Form N-CSRS FIDELITY ADVISOR SERIES For: Jun 30

August 20, 2020 11:00 AM EDT

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-04707


Fidelity Advisor Series II

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)


Cynthia Lo Bessette, 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:

December 31



Date of reporting period:

June 30, 2020


Item 1.

Reports to Stockholders




Fidelity Advisor® Strategic Income Fund



Semi-Annual Report

June 30, 2020

Includes Fidelity and Fidelity Advisor share classes

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Note to Shareholders

Fidelity Advisor® Strategic Income Fund

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Liquidity Risk Management Program

Note to Shareholders

Fidelity® Emerging Markets Debt Central Fund

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.



This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Funds nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Fidelity Advisor® Strategic Income Fund

Investment Summary (Unaudited)

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

Top Five Holdings as of June 30, 2020

(by issuer, excluding cash equivalents) % of fund's net assets 
U.S. Treasury Obligations 16.1 
German Federal Republic 2.9 
Ginnie Mae guaranteed REMIC pass-thru certificates 1.9 
CCO Holdings LLC/CCO Holdings Capital Corp. 1.6 
Ally Financial, Inc. 1.6 
 24.1 

Top Five Market Sectors as of June 30, 2020

 % of fund's net assets 
Financials 11.6 
Communication Services 9.7 
Energy 8.0 
Consumer Discretionary 5.9 
Information Technology 5.8 

Quality Diversification (% of fund's net assets)

As of June 30, 2020 
   U.S. Government and U.S. Government Agency Obligations* 19.3% 
   AAA,AA,A 6.8% 
   BBB 7.5% 
   BB 19.5% 
   23.1% 
   CCC,CC,C 6.8% 
   0.2% 
   Not Rated 7.2% 
   Equities 5.8% 
   Short-Term Investments and Net Other Assets 3.8% 


 * Includes NCUA Guaranteed Notes

We have used ratings from Moody’s Investors Service, Inc. Where Moody’s® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of June 30, 2020*,**,***, 
   Preferred Securities 5.9% 
   Corporate Bonds 38.8% 
   U.S. Government and U.S. Government Agency Obligations†† 19.3% 
   Foreign Government & Government Agency Obligations 15.0% 
   Bank Loan Obligations 11.3% 
   Stocks 5.8% 
   Other Investments 0.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.8% 


 * Foreign investments – 31.2%

 ** Futures and Swaps – 2.3%

 *** Written options – (2.3)%

 † Forward Currency Contracts – (8.9)%

 †† Includes NCUA Guaranteed Notes

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.

