

187,500

Clearwire Communications LLC/Clearwire Finance, Inc.:

12% 12/1/15 (e)

295,000

319,706

14.75% 12/1/16 (e)

665,000

939,313

Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (e)

120,000

127,800

Digicel Group Ltd.:

7% 2/15/20 (e)

200,000

216,000

8.25% 9/1/17 (e)

300,000

318,000

8.25% 9/30/20 (e)

525,000

585,375

10.5% 4/15/18 (e)

400,000

446,000

DigitalGlobe, Inc. 5.25% 2/1/21 (e)

905,000

902,738

eAccess Ltd. 8.375% 4/1/18 (Reg. S)

EUR

400,000

605,579

Eileme 1 AB 14.25% 8/15/20 pay-in-kind (e)

235,500

257,873

Frontier Communications Corp.:

7.125% 1/15/23

255,000

270,938

8.5% 4/15/20

750,000

862,500

Hughes Satellite Systems Corp. 6.5% 6/15/19

715,000

786,500

Indosat Palapa Co. BV 7.375% 7/29/20

200,000

225,000

Instituto Costarricense de Electricidad 6.95% 11/10/21 (e)

200,000

231,000

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (e)

350,000

356,125

7.25% 10/15/20 (e)

495,000

529,650

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Intelsat Jackson Holdings SA: - continued

7.5% 4/1/21

$ 2,470,000

$ 2,692,300

Level 3 Communications, Inc. 8.875% 6/1/19 (e)

55,000

59,950

Level 3 Financing, Inc.:

7% 6/1/20 (e)

180,000

190,350

10% 2/1/18

200,000

222,000

NeuStar, Inc. 4.5% 1/15/23 (e)

1,795,000

1,795,000

NII Capital Corp. 7.625% 4/1/21

190,000

149,150

OTE PLC:

4.625% 5/20/16

EUR

400,000

506,307

5% 8/5/13

EUR

50,000

67,890

7.25% 2/12/15

EUR

300,000

409,377

7.875% 2/7/18 (Reg. S)

EUR

200,000

268,844

Pacnet Ltd. 9.25% 11/9/15 (Reg. S)

200,000

208,500

Portugal Telecom International Finance BV:

4.5% 6/16/25

EUR

400,000

496,444

5.875% 4/17/18

EUR

300,000

422,192

SBA Communications Corp. 5.625% 10/1/19 (e)

245,000

256,638

Sprint Capital Corp.:

6.875% 11/15/28

190,000

191,900

6.9% 5/1/19

815,000

886,313

8.75% 3/15/32

495,000

584,100

Sprint Nextel Corp.:

6% 11/15/22

2,225,000

2,230,563

7% 8/15/20

735,000

795,638

9% 11/15/18 (e)

505,000

624,938

Sunrise Communications International SA 8.5% 12/31/18 (Reg. S)

EUR

200,000

293,285

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

200,000

215,000

Telenet Finance Luxembourg S.C.A.:

6.25% 8/15/22 (Reg. S)

EUR

100,000

143,587

6.375% 11/15/20 (Reg. S)

EUR

300,000

435,854

6.75% 8/15/24 (Reg. S)

EUR

100,000

144,606

Wind Acquisition Finance SA:

7.25% 2/15/18 (e)

400,000

421,000

7.375% 2/15/18

EUR

550,000

776,662

7.375% 2/15/18 (Reg. S)

EUR

250,000

350,652

Wind Acquisition Holdings Finance SA:

12.25% 7/15/17 pay-in-kind (Reg. S) (h)

EUR

873,030

1,134,313

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Wind Acquisition Holdings Finance SA: - continued

12.25% 7/15/17 pay-in-kind (e)(h)

$ 105,000

$ 110,775

Windstream Corp.:

6.375% 8/1/23 (e)

1,160,000

1,183,200

7.5% 6/1/22

500,000

541,250

 

30,301,851

Textiles & Apparel - 0.1%

Albea Beauty Holdings SA 8.375% 11/1/19 (e)

230,000

243,225

TOTAL NONCONVERTIBLE BONDS

269,574,916

TOTAL CORPORATE BONDS

(Cost $255,562,613)


270,024,149

Government Obligations - 3.2%

 

Aruba - 0.1%

Aruba Government 4.625% 9/14/23 (e)

200,000

207,400

Azerbaijan - 0.1%

State Oil Company of Azerbaijan Republic 5.45% 2/9/17

200,000

218,500

Barbados - 0.0%

Barbados Government 7% 8/4/22 (e)

100,000

106,000

Belarus - 0.1%

Belarus Republic:

8.75% 8/3/15 (Reg. S)

200,000

210,000

8.95% 1/26/18

100,000

106,500

TOTAL BELARUS

316,500

Belize - 0.1%

Belize Government 8.5% 2/20/29 (b)(e)

400,000

232,000

Bermuda - 0.0%

Bermuda Government 5.603% 7/20/20 (e)

150,000

174,000

Bolivia - 0.1%

Plurinational State of Bolivia 4.875% 10/29/22 (e)

200,000

197,500

Cayman Islands - 0.0%

Cayman Island Government 5.95% 11/24/19 (e)

100,000

117,000

Congo - 0.0%

Congo Republic 3% 6/30/29 (d)

188,100

176,814

Government Obligations - continued

 

Principal Amount (c)

Value

Ecuador - 0.1%

Ecuador Republic 9.375% 12/15/15 (e)

$ 250,000

$ 260,000

Ghana - 0.0%

Ghana Republic 8.5% 10/4/17 (e)

100,000

116,500

Guatemala - 0.1%

Guatemalan Republic 5.75% 6/6/22 (e)

200,000

226,000

Hungary - 0.0%

Hungarian Republic 4.75% 2/3/15

95,000

97,261

Iceland - 0.1%

Republic of Iceland:

4.875% 6/16/16 (e)

125,000

132,813

5.875% 5/11/22 (e)

100,000

112,500

TOTAL ICELAND

245,313

Iraq - 0.1%

Republic of Iraq 5.8% 1/15/28 (Reg. S)

250,000

238,750

Ivory Coast - 0.0%

Ivory Coast 7.1% 12/31/32 (Reg. S) (d)

200,000

191,000

Jordan - 0.0%

Jordanian Kingdom 3.875% 11/12/15

200,000

195,000

Latvia - 0.0%

Latvian Republic 2.75% 1/12/20 (e)

200,000

197,260

Lebanon - 0.2%

Lebanese Republic:

6.1% 10/4/22

260,000

266,188

11.625% 5/11/16 (Reg. S)

325,000

397,313

TOTAL LEBANON

663,501

Lithuania - 0.1%

Lithuanian Republic:

6.125% 3/9/21 (e)

150,000

180,000

7.375% 2/11/20 (e)

125,000

159,375

TOTAL LITHUANIA

339,375

Mongolia - 0.0%

Mongolian People's Republic 5.125% 12/5/22 (Reg. S)

200,000

191,000

Morocco - 0.1%

Moroccan Kingdom 4.25% 12/11/22 (e)

200,000

204,250

Namibia - 0.1%

Republic of Namibia 5.5% 11/3/21 (e)

200,000

222,140

Government Obligations - continued

 

Principal Amount (c)

Value

Netherlands - 0.1%

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

$ 250,000

$ 281,875

Nigeria - 0.1%

Republic of Nigeria 6.75% 1/28/21 (e)

225,000

268,875

Paraguay - 0.1%

Republic of Paraguay 4.625% 1/25/23 (e)

200,000

200,500

Romania - 0.1%

Romanian Republic 6.75% 2/7/22 (e)

246,000

296,430

Russia - 0.4%

Russian Federation:

5.625% 4/4/42 (e)

400,000

467,000

7.5% 3/31/30 (Reg. S)

174,375

217,306

12.75% 6/24/28 (Reg. S)

400,000

782,480

TOTAL RUSSIA

1,466,786

Senegal - 0.1%

Republic of Senegal 8.75% 5/13/21 (e)

200,000

243,000

Serbia - 0.1%

Republic of Serbia 6.75% 11/1/24 (e)

404,000

407,030

Slovakia - 0.1%

Slovakia Republic 4.375% 5/21/22 (e)

200,000

214,000

Slovenia - 0.1%

Republic of Slovenia 5.5% 10/26/22 (e)

400,000

414,000

Sri Lanka - 0.1%

Democratic Socialist Republic of Sri Lanka:

5.875% 7/25/22 (e)

200,000

213,500

6.25% 10/4/20 (e)

100,000

108,500

TOTAL SRI LANKA

322,000

Ukraine - 0.0%

Ukraine Government 7.75% 9/23/20 (e)

150,000

156,930

Venezuela - 0.4%

Venezuelan Republic:

oil recovery rights 4/15/20 (i)

1,500

45,750

7.75% 10/13/19 (Reg. S)

110,000

106,700

11.75% 10/21/26 (Reg. S)

375,000

424,688

11.95% 8/5/31 (Reg. S)

500,000

572,500

12.75% 8/23/22

190,000

227,525

TOTAL VENEZUELA

1,377,163

Government Obligations - continued

 

Principal Amount (c)

Value

Zambia - 0.1%

Republic of Zambia 5.375% 9/20/22 (e)

$ 200,000

$ 204,500

TOTAL GOVERNMENT OBLIGATIONS

(Cost $9,914,485)


10,986,153

Common Stocks - 0.0%

Shares

 

Homebuilders/Real Estate - 0.0%

Realogy Holdings Corp.

1,400

62,678

Telecommunications - 0.0%

Broadview Networks Holdings, Inc.

12,187

164,525

TOTAL COMMON STOCKS

(Cost $244,603)


227,203

Preferred Stocks - 1.3%

 

 

 

 

Convertible Preferred Stocks - 0.5%

Automotive - 0.1%

General Motors Co. 4.75%

5,000

216,600

Electric Utilities - 0.3%

PPL Corp. 9.50%

20,000

1,081,200

Energy - 0.1%

Chesapeake Energy Corp. Series A, 5.75% (e)

400

406,750

TOTAL CONVERTIBLE PREFERRED STOCKS

1,704,550

Nonconvertible Preferred Stocks - 0.8%

Banks & Thrifts - 0.3%

Ally Financial, Inc. 7.00% (e)

709

687,730

U.S. Bancorp Series F, 6.50%

4,054

116,431

 

804,161

Diversified Financial Services - 0.4%

Discover Financial Services Series B, 6.50%

5,796

147,798

GMAC Capital Trust I Series 2, 8.125%

50,000

1,333,500

 

1,481,298

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

Homebuilders/Real Estate - 0.1%

Annaly Capital Management, Inc. Series D, 7.50%

15,357

$ 384,693

TOTAL NONCONVERTIBLE PREFERRED STOCKS

2,670,152

TOTAL PREFERRED STOCKS

(Cost $4,077,178)


4,374,702

Floating Rate Loans - 7.1%

 

Principal Amount (c)

 

Air Transportation - 0.2%

US Airways Group, Inc. term loan 2.7017% 3/23/14 (h)

$ 685,211

682,642

Broadcasting - 0.2%

CKX, Inc. Tranche 1LN, term loan 9% 6/21/17

335,000

279,725

Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (h)

105,000

103,950

NEP/NCP Holdco, Inc.:

Tranche 2LN, term loan 9.5% 7/22/20 (h)

10,000

10,350

Tranche B 1LN, term loan 5.25% 1/22/20 (h)

20,000

20,350

Univision Communications, Inc. term loan 4.4517% 3/31/17 (h)

327,776

329,005

 

743,380

Cable TV - 0.1%

Kabel Deutschland GmbH Tranche F, term loan 4.25% 2/1/19 (h)

40,000

39,950

WideOpenWest Finance LLC Tranche B, term loan 6.25% 7/17/18 (h)

412,925

417,054

 

457,004

Capital Goods - 0.1%

Apex Tool Group, LLC Tranche B, term loan 4.5% 1/18/20 (h)

205,000

207,050

Chemicals - 0.0%

U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (h)

115,000

116,294

Consumer Products - 0.0%

Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (h)

20,000

20,300

Diversified Financial Services - 0.2%

AlixPartners LLP Tranche 2LN, term loan 10.75% 12/29/19 (h)

620,000

638,600

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Diversified Financial Services - continued

Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (h)

$ 35,000

$ 35,133

Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (h)

24,688

24,996

HarbourVest Partners LLC Tranche B, term loan 4.75% 11/21/17 (h)

72,054

72,054

Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (h)

60,000

60,750

 

831,533

Diversified Media - 0.0%

WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (h)

15,000

15,188

Electric Utilities - 0.2%

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7423% 10/10/17 (h)

1,000,000

661,250

The AES Corp. Tranche B, term loan 4.25% 5/27/18 (h)

11,523

11,653

 

672,903

Energy - 0.4%

Alon USA Partners LP term loan 9.25% 11/13/18 (h)

108,333

110,771

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (h)

635,000

650,113

Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (h)

85,000

85,956

LSP Madison Funding LLC Tranche 1LN, term loan 4.7484% 6/28/19 (h)

180,690

181,142

MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (h)

299,250

302,617

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

65,000

65,975

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (h)

45,000

45,621

 

1,442,195

Food & Drug Retail - 0.2%

Sprouts Farmers Market LLC Tranche B, term loan 6% 4/18/18 (h)

740,578

747,984

Gaming - 0.4%

Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (h)

75,000

77,625

Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4537% 1/28/18 (h)

1,360,000

1,261,400

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Gaming - continued

MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (h)

$ 90,000

$ 91,350

NP Opco, LLC Tranche B, term loan 5.5% 9/28/19 (h)

64,838

65,894

 

1,496,269

Healthcare - 0.2%

Genesis HealthCare Corp. Tranche B, term loan 10.0022% 12/4/17 (h)

297,500

290,063

VWR Funding, Inc. Tranche B, term loan 4.2017% 4/3/17 (h)

205,000

206,025

 

496,088

Homebuilders/Real Estate - 0.5%

Realogy Corp.:

Credit-Linked Deposit 4.4587% 10/10/16 (h)

137,164

138,193

term loan 4.4557% 10/10/16 (h)

1,418,982

1,429,624

 

1,567,817

Insurance - 0.3%

Asurion Corp.:

Tranche 1LN, term loan 5.5% 5/24/18 (h)

456,250

460,265

Tranche 2LN, term loan 9% 5/24/19 (h)

345,541

355,044

Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (h)

310,000

331,700

 

1,147,009

Leisure - 0.5%

Equinox Holdings, Inc. Tranche 2LN, term loan 9.75% 5/16/20 (h)

630,000

639,450

Formula One Holdings Tranche B 2LN, term loan 6% 4/28/19 (h)

992,513

1,003,678

 

1,643,128

Metals/Mining - 0.1%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (h)

35,000

35,383

Tranche B 2LN, term loan 8.75% 1/25/21 (h)

20,000

20,275

Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (h)

379,050

383,314

 

438,972

Publishing/Printing - 0.0%

Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (h)

19,850

19,949

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Restaurants - 0.1%

Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (h)

$ 297,750

$ 301,159

NPC International, Inc. Tranche B, term loan 4.5% 12/28/18 (h)

83,442

84,276

 

385,435

Services - 0.0%

Bright Horizons Family Solutions, Inc. Tranche B, term loan 5.25% 1/18/20 (h)

40,000

40,350

Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (h)

40,000

40,300

 

80,650

Super Retail - 0.3%

BJ's Wholesale Club, Inc. Tranche 1LN, term loan 5.75% 9/26/19 (h)

39,900

40,648

Party City Corp. Tranche B, term loan 5.75% 7/27/19 (h)

119,700

121,496

Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (h)

230,000

232,588

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (h)

494,949

498,662

 

893,394

Technology - 1.5%

Ancestry.com, Inc. Tranche B, term loan 7% 12/28/18 (h)

755,000

753,113

Avaya, Inc. term loan 3.0615% 10/27/14 (h)

196,579

195,596

First Data Corp.:

term loan 4.2047% 3/24/18 (h)

2,105,000

2,083,950

Tranche 1LN, term loan 5.2047% 9/24/18 (h)

15,000

15,019

GoDaddy.com, Inc. Tranche B 1LN, term loan 5.5% 12/16/18 (h)

21,099

21,152

Kronos, Inc.:

Tranche 2LN, term loan 9.75% 4/24/20 (h)

270,000

272,700

Tranche B 1LN, term loan 5.5% 10/30/19 (h)

150,000

152,438

NXP BV:

Tranche A 1LN, term loan 4.5% 3/4/17 (h)

553,280

562,962

Tranche A 2LN, term loan 5.5% 3/4/17 (h)

113,563

115,976

Tranche A6, term loan 5.25% 3/19/19 (h)

853,695

866,500

 

5,039,406

Telecommunications - 1.6%

Alcatel-Lucent USA, Inc. Tranche C, term loan 7.25% 1/23/19 (h)

270,000

273,375

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Telecommunications - continued

Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (h)

$ 148,500

$ 149,064

FairPoint Communications, Inc. term loan 6.4047% 1/24/16 (h)

1,892,458

1,859,339

Genesys SA Tranche B, term loan 6.75% 1/31/19 (h)

44,663

44,830

Intelsat Jackson Holdings SA Tranche B, term loan 4.5% 4/2/18 (h)

184,206

186,288

Level 3 Financing, Inc. Tranche B 2LN, term loan 4.75% 8/1/19 (h)

710,000

716,248

RP Crown Parent, LLC:

Tranche 1LN, term loan 6.75% 12/21/18 (h)

380,000

385,700

Tranche 2LN, term loan 11.25% 12/21/19 (h)

310,000

319,300

Vodafone Americas Finance 2, Inc.:

term loan 6.875% 8/11/15

1,117,538

1,139,888

Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind

309,375

317,883

 