Fidelity Advisor® Strategic Income Fund

Schedule of Investments June 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 32.1%   
 Principal Amount (000s)(a) Value (000s) 
Convertible Bonds - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Denbury Resources, Inc. 6.375% 12/31/24 (b) $24,702 $2,469 
Nonconvertible Bonds - 32.1%   
COMMUNICATION SERVICES - 6.6%   
Diversified Telecommunication Services - 2.2%   
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 13,810 13,706 
Front Range BidCo, Inc. 4% 3/1/27 (b) 9,545 9,059 
Frontier Communications Corp. 8.5% 4/1/26 (b) 25,262 23,885 
GCI, Inc. 6.875% 4/15/25 8,000 8,240 
Sable International Finance Ltd. 5.75% 9/7/27 (b) 12,405 12,653 
SFR Group SA:   
5.5% 1/15/28 (b) 13,345 13,478 
7.375% 5/1/26 (b) 62,475 65,149 
8.125% 2/1/27 (b) 4,495 4,916 
Sprint Capital Corp.:   
6.875% 11/15/28 78,162 95,256 
8.75% 3/15/32 39,078 55,930 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 9,200 9,591 
U.S. West Communications 7.25% 9/15/25 955 1,083 
Virgin Media Finance PLC 5% 7/15/30 (b) 14,025 13,712 
  326,658 
Entertainment - 0.6%   
Allen Media LLC 10.5% 2/15/28 (b) 6,415 5,874 
Lions Gate Entertainment Corp. 5.875% 11/1/24 (b) 2,640 2,521 
Livent, Inc. 9.375% 10/15/04 (c)(d) 300 
Netflix, Inc.:   
4.375% 11/15/26 3,920 4,077 
4.875% 4/15/28 16,980 18,156 
5.375% 11/15/29 (b) 6,760 7,425 
5.875% 11/15/28 38,210 43,512 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c)(e) 19,050 8,572 
  90,137 
Media - 3.4%   
Altice Financing SA 5% 1/15/28 (b) 6,470 6,427 
Block Communications, Inc. 4.875% 3/1/28 (b) 4,405 4,351 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.5% 8/15/30 (b) 16,805 17,150 
4.75% 3/1/30 (b) 51,010 52,193 
5% 2/1/28 (b) 54,720 56,498 
5.125% 5/1/27 (b) 42,005 43,458 
5.375% 6/1/29 (b) 34,085 35,960 
5.5% 5/1/26 (b) 12,355 12,803 
5.875% 5/1/27 (b) 10,315 10,763 
CSC Holdings LLC:   
5.375% 2/1/28 (b) 13,855 14,478 
5.5% 5/15/26 (b) 31,192 32,015 
5.75% 1/15/30 (b) 61,690 64,435 
6.5% 2/1/29 (b) 15,380 16,822 
7.5% 4/1/28 (b) 8,475 9,248 
Getty Images, Inc. 9.75% 3/1/27 (b) 6,255 5,893 
iHeartCommunications, Inc. 4.75% 1/15/28 (b) 4,965 4,580 
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (b) 6,785 6,921 
Nexstar Escrow, Inc. 5.625% 7/15/27 (b) 14,270 14,271 
Outfront Media Capital LLC / Corp. 4.625% 3/15/30 (b) 6,620 6,068 
Quebecor Media, Inc. 5.75% 1/15/23 14,205 14,880 
Sirius XM Radio, Inc.:   
4.625% 5/15/23 (b) 4,550 4,575 
5% 8/1/27 (b) 8,740 8,966 
5.375% 4/15/25 (b) 8,845 9,084 
5.375% 7/15/26 (b) 7,940 8,200 
Tegna, Inc. 5% 9/15/29 (b) 7,290 6,869 
Videotron Ltd. 5.125% 4/15/27 (b) 7,325 7,601 
Ziggo Bond Co. BV:   
5.125% 2/28/30 (b) 3,375 3,349 
6% 1/15/27 (b) 7,930 8,049 
Ziggo BV:   
4.875% 1/15/30 (b) 4,805 4,831 
5.5% 1/15/27 (b) 14,355 14,535 
  505,273 
Wireless Telecommunication Services - 0.4%   
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 (c) 19,430 11,069 
8% 2/15/24 (b) 12,960 13,144 
8.5% 10/15/24 (b)(c) 12,990 7,810 
9.75% 7/15/25 (b)(c) 22,015 13,524 
Sprint Corp. 7.625% 3/1/26 3,615 4,267 
  49,814 
TOTAL COMMUNICATION SERVICES  971,882 
CONSUMER DISCRETIONARY - 3.1%   
Auto Components - 0.1%   
Allison Transmission, Inc.:   
5% 10/1/24 (b) 7,960 7,940 
5.875% 6/1/29 (b) 4,830 5,023 
Exide International Holdings LP 10.75% 10/31/21 pay-in-kind (b)(d)(e) 624 580 
Exide Technologies:   
11% 10/31/24 pay-in-kind (b)(c)(d)(e) 1,560 1,014 
11% 10/31/24 pay-in-kind (b)(c)(d)(e) 632 285 
  14,842 
Automobiles - 0.2%   
Tesla, Inc. 5.3% 8/15/25 (b) 835 834 
Volkswagen Financial Services AG 3.375% 4/6/28 (Reg. S) EUR18,219 22,827 
  23,661 
Diversified Consumer Services - 0.0%   
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) 5,300 5,030 
Hotels, Restaurants & Leisure - 2.2%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.375% 1/15/28 (b) 6,265 6,141 
5% 10/15/25 (b) 34,125 33,954 
Carnival Corp. 11.5% 4/1/23 (b) 20,180 21,895 
Choice Hotels International, Inc. 5.75% 7/1/22 2,690 2,862 
Colt Merger Sub, Inc. 5.75% 7/1/25 (b)(f) 8,510 8,553 
Eldorado Resorts, Inc.:   
6.25% 7/1/25 (b)(f) 25,535 25,336 
8.125% 7/1/27 (b)(f) 34,045 33,109 
FelCor Lodging LP 6% 6/1/25 7,895 7,666 
Golden Nugget, Inc. 6.75% 10/15/24 (b) 14,400 10,350 
Hilton Domestic Operating Co., Inc.:   
4.875% 1/15/30 11,025 10,860 
5.125% 5/1/26 10,820 10,773 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 11,100 10,853 
4.875% 4/1/27 5,210 5,086 
Marriott Ownership Resorts, Inc. 6.5% 9/15/26 4,860 4,896 
MCE Finance Ltd.:   
4.875% 6/6/25 (b) 17,840 17,930 
5.25% 4/26/26 (b) 7,345 7,395 
5.375% 12/4/29 (b) 4,785 4,776 
Merlin Entertainments PLC 5.75% 6/15/26 (b) 4,580 4,411 
MGM Mirage, Inc. 6.75% 5/1/25 15,075 14,925 
NCL Corp. Ltd. 12.25% 5/15/24 (b) 9,110 9,529 
Royal Caribbean Cruises Ltd.:   
9.125% 6/15/23 (b) 9,880 9,793 
10.875% 6/1/23 (b) 8,545 8,781 
11.5% 6/1/25 (b) 12,420 12,960 
Scientific Games Corp.:   
7% 5/15/28 (b) 4,965 3,972 
7.25% 11/15/29 (b) 4,965 3,972 
Studio City Co. Ltd. 7.25% 11/30/21 (b) 4,230 4,274 
Vail Resorts, Inc. 6.25% 5/15/25 (b) 3,855 4,033 
Viking Cruises Ltd.:   
5.875% 9/15/27 (b) 3,395 2,021 
13% 5/15/25 (b) 5,740 6,056 
Voc Escrow Ltd. 5% 2/15/28 (b) 6,285 4,667 
Wynn Macau Ltd. 5.125% 12/15/29 (b) 9,840 9,545 
  321,374 
Household Durables - 0.2%   
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) 4,370 3,652 
Lennar Corp. 4.75% 11/29/27 7,175 7,785 
LGI Homes, Inc. 6.875% 7/15/26 (b) 7,205 7,331 
TRI Pointe Homes, Inc.:   
5.7% 6/15/28 2,010 2,040 
5.875% 6/15/24 11,770 12,146 
  32,954 
Internet & Direct Marketing Retail - 0.3%   
Expedia, Inc.:   
6.25% 5/1/25 (b) 9,105 9,722 
7% 5/1/25 (b) 8,465 8,799 
Terrier Media Buyer, Inc. 8.875% 12/15/27 (b) 23,835 22,852 
  41,373 
Specialty Retail - 0.1%   
Asbury Automotive Group, Inc.:   
4.5% 3/1/28 (b) 1,987 1,927 
4.75% 3/1/30 (b) 1,980 1,931 
Burlington Coat Factory Warehouse Corp. 6.25% 4/15/25 (b) 2,035 2,127 