5,391,915

TOTAL FLOATING RATE LOANS

(Cost $23,776,599)


24,536,505

Preferred Securities - 3.1%

 

 

 

 

Banks & Thrifts - 2.4%

ABN AMRO Bank N.V. Amsterdam BRH. 4.31% (f)(h)

600,000

714,336

AMBB Capital (L) Ltd. 6.77% (f)(h)

200,000

202,874

Banque Federative du Credit Mutuel SA 4.471% (f)(h)

150,000

193,751

Barclays Bank PLC:

4.75% (f)(h)

400,000

420,144

4.875% (f)(h)

400,000

402,585

BNP Paribas SA 5.019% (f)(h)

50,000

64,533

Caisse Nationale des Caisses d' Epargne et de Prevoyance:

4.75% (f)(h)

150,000

159,719

6.117% (f)(h)

500,000

617,890

Credit Agricole SA 7.875% (f)(h)

400,000

582,650

Groupe BPCE SA 9% (f)(h)

600,000

899,616

Intesa Sanpaolo SpA:

0% (f)(h)

450,000

590,870

8.375% (f)(h)

500,000

686,023

Lloyds TSB Bank PLC 6.35% (f)(h)

150,000

174,102

Natixis SA 6.307% (f)(h)

150,000

181,794

OTP Bank PLC 5.875% (f)(h)

60,000

56,158

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

100,000

125,338

Preferred Securities - continued

Principal Amount (c)

Value

Banks & Thrifts - continued

Societe Generale:

4.196% (f)(h)

$ 473,000

$ 562,070

6.999% (f)(h)

200,000

267,004

7.756% (f)(h)

50,000

68,959

UBS Capital Securities Ltd. (Jersey) 8.836% (f)(h)

700,000

1,007,410

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

100,000

141,115

Westpac Capital Trust III 5.819% (Reg. S) (f)(h)

200,000

204,703

 

8,323,644

Diversified Financial Services - 0.3%

Citigroup, Inc. 5.95% (f)(h)

395,000

405,021

Fortis Hybrid Financing SA 5.125% (f)(h)

300,000

351,391

SNS REAAL NV 6.258% (f)(h)

50,000

29,466

UBS AG 4.28% (f)(h)

250,000

337,636

 

1,123,514

Food/Beverage/Tobacco - 0.2%

Suedzucker International Finance BV 0% (f)(h)

350,000

497,038

Homebuilders/Real Estate - 0.1%

Wienerberger AG 6.5% (f)(h)

300,000

371,037

Insurance - 0.1%

Aviva PLC:

4.7291% (f)(h)

50,000

65,729

5.7% (f)(h)

200,000

271,056

 

336,785

TOTAL PREFERRED SECURITIES

(Cost $9,466,229)


10,652,018

Money Market Funds - 8.7%

Shares

 

Fidelity Cash Central Fund, 0.16% (a)
(Cost $30,118,889)

30,118,889


30,118,889

TOTAL INVESTMENT PORTFOLIO - 101.8%

(Cost $333,160,596)

350,919,619

NET OTHER ASSETS (LIABILITIES) - (1.8)%

(6,359,432 )

NET ASSETS - 100%

$ 344,560,187

Currency Abbreviations

CNY

-

Chinese yuan

EUR

-

European Monetary Unit

Legend

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

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

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

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) 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 $85,021,795 or 24.7% of net assets.

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

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

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

(i) Quantity represents share amount.

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

$ 20,617

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 216,600

$ 216,600

$ -

$ -

Energy

406,750

-

406,750

-

Financials

2,732,830

2,045,100

687,730

-

Telecommunication Services

164,525

-

-

164,525

Utilities

1,081,200

1,081,200

-

-

Corporate Bonds

270,024,149

-

269,836,649

187,500

Government Obligations

10,986,153

-

10,986,153

-

Floating Rate Loans

24,536,505

-

24,536,505

-

Preferred Securities

10,652,018

-

10,652,018

-

Money Market Funds

30,118,889

30,118,889

-

-

Total Investments in Securities:

$ 350,919,619

$ 33,461,789

$ 317,105,805

$ 352,025

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $332,262,914. Net unrealized appreciation aggregated $18,656,705, of which $20,327,778 related to appreciated investment securities and $1,671,073 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds, floating rate loans, foreign government and government agency obligations, and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

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

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor ® Global
High Income Fund:
Class A
Class T
Class C
Institutional Class

January 31, 2013

Class A, Class T, Class C and
Institutional Class
are classes of Fidelity ®
Global High Income Fund 

1.926298.101

AGHI-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 78.4%

 

Principal Amount (c)

Value

Convertible Bonds - 0.1%

Energy - 0.0%

Chesapeake Energy Corp. 2.75% 11/15/35

$ 50,000

$ 50,344

Homebuilders/Real Estate - 0.0%

Kaisa Group Holdings Ltd. 8% 12/20/15

CNY

1,000,000

178,089

Metals/Mining - 0.1%

Massey Energy Co. 3.25% 8/1/15

230,000

220,800

TOTAL CONVERTIBLE BONDS

449,233

Nonconvertible Bonds - 78.3%

Aerospace - 0.3%

Bombardier, Inc.:

4.25% 1/15/16 (e)

660,000

679,800

6.125% 1/15/23 (e)

185,000

187,313

GenCorp, Inc. 7.125% 3/15/21 (e)

55,000

56,925

 

924,038

Air Transportation - 0.1%

BW Group Ltd. 6.625% 6/28/17 (Reg. S)

400,000

426,000

Continental Airlines, Inc. 6.125% 4/29/18 (e)

55,000

54,725

 

480,725

Automotive - 7.1%

ArvinMeritor, Inc. 8.125% 9/15/15

285,000

297,825

Banque PSA Finance:

3.625% 9/17/13 (Reg. S)

EUR

500,000

685,757

8.375% 7/15/14

EUR

190,000

272,635

Conti-Gummi Finance BV:

6.5% 1/15/16 (Reg. S)

EUR

200,000

286,735

7.5% 9/15/17 (Reg. S)

EUR

400,000

576,544

8.5% 7/15/15 (Reg. S)

EUR

250,000

362,363

Continental Rubber of America Corp. 4.5% 9/15/19 (e)

150,000

152,250

Delphi Corp. 6.125% 5/15/21

800,000

880,000

Fiat Finance & Trade Ltd. SA:

6.375% 4/1/16

EUR

480,000

671,296

7.625% 9/15/14

EUR

50,000

71,811

7.75% 10/17/16

EUR

650,000

935,560

Fiat Industrial Finance Europe SA:

5.25% 3/11/15

EUR

520,000

736,964

6.25% 3/9/18

EUR

200,000

300,549

Ford Motor Co. 6.625% 10/1/28

5,000

5,777

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Automotive - continued

Ford Motor Credit Co. LLC:

2.375% 1/16/18

$ 5,000,000

$ 4,934,065

3.875% 1/15/15

4,490,000

4,666,327

4.25% 2/3/17

870,000

927,467

5.875% 8/2/21

765,000

869,476

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

415,000

519,788

General Motors Financial Co., Inc.:

4.75% 8/15/17 (e)

1,095,000

1,144,275

6.75% 6/1/18

2,840,000

3,266,000

GT 2005 Bonds BV 8% 7/21/14 (h)

300,000

300,000

Lear Corp. 4.75% 1/15/23 (e)

200,000

198,500

Penske Automotive Group, Inc. 5.75% 10/1/22 (e)

225,000

232,313

PT Gadjah Tunggal Tbk:

7.75% 2/6/18 (e)(g)

200,000

199,000

7.75% 2/6/18 (Reg. S) (g)

200,000

199,000

Renault SA 4.375% 5/24/13

EUR

100,000

273,948

Schaeffler Finance BV 8.75% 2/15/19 (Reg. S)

EUR

400,000

613,720

 

24,579,945

Banks & Thrifts - 6.1%

Access Finance BV 7.25% 7/25/17 (e)

200,000

214,000

Allied Irish Banks PLC 5.625% 11/12/14

EUR

300,000

413,450

Ally Financial, Inc.:

4.5% 2/11/14

230,000

234,600

4.625% 6/26/15

305,000

320,294

5.5% 2/15/17

600,000

645,000

7.5% 9/15/20

2,065,000

2,483,163

8% 3/15/20

185,000

226,856

8.3% 2/12/15

500,000

556,875

Banco Espirito Santo SA:

4.75% 1/15/18

EUR

500,000

671,497

5.875% 11/9/15

EUR

400,000

562,129

Bank of Ceylon 6.875% 5/3/17 (Reg. S)

200,000

207,500

Bank of East Asia Ltd. 8.5% (f)(h)

500,000

571,518

Bank of Ireland:

10% 7/30/16

EUR

200,000

278,686

10% 12/19/22

EUR

200,000

296,679

Bayerische Landesbank Girozentrale 4.5% 2/7/19 (h)

EUR

450,000

531,640

BDO Unibank, Inc. 4.5% 2/16/17

600,000

622,557

Caja Madrid SA:

4% 2/3/25

EUR

300,000

347,495

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Banks & Thrifts - continued

Caja Madrid SA: - continued

4.125% 3/24/36

EUR

50,000

$ 55,554

Canara Bank 6.365% 11/28/21 (h)

250,000

256,930

CBA Capital Trust II 6.024% (Reg. S) (f)(h)

350,000

362,153

Commerzbank AG 7.75% 3/16/21

EUR

200,000

289,211

Fortis Banque SA 4.625% (Reg. S) (f)(h)

EUR

450,000

556,019

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

200,000

209,500

GMAC LLC:

6.75% 12/1/14

1,150,000

1,242,000

8% 12/31/18

30,000

35,325

8% 11/1/31

1,970,000

2,487,125

HBOS PLC:

4.5% 3/18/30 (h)

EUR

350,000

405,846

4.875% 3/20/15

EUR

200,000

279,724

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

900,000

931,500

Industrial Senior Trust 5.5% 11/1/22 (e)

100,000

101,000

Kazkommerts International BV 6.875% 2/13/17

EUR

150,000

192,468

LBG Capital No. 1 PLC 6.439% 5/23/20

EUR

400,000

537,689

Mizuho Capital Investment (USD) 2 Ltd. 14.95% (Reg. S) (f)(h)

200,000

234,620

National Capital Trust II 5.486% (Reg. S) (h)

300,000

302,846

PKO Finance AB 4.63% 9/26/22 (e)

350,000

366,625

RBS Capital Trust C 4.243% (f)(h)

EUR

300,000

297,358

Resona Preferred Global Securities (Cayman) Ltd. 7.191% (Reg. S) (f)(h)

100,000

108,016

Rizal Commercial Banking Corp. 5.25% 1/31/17

250,000

263,565

RSHB Capital SA 5.298% 12/27/17 (e)

200,000

214,240

SBB Capital Corp. 6.62% (f)(h)

300,000

306,005

Scotiabank Peru SA 4.5% 12/13/27 (e)(h)

35,000

34,475

State Bank of India 6.439% (f)(h)

400,000

392,774

Trade & Development Bank of Mongolia LLC 8.5% 9/20/15

200,000

200,528

UniCredit SpA 6.95% 10/31/22 (Reg. S)

EUR

300,000

419,153

Woori Bank 6.208% 5/2/67 (Reg. S) (h)

600,000

645,000

 

20,911,188

Broadcasting - 0.6%

AMC Networks, Inc.:

4.75% 12/15/22

100,000

100,000

7.75% 7/15/21

5,000

5,713

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Broadcasting - continued

Central European Media Enterprises Ltd. 11.625% 9/15/16 (Reg. S)

EUR

300,000

$ 427,707

Clear Channel Communications, Inc. 5.5% 9/15/14

500,000

480,000

EN Germany Holdings BV 10.75% 11/15/15 (Reg. S)

EUR

300,000

378,623

Mood Media Corp. 9.25% 10/15/20 (e)

190,000

204,725

Polish Television Holding BV 11.25% 5/15/17 (d)

EUR

410,000

595,667

 

2,192,435

Building Materials - 2.1%

Associated Materials LLC 9.125% 11/1/17

65,000

66,625

BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (e)

60,000

61,950

CEMEX Finance LLC:

9.375% 10/12/22 (e)

400,000

451,000

9.625% 12/14/17 (Reg. S)

EUR

260,000

384,094

CEMEX SA de CV 5.311% 9/30/15 (e)(h)

345,000

350,175

China Liansu Group Holdings Ltd. 7.875% 5/13/16 (Reg. S)

400,000

412,000

China Shanshui Cement Group Ltd.:

8.5% 5/25/16 (Reg. S)

600,000

630,000

10.5% 4/27/17 (Reg. S)

200,000

225,000

Gibraltar Industries, Inc. 6.25% 2/1/21 (e)

30,000

30,975

HD Supply, Inc.:

8.125% 4/15/19 (e)

330,000

374,550

10.5% 1/15/21 (e)

120,000

122,700

HeidelbergCement Finance AG:

7.5% 10/31/14

EUR

326,000

479,382

8% 1/31/17

EUR

250,000

391,386

8.5% 10/31/19

EUR

300,000

494,918

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

EUR

100,000

168,367

Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (e)(h)

40,000

43,700

Lafarge SA:

5.375% 6/26/17

EUR

650,000

939,937

8.875% 11/24/16

EUR

350,000

565,524

Nortek, Inc. 8.5% 4/15/21 (e)

120,000

135,600

Ply Gem Industries, Inc. 8.25% 2/15/18

423,000

460,013

USG Corp.:

6.3% 11/15/16

20,000

21,050

7.875% 3/30/20 (e)

105,000

119,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Building Materials - continued

USG Corp.: - continued

9.75% 1/15/18

$ 135,000

$ 157,950

West China Cement Ltd. 7.5% 1/25/16

200,000

194,500

 

7,281,096

Cable TV - 3.4%

Cablevision Systems Corp. 5.875% 9/15/22

375,000

369,863

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

975,000

961,594

6.5% 4/30/21

450,000

481,500

6.625% 1/31/22

240,000

261,600

7.375% 6/1/20

95,000

105,688

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e)

45,000

46,800

CET 21 spol. s r.o. 9% 11/1/17 (Reg. S)

EUR

200,000

294,643

Cyfrowy Polsat Finance AB 7.125% 5/20/18 (Reg. S)

EUR

100,000

145,964

DISH DBS Corp.:

5% 3/15/23 (e)

1,765,000

1,738,525

5.875% 7/15/22

325,000

344,500

EchoStar Communications Corp. 7% 10/1/13

1,000,000

1,036,200

Kabel Deutschland GmbH 6.5% 7/31/17 (Reg. S)

EUR

200,000

289,211

Kabel Deutschland Vertrieb und Service GmbH 6.5% 6/29/18 (Reg. S)

EUR

740,000

1,060,034

Nara Cable Funding Ltd. 8.875% 12/1/18 (Reg. S)

EUR

300,000

417,727

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

0% 12/1/17 (Reg. S)

EUR

250,993

367,211

5.125% 1/21/23 (Reg. S)

EUR

250,000

330,964

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

EUR

600,000

816,717

5.5% 1/15/23 (e)

200,000

206,500

7.5% 3/15/19 (Reg. S)

EUR

400,000

592,055

9.5% 3/15/21 (Reg. S)

EUR

200,000

310,624

9.625% 12/1/19 (Reg S.)

EUR

100,000

149,881

UPC Holding BV:

8% 11/1/16 (Reg. S)

EUR

50,000

69,723

9.75% 4/15/18 (Reg. S)

EUR

389,000

557,446

UPCB Finance III Ltd. 6.625% 7/1/20 (e)

270,000

288,225

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

150,000

166,125

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

150,000

163,875

 

11,573,195

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Capital Goods - 0.8%

Anixter International, Inc. 5.625% 5/1/19

$ 80,000

$ 84,800

Fosun International Ltd. 7.5% 5/12/16 (Reg. S)

200,000

205,000

Franz Haniel & Compagnie GmbH 6.25% 2/8/18

EUR

500,000

761,208

ISS Holdings A/S 8.875% 5/15/16 (Reg. S)

EUR

150,000

209,780

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

EUR

100,000

146,982

Wendel SA:

4.375% 8/9/17

EUR

250,000

347,936

4.875% 11/4/14

EUR

150,000

211,919

5.875% 9/17/19

EUR

100,000

145,285

Zoomlion HK SPV Co. Ltd.:

6.125% 12/20/22 (Reg. S)

400,000

399,000

6.875% 4/5/17 (Reg. S)

200,000

212,819

 

2,724,729

Chemicals - 1.6%

Axiall Corp. 4.875% 5/15/23 (e)(g)

65,000

65,406

Brenntag Finance BV 5.5% 7/19/18 (Reg. S)

EUR

150,000

228,051

Eagle Spinco, Inc. 4.625% 2/15/21 (e)

110,000

110,550

Hexion US Finance Corp. 6.625% 4/15/20 (e)

475,000

467,875

INEOS Group Holdings PLC:

7.875% 2/15/16

EUR

710,000

966,448

8.5% 2/15/16 (e)

370,000

372,775

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

EUR

100,000

132,046

Kinove German Bondco GmbH:

9.625% 6/15/18 (e)

357,000

389,130

10% 6/15/18 (Reg. S)

EUR

90,000

135,339

LyondellBasell Industries NV 6% 11/15/21

200,000

235,760

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

415,000

427,450

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (e)(h)

200,000

199,000

OXEA Finance & CY S.C.A. 9.625% 7/15/17

EUR

301,796

444,610

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

300,000

307,500

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (e)

885,000

875,044

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV:

5.75% 2/1/21 (Reg. S) (g)

EUR

100,000

134,422

7.375% 5/1/21 (e)(g)

150,000

153,375

 

5,644,781

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Consumer Products - 0.4%

Alphabet Holding Co., Inc. 7.75% 11/1/17 pay-in-kind (e)

$ 190,000

$ 197,600

Dispensing Dynamics International 12.5% 1/1/18 (e)

660,000

650,100

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

25,000

28,000

Reddy Ice Corp. 11.25% 3/15/15

100,000

104,000

Revlon Consumer Products Corp. 9.75% 11/15/15

150,000

158,250

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (e)

45,000

47,588

6.625% 11/15/22 (e)

55,000

59,125

 

1,244,663

Containers - 3.0%

ARD Finance SA:

11.125% 6/1/18 pay-in-kind

EUR

418,080

594,568

11.125% 6/1/18 pay-in-kind (e)

236,160

252,691

Ardagh Glass Finance PLC 7.125% 6/15/17 (Reg. S)

EUR

350,000

482,358

Ardagh Packaging Finance PLC:

7.375% 10/15/17 (e)

700,000

770,000

7.375% 10/15/17 (Reg. S)

EUR

100,000

145,285

9.125% 10/15/20 (e)

1,215,000

1,336,500

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc.:

7.375% 10/15/17 (e)

200,000

220,000

7.375% 10/15/17 (Reg. S)

EUR

100,000

145,285

9.125% 10/15/20 (e)

460,000

503,700

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

4.875% 11/15/22 (e)

200,000

200,000

7% 11/15/20 (e)

200,000

202,500

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

65,000

69,875

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

1,455,000

1,427,719

Crown European Holdings SA 7.125% 8/15/18
(Reg. S)

EUR

400,000

581,138

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

EUR

200,000

306,184

Rexam PLC 6.75% 6/29/67 (h)

EUR

325,000

462,070

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

5.75% 10/15/20

1,155,000

1,186,763

6.875% 2/15/21

500,000

536,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Containers - continued

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

7.875% 8/15/19

$ 250,000

$ 275,000

8.25% 2/15/21

250,000

261,875

Sealed Air Corp. 6.5% 12/1/20 (e)

145,000

160,225

Tekni-Plex, Inc. 9.75% 6/1/19 (e)

135,000

149,175

 

10,269,161

Diversified Financial Services - 8.4%

Beverage Packaging Holdings (Luxembourg) SA 8% 12/15/16 (Reg. S)

EUR

400,000

543,120

BOATS Investments (Netherlands) BV 11% 3/31/17 pay-in-kind

EUR

236,042

185,453

Boparan Holdings Ltd. 9.75% 4/30/18 (Reg. S)

EUR

300,000

453,573

CIT Group, Inc.:

4.25% 8/15/17

340,000

351,900

4.75% 2/15/15 (e)

1,095,000

1,149,750

5% 8/15/22

270,000

285,153

5.25% 3/15/18

365,000

390,550

5.375% 5/15/20

330,000

358,050

5.5% 2/15/19 (e)

575,000

615,250

Citigroup, Inc. 5.9% (f)(h)

770,000

772,888

Eileme 2 AB:

11.625% 1/31/20 (e)

220,000

259,600

11.75% 1/31/20 (Reg. S)

EUR

200,000

315,010

Eksportfinans A/S 4.75% 6/11/13

EUR

100,000

136,459

GMAC International Finance BV 7.5% 4/21/15

EUR

350,000

519,308

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18

850,000

910,563

International Lease Finance Corp.:

4.875% 4/1/15

180,000

187,875

5.625% 9/20/13

766,000

784,193

5.75% 5/15/16

120,000

129,097

5.875% 5/1/13

1,580,000

1,590,270

6.25% 5/15/19

640,000

707,200

8.25% 12/15/20

4,545,000

5,567,583

8.625% 9/15/15

975,000

1,106,625

8.625% 1/15/22

2,030,000

2,578,100

International Personal Finance PLC 11.5% 8/6/15

EUR

360,000

558,561

JGSH Philippines Ltd. 4.375% 1/23/23 (Reg. S)

200,000

199,930

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Diversified Financial Services - continued

Numericable Finance & Co. SCA:

8.07% 10/15/18 (Reg. S) (h)

EUR

100,000

$ 138,156

12.375% 2/15/19 (Reg. S)

EUR

100,000

156,486

Qtel International Finance Ltd. 5% 10/19/25 (e)

200,000

221,700

SLM Corp.:

3.875% 9/10/15

3,000,000

3,121,110

5.5% 1/25/23

655,000

652,357

8% 3/25/20

145,000

167,838

8.45% 6/15/18

30,000

35,741

Studio City Finance Ltd.:

8.5% 12/1/20 (e)

760,000

836,000

8.5% 12/1/20 (Reg. S)

750,000

825,000

TMD Friction Finance SA 10.75% 5/15/17

EUR

125,000

186,698

TMF Group Holding BV 9.875% 12/1/19 (Reg. S)

EUR

100,000

137,817

UPCB Finance Ltd.:

6.375% 7/1/20 (Reg. S)

EUR

500,000

714,542

7.625% 1/15/20 (Reg. S)

EUR

250,000

364,909

Verisure Holding AB:

8.75% 9/1/18 (Reg. S)

EUR

300,000

437,891

8.75% 12/1/18 (Reg. S)

EUR

300,000

413,450

 

29,065,756

Diversified Media - 1.2%

Block Communications, Inc. 7.25% 2/1/20 (e)

660,000

709,500

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (e)

100,000

105,500

6.5% 11/15/22 (e)

275,000

292,875

7.625% 3/15/20

65,000

67,275

7.625% 3/15/20

465,000

485,925

Lamar Media Corp. 5.875% 2/1/22

55,000

60,500

National CineMedia LLC:

6% 4/15/22

300,000

320,250

7.875% 7/15/21

35,000

38,892

Nielsen Finance LLC/Nielsen Finance Co. 4.5% 10/1/20 (e)

1,855,000

1,827,175

WMG Acquisition Corp.:

6% 1/15/21 (e)

65,000

69,063

6.25% 1/15/21 (Reg. S)

EUR

100,000

136,798

 

4,113,753

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Electric Utilities - 5.7%

Atlantic Power Corp. 9% 11/15/18

$ 395,000

$ 419,688

Calpine Construction Finance Co. LP 8% 6/1/16 (e)

500,000

528,750

Calpine Corp. 7.875% 1/15/23 (e)

629,000

693,473

China Resources Power East Foundation Co. Ltd. 7.25% (f)(h)

700,000

716,885

Duquesne Light Holdings, Inc. 5.9% 12/1/21 (e)

37,000

43,129

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

6.875% 8/15/17 (e)

60,000

64,500

10% 12/1/20

390,000

448,500

10% 12/1/20 (e)

2,290,000

2,622,050

11.75% 3/1/22 (e)

2,490,000

2,835,488

GenOn Energy, Inc.:

9.5% 10/15/18

55,000

65,313

9.875% 10/15/20

385,000

442,750

Hrvatska Elektroprivreda 6% 11/9/17 (e)

200,000

213,250

InterGen NV:

8.5% 6/30/17 (Reg. S)

EUR

150,000

186,358

9% 6/30/17 (e)

1,160,000

1,078,800

Listrindo Capital BV 6.95% 2/21/19 (Reg. S)

400,000

446,085

Majapahit Holding BV:

7.75% 1/20/20 (Reg. S)

200,000

249,000

8% 8/7/19 (Reg. S)

100,000

126,000

Mirant Americas Generation LLC 9.125% 5/1/31

185,000

205,350

NRG Energy, Inc. 6.625% 3/15/23 (e)

405,000

433,350

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

375,000

390,000

NV Energy, Inc. 6.25% 11/15/20

1,000,000

1,190,646

Perusahaan Listrik Negara PT 5.5% 11/22/21 (Reg. S)

200,000

223,000

Puget Energy, Inc.:

5.625% 7/15/22

120,000

129,561

6% 9/1/21

1,045,000

1,173,598

RRI Energy, Inc. 7.625% 6/15/14

540,000

577,800

Star Energy Geothermal Wayang Windu Ltd. 11.5% 2/12/15 (Reg. S)

400,000

424,000

Techem Energy Metering Service GmbH & Co. KG 7.875% 10/1/20 (Reg. S)

EUR

100,000

145,624

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

EUR

300,000

431,780

The AES Corp.:

7.375% 7/1/21

35,000

39,025

8% 10/15/17

300,000

346,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Electric Utilities - continued

TXU Corp.:

5.55% 11/15/14

$ 1,361,000

$ 1,272,535

6.5% 11/15/24

610,000

416,325

6.55% 11/15/34

1,015,000

662,288

Viridian Group FundCo II 11.125% 4/1/17 (Reg. S)

EUR

200,000

283,101

 

19,524,502

Energy - 7.3%

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

230,000

230,000

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

85,000

91,800

7% 5/20/22

180,000

196,650

Antero Resources Finance Corp. 6% 12/1/20 (e)

585,000

599,625

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.:

5.875% 8/1/23 (e)(g)

205,000

205,000

8.75% 6/15/18

979,000

1,047,530

Chesapeake Energy Corp. 6.775% 3/15/19

310,000

312,325

Chesapeake Midstream Partners LP/CHKM Finance Corp.:

5.875% 4/15/21

500,000

528,750

6.125% 7/15/22

170,000

180,625

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (e)

65,000

64,350

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

390,000

386,100

Continental Resources, Inc. 8.25% 10/1/19

300,000

337,500

Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19 (e)

150,000

156,000

Denbury Resources, Inc. 4.625% 7/15/23 (g)

810,000

793,800

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

115,000

114,425

Edgen Murray Corp. 8.75% 11/1/20 (e)

150,000

153,750

EDP Finance BV:

4.75% 9/26/16

EUR

350,000

485,746

5.75% 9/21/17

EUR

200,000

287,854

Energy Transfer Equity LP 7.5% 10/15/20

30,000

34,575

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

110,000

118,250

EPE Holdings LLC/EP Energy Bond Co., Inc. 8.125% 12/15/17 pay-in-kind (e)(h)

195,000

196,463

Everest Acquisition LLC/Everest Acquisition Finance, Inc.:

6.875% 5/1/19

180,000

195,300

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Energy - continued

Everest Acquisition LLC/Everest Acquisition Finance, Inc.: - continued

9.375% 5/1/20

$ 565,000

$ 631,388

Ferrellgas Partners LP / Ferrellgas Partners Finance Corp. 8.625% 6/15/20

730,000

733,650

Forest Oil Corp.:

7.25% 6/15/19

215,000

215,000

7.5% 9/15/20 (e)

130,000

138,450

Gulfmark Offshore, Inc. 6.375% 3/15/22 (e)

340,000

350,200

Halcon Resources Corp. 8.875% 5/15/21 (e)

135,000

143,775

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

80,000

86,600

Indo Energy Finance II BV 6.375% 1/24/23 (e)

200,000

204,750

Indo Integrated Energy II BV 9.75% 11/5/16 (Reg. S)

200,000

218,500

Israel Electric Corp. Ltd. 6.7% 2/10/17 (e)

200,000

220,000

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (e)

275,000

326,233

7% 5/5/20 (e)

100,000

121,630

9.125% 7/2/18 (e)

100,000

129,130

Kodiak Oil & Gas Corp.:

5.5% 1/15/21 (e)

80,000

80,800

8.125% 12/1/19

285,000

319,200

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (e)

435,000

433,913

6.5% 5/15/19

335,000

338,350

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.5% 7/15/23

1,160,000

1,154,200

5.5% 2/15/23

75,000

79,125

6.25% 6/15/22

105,000

113,400

MIE Holdings Corp. 9.75% 5/12/16

400,000

432,000

Offshore Group Investment Ltd.:

7.5% 11/1/19 (e)

1,510,000

1,543,975

11.5% 8/1/15

630,000

685,125

Oil States International, Inc. 6.5% 6/1/19

30,000

32,025

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

380,000

395,200

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

150,000

176,250

Petrohawk Energy Corp. 6.25% 6/1/19

500,000

569,000

Petroleos de Venezuela SA:

4.9% 10/28/14

650,000

619,125

5.5% 4/12/37

750,000

521,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Energy - continued

Petroleos de Venezuela SA: - continued

8.5% 11/2/17 (e)

$ 895,000

$ 877,100

12.75% 2/17/22 (e)

1,200,000

1,365,000

Petroleos Mexicanos 6.625% (e)(f)

200,000

211,200

Petroleum Co. of Trinidad & Tobago Ltd. 9.75% 8/14/19 (e)

150,000

199,500

Plains Exploration & Production Co. 6.75% 2/1/22

185,000

208,125

Precision Drilling Corp. 6.5% 12/15/21

10,000

10,725

PT Pertamina Persero 5.25% 5/23/21 (Reg. S)

200,000

220,000

QR Energy LP/QRE Finance Corp. 9.25% 8/1/20

135,000

142,425

Range Resources Corp. 5.75% 6/1/21

250,000

265,000

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

195,000

205,725

Rockies Express Pipeline LLC 6% 1/15/19 (e)

365,000

357,700

Sabine Pass Liquefaction LLC 5.625% 2/1/21 (e)

660,000

665,775

Santos Finance Ltd. 8.25% 9/22/70 (h)

EUR

350,000

503,744

Suburban Propane Partners LP/Suburban Energy Finance Corp.:

7.375% 8/1/21

287,000

312,830

7.5% 10/1/18

245,000

264,600

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22

80,000

87,600

Tesoro Corp.:

4.25% 10/1/17

100,000

103,625

5.375% 10/1/22

110,000

114,400

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (e)

35,000

36,488

Unit Corp. 6.625% 5/15/21

650,000

674,375

WPX Energy, Inc.:

5.25% 1/15/17

55,000

57,888

6% 1/15/22

85,000

91,375

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

475,000

509,438

 

25,213,300

Entertainment/Film - 0.0%

Cinemark USA, Inc.:

5.125% 12/15/22 (e)

50,000

50,625

7.375% 6/15/21

15,000

16,613

Regal Entertainment Group 5.75% 2/1/25

55,000

54,863

 

122,101

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Environmental - 0.3%

Clean Harbors, Inc.:

5.125% 6/1/21 (e)

$ 100,000

$ 103,000

5.25% 8/1/20

110,000

114,950

Covanta Holding Corp. 6.375% 10/1/22

145,000

158,247

Tervita Corp. 9.75% 11/1/19 (e)

355,000

347,900

Zinc Capital SA 8.875% 5/15/18 (Reg. S)

EUR

200,000

289,890

 

1,013,987

Food & Drug Retail - 1.3%

Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (e)

135,000

146,475

ESAL GmbH 6.25% 2/5/23 (e)

950,000

922,640

FPC Finance Ltd. 6% 6/28/19

200,000

219,073

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (e)

80,000

82,400

Rite Aid Corp.:

7.5% 3/1/17

1,000,000

1,025,000

7.7% 2/15/27

20,000

18,750

8% 8/15/20

750,000

855,000

9.25% 3/15/20

155,000

171,275

10.375% 7/15/16

870,000

920,025

Tops Markets LLC 8.875% 12/15/17 (e)

95,000

102,125

 

4,462,763

Food/Beverage/Tobacco - 0.7%

Agrokor d.d.:

8.875% 2/1/20 (e)

200,000

224,750

9.125% 2/1/20 (Reg. S)

EUR

300,000

456,730

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

EUR

100,000

152,963

Constellation Brands, Inc. 4.625% 3/1/23

85,000

86,275

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

100,000

108,500

Fresenius Finance BV 2.875% 7/15/20 (Reg. S)

EUR

300,000

403,776

Michael Foods Holding, Inc. 8.5% 7/15/18 pay-in-kind (e)(h)

60,000

61,950

Post Holdings, Inc. 7.375% 2/15/22

170,000

188,700

Tereos Europe 6.375% 4/15/14 (Reg. S)

EUR

450,000

632,395

 

2,316,039

Gaming - 0.9%

American Casino & Entertainment Properties LLC 11% 6/15/14

142,000

144,840

Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (e)

40,000

41,400

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Gaming - continued

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

$ 495,000

$ 497,475

Chester Downs & Marina LLC 9.25% 2/1/20 (e)

45,000

43,763

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

135,000

149,850

MCE Finance Ltd.:

5% 2/15/21 (e)

230,000

230,000

10.25% 5/15/18

300,000

348,000

MGM Mirage, Inc.:

5.875% 2/27/14

300,000

312,390

6.625% 12/15/21

150,000

154,500

8.625% 2/1/19

315,000

358,313

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

1,126

1,182

Pinnacle Entertainment, Inc. 7.75% 4/1/22

50,000

53,500

Station Casinos LLC 3.66% 6/18/18 (d)

715,000

636,350

 

2,971,563

Healthcare - 4.7%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

195,000

209,138

Community Health Systems, Inc.:

5.125% 8/15/18

160,000

168,400

7.125% 7/15/20

160,000

172,800

8% 11/15/19

210,000

231,525

DaVita, Inc.:

5.75% 8/15/22

155,000

162,750

6.625% 11/1/20

300,000

327,750

Emergency Medical Services Corp. 8.125% 6/1/19

45,000

49,275

FMC Finance VII SA 5.25% 2/15/21

EUR

290,000

435,973

FMC Finance VIII SA 5.25% 7/31/19 (Reg S.)