Penske Automotive Group, Inc. 5.5% 5/15/26 5,975 5,960 
  11,945 
TOTAL CONSUMER DISCRETIONARY  451,179 
CONSUMER STAPLES - 1.6%   
Beverages - 0.4%   
Anheuser-Busch InBev SA NV 3.7% 4/2/40 (Reg. S) EUR7,879 10,720 
Heineken NV:   
1.25% 5/7/33 (Reg. S) EUR22,700 25,604 
1.75% 5/7/40 (Reg. S) EUR13,600 15,312 
  51,636 
Food & Staples Retailing - 0.3%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
4.625% 1/15/27 (b) 9,415 9,415 
4.875% 2/15/30 (b) 18,930 19,368 
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (b) 5,880 6,262 
Performance Food Group, Inc. 5.5% 10/15/27 (b) 5,345 5,158 
  40,203 
Food Products - 0.9%   
Del Monte Foods, Inc. 11.875% 5/15/25 (b) 3,895 3,934 
JBS Investments II GmbH:   
5.75% 1/15/28 (b) 6,485 6,411 
7% 1/15/26 (b) 6,745 7,079 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (b) 17,240 17,456 
6.75% 2/15/28 (b) 10,725 11,328 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (b) 12,225 12,531 
6.5% 4/15/29 (b) 17,835 18,927 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 5,230 5,426 
4.875% 11/1/26 (b) 5,285 5,470 
Pilgrim's Pride Corp. 5.75% 3/15/25 (b) 12,675 12,638 
Post Holdings, Inc.:   
4.625% 4/15/30 (b) 6,415 6,295 
5% 8/15/26 (b) 12,030 12,075 
5.5% 12/15/29 (b) 9,145 9,457 
5.75% 3/1/27 (b) 4,885 5,056 
  134,083 
TOTAL CONSUMER STAPLES  225,922 
ENERGY - 4.1%   
Energy Equipment & Services - 0.3%   
Diamond Offshore Drilling, Inc.:   
4.875% 11/1/43 (c) 308 35 
5.7% 10/15/39 (c) 1,585 161 
Exterran Energy Solutions LP 8.125% 5/1/25 3,270 2,706 
Forum Energy Technologies, Inc. 6.25% 10/1/21 10,950 4,284 
Jonah Energy LLC 7.25% 10/15/25 (b) 10,845 1,329 
Nabors Industries Ltd.:   
7.25% 1/15/26 (b) 6,565 4,037 
7.5% 1/15/28 (b) 5,660 3,481 
Nabors Industries, Inc. 5.75% 2/1/25 11,690 4,734 
Nine Energy Service, Inc. 8.75% 11/1/23 (b) 3,620 1,765 
NuStar Logistics LP 6% 6/1/26 7,285 7,139 
SESI LLC 7.75% 9/15/24 4,340 1,584 
Summit Midstream Holdings LLC 5.75% 4/15/25 3,405 1,907 
Transocean, Inc.:   
7.25% 11/1/25 (b) 7,140 3,891 
7.5% 1/15/26 (b) 7,620 4,153 
  41,206 
Oil, Gas & Consumable Fuels - 3.8%   
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (b) 10,640 8,406 
Antero Resources Corp. 5.625% 6/1/23 (Reg. S) 1,645 1,053 
Antero Resources Finance Corp. 5.375% 11/1/21 1,900 1,758 
Callon Petroleum Co. 6.125% 10/1/24 2,855 971 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 5,395 2,043 
Cenovus Energy, Inc.:   
5.25% 6/15/37 1,795 1,552 
5.4% 6/15/47 10,235 8,784 
6.75% 11/15/39 3,215 3,163 
Chesapeake Energy Corp.:   
7% 10/1/24 3,985 100 
8% 1/15/25 1,955 44 
8% 6/15/27 1,240 28 
11.5% 1/1/25 (b) 14,711 1,545 
Citgo Holding, Inc. 9.25% 8/1/24 (b) 16,430 16,348 
Citgo Petroleum Corp. 7% 6/15/25 (b) 13,580 13,597 
CNX Midstream Partners LP 6.5% 3/15/26 (b) 3,935 3,620 
Comstock Resources, Inc.:   
9.75% 8/15/26 36,490 34,132 
9.75% 8/15/26 4,500 4,202 
Continental Resources, Inc.:   
3.8% 6/1/24 11,880 11,208 
4.375% 1/15/28 3,040 2,676 
4.5% 4/15/23 1,645 1,571 