EUR

300,000

452,376

Fresenius Medical Care US Finance II, Inc.:

5.625% 7/31/19 (e)

445,000

482,825

5.875% 1/31/22 (e)

625,000

682,813

6.5% 9/15/18 (e)

20,000

22,674

Fresenius US Finance II, Inc. 8.75% 7/15/15 (Reg. S)

EUR

100,000

157,233

HCA Holdings, Inc.:

6.25% 2/15/21

195,000

203,775

7.75% 5/15/21

950,000

1,040,250

HCA, Inc.:

4.75% 5/1/23

1,290,000

1,298,063

5.875% 3/15/22

620,000

674,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Healthcare - continued

HCA, Inc.: - continued

5.875% 5/1/23

$ 340,000

$ 353,600

6.5% 2/15/20

895,000

998,999

7.25% 9/15/20

1,000,000

1,110,000

7.5% 2/15/22

180,000

207,450

8.5% 4/15/19

1,000,000

1,107,500

HealthSouth Corp.:

5.75% 11/1/24

100,000

101,000

7.75% 9/15/22

270,000

295,650

IMS Health, Inc. 6% 11/1/20 (e)

95,000

99,038

Kindred Healthcare, Inc. 8.25% 6/1/19

15,000

14,775

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

EUR

300,000

428,725

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

375,000

330,000

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

360,000

381,600

6.75% 10/15/22

250,000

273,125

7.5% 2/15/20

300,000

329,250

Radiation Therapy Services, Inc. 8.875% 1/15/17

440,000

435,600

Rottapharm Ltd. 6.125% 11/15/19 (Reg. S)

EUR

300,000

422,177

Rural/Metro Corp. 10.125% 7/15/19 (e)

110,000

110,275

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

110,000

117,700

Sky Growth Acquisition Corp. 7.375% 10/15/20 (e)

60,000

61,200

Teleflex, Inc. 6.875% 6/1/19

40,000

43,500

Tenet Healthcare Corp.:

4.5% 4/1/21 (e)(g)

180,000

176,850

4.75% 6/1/20 (e)

135,000

135,675

6.25% 11/1/18

85,000

93,288

6.75% 2/1/20

145,000

151,525

9.25% 2/1/15

300,000

339,750

Valeant Pharmaceuticals International:

6.375% 10/15/20 (e)

190,000

196,175

6.75% 8/15/21 (e)

185,000

193,788

7% 10/1/20 (e)

90,000

95,400

7.25% 7/15/22 (e)

25,000

26,875

VPI Escrow Corp. 6.375% 10/15/20 (e)

340,000

351,458

VWR Funding, Inc. 7.25% 9/15/17 (e)

340,000

359,975

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e)

30,000

30,225

 

16,144,018

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Homebuilders/Real Estate - 4.1%

Agile Property Holdings Ltd.:

8.875% 4/28/17 (Reg. S)

$ 300,000

$ 315,000

9.875% 3/20/17 (Reg. S)

200,000

222,500

10% 11/14/16 (Reg. S)

400,000

431,520

Beazer Homes USA, Inc. 7.25% 2/1/23 (e)

140,000

141,050

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

85,000

89,675

Central China Real Estate Ltd. 12.25% 10/20/15
(Reg. S)

100,000

109,250

China SCE Property Holdings Ltd. 11.5% 11/14/17 (Reg. S)

200,000

210,928

China South City Holdings Ltd. 13.5% 1/14/16 (Reg. S)

200,000

208,296

Country Garden Holdings Co. Ltd.:

7.5% 1/10/23 (Reg. S)

300,000

307,125

11.25% 4/22/17 (Reg. S)

500,000

556,250

11.75% 9/10/14

200,000

221,000

Evergrande Real Estate Group Ltd. 13% 1/27/15
(Reg. S)

700,000

750,750

Fantasia Holdings Group Co. Ltd. 13.75% 9/27/17

400,000

442,983

Franshion Development Ltd. 6.75% 4/15/21 (Reg S.)

200,000

214,700

Franshion Investment Ltd. 4.7% 10/26/17 (Reg. S)

600,000

597,445

Gemdale International Investment Ltd. 7.125% 11/16/17 (Reg. S)

200,000

203,205

Glorious Property Holdings Ltd. 13% 10/25/15

200,000

204,382

Hopson Development Holdings Ltd. 11.75% 1/21/16

200,000

208,530

Kaisa Group Holdings Ltd.:

10.25% 1/8/20 (Reg. S)

200,000

203,626

12.875% 9/18/17

200,000

225,058

13.5% 4/28/15

300,000

324,000

KWG Property Holding Ltd.:

8.625% 2/5/20 (Reg. S)

400,000

395,020

12.5% 8/18/17 (Reg. S)

400,000

444,097

12.75% 3/30/16 (Reg. S)

200,000

221,509

Longfor Properties Co. Ltd.:

6.875% 10/18/19

400,000

413,335

9.5% 4/7/16 (Reg. S)

400,000

433,000

M.D.C. Holdings, Inc. 6% 1/15/43

1,160,000

1,148,400

Neo-China Group (Holdings) Ltd. 9.75% 7/23/14 unit (Reg. S)

200,000

213,503

Obrascon Huarte Lain SA 7.625% 3/15/20 (Reg. S)

EUR

300,000

427,707

Odebrecht Finance Ltd. 7.5% (e)(f)

300,000

323,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Homebuilders/Real Estate - continued

Realogy Corp. 9% 1/15/20 (e)

$ 125,000

$ 145,625

Renhe Commercial Holdings Co. Ltd.:

11.75% 5/18/15 (Reg. S)

200,000

160,833

13% 3/10/16 (Reg. S)

100,000

79,500

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

55,000

56,100

Shimao Property Holdings Ltd.:

6.625% 1/14/20 (Reg. S)

300,000

293,836

8% 12/1/16 (Reg. S)

100,000

102,750

9.65% 8/3/17

300,000

323,235

11% 3/8/18

300,000

336,995

Sigma Capital Pte. Ltd. 9% 4/30/15

200,000

210,706

SOHO China Ltd.:

5.75% 11/7/17 (Reg. S)

200,000

196,576

7.125% 11/7/22 (Reg. S)

400,000

392,996

Sunac China Holdings Ltd. 12.5% 10/16/17 (Reg. S)

200,000

222,885

Theta Capital Pte Ltd.:

6.125% 11/14/20 (Reg. S)

200,000

206,380

7% 5/16/19

200,000

212,752

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

90,000

91,800

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

100,000

107,750

Yanlord Land Group Ltd. 9.5% 5/4/17 (Reg. S)

400,000

417,000

Yuzhou Properties Co.:

11.75% 10/25/17 (Reg. S)

200,000

216,667

13.5% 12/15/15 (Reg. S)

100,000

109,765

 

14,091,245

Hotels - 0.1%

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

45,000

49,838

Host Hotels & Resorts LP:

4.75% 3/1/23

160,000

167,600

5.875% 6/15/19

10,000

10,875

6% 10/1/21

60,000

68,625

 

296,938

Insurance - 0.2%

A-S Co.-Issuer Subsidiary, Inc./A-S Merger Sub LLC 7.875% 12/15/20 (e)

80,000

80,200

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

EUR

200,000

319,083

MAPFRE SA 5.921% 7/24/37 (h)

EUR

150,000

173,120

 

572,403

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Leisure - 0.8%

Equinox Holdings, Inc. 9.5% 2/1/16 (e)

$ 500,000

$ 523,750

FGI Operating Co. LLC/FGI Finance, Inc. 7.875% 5/1/20 (e)

70,000

71,925

Lottomatica SpA 8.25% 3/31/66 (Reg. S) (h)

EUR

400,000

558,056

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

85,000

90,100

5.625% 1/27/14

EUR

250,000

349,634

Speedway Motorsports, Inc. 6.75% 2/1/19 (e)

1,160,000

1,229,600

 

2,823,065

Metals/Mining - 2.3%

Alpha Natural Resources, Inc.:

6% 6/1/19

60,000

53,850

6.25% 6/1/21

35,000

31,063

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (e)

235,000

212,675

ArcelorMittal SA 4.625% 11/17/17

EUR

500,000

722,180

Berau Capital Resources Pte Ltd. 12.5% 7/8/15 (Reg. S)

300,000

322,500

Berau Coal Energy Tbk PT 7.25% 3/13/17 (Reg. S)

400,000

394,000

Bumi Capital Pte. Ltd. 12% 11/10/16 (Reg. S)

100,000

92,250

Bumi Investment Pte Ltd. 10.75% 10/6/17 (Reg. S)

300,000

255,000

CITIC Resources Finance (2007) Ltd. 6.75% 5/15/14 (Reg. S)

200,000

208,500

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (e)

200,000

204,500

6.875% 2/1/18 (e)

60,000

62,250

6.875% 4/1/22 (e)

200,000

207,000

7% 11/1/15 (e)

225,000

234,563

8.25% 11/1/19 (e)

605,000

647,350

Hidili Industry International Development Ltd. 8.625% 11/4/15 (Reg. S)

100,000

75,250

Indo Energy Finance BV 7% 5/7/18 (Reg. S)

200,000

213,500

Inmet Mining Corp. 7.5% 6/1/21 (e)

100,000

107,750

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

400,000

410,000

New Gold, Inc.:

6.25% 11/15/22 (e)

80,000

84,600

7% 4/15/20 (e)

40,000

43,000

Novelis, Inc. 8.75% 12/15/20

400,000

451,000

Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 8.375% 6/1/20 (e)

120,000

128,700

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

55,000

59,400

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Metals/Mining - continued

PT Adaro Indonesia 7.625% 10/22/19 (Reg. S)

$ 500,000

$ 550,000

Rain CII Carbon LLC/CII Carbon Corp. 8.25% 1/15/21 (e)

200,000

209,500

Vedanta Resources PLC:

6.75% 6/7/16 (e)

200,000

209,400

6.75% 6/7/16 (Reg. S)

200,000

209,400

8.25% 6/7/21 (e)

200,000

230,000

8.75% 1/15/14 (Reg. S)

400,000

417,832

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

500,000

591,250

Winsway Coking Coal Holding Ltd. 8.5% 4/8/16
(Reg. S)

200,000

160,000

 

7,798,263

Paper - 0.5%

Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (e)

45,000

46,350

Clearwater Paper Corp. 4.5% 2/1/23 (e)

215,000

212,850

Lecta SA 8.875% 5/15/19 (Reg. S)

EUR

100,000

137,138

Norske Skogindustrier ASA 7% 6/26/17

EUR

100,000

94,707

Smurfit Kappa Acquisitions:

5.125% 9/15/18 (Reg. S)

EUR

100,000

141,551

7.25% 11/15/17 (Reg. S)

EUR

160,000

229,848

7.75% 11/15/19 (Reg. S)

EUR

120,000

178,415

Verso Paper Holdings LLC/Verso Paper, Inc.:

11.75% 1/15/19

545,000

574,975

11.75% 1/15/19

184,000

132,480

 

1,748,314

Publishing/Printing - 0.0%

Seat Pagine Gialle SpA:

10.5% 1/31/17

EUR

2,500

1,222

10.5% 1/31/17 (Reg. S)

EUR

50,000

24,440

Sheridan Group, Inc. 12.5% 4/15/14

97,262

82,673

 

108,335

Railroad - 0.2%

Refer-Rede Ferroviaria Nacional SA:

4% 3/16/15

EUR

200,000

255,546

4.25% 12/13/21

EUR

400,000

426,404

 

681,950

Restaurants - 0.2%

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

105,000

112,875

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Restaurants - continued

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

$ 125,000

$ 129,375

NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20

500,000

580,000

 

822,250

Services - 0.7%

APX Group, Inc.:

6.375% 12/1/19 (e)

450,000

440,460

8.75% 12/1/20 (e)

300,000

294,000

ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (e)(h)

300,000

306,750

FTI Consulting, Inc. 6% 11/15/22 (e)

205,000

215,250

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

125,000

126,094

Laureate Education, Inc. 9.25% 9/1/19 (e)

520,000

566,800

Road King Infrastructure Finance 2010 Ltd. 9.5% 9/21/15

300,000

316,433

TransUnion Holding Co., Inc.:

8.125% 6/15/18 pay-in-kind (e)

155,000

162,363

9.625% 6/15/18 pay-in-kind (h)

90,000

96,075

 

2,524,225

Shipping - 0.2%

HDTFS, Inc.:

5.875% 10/15/20 (e)

150,000

157,500

6.25% 10/15/22 (e)

105,000

112,875

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17

25,000

23,688

Navios Maritime Holdings, Inc. 8.125% 2/15/19

10,000

8,500

NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (e)

110,000

119,900

TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (e)

115,000

121,900

Western Express, Inc. 12.5% 4/15/15 (e)

315,000

199,238

 

743,601

Steel - 0.8%

China Oriental Group Co. Ltd. 8% 8/18/15 (Reg. S)

500,000

506,250

CITIC Pacific Ltd. 6.875% 1/21/18 (Reg. S)

800,000

843,686

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

9% 10/15/17 (e)

520,000

559,000

11.25% 10/15/18 (e)

125,000

123,750

Severstal Columbus LLC 10.25% 2/15/18

425,000

455,813

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Steel - continued

Steel Dynamics, Inc.:

6.125% 8/15/19 (e)

$ 140,000

$ 151,200

6.375% 8/15/22 (e)

120,000

129,300

 

2,768,999

Super Retail - 0.6%

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

20,000

22,400

Claire's Stores, Inc. 9% 3/15/19 (e)

1,075,000

1,177,125

Hengdeli Holding Ltd. 6.25% 1/29/18 (Reg. S)

200,000

200,900

Jo-Ann Stores, Inc. 9.75% 10/15/19 pay-in-kind (e)(h)

155,000

158,488

Limited Brands, Inc. 5.625% 2/15/22

250,000

269,375

Sally Holdings LLC 6.875% 11/15/19

35,000

38,588

Sonic Automotive, Inc. 7% 7/15/22

105,000

115,894

 

1,982,770

Technology - 2.7%

Avaya, Inc. 7% 4/1/19 (e)

905,000

864,275

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

135,000

133,650

Ceridian Corp. 8.875% 7/15/19 (e)

135,000

150,188

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

200,000

192,363

First Data Corp.:

6.75% 11/1/20 (e)

1,905,000

1,962,150

11.25% 1/15/21 (e)(g)

745,000

746,863

Freescale Semiconductor, Inc. 9.25% 4/15/18 (e)

285,000

312,788

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

200,000

200,000

IAC/InterActiveCorp 4.75% 12/15/22 (e)

205,000

203,463

Infor US, Inc. 9.375% 4/1/19

85,000

96,050

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

1,000,000

780,000

Metropolitan Light International Ltd. 5.25% 1/17/18

200,000

197,235

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

80,000

82,400

NXP BV/NXP Funding LLC:

2.945% 10/15/13 (h)

EUR

205,176

278,588

5.75% 2/15/21 (e)(g)

290,000

290,000

Rexel SA:

7% 12/17/18

EUR

400,000

594,716

8.25% 12/15/16

EUR

200,000

293,964

STATS ChipPAC Ltd.:

5.375% 3/31/16 (Reg. S)

300,000

312,000

7.5% 8/12/15 (Reg. S)

200,000

211,750

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Technology - continued

SunGard Data Systems, Inc. 6.625% 11/1/19 (e)

$ 295,000

$ 304,588

Viasystems, Inc. 7.875% 5/1/19 (e)

295,000

294,263

WEX, Inc. 4.75% 2/1/23 (e)

110,000

108,900

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19 (e)

400,000

441,000

13.375% 10/15/19 (e)

220,000

242,550

 

9,293,744

Telecommunications - 8.8%

Altice Financing SA:

7.875% 12/15/19 (e)

975,000

1,048,125

8% 12/15/19 (Reg. S)

EUR

650,000

935,524

Altice Finco SA 9.875% 12/15/20 (e)

865,000

955,825

Bakrie Telecom Pte Ltd. 11.5% 5/7/15 (Reg. S)

200,000

116,000

Bite Finance International BV 7.7441% 2/15/18 (Reg. S) (h)

EUR

200,000

270,202

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

187,500

187,500

Clearwire Communications LLC/Clearwire Finance, Inc.:

12% 12/1/15 (e)

295,000

319,706

14.75% 12/1/16 (e)

665,000

939,313

Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (e)

120,000

127,800

Digicel Group Ltd.:

7% 2/15/20 (e)

200,000

216,000

8.25% 9/1/17 (e)

300,000

318,000

8.25% 9/30/20 (e)

525,000

585,375

10.5% 4/15/18 (e)

400,000

446,000

DigitalGlobe, Inc. 5.25% 2/1/21 (e)

905,000

902,738

eAccess Ltd. 8.375% 4/1/18 (Reg. S)

EUR

400,000

605,579

Eileme 1 AB 14.25% 8/15/20 pay-in-kind (e)

235,500

257,873

Frontier Communications Corp.:

7.125% 1/15/23

255,000

270,938

8.5% 4/15/20

750,000

862,500

Hughes Satellite Systems Corp. 6.5% 6/15/19

715,000

786,500

Indosat Palapa Co. BV 7.375% 7/29/20

200,000

225,000

Instituto Costarricense de Electricidad 6.95% 11/10/21 (e)

200,000

231,000

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (e)

350,000

356,125

7.25% 10/15/20 (e)

495,000

529,650

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Intelsat Jackson Holdings SA: - continued

7.5% 4/1/21

$ 2,470,000

$ 2,692,300

Level 3 Communications, Inc. 8.875% 6/1/19 (e)

55,000

59,950

Level 3 Financing, Inc.:

7% 6/1/20 (e)

180,000

190,350

10% 2/1/18

200,000

222,000

NeuStar, Inc. 4.5% 1/15/23 (e)

1,795,000

1,795,000

NII Capital Corp. 7.625% 4/1/21

190,000

149,150

OTE PLC:

4.625% 5/20/16

EUR

400,000

506,307

5% 8/5/13

EUR

50,000

67,890

7.25% 2/12/15

EUR

300,000

409,377

7.875% 2/7/18 (Reg. S)

EUR

200,000

268,844

Pacnet Ltd. 9.25% 11/9/15 (Reg. S)

200,000

208,500

Portugal Telecom International Finance BV:

4.5% 6/16/25

EUR

400,000

496,444

5.875% 4/17/18

EUR

300,000

422,192

SBA Communications Corp. 5.625% 10/1/19 (e)

245,000

256,638

Sprint Capital Corp.:

6.875% 11/15/28

190,000

191,900

6.9% 5/1/19

815,000

886,313

8.75% 3/15/32

495,000

584,100

Sprint Nextel Corp.:

6% 11/15/22

2,225,000

2,230,563

7% 8/15/20

735,000

795,638

9% 11/15/18 (e)

505,000

624,938

Sunrise Communications International SA 8.5% 12/31/18 (Reg. S)

EUR

200,000

293,285

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

200,000

215,000

Telenet Finance Luxembourg S.C.A.:

6.25% 8/15/22 (Reg. S)

EUR

100,000

143,587

6.375% 11/15/20 (Reg. S)

EUR

300,000

435,854

6.75% 8/15/24 (Reg. S)

EUR

100,000

144,606

Wind Acquisition Finance SA:

7.25% 2/15/18 (e)

400,000

421,000

7.375% 2/15/18

EUR

550,000

776,662

7.375% 2/15/18 (Reg. S)

EUR

250,000

350,652

Wind Acquisition Holdings Finance SA:

12.25% 7/15/17 pay-in-kind (Reg. S) (h)

EUR

873,030

1,134,313

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Wind Acquisition Holdings Finance SA: - continued

12.25% 7/15/17 pay-in-kind (e)(h)

$ 105,000

$ 110,775

Windstream Corp.:

6.375% 8/1/23 (e)

1,160,000

1,183,200

7.5% 6/1/22

500,000

541,250

 

30,301,851

Textiles & Apparel - 0.1%

Albea Beauty Holdings SA 8.375% 11/1/19 (e)

230,000

243,225

TOTAL NONCONVERTIBLE BONDS

269,574,916

TOTAL CORPORATE BONDS

(Cost $255,562,613)


270,024,149

Government Obligations - 3.2%

 

Aruba - 0.1%

Aruba Government 4.625% 9/14/23 (e)

200,000

207,400

Azerbaijan - 0.1%

State Oil Company of Azerbaijan Republic 5.45% 2/9/17

200,000

218,500

Barbados - 0.0%

Barbados Government 7% 8/4/22 (e)

100,000

106,000

Belarus - 0.1%

Belarus Republic:

8.75% 8/3/15 (Reg. S)

200,000

210,000

8.95% 1/26/18

100,000

106,500

TOTAL BELARUS

316,500

Belize - 0.1%

Belize Government 8.5% 2/20/29 (b)(e)

400,000

232,000

Bermuda - 0.0%

Bermuda Government 5.603% 7/20/20 (e)

150,000

174,000

Bolivia - 0.1%

Plurinational State of Bolivia 4.875% 10/29/22 (e)

200,000

197,500

Cayman Islands - 0.0%

Cayman Island Government 5.95% 11/24/19 (e)

100,000

117,000

Congo - 0.0%

Congo Republic 3% 6/30/29 (d)

188,100

176,814

Government Obligations - continued

 

Principal Amount (c)

Value

Ecuador - 0.1%

Ecuador Republic 9.375% 12/15/15 (e)

$ 250,000

$ 260,000

Ghana - 0.0%

Ghana Republic 8.5% 10/4/17 (e)

100,000

116,500

Guatemala - 0.1%

Guatemalan Republic 5.75% 6/6/22 (e)

200,000

226,000

Hungary - 0.0%

Hungarian Republic 4.75% 2/3/15

95,000

97,261

Iceland - 0.1%

Republic of Iceland:

4.875% 6/16/16 (e)

125,000

132,813

5.875% 5/11/22 (e)

100,000

112,500

TOTAL ICELAND

245,313

Iraq - 0.1%

Republic of Iraq 5.8% 1/15/28 (Reg. S)

250,000

238,750

Ivory Coast - 0.0%

Ivory Coast 7.1% 12/31/32 (Reg. S) (d)

200,000

191,000

Jordan - 0.0%

Jordanian Kingdom 3.875% 11/12/15

200,000

195,000

Latvia - 0.0%

Latvian Republic 2.75% 1/12/20 (e)

200,000

197,260

Lebanon - 0.2%

Lebanese Republic:

6.1% 10/4/22

260,000

266,188

11.625% 5/11/16 (Reg. S)

325,000

397,313

TOTAL LEBANON

663,501

Lithuania - 0.1%

Lithuanian Republic:

6.125% 3/9/21 (e)

150,000

180,000

7.375% 2/11/20 (e)

125,000

159,375

TOTAL LITHUANIA

339,375

Mongolia - 0.0%

Mongolian People's Republic 5.125% 12/5/22 (Reg. S)

200,000

191,000

Morocco - 0.1%

Moroccan Kingdom 4.25% 12/11/22 (e)

200,000

204,250

Namibia - 0.1%

Republic of Namibia 5.5% 11/3/21 (e)

200,000

222,140

Government Obligations - continued

 

Principal Amount (c)

Value

Netherlands - 0.1%

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

$ 250,000

$ 281,875

Nigeria - 0.1%

Republic of Nigeria 6.75% 1/28/21 (e)

225,000

268,875

Paraguay - 0.1%

Republic of Paraguay 4.625% 1/25/23 (e)

200,000

200,500

Romania - 0.1%

Romanian Republic 6.75% 2/7/22 (e)

246,000

296,430

Russia - 0.4%

Russian Federation:

5.625% 4/4/42 (e)

400,000

467,000

7.5% 3/31/30 (Reg. S)

174,375

217,306

12.75% 6/24/28 (Reg. S)

400,000

782,480

TOTAL RUSSIA

1,466,786

Senegal - 0.1%

Republic of Senegal 8.75% 5/13/21 (e)

200,000

243,000

Serbia - 0.1%

Republic of Serbia 6.75% 11/1/24 (e)

404,000

407,030

Slovakia - 0.1%

Slovakia Republic 4.375% 5/21/22 (e)

200,000

214,000

Slovenia - 0.1%

Republic of Slovenia 5.5% 10/26/22 (e)

400,000

414,000

Sri Lanka - 0.1%

Democratic Socialist Republic of Sri Lanka:

5.875% 7/25/22 (e)

200,000

213,500

6.25% 10/4/20 (e)

100,000

108,500

TOTAL SRI LANKA

322,000

Ukraine - 0.0%

Ukraine Government 7.75% 9/23/20 (e)

150,000

156,930

Venezuela - 0.4%

Venezuelan Republic:

oil recovery rights 4/15/20 (i)

1,500

45,750

7.75% 10/13/19 (Reg. S)

110,000

106,700

11.75% 10/21/26 (Reg. S)

375,000

424,688

11.95% 8/5/31 (Reg. S)

500,000

572,500

12.75% 8/23/22

190,000

227,525

TOTAL VENEZUELA

1,377,163

Government Obligations - continued

 

Principal Amount (c)

Value

Zambia - 0.1%

Republic of Zambia 5.375% 9/20/22 (e)

$ 200,000

$ 204,500

TOTAL GOVERNMENT OBLIGATIONS

(Cost $9,914,485)


10,986,153

Common Stocks - 0.0%

Shares

 

Homebuilders/Real Estate - 0.0%

Realogy Holdings Corp.

1,400

62,678

Telecommunications - 0.0%

Broadview Networks Holdings, Inc.

12,187

164,525

TOTAL COMMON STOCKS

(Cost $244,603)


227,203

Preferred Stocks - 1.3%

 

 

 

 

Convertible Preferred Stocks - 0.5%

Automotive - 0.1%

General Motors Co. 4.75%

5,000

216,600

Electric Utilities - 0.3%

PPL Corp. 9.50%

20,000

1,081,200

Energy - 0.1%

Chesapeake Energy Corp. Series A, 5.75% (e)

400

406,750

TOTAL CONVERTIBLE PREFERRED STOCKS

1,704,550

Nonconvertible Preferred Stocks - 0.8%

Banks & Thrifts - 0.3%

Ally Financial, Inc. 7.00% (e)

709

687,730

U.S. Bancorp Series F, 6.50%

4,054

116,431

 

804,161

Diversified Financial Services - 0.4%

Discover Financial Services Series B, 6.50%

5,796

147,798

GMAC Capital Trust I Series 2, 8.125%

50,000

1,333,500

 

1,481,298

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

Homebuilders/Real Estate - 0.1%

Annaly Capital Management, Inc. Series D, 7.50%

15,357

$ 384,693

TOTAL NONCONVERTIBLE PREFERRED STOCKS

2,670,152

TOTAL PREFERRED STOCKS

(Cost $4,077,178)


4,374,702

Floating Rate Loans - 7.1%

 

Principal Amount (c)

 

Air Transportation - 0.2%

US Airways Group, Inc. term loan 2.7017% 3/23/14 (h)

$ 685,211

682,642

Broadcasting - 0.2%

CKX, Inc. Tranche 1LN, term loan 9% 6/21/17

335,000

279,725

Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (h)

105,000

103,950

NEP/NCP Holdco, Inc.:

Tranche 2LN, term loan 9.5% 7/22/20 (h)

10,000

10,350

Tranche B 1LN, term loan 5.25% 1/22/20 (h)

20,000

20,350

Univision Communications, Inc. term loan 4.4517% 3/31/17 (h)

327,776

329,005

 

743,380

Cable TV - 0.1%

Kabel Deutschland GmbH Tranche F, term loan 4.25% 2/1/19 (h)

40,000

39,950

WideOpenWest Finance LLC Tranche B, term loan 6.25% 7/17/18 (h)

412,925

417,054

 

457,004

Capital Goods - 0.1%

Apex Tool Group, LLC Tranche B, term loan 4.5% 1/18/20 (h)

205,000

207,050

Chemicals - 0.0%

U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (h)

115,000

116,294

Consumer Products - 0.0%

Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (h)

20,000

20,300

Diversified Financial Services - 0.2%

AlixPartners LLP Tranche 2LN, term loan 10.75% 12/29/19 (h)

620,000

638,600

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Diversified Financial Services - continued

Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (h)

$ 35,000

$ 35,133

Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (h)

24,688

24,996

HarbourVest Partners LLC Tranche B, term loan 4.75% 11/21/17 (h)

72,054

72,054

Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (h)

60,000

60,750

 

831,533

Diversified Media - 0.0%

WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (h)

15,000

15,188

Electric Utilities - 0.2%

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7423% 10/10/17 (h)

1,000,000

661,250

The AES Corp. Tranche B, term loan 4.25% 5/27/18 (h)

11,523

11,653

 

672,903

Energy - 0.4%

Alon USA Partners LP term loan 9.25% 11/13/18 (h)

108,333

110,771

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (h)

635,000

650,113

Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (h)

85,000

85,956

LSP Madison Funding LLC Tranche 1LN, term loan 4.7484% 6/28/19 (h)

180,690

181,142

MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (h)

299,250

302,617

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

65,000

65,975

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (h)

45,000

45,621

 

1,442,195

Food & Drug Retail - 0.2%

Sprouts Farmers Market LLC Tranche B, term loan 6% 4/18/18 (h)

740,578

747,984

Gaming - 0.4%

Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (h)

75,000

77,625

Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4537% 1/28/18 (h)

1,360,000

1,261,400

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Gaming - continued

MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (h)

$ 90,000

$ 91,350

NP Opco, LLC Tranche B, term loan 5.5% 9/28/19 (h)

64,838

65,894

 

1,496,269

Healthcare - 0.2%

Genesis HealthCare Corp. Tranche B, term loan 10.0022% 12/4/17 (h)

297,500

290,063

VWR Funding, Inc. Tranche B, term loan 4.2017% 4/3/17 (h)

205,000

206,025

 

496,088

Homebuilders/Real Estate - 0.5%

Realogy Corp.:

Credit-Linked Deposit 4.4587% 10/10/16 (h)

137,164

138,193

term loan 4.4557% 10/10/16 (h)

1,418,982

1,429,624

 

1,567,817

Insurance - 0.3%

Asurion Corp.:

Tranche 1LN, term loan 5.5% 5/24/18 (h)

456,250

460,265

Tranche 2LN, term loan 9% 5/24/19 (h)

345,541

355,044

Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (h)

310,000

331,700

 

1,147,009

Leisure - 0.5%

Equinox Holdings, Inc. Tranche 2LN, term loan 9.75% 5/16/20 (h)

630,000

639,450

Formula One Holdings Tranche B 2LN, term loan 6% 4/28/19 (h)

992,513

1,003,678

 

1,643,128

Metals/Mining - 0.1%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (h)

35,000

35,383

Tranche B 2LN, term loan 8.75% 1/25/21 (h)

20,000

20,275

Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (h)

379,050

383,314

 

438,972

Publishing/Printing - 0.0%

Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (h)

19,850

19,949

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Restaurants - 0.1%

Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (h)

$ 297,750

$ 301,159

NPC International, Inc. Tranche B, term loan 4.5% 12/28/18 (h)

83,442

84,276

 

385,435

Services - 0.0%

Bright Horizons Family Solutions, Inc. Tranche B, term loan 5.25% 1/18/20 (h)

40,000

40,350

Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (h)

40,000

40,300

 

80,650

Super Retail - 0.3%

BJ's Wholesale Club, Inc. Tranche 1LN, term loan 5.75% 9/26/19 (h)

39,900

40,648

Party City Corp. Tranche B, term loan 5.75% 7/27/19 (h)

119,700

121,496

Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (h)

230,000

232,588

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (h)

494,949

498,662

 

893,394

Technology - 1.5%

Ancestry.com, Inc. Tranche B, term loan 7% 12/28/18 (h)

755,000

753,113

Avaya, Inc. term loan 3.0615% 10/27/14 (h)

196,579

195,596

First Data Corp.:

term loan 4.2047% 3/24/18 (h)

2,105,000

2,083,950

Tranche 1LN, term loan 5.2047% 9/24/18 (h)

15,000

15,019

GoDaddy.com, Inc. Tranche B 1LN, term loan 5.5% 12/16/18 (h)

21,099

21,152

Kronos, Inc.:

Tranche 2LN, term loan 9.75% 4/24/20 (h)

270,000

272,700

Tranche B 1LN, term loan 5.5% 10/30/19 (h)

150,000

152,438

NXP BV:

Tranche A 1LN, term loan 4.5% 3/4/17 (h)

553,280

562,962

Tranche A 2LN, term loan 5.5% 3/4/17 (h)

113,563

115,976

Tranche A6, term loan 5.25% 3/19/19 (h)

853,695

866,500

 

5,039,406

Telecommunications - 1.6%

Alcatel-Lucent USA, Inc. Tranche C, term loan 7.25% 1/23/19 (h)

270,000

273,375

Floating Rate Loans - continued

 

Principal Amount (c)

Value

Telecommunications - continued

Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (h)

$ 148,500

$ 149,064

FairPoint Communications, Inc. term loan 6.4047% 1/24/16 (h)

1,892,458

1,859,339

Genesys SA Tranche B, term loan 6.75% 1/31/19 (h)

44,663

44,830

Intelsat Jackson Holdings SA Tranche B, term loan 4.5% 4/2/18 (h)

184,206

186,288

Level 3 Financing, Inc. Tranche B 2LN, term loan 4.75% 8/1/19 (h)

710,000

716,248

RP Crown Parent, LLC:

Tranche 1LN, term loan 6.75% 12/21/18 (h)

380,000

385,700

Tranche 2LN, term loan 11.25% 12/21/19 (h)

310,000

319,300

Vodafone Americas Finance 2, Inc.:

term loan 6.875% 8/11/15

1,117,538

1,139,888

Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind

309,375

317,883

 

5,391,915

TOTAL FLOATING RATE LOANS

(Cost $23,776,599)


24,536,505

Preferred Securities - 3.1%

 

 

 

 

Banks & Thrifts - 2.4%

ABN AMRO Bank N.V. Amsterdam BRH. 4.31% (f)(h)

600,000

714,336

AMBB Capital (L) Ltd. 6.77% (f)(h)

200,000

202,874

Banque Federative du Credit Mutuel SA 4.471% (f)(h)

150,000

193,751

Barclays Bank PLC:

4.75% (f)(h)

400,000

420,144

4.875% (f)(h)

400,000

402,585

BNP Paribas SA 5.019% (f)(h)

50,000

64,533

Caisse Nationale des Caisses d' Epargne et de Prevoyance:

4.75% (f)(h)

150,000

159,719

6.117% (f)(h)

500,000

617,890

Credit Agricole SA 7.875% (f)(h)

400,000

582,650

Groupe BPCE SA 9% (f)(h)

600,000

899,616

Intesa Sanpaolo SpA:

0% (f)(h)

450,000

590,870

8.375% (f)(h)

500,000

686,023

Lloyds TSB Bank PLC 6.35% (f)(h)

150,000

174,102

Natixis SA 6.307% (f)(h)

150,000

181,794

OTP Bank PLC 5.875% (f)(h)

60,000

56,158

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

100,000

125,338

Preferred Securities - continued

Principal Amount (c)

Value

Banks & Thrifts - continued

Societe Generale:

4.196% (f)(h)

$ 473,000

$ 562,070

6.999% (f)(h)

200,000

267,004

7.756% (f)(h)

50,000

68,959

UBS Capital Securities Ltd. (Jersey) 8.836% (f)(h)

700,000

1,007,410

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

100,000

141,115

Westpac Capital Trust III 5.819% (Reg. S) (f)(h)

200,000

204,703

 

8,323,644

Diversified Financial Services - 0.3%

Citigroup, Inc. 5.95% (f)(h)

395,000

405,021

Fortis Hybrid Financing SA 5.125% (f)(h)

300,000

351,391

SNS REAAL NV 6.258% (f)(h)

50,000

29,466

UBS AG 4.28% (f)(h)

250,000

337,636

 

1,123,514

Food/Beverage/Tobacco - 0.2%

Suedzucker International Finance BV 0% (f)(h)

350,000

497,038

Homebuilders/Real Estate - 0.1%

Wienerberger AG 6.5% (f)(h)

300,000

371,037

Insurance - 0.1%

Aviva PLC:

4.7291% (f)(h)

50,000

65,729

5.7% (f)(h)

200,000

271,056

 

336,785

TOTAL PREFERRED SECURITIES

(Cost $9,466,229)


10,652,018

Money Market Funds - 8.7%

Shares

 

Fidelity Cash Central Fund, 0.16% (a)
(Cost $30,118,889)

30,118,889


30,118,889

TOTAL INVESTMENT PORTFOLIO - 101.8%

(Cost $333,160,596)

350,919,619

NET OTHER ASSETS (LIABILITIES) - (1.8)%

(6,359,432 )

NET ASSETS - 100%

$ 344,560,187

Currency Abbreviations

CNY

-

Chinese yuan

EUR

-

European Monetary Unit

Legend

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

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

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

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) 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 $85,021,795 or 24.7% of net assets.

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

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

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

(i) Quantity represents share amount.

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

$ 20,617

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 216,600

$ 216,600

$ -

$ -

Energy

406,750

-

406,750

-

Financials

2,732,830

2,045,100

687,730

-

Telecommunication Services

164,525

-

-

164,525

Utilities

1,081,200

1,081,200

-

-

Corporate Bonds

270,024,149

-

269,836,649

187,500

Government Obligations

10,986,153

-

10,986,153

-

Floating Rate Loans

24,536,505

-

24,536,505

-

Preferred Securities

10,652,018

-

10,652,018

-

Money Market Funds

30,118,889

30,118,889

-

-

Total Investments in Securities:

$ 350,919,619

$ 33,461,789

$ 317,105,805

$ 352,025

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $332,262,914. Net unrealized appreciation aggregated $18,656,705, of which $20,327,778 related to appreciated investment securities and $1,671,073 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds, floating rate loans, foreign government and government agency obligations, and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

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

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

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Capital and Income Fund

January 31, 2013 

1.813054.108

CAI-QTLY-0313

Investments January 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 74.1%

 

Principal
Amount (000s)

Value (000s)

Convertible Bonds - 0.3%

Automotive - 0.2%

TRW Automotive, Inc. 3.5% 12/1/15

$ 8,420

$ 17,019

Technology - 0.1%

Nuance Communications, Inc.:

2.75% 8/15/27

10,030

13,741

2.75% 11/1/31

670

747

 

14,488

TOTAL CONVERTIBLE BONDS

31,507

Nonconvertible Bonds - 73.8%

Aerospace - 0.4%

ADS Tactical, Inc. 11% 4/1/18 (h)

4,475

4,587

Alion Science & Technology Corp.:

10.25% 2/1/15

2,770

1,385

12% 11/1/14 pay-in-kind

3,992

4,002

Bombardier, Inc. 6.125% 1/15/23 (h)

9,295

9,411

GenCorp, Inc. 7.125% 3/15/21 (h)

2,610

2,701

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18

4,532

4,968

7.125% 3/15/21

4,532

4,985

Sequa Corp. 7% 12/15/17 (h)

9,660

9,732

 

41,771

Air Transportation - 1.6%

Air Canada 9.25% 8/1/15 (h)

17,706

18,768

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

6,886

6,976

Continental Airlines, Inc.:

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

2,788

2,990

6.125% 4/29/18 (h)

3,325

3,308

7.25% 11/10/19

12,267

14,230

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

6.821% 8/10/22

29,854

33,774

8.021% 8/10/22

12,470

13,655

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

7,618

8,589

8.028% 11/1/17

2,088

2,269

U.S. Airways pass-thru certificates:

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

13,162

14,971

Series 2012-2:

Class A, 4.625% 12/3/26

4,630

4,792

Class B, 6.75% 12/3/22

3,610

3,809

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Air Transportation - continued

United Air Lines, Inc.:

9.875% 8/1/13 (h)

$ 4,711

$ 4,711

12% 11/1/13 (h)

9,363

9,363

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

17,256

19,845

 

162,050

Automotive - 3.1%

Affinia Group, Inc.:

9% 11/30/14

13,208

13,241

10.75% 8/15/16 (h)

1,666

1,808

Cooper Standard Auto, Inc. 8.5% 5/1/18

4,714

5,115

Dana Holding Corp.:

6.5% 2/15/19

6,056

6,465

6.75% 2/15/21

3,618

3,944

Delphi Corp.:

5.875% 5/15/19

14,590

15,702

6.125% 5/15/21

14,115

15,527

Exide Technologies 8.625% 2/1/18

5,526

4,725

Ford Motor Co. 7.45% 7/16/31

5,070

6,464

Ford Motor Credit Co. LLC:

4.25% 9/20/22

10,659

10,927

5.75% 2/1/21

10,070

11,386

5.875% 8/2/21

38,265

43,491

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

63,914

80,052

General Motors Corp.:

6.75% 5/1/28 (d)

30,632

0

7.125% 7/15/13 (d)

3,954

0

7.2% 1/15/11 (d)

9,896

0

7.4% 9/1/25 (d)

1,235

0

7.7% 4/15/16 (d)

21,189

0

8.25% 7/15/23 (d)

11,961

0

8.375% 7/15/33 (d)

17,293

0

General Motors Financial Co., Inc. 6.75% 6/1/18

16,900

19,435

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

14,445

13,867

Lear Corp. 4.75% 1/15/23 (h)

9,530

9,459

Stoneridge, Inc. 9.5% 10/15/17 (h)

5,694

6,093

Tenneco, Inc.:

6.875% 12/15/20

15,510

17,022

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Automotive - continued

Tenneco, Inc.: - continued

7.75% 8/15/18

$ 3,812

$ 4,174

Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (h)

12,030

13,368

 

302,265

Banks & Thrifts - 4.1%

Ally Financial, Inc.:

5.5% 2/15/17

16,155

17,367

7.5% 9/15/20

79,750

95,899

8% 3/15/20

69,172

84,822

GMAC LLC:

6.75% 12/1/14

8,237

8,896

8% 11/1/31

146,276

184,673

Regions Financing Trust II 6.625% 5/15/47 (k)

10,140

10,140

 

401,797

Broadcasting - 0.7%

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

5,930

5,930

Clear Channel Communications, Inc.:

5.5% 9/15/14

1,005

965

9% 12/15/19 (h)

4,510

4,262

10.75% 8/1/16

35,610

27,598

Sinclair Television Group, Inc. 8.375% 10/15/18

8,694

9,629

Sirius XM Radio, Inc. 5.25% 8/15/22 (h)

9,910

10,083

Starz LLC/Starz Finance Corp. 5% 9/15/19 (h)

8,945

9,191

 

67,658

Building Materials - 1.8%

CEMEX Espana SA (Luxembourg):

9.25% 5/12/20 (h)

6,055

6,479

9.875% 4/30/19 (h)

10,465

11,773

CEMEX Finance LLC:

9.375% 10/12/22 (h)

4,700

5,299

9.5% 12/14/16 (h)

25,600

27,328

CEMEX SA de CV:

5.311% 9/30/15 (h)(k)

11,470

11,642

9.5% 6/15/18 (h)

29,085

32,721

Gibraltar Industries, Inc. 6.25% 2/1/21 (h)

1,495

1,544

HD Supply, Inc.:

8.125% 4/15/19 (h)

10,045

11,401

11% 4/15/20 (h)

19,585

23,355

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Building Materials - continued

HD Supply, Inc.: - continued

11.5% 7/15/20 (h)

$ 24,950

$ 28,693

Nortek, Inc. 8.5% 4/15/21 (h)

7,445

8,413

Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (h)

11,185

11,940

 

180,588

Cable TV - 2.4%

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

12,705

12,530

5.25% 9/30/22

15,055

14,904

6.5% 4/30/21

28,370

30,356

6.625% 1/31/22

17,645

19,233

7.375% 6/1/20

12,500

13,906

8.125% 4/30/20

8,473

9,511

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (h)

12,315

12,808

DISH DBS Corp.:

5.875% 7/15/22

45,130

47,838

6.75% 6/1/21

25,875

28,915

EchoStar Communications Corp. 7.125% 2/1/16

18,061

20,138

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

10,690

11,037

Virgin Media Finance PLC 4.875% 2/15/22

10,880

10,853

 

232,029

Chemicals - 2.5%

Axiall Corp. 4.875% 5/15/23 (h)(j)

3,075

3,094

Eagle Spinco, Inc. 4.625% 2/15/21 (h)

5,220

5,246

Hexion US Finance Corp. 6.625% 4/15/20 (h)

22,825

22,483

LyondellBasell Industries NV:

5% 4/15/19

15,005

16,543

5.75% 4/15/24

15,005

17,368

6% 11/15/21

7,330

8,641

Momentive Performance Materials, Inc.:

9% 1/15/21

4,785

3,708

10% 10/15/20

5,685

5,742

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

64,215

66,141

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

4,160

4,399

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Chemicals - continued

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (h)(k)

$ 14,530

$ 14,457

OXEA Finance & CY S.C.A. 9.5% 7/15/17 (h)

8,011

8,772

PolyOne Corp. 7.375% 9/15/20

4,506

4,957

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

18,450

18,911

Taminco Global Chemical Corp. 9.75% 3/31/20 (h)

2,660

2,926

TPC Group, Inc. 8.75% 12/15/20 (h)

14,165

14,307

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (h)

19,410

19,192

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

4,750

4,857

 

241,744

Consumer Products - 0.6%

Dispensing Dynamics International 12.5% 1/1/18 (h)

4,830

4,758

Easton-Bell Sports, Inc. 9.75% 12/1/16

4,122

4,431

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

4,027

4,490

Jarden Corp. 6.125% 11/15/22

7,850

8,400

NBTY, Inc. 9% 10/1/18

12,257

13,881

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

1,650

1,848

Revlon Consumer Products Corp. 9.75% 11/15/15

10,653

11,239

Sealy Mattress Co. 10.875% 4/15/16 (h)

3,218

3,443

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (h)

2,820

2,982

6.625% 11/15/22 (h)

3,335

3,585

Tempur-Pedic International, Inc. 6.875% 12/15/20 (h)

3,880

4,123

 

63,180

Containers - 1.9%

ARD Finance SA 11.125% 6/1/18 pay-in-kind (h)

11,847

12,676

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

4.875% 11/15/22 (h)

2,220

2,220

7% 11/15/20 (h)

5,830

5,903

Berry Plastics Holding Corp. 4.183% 9/15/14 (k)

1,765

1,767

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

4,335

4,660

Crown Cork & Seal, Inc.:

7.375% 12/15/26

1,805

2,031

7.5% 12/15/96

12,871

12,469

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Containers - continued

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

5.75% 10/15/20

$ 26,515

$ 27,244

6.875% 2/15/21

15,185

16,286

7.125% 4/15/19

10,137

10,821

8.25% 2/15/21

40,461

42,383

8.5% 5/15/18 (e)

1,070

1,124

9% 4/15/19

13,250

13,979

9.875% 8/15/19

16,895

18,458

Rock-Tenn Co.:

4.45% 3/1/19 (h)

3,175

3,419

4.9% 3/1/22 (h)

2,965

3,158

Tekni-Plex, Inc. 9.75% 6/1/19 (h)

9,040

9,989

 

188,587

Diversified Financial Services - 9.1%

Aircastle Ltd.:

6.75% 4/15/17

14,115

15,527

7.625% 4/15/20

7,830

8,985

9.75% 8/1/18

4,528

5,139

CIT Group, Inc.:

4.25% 8/15/17

21,795

22,558

5% 5/15/17

25,045

26,736

5% 8/15/22

17,330

18,303

5.25% 3/15/18

25,000

26,750

5.375% 5/15/20

21,665

23,507

5.5% 2/15/19 (h)

76,100

81,427

Citigroup, Inc. 5.9% (i)(k)

27,015

27,116

Eileme 2 AB 11.625% 1/31/20 (h)

20,050

23,659

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18

79,611

85,283

International Lease Finance Corp.:

5.75% 5/15/16

29,150

31,360

5.875% 4/1/19

75,675

81,799

6.25% 5/15/19

59,200

65,416

6.75% 9/1/16 (h)

11,300

12,741

7.125% 9/1/18 (h)

40,123

46,944

8.25% 12/15/20

31,112

38,112

8.625% 9/15/15

20,809

23,618

8.625% 1/15/22

62,425

79,280

8.75% 3/15/17

46,238

54,214

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Diversified Financial Services - continued

Penson Worldwide, Inc. 12.5% 5/15/17 (d)(h)

$ 9,516

$ 2,284

SLM Corp.:

5.5% 1/25/23

37,170

37,020

6% 1/25/17

19,625

21,637

7.25% 1/25/22

17,805

19,897

8% 3/25/20

15,115

17,496

 

896,808

Diversified Media - 1.6%

Checkout Holding Corp. 0% 11/15/15 (h)

7,954

5,787

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (h)

15,960

16,838

6.5% 11/15/22 (h)

43,150

45,955

Liberty Media Corp.:

8.25% 2/1/30

14,848

16,407

8.5% 7/15/29

9,940

11,083

MDC Partners, Inc. 11% 11/1/16

2,375

2,613

Quebecor Media, Inc. 5.75% 1/15/23 (h)

15,820

16,413

WMG Acquisition Corp. 11.5% 10/1/18

38,530

44,887

 

159,983

Electric Utilities - 5.5%

Atlantic Power Corp. 9% 11/15/18

21,010

22,323

Calpine Corp. 7.875% 1/15/23 (h)

61,926

68,273

Energy Future Holdings Corp.:

10.875% 11/1/17

7,994

7,514

11.25% 11/1/17 pay-in-kind (k)

147

138

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

6.875% 8/15/17 (h)

2,525

2,714

10% 12/1/20

106,657

122,656

10% 12/1/20 (h)

27,969

32,025

11% 10/1/21

77,278

84,233

11.75% 3/1/22 (h)

71,680

81,626

12.25% 12/1/18 pay-in-kind (h)

14,510

13,857

GenOn Energy, Inc. 9.5% 10/15/18

6,575

7,808

Mirant Americas Generation LLC 9.125% 5/1/31

8,735

9,696

Puget Energy, Inc. 5.625% 7/15/22

7,775

8,394

TXU Corp.:

5.55% 11/15/14

4,137

3,868

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Electric Utilities - continued

TXU Corp.: - continued

6.5% 11/15/24

$ 39,570

$ 27,007

6.55% 11/15/34

75,888

49,517

 

541,649

Energy - 8.1%

Atlas Pipeline Escrow LLC 6.625% 10/1/20 (h)

6,985

7,334

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 6.625% 10/1/20 (h)

2,500

2,625

Atwood Oceanics, Inc. 6.5% 2/1/20

2,395

2,599

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

7,490

7,359

Berry Petroleum Co. 10.25% 6/1/14

6,231

6,885

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

9.375% 5/1/19

9,780

10,746

9.625% 8/1/20 (h)

10,080

11,264

Carrizo Oil & Gas, Inc. 8.625% 10/15/18

13,320

14,352

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

4,495

5,158

Concho Resources, Inc.:

5.5% 4/1/23

17,330

18,197

6.5% 1/15/22

16,925

18,448

7% 1/15/21

7,134

7,830

Continental Resources, Inc.:

5% 9/15/22

30,100

31,906

8.25% 10/1/19

2,525

2,841

Crestwood Midstream Partners LP/Finance Corp.:

7.75% 4/1/19

6,120

6,395

7.75% 4/1/19 (h)

9,155

9,521

Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18

13,153

14,107

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

14,965

15,115

Denbury Resources, Inc.:

8.25% 2/15/20

10,371

11,538

9.75% 3/1/16

4,608

4,861

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

7,065

7,030

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

14,075

14,568

Edgen Murray Corp. 8.75% 11/1/20 (h)

12,170

12,474

Energy Partners Ltd. 8.25% 2/15/18

17,853

18,835

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

Energy Transfer Equity LP 7.5% 10/15/20

$ 25,052

$ 28,872

Energy XXI Gulf Coast, Inc. 9.25% 12/15/17

31,611

35,997

EPL Oil & Gas, Inc. 8.25% 2/15/18 (h)

9,920

10,416

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

10,305

9,171

Forest Oil Corp. 7.5% 9/15/20 (h)

13,890

14,793

Goodrich Petroleum Corp. 8.875% 3/15/19

9,323

9,137

Halcon Resources Corp. 8.875% 5/15/21 (h)

8,280

8,818

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h)

8,892

9,137

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

4,825

5,223

Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (h)

10,284

11,210

Laredo Pete, Inc. 7.375% 5/1/22

12,325

13,342

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (h)

10,360

10,334

7.75% 2/1/21

37,965

40,623

8.625% 4/15/20

26,385

29,089

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

5.5% 2/15/23

4,850

5,117

6.75% 11/1/20

4,586

5,022

Newfield Exploration Co. 5.625% 7/1/24

10,950

11,771

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

4,500

4,725

Oil States International, Inc. 6.5% 6/1/19

10,615

11,332

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

19,835

21,521

Pioneer Drilling Co. 9.875% 3/15/18

8,990

9,754

Precision Drilling Corp. 6.5% 12/15/21

2,505

2,687

Pride International, Inc. 6.875% 8/15/20

7,810

9,749

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

12,370

12,834

QR Energy LP/QRE Finance Corp. 9.25% 8/1/20

8,470

8,936

Range Resources Corp.:

5% 8/15/22

2,500

2,619

5.75% 6/1/21

2,500

2,650

Rosetta Resources, Inc. 9.5% 4/15/18

9,465

10,412

Sabine Pass Liquefaction LLC 5.625% 2/1/21 (h)

9,655

9,739

Southern Natural Gas Co.:

7.35% 2/15/31

23,497

30,793

8% 3/1/32

13,025

18,474

Southern Star Central Corp. 6.75% 3/1/16

5,021

5,096

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Energy - continued

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

$ 6,004

$ 6,079

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

9,598

10,462

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

5.25% 5/1/23 (h)

2,520

2,621

6.875% 2/1/21

7,214

7,899

11.25% 7/15/17

11,884

12,954

Tennessee Gas Pipeline Co.:

7% 10/15/28

7,170

9,524

7.625% 4/1/37

5,445

7,716

8.375% 6/15/32

4,458

6,265

Tesoro Corp.:

4.25% 10/1/17

6,155

6,378

5.375% 10/1/22

6,925

7,202

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (h)

2,090

2,179

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

4,031

4,263

Venoco, Inc. 8.875% 2/15/19

8,189

7,964

W&T Offshore, Inc. 8.5% 6/15/19 (h)

9,920

10,590

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

16,060

17,265

 

800,742

Entertainment/Film - 0.1%

Cinemark USA, Inc. 5.125% 12/15/22 (h)

2,845

2,881

NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (h)

6,124

6,706

Regal Entertainment Group 5.75% 2/1/25

2,760

2,753

 

12,340

Environmental - 0.4%

Clean Harbors, Inc.:

5.125% 6/1/21 (h)

5,880

6,056

5.25% 8/1/20

7,105

7,425

Covanta Holding Corp. 7.25% 12/1/20

12,151

13,386

Darling International, Inc. 8.5% 12/15/18

2,810

3,189

Tervita Corp. 9.75% 11/1/19 (h)

9,920

9,722

 

39,778

Food & Drug Retail - 0.9%

Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (h)

20,502

22,245

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Food & Drug Retail - continued

ESAL GmbH 6.25% 2/5/23 (h)

$ 7,490

$ 7,274

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (h)

10,785

11,109

Rite Aid Corp.:

8% 8/15/20

10,701

12,199

9.25% 3/15/20

17,965

19,851

9.75% 6/12/16

1,451

1,556

10.25% 10/15/19

4,488

5,161

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

2,915

3,126

Tops Markets LLC 8.875% 12/15/17 (h)

5,450

5,859

 

88,380

Food/Beverage/Tobacco - 0.8%

Constellation Brands, Inc. 4.625% 3/1/23

5,370

5,451

Dean Foods Co. 9.75% 12/15/18

18,112

20,467

FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. 9.875% 2/1/20 (h)

17,575

19,069

JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (h)

7,110

7,625

Leiner Health Products, Inc. 11% 6/1/49 (d)

2,870

0

Michael Foods Holding, Inc. 8.5% 7/15/18 pay-in-kind (h)(k)

3,420

3,531

Michael Foods, Inc. 9.75% 7/15/18

4,776

5,301

Post Holdings, Inc. 7.375% 2/15/22

2,115

2,348

Smithfield Foods, Inc. 6.625% 8/15/22

9,850

10,835

 

74,627

Gaming - 2.1%

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

12,815

12,879

Caesars Operating Escrow LLC/Caesars Escrow Corp. 9% 2/15/20 (h)

20,065

20,441

Chester Downs & Marina LLC 9.25% 2/1/20 (h)

3,250

3,161

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

21,760

24,154

MCE Finance Ltd.:

5% 2/15/21 (h)

9,655

9,655

10.25% 5/15/18

20,155

23,380

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

7,221

6,246

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

14,856

15,599

Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (h)

6,103

6,088

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Gaming - continued

Station Casinos LLC 3.66% 6/18/18 (e)

$ 43,735

$ 38,924

Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (h)

1,605

1,717

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (h)

3,664

1,218

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

5.375% 3/15/22

12,000

12,780

7.75% 8/15/20

29,768

33,638

 

209,880

Healthcare - 7.1%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

70

75

Community Health Systems, Inc.:

5.125% 8/15/18

10,125

10,657

7.125% 7/15/20

10,245

11,065

ConvaTec Healthcare ESA 10.5% 12/15/18 (h)

11,949

13,263

CRC Health Group, Inc. 10.75% 2/1/16

5,621

5,614

DaVita, Inc.:

5.75% 8/15/22

39,610

41,591

6.625% 11/1/20

9,505

10,384

DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18 (h)

1,100

1,224

Elan Finance PLC/Elan Finance Corp. 6.25% 10/15/19 (h)

9,025

9,657

Fresenius Medical Care US Finance II, Inc. 5.875% 1/31/22 (h)

14,000

15,295

Gentiva Health Services, Inc. 11.5% 9/1/18

14,015

13,805

Grifols, Inc. 8.25% 2/1/18

12,699

13,905

HCA Holdings, Inc.:

6.25% 2/15/21

11,290

11,798

7.75% 5/15/21

198,397

217,230

HCA, Inc.:

4.75% 5/1/23

12,395

12,472

5.875% 5/1/23

22,195

23,083

7.5% 2/15/22

3,150

3,630

8% 10/1/18

3,150

3,654

Health Management Associates, Inc. 7.375% 1/15/20

6,815

7,428

HealthSouth Corp. 5.75% 11/1/24

6,235

6,297

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19

11,155

11,322

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Healthcare - continued

InVentiv Health, Inc. 10% 8/15/18 (h)

$ 2,237

$ 1,969

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

8,815

10,115

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

21,720

23,892

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

20,615

22,522

Polymer Group, Inc. 7.75% 2/1/19

4,067

4,403

ResCare, Inc. 10.75% 1/15/19

6,775

7,503

Rotech Healthcare, Inc. 10.5% 3/15/18

6,732

4,342

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18

9,999

10,699

Tenet Healthcare Corp.:

4.5% 4/1/21 (h)(j)

8,350

8,204

4.75% 6/1/20 (h)

8,175

8,216

6.25% 11/1/18

17,260

18,943

6.75% 2/1/20

29,325

30,645

6.875% 11/15/31

8,490

7,768

8% 8/1/20

15,045

16,361

Thomson Reuters Healthcare, Inc. 10.625% 6/1/20 (h)

9,085

10,039

UHS Escrow Corp. 7% 10/1/18

2,503

2,760

Valeant Pharmaceuticals International:

6.375% 10/15/20 (h)

7,515

7,759

6.75% 8/15/21 (h)

24,534

25,699

6.875% 12/1/18 (h)

3,960

4,198

VPI Escrow Corp. 6.375% 10/15/20 (h)

14,780

15,278

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (h)

9,030

9,098

 

693,862

Homebuilders/Real Estate - 1.0%

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

5,010

5,286

CB Richard Ellis Services, Inc. 6.625% 10/15/20

13,613

14,822

D.R. Horton, Inc. 4.375% 9/15/22

11,180

11,124

Realogy Corp.:

7.625% 1/15/20 (h)

13,580

15,481

7.875% 2/15/19 (h)

13,668

15,069

9% 1/15/20 (h)

8,005

9,326

Standard Pacific Corp.:

8.375% 5/15/18

5,670

6,691

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Homebuilders/Real Estate - continued

Standard Pacific Corp.: - continued

8.375% 1/15/21

$ 10,900

$ 12,971

Taylor Morrison Community Monarch 7.75% 4/15/20 (h)

7,995

8,635

 

99,405

Hotels - 0.1%

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

3,035

3,361

FelCor Lodging LP 5.625% 3/1/23 (h)

8,085

8,155

 

11,516

Insurance - 0.1%

CNO Financial Group, Inc. 6.375% 10/1/20 (h)

5,100

5,406

Leisure - 0.6%

Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18

7,298

8,210

Equinox Holdings, Inc. 9.5% 2/1/16 (h)

15,517

16,254

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

11,563

13,066

NCL Corp. Ltd. 9.5% 11/15/18

3,549

3,957

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

3,048

3,231

Seven Seas Cruises S de RL LLC 9.125% 5/15/19

1,855

1,948

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

14,515

14,479

 

61,145

Metals/Mining - 1.4%

Aleris International, Inc.:

6% 6/1/20 (h)

151

300

9% 12/15/14 pay-in-kind (d)(k)

12,670

0

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (h)

13,365

13,666

6.875% 2/1/18 (h)

18,787

19,492

6.875% 4/1/22 (h)

21,410

22,159

8.25% 11/1/19 (h)

24,565

26,285

IAMGOLD Corp. 6.75% 10/1/20 (h)

12,535

12,253

Inmet Mining Corp. 7.5% 6/1/21 (h)

5,815

6,266

Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (h)

6,027

3,887

Mirabela Nickel Ltd. 8.75% 4/15/18 (h)

3,145

2,988

New Gold, Inc.:

6.25% 11/15/22 (h)

8,895

9,406

7% 4/15/20 (h)

3,050

3,279

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Metals/Mining - continued

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

$ 3,255

$ 3,515

Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (h)

8,460

8,883

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

2,020

2,096

SunCoke Energy, Inc. 7.625% 8/1/19

3,510

3,694

 

138,169

Paper - 0.7%

AbitibiBowater, Inc. 10.25% 10/15/18

27,111

31,245

Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (h)

2,860

2,946

Clearwater Paper Corp. 7.125% 11/1/18

3,004

3,274

NewPage Corp.:

6.2813% 5/1/49 (d)(k)

6,337

269

11.375% 12/31/14 (d)

13,642

0

Sappi Papier Holding GmbH:

7.75% 7/15/17 (h)

5,480

6,165

8.375% 6/15/19 (h)

7,405

8,368

Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19

14,885

15,704

 

67,971

Publishing/Printing - 0.2%

American Reprographics Co. 10.5% 12/15/16

11,245

11,133

Sheridan Group, Inc. 12.5% 4/15/14

8,272

7,031

 

18,164

Railroad - 0.1%

Kansas City Southern de Mexico SA de CV:

6.125% 6/15/21

6,895

7,688

12.5% 4/1/16

4,787

5,158

 

12,846

Restaurants - 0.1%

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

6,285

6,505

Services - 1.1%

Bakercorp International, Inc. 8.25% 6/1/19

8,035

8,115

Garda World Security Corp. 9.75% 3/15/17 (h)

5,964

6,307

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

7,925

7,994

Laureate Education, Inc. 9.25% 9/1/19 (h)

37,100

40,439

MediMedia USA, Inc. 11.375% 11/15/14 (h)

2,763

2,680

The Geo Group, Inc. 7.75% 10/15/17

2,193

2,357

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Services - continued

Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18

$ 10,861

$ 12,585

TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (k)

6,270

6,693

United Rentals North America, Inc. 8.375% 9/15/20

17,041

18,745

 

105,915

Shipping - 1.0%

Aguila 3 SA 7.875% 1/31/18 (h)

7,473

7,865

Kenan Advantage Group, Inc. 8.375% 12/15/18 (h)

9,030

9,504

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17

6,344

6,011

Navios Maritime Holdings, Inc.:

8.125% 2/15/19

12,249

10,412

8.875% 11/1/17

8,029

7,919

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19

3,665

3,665

NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (h)

7,295

7,952

Swift Services Holdings, Inc. 10% 11/15/18

11,188

12,614

Teekay Corp. 8.5% 1/15/20

10,097

10,955

TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (h)

7,235

7,669

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

6,918

6,883

Western Express, Inc. 12.5% 4/15/15 (h)

15,667

9,909

 

101,358

Steel - 0.4%

Atkore International, Inc. 9.875% 1/1/18

5,379

5,877

RathGibson, Inc. 11.25% 2/15/14 (d)

10,935

0

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

9% 10/15/17 (h)

14,420

15,502

11.25% 10/15/18 (h)

18,615

18,429

 

39,808

Super Retail - 0.9%

Asbury Automotive Group, Inc. 8.375% 11/15/20

3,530

3,936

Innovation Ventures LLC / Innovation Ventures Finance Corp. 9.5% 8/15/19 (h)

7,700

6,969

Jo-Ann Stores, Inc. 9.75% 10/15/19 pay-in-kind (h)(k)

9,575

9,790

Limited Brands, Inc. 5.625% 2/15/22

14,745

15,888

Michaels Stores, Inc. 7.75% 11/1/18

7,410

8,105

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Super Retail - continued

Netflix, Inc. 5.375% 2/1/21 (h)

$ 7,725

$ 7,706

Office Depot, Inc. 9.75% 3/15/19 (h)

7,865

8,612

Sally Holdings LLC 6.875% 11/15/19

7,585

8,362

Sonic Automotive, Inc. 9% 3/15/18

5,200

5,733

Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (h)

7,625

8,235

 

83,336

Technology - 2.9%

Avaya, Inc.:

9.75% 11/1/15

16,980

16,258

10.125% 11/1/15 pay-in-kind (k)

11,320

10,867

Brocade Communications Systems, Inc.:

4.625% 1/15/23 (h)

6,460

6,395

6.625% 1/15/18

3,103

3,212

CDW LLC/CDW Finance Corp. 8% 12/15/18

3,942

4,385

Fidelity National Information Services, Inc. 7.875% 7/15/20

9,750

11,042

First Data Corp.:

6.75% 11/1/20 (h)

21,550

22,197

7.375% 6/15/19 (h)

15,575

16,315

IAC/InterActiveCorp 4.75% 12/15/22 (h)

11,855

11,766

Jabil Circuit, Inc. 4.7% 9/15/22

5,525

5,663

Lucent Technologies, Inc.:

6.45% 3/15/29

16,369

12,768

6.5% 1/15/28

14,276

11,064

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

5,080

5,232

NXP BV/NXP Funding LLC:

5.75% 2/15/21 (h)(j)

9,665

9,665

9.75% 8/1/18 (h)

3,476

4,006

Open Solutions, Inc. 9.75% 2/1/15 (h)

2,975

2,979

Seagate HDD Cayman:

7% 11/1/21

17,475

19,179

7.75% 12/15/18

9,234

10,157

Sensata Technologies BV 6.5% 5/15/19 (h)

14,750

15,930

Spansion LLC 11.25% 1/15/16 (d)(h)

20,560

0

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19 (h)

50,815

56,024

13.375% 10/15/19 (h)

25,055

27,623

 

282,727

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - 8.0%

Altice Financing SA 7.875% 12/15/19 (h)

$ 9,310

$ 10,008

Altice Finco SA 9.875% 12/15/20 (h)

10,945

12,094

Citizens Communications Co.:

7.875% 1/15/27

9,275

9,507

9% 8/15/31

13,178

14,298

Consolidated Communications, Inc. 10.875% 6/1/20 (h)

4,930

5,571

Crown Castle International Corp. 5.25% 1/15/23 (h)

17,075

17,758

Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (h)

7,190

7,657

Digicel Group Ltd.:

7% 2/15/20 (h)

2,110

2,279

8.25% 9/1/17 (h)

5,913

6,268

8.25% 9/30/20 (h)

78,764

87,822

10.5% 4/15/18 (h)

74,384

82,938

Eileme 1 AB 14.25% 8/15/20 pay-in-kind (h)

10,860

11,891

Frontier Communications Corp.:

8.5% 4/15/20

26,838

30,864

8.75% 4/15/22

7,663

8,870

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (h)

36,515

37,154

7.25% 4/1/19

30,640

33,015

7.25% 10/15/20 (h)

32,030

34,272

7.5% 4/1/21

57,680

62,871

8.5% 11/1/19

11,979

13,327

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

7,245

7,535

Level 3 Communications, Inc. 8.875% 6/1/19 (h)

3,435

3,744

Level 3 Financing, Inc. 7% 6/1/20 (h)

30,000

31,725

NeuStar, Inc. 4.5% 1/15/23 (h)

3,585

3,585

NII Capital Corp. 7.625% 4/1/21

15,945

12,517

SBA Telecommunications, Inc. 5.75% 7/15/20 (h)

12,075

12,679

Sprint Capital Corp.:

6.875% 11/15/28

59,169

59,761

8.75% 3/15/32

62,445

73,685

Sprint Nextel Corp. 6% 11/15/22

4,790

4,802

TW Telecom Holdings, Inc. 5.375% 10/1/22

8,095

8,500

U.S. West Communications:

7.25% 9/15/25

1,480

1,701

Corporate Bonds - continued

 

Principal
Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

Telecommunications - continued

U.S. West Communications: - continued

7.25% 10/15/35

$ 5,745

$ 6,068

Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (h)(k)

64,010

67,531

 

782,297

Textiles & Apparel - 0.4%

Hanesbrands, Inc. 6.375% 12/15/20

18,006

19,560

Levi Strauss & Co. 7.625% 5/15/20

5,774

6,265

PVH Corp. 4.5% 12/15/22

15,175

15,023

 

40,848

TOTAL NONCONVERTIBLE BONDS

7,257,134

TOTAL CORPORATE BONDS

(Cost $6,701,391)


7,288,641

Common Stocks - 9.5%

Shares

 

Aerospace - 0.0%

Alion Science & Technology Corp. warrants 3/15/17 (a)

5,185

0

Air Transportation - 0.0%

Delta Air Lines, Inc. (a)

75,034

1,042

Automotive - 0.1%

General Motors Co. (a)

17,620

495

General Motors Co.:

warrants 7/10/16 (a)

352,563

6,642

warrants 7/10/19 (a)

352,563

4,301

Motors Liquidation Co. GUC Trust (a)

97,361

2,273

 

13,711

Building Materials - 0.7%

Nortek, Inc. (a)(g)

936,497

67,568

Nortek, Inc. warrants 12/7/14 (a)(g)

27,280

546

 

68,114

Capital Goods - 0.1%

Remy International, Inc.

380,502

6,468

Common Stocks - continued

Shares

Value (000s)

Chemicals - 0.7%

Axiall Corp. (f)

500,000

$ 28,090

LyondellBasell Industries NV Class A

631,745

40,065

 

68,155

Consumer Products - 0.6%

Jarden Corp.

450,000

26,478

Reddy Ice Holdings, Inc.

496,439

2,524

Revlon, Inc. (a)

930,000

14,648

Spectrum Brands Holdings, Inc.

314,997

15,951

 

59,601

Containers - 0.0%

Rock-Tenn Co. Class A

22,096

1,744

Diversified Financial Services - 0.2%

Heartland Payment Systems, Inc.

700,000

22,232

Electric Utilities - 0.0%

Portland General Electric Co.

14,817

426

Energy - 0.0%

Lone Pine Resources, Inc. (a)

277,573

319

Food & Drug Retail - 0.3%

CVS Caremark Corp.

650,000

33,280

Food/Beverage/Tobacco - 0.0%

WhiteWave Foods Co. (f)

205,100

3,321

Gaming - 0.7%

Melco PBL Entertainment (Macau) Ltd. sponsored ADR (a)(f)

1,616,000

33,871

Station Holdco LLC (a)(l)(m)

22,418,968

32,732

Station Holdco LLC warrants 6/15/18 (a)(l)(m)

894,280

45

 

66,648

Healthcare - 1.4%

Community Health Systems, Inc.

420,000

16,099

Express Scripts Holding Co. (a)

1,070,000

57,159

HCA Holdings, Inc.

1,097,900

41,336

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

310,000

20,557

 

135,151

Homebuilders/Real Estate - 0.2%

American Residential Properties, Inc. (h)

750,000

16,313

American Tower Corp.

11,612

884

Realogy Holdings Corp.

51,500

2,306

 

19,503

Metals/Mining - 0.1%

Aleris International, Inc. (a)(m)

127,520

5,978

Common Stocks - continued

Shares

Value (000s)

Paper - 0.1%

NewPage Corp.

54,568

$ 5,102

Publishing/Printing - 0.0%

Haights Cross Communications, Inc. (a)

49,867

370

Haights Cross Communications, Inc. warrants 3/11/13 (a)

69,259

24

HMH Holdings, Inc. warrants 6/22/19 (a)(m)

127,577

957

RDA Holding Co. warrants 2/19/14 (a)(m)

46,934

0

 

1,351

Restaurants - 0.2%

Texas Roadhouse, Inc. Class A

1,000,000

17,590

Services - 1.0%

Monsanto Co.

214,600

21,750

Penhall Acquisition Co.:

Class A (a)

26,163

2,277

Class B (a)

8,721

759

United Rentals, Inc. (a)

850,000

43,027

Visa, Inc. Class A

185,000

29,213

 

97,026

Shipping - 0.2%

DeepOcean Group Holding BV (a)(h)

1,138,931

19,269

U.S. Shipping Partners Corp. (a)

51,736

0

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

484,379

0

 

19,269

Super Retail - 0.6%

Dollar General Corp. (a)

650,000

30,043

GNC Holdings, Inc.

749,200

26,926

 

56,969

Technology - 1.6%

Apple, Inc.

63,800

29,049

Avago Technologies Ltd.

552,500

19,763

Broadcom Corp. Class A

600,000

19,470

Facebook, Inc. Class A

468,265

14,502

Fidelity National Information Services, Inc.

600,000

22,266

MagnaChip Semiconductor Corp. (a)

219,804

3,521

Nuance Communications, Inc. (a)

625,000

15,031

Skyworks Solutions, Inc. (a)

1,574,134

37,685

 

161,287

Telecommunications - 0.1%

MetroPCS Communications, Inc. (a)

1,300,000

13,039

Textiles & Apparel - 0.6%

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

659,302

4,912

Common Stocks - continued

Shares

Value (000s)

Textiles & Apparel - continued

Express, Inc. (a)

1,300,000

$ 23,894

Steven Madden Ltd. (a)

550,000

25,344

 

54,150

TOTAL COMMON STOCKS

(Cost $904,394)


931,476

Preferred Stocks - 1.6%

 

 

 

 

Convertible Preferred Stocks - 0.1%

Consumer Products - 0.0%

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

199,717

1,426

Diversified Media - 0.1%

Interpublic Group of Companies, Inc. 5.25%

9,200

10,373

TOTAL CONVERTIBLE PREFERRED STOCKS

11,799

Nonconvertible Preferred Stocks - 1.5%

Banks & Thrifts - 1.3%

Ally Financial, Inc. 7.00% (h)

81,450

79,007

SunTrust Banks, Inc. Series E, 5.875% (a)

580,069

14,386

Wells Fargo & Co. 5.20%

1,335,778

33,368

 

126,761

Homebuilders/Real Estate - 0.2%

Public Storage Series V, 5.375%

800,000

20,312

TOTAL NONCONVERTIBLE PREFERRED STOCKS

147,073

TOTAL PREFERRED STOCKS

(Cost $128,347)


158,872

Floating Rate Loans - 8.4%

 

Principal
Amount (000s)

 

Aerospace - 0.3%

Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (k)

$ 6,754

6,855

Hamilton Sundstrand Corp. Tranche B, term loan 5% 12/13/19 (k)

16,945

17,157

TransDigm, Inc. Tranche B, term loan 4% 2/14/17 (k)

4,544

4,584

 

28,596

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Air Transportation - 0.4%

United Air Lines, Inc. Tranche B, term loan 2.25% 2/1/14 (k)

$ 36,019

$ 35,974

Broadcasting - 0.2%

Clear Channel Capital I LLC Tranche B, term loan 3.8517% 1/29/16 (k)

15,055

13,004

FoxCo Acquisition Sub, LLC Tranche B, term loan 5.5% 7/14/17 (k)

1,860

1,884

Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (k)

5,760

5,839

 

20,727

Building Materials - 0.0%

HD Supply, Inc. Tranche B 1LN, term loan 7.25% 10/12/17 (k)

4,303

4,417

Cable TV - 0.3%

RCN Telecom Services, LLC Tranche B, term loan 5.25% 8/26/16 (k)

3,785

3,837

WideOpenWest Finance LLC Tranche B, term loan 6.25% 7/17/18 (k)

26,691

26,958

 

30,795

Capital Goods - 0.0%

SRAM LLC. 2nd LN, term loan 8.5% 12/7/18 (k)

3,985

4,040

Chemicals - 0.1%

U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (k)

5,370

5,430

Consumer Products - 0.1%

Revlon Consumer Products Corp. term loan 4.75% 11/19/17 (k)

12,790

12,886

Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (k)

1,135

1,152

 

14,038

Diversified Financial Services - 0.2%

Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (k)

2,295

2,304

Sheridan Investment Partners I, LLC Tranche B 2LN, term loan 5% 10/1/19 (k)

15,726

15,922

 

18,226

Electric Utilities - 1.6%

Calpine Corp. Tranche B, term loan 4.5% 4/1/18 (k)

10,185

10,236

Essential Power LLC Tranche B, term loan 5.5% 8/8/19 (k)

6,412

6,477

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Electric Utilities - continued

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7423% 10/10/17 (k)

$ 184,822

$ 122,213

The AES Corp. Tranche B, term loan 4.25% 5/27/18 (k)

16,227

16,410

 

155,336

Energy - 0.6%

Alon USA Partners LP term loan 9.25% 11/13/18 (k)

6,492

6,638

Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (k)

12,206

12,512

Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (k)

5,540

5,602

LSP Madison Funding LLC Tranche 1LN, term loan 4.7484% 6/28/19 (k)

11,659

11,688

MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (k)

17,920

18,122

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

4,145

4,207

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (k)

2,635

2,671

 

61,440

Environmental - 0.1%

ADS Waste Holdings, Inc. Tranche B, term loan 5.25% 10/9/19 (k)

5,265

5,318

Food/Beverage/Tobacco - 0.1%

AdvancePierre Foods, Inc. Tranche 1LN, term loan 5.75% 7/10/17 (k)

13,505

13,708

Gaming - 0.2%

Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (k)

4,770

4,937

Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4537% 1/28/18 (k)

7,520

6,975

Mesquite Gaming LLC term loan 8.5% 8/1/15 (k)

951

780

MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (k)

5,145

5,222

NP Opco, LLC Tranche B, term loan 5.5% 9/28/19 (k)

4,105

4,172

Stockbridge SBE Holdings LLC Tranche B, term loan 13% 5/2/17 (k)

1,885

1,979

 

24,065

Healthcare - 0.4%

Assuramed Holding, Inc.:

Tranche 2LN, term loan 9.25% 4/24/20 (k)

4,455

4,516

Tranche B 1LN, term loan 5.5% 10/24/19 (k)

3,010

3,051

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Healthcare - continued

Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (k)

$ 9,207

$ 9,265

PRA International Tranche 2LN, term loan 12/10/19 (k)

2,900

2,929

PRA International Tranche B 1LN, term loan 12/10/18 (k)

9,660

9,757

Valeant Pharmaceuticals International Tranche B, term loan 4.25% 9/16/19 (k)

9,020

9,110

 

38,628

Homebuilders/Real Estate - 0.3%

Realogy Corp.:

Credit-Linked Deposit 3.2087% 10/10/13 (k)

581

566

Credit-Linked Deposit 4.4587% 10/10/16 (k)

1,545

1,557

term loan 4.4557% 10/10/16 (k)

26,373

26,571

Summit Materials LLC Tranche B, term loan 6% 1/30/19 (k)

3,355

3,355

 

32,049

Insurance - 0.6%

Asurion Corp.:

Tranche 1LN, term loan 5.5% 5/24/18 (k)

9,255

9,336

Tranche 2LN, term loan 9% 5/24/19 (k)

10,070

10,347

Tranche B-1 1LN, term loan 4.75% 7/23/17 (k)

9,770

9,856

CNO Financial Group, Inc.:

Tranche B 1LN, term loan 4.25% 9/28/16 (k)

2,389

2,398

Tranche B 2LN, term loan 5% 9/28/18 (k)

1,447

1,466

Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (k)

20,985

22,454

 

55,857

Metals/Mining - 0.3%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (k)

1,580

1,597

Tranche B 2LN, term loan 8.75% 1/25/21 (k)

945

958

Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (k)

6,721

6,881

Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (k)

19,865

20,089

Walter Energy, Inc. Tranche B, term loan 5.75% 4/1/18 (k)

3,314

3,331

 

32,856

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Publishing/Printing - 0.3%

Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (k)

$ 12,215

$ 12,337

PRIMEDIA, Inc. Tranche B, term loan 7.5% 1/13/18 (k)

15,271

14,813

 

27,150

Restaurants - 0.1%

Burger King Corp. Tranche B, term loan 3.75% 9/28/19 (k)

2,509

2,543

Focus Brands, Inc.:

Tranche 2LN, term loan 10.25% 8/21/18 (k)

6,040

6,176

Tranche B 1LN, term loan 6.2668% 2/21/18 (k)

2,247

2,277

 

10,996

Services - 0.2%

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

4,480

4,435

KAR Auction Services, Inc. Tranche B, term loan 5% 5/19/17 (k)

12,785

12,913

Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (k)

1,830

1,844

 

19,192

Shipping - 0.1%

Trico Shipping A/S:

Tranche A, term loan 10% 5/13/14 (k)

1,787

1,769

Tranche D, term loan 4% 5/13/14 (k)(n)

3,146

3,114

 

4,883

Super Retail - 0.3%

BJ's Wholesale Club, Inc.:

Tranche 1LN, term loan 5.75% 9/26/19 (k)

2,504

2,551

Tranche 2LN, term loan 9.75% 3/26/20 (k)

1,135

1,180

Burlington Coat Factory Warehouse Corp. Tranche B 1LN, term loan 5.5% 2/23/17 (k)

29,437

29,805

 

33,536

Technology - 0.4%

First Data Corp. Tranche 1LN, term loan 5.2047% 9/24/18 (k)

7,660

7,670

Kronos, Inc.:

Tranche 2LN, term loan 9.75% 4/24/20 (k)

12,310

12,433

Tranche B 1LN, term loan 5.5% 10/30/19 (k)

9,105

9,253

Floating Rate Loans - continued

 

Principal
Amount (000s)

Value (000s)

Technology - continued

Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (k)

$ 3,172

$ 3,208

NXP BV Tranche C, term loan 4.75% 1/11/20 (k)

6,670

6,787

 

39,351

Telecommunications - 1.2%

Alcatel-Lucent USA, Inc.:

Tranche B, term loan 6.25% 7/23/16 (k)

525

530

Tranche C, term loan 7.25% 1/23/19 (k)

12,330

12,484

Intelsat Jackson Holdings SA Tranche B, term loan 4.5% 4/2/18 (k)

37,236

37,657

Level 3 Financing, Inc. Tranche B 2LN, term loan 4.75% 8/1/19 (k)

22,200

22,395

RP Crown Parent, LLC:

Tranche 1LN, term loan 6.75% 12/21/18 (k)

22,150

22,482

Tranche 2LN, term loan 11.25% 12/21/19 (k)

18,210

18,756

 

114,304

TOTAL FLOATING RATE LOANS

(Cost $839,573)


830,912

Preferred Securities - 0.7%

 

 

 

 

Banks & Thrifts - 0.2%

Bank of America Corp.:

8% (i)(k)

7,796

8,735

8.125% (i)(k)

6,360

7,250

Wells Fargo & Co. 7.98% (i)(k)

5,738

6,775

 

22,760

Diversified Financial Services - 0.5%

Citigroup, Inc. 5.95% (i)(k)

45,415

46,567

TOTAL PREFERRED SECURITIES

(Cost $63,316)


69,327

Other - 0.0%

Shares

 

Other - 0.0%

Idearc, Inc. Claim (a)
(Cost $0)

6,829,194


0

Money Market Funds - 4.4%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.16% (b)

409,743,356

$ 409,743

Fidelity Securities Lending Cash Central Fund, 0.15% (b)(c)

21,046,950

21,047

TOTAL MONEY MARKET FUNDS

(Cost $430,790)


430,790

Cash Equivalents - 0.2%

Maturity
Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 1/31/13 due 2/1/13 (Collateralized by U.S. Treasury Obligations) #
(Cost $23,403)

$ 23,403


23,403

TOTAL INVESTMENT PORTFOLIO - 98.9%

(Cost $9,091,214)

9,733,421

NET OTHER ASSETS (LIABILITIES) - 1.1%

106,249

NET ASSETS - 100%

$ 9,839,670

Legend

(a) Non-income producing

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

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

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

(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(g) Affiliated company

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,617,188,000 or 26.6% of net assets.

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

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

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

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

(m) 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 $44,624,000 or 0.5% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Aleris International, Inc.

6/1/10

$ 4,464

Arena Brands Holding Corp. Class B

6/18/97 - 1/12/99

$ 21,592

HMH Holdings, Inc. warrants 6/22/19

6/22/12

$ 246

RDA Holding Co. warrants 2/19/14

2/27/07

$ 14,730

Station Holdco LLC

6/17/11 - 3/15/12

$ 22,900

Station Holdco LLC warrants 6/15/18

4/29/08 - 11/25/08

$ 70,509

(n) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $2,517,000 and $2,492,000, respectively. The coupon rate will be determined at time of settlement.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$23,403,000 due 2/01/13 at 0.14%

Barclays Capital, Inc.

$ 10,923

Merrill Lynch, Pierce, Fenner & Smith, Inc.

3,393

UBS Securities LLC

9,087

 

$ 23,403

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 1,096

Fidelity Securities Lending Cash Central Fund

412

Total

$ 1,508

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Nortek, Inc.

$ 42,845

$ -

$ -

$ -

$ 67,568

Nortek, Inc. warrants 12/7/14

150

-

-

-

546

Total

$ 42,995

$ -

$ -

$ -

$ 68,114

Other Information

The following is a summary of the inputs used, as of January 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 253,738

$ 204,325

$ 10,373

$ 39,040

Consumer Staples

71,150

67,200

2,524

1,426

Energy

319

319

-

-

Financials

166,576

71,256

95,320

-

Health Care

135,151

135,151

-

-

Industrials

134,488

112,183

-

22,305

Information Technology

212,732

212,732

-

-

Materials

102,729

91,649

-

11,080

Telecommunication Services

13,039

13,039

-

-

Utilities

426

426

-

-

Corporate Bonds

7,288,641

-

7,287,123

1,518

Floating Rate Loans

830,912

-

830,912

-

Preferred Securities

69,327

-

69,327

-

Other

-

-

-

-

Money Market Funds

430,790

430,790

-

-

Cash Equivalents

23,403

-

23,403

-

Total Investments in Securities:

$ 9,733,421

$ 1,339,070

$ 8,318,982

$ 75,369

Income Tax Information

At January 31, 2013, the cost of investment securities for income tax purposes was $9,057,868,000. Net unrealized appreciation aggregated $675,553,000, of which $940,992,000 related to appreciated investment securities and $265,439,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Summer Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Summer Street Trust

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

April 1, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

April 1, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

April 1, 2013

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