4.9% 6/1/44 7,565 6,024 
Covey Park Energy LLC 7.5% 5/15/25 (b) 6,555 5,940 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (b) 11,025 9,191 
5.75% 4/1/25 2,960 2,557 
CVR Energy, Inc.:   
5.25% 2/15/25 (b) 9,740 8,961 
5.75% 2/15/28 (b) 24,505 21,442 
DCP Midstream LLC 5.85% 5/21/43 (b)(e) 10,780 7,546 
Denbury Resources, Inc.:   
7.75% 2/15/24 (b) 26,375 10,023 
9% 5/15/21 (b) 27,890 10,807 
9.25% 3/31/22 (b) 4,210 1,684 
EG Global Finance PLC 8.5% 10/30/25 (b) 9,545 9,784 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (b) 5,820 5,573 
5.75% 1/30/28 (b) 10,149 9,743 
6.625% 7/15/25 (b) 3,395 3,422 
Energy Transfer Equity LP 5.5% 6/1/27 12,065 12,509 
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 5/15/26 (b)(c) 55,595 11,119 
EQM Midstream Partners LP:   
6% 7/1/25 (b) 5,705 5,762 
6.5% 7/1/27 (b) 6,805 6,971 
EQT Corp. 3.9% 10/1/27 15,848 12,891 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b)(c) 4,315 831 
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 5,405 4,637 
Global Partners LP/GLP Finance Corp. 7% 6/15/23 8,125 7,810 
Hess Midstream Partners LP:   
5.125% 6/15/28 (b) 6,600 6,352 
5.625% 2/15/26 (b) 9,140 9,044 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 7,550 6,493 
5.75% 10/1/25 (b) 8,135 6,915 
6.25% 11/1/28 (b) 7,130 5,722 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) 4,350 4,143 
Indigo Natural Resources LLC 6.875% 2/15/26 (b) 13,168 12,246 
Laredo Petroleum, Inc.:   
9.5% 1/15/25 6,490 4,486 
10.125% 1/15/28 4,870 3,360 
MEG Energy Corp. 7.125% 2/1/27 (b) 6,490 5,395 
MPLX LP 6.375% 5/1/24 3,185 3,289 
Murphy Oil U.S.A., Inc.:   
4.75% 9/15/29 4,155 4,248 
5.625% 5/1/27 3,665 3,784 
Newfield Exploration Co. 5.375% 1/1/26 6,813 6,380 
NGL Energy Partners LP/NGL Energy Finance Corp.:   
6.125% 3/1/25 7,480 5,647 
7.5% 4/15/26 9,630 7,319 
NGPL PipeCo LLC:   
4.375% 8/15/22 (b) 1,800 1,857 
4.875% 8/15/27 (b) 1,800 1,978 
Occidental Petroleum Corp.:   
2.9% 8/15/24 8,270 7,071 
3.2% 8/15/26 515 416 
3.4% 4/15/26 670 548 
4.4% 4/15/46 5,820 4,058 
4.4% 8/15/49 14,725 10,237 
4.625% 6/15/45 4,795 3,357 
6.2% 3/15/40 3,565 2,986 
6.45% 9/15/36 11,875 10,164 
6.6% 3/15/46 9,520 8,287 
7.2% 3/15/29 2,440 2,172 
7.5% 5/1/31 680 632 
Parsley Energy LLC/Parsley Finance Corp.:   
5.375% 1/15/25 (b) 685 666 
5.625% 10/15/27 (b) 2,270 2,236 
PBF Holding Co. LLC/PBF Finance Corp.:   
6% 2/15/28 (b) 15,760 13,081 
7.25% 6/15/25 13,580 12,324 
9.25% 5/15/25 (b) 10,160 10,846 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 6,110 5,884 
PDC Energy, Inc. 6.125% 9/15/24 2,480 2,306 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (b) 84 93 
Sanchez Energy Corp. 7.25% 2/15/23 (b)(c) 12,834 128 
SM Energy Co.:   
5.625% 6/1/25 5,060 2,682 
6.625% 1/15/27 12,830 6,287 
6.75% 9/15/26 3,175 1,597 
Southern Star Central Corp. 5.125% 7/15/22 (b) 4,930 4,926 
Southwestern Energy Co.:   
6.2% 1/23/25 (e) 1,095 938 
7.5% 4/1/26 12,420 10,871 
7.75% 10/1/27 7,830 6,812 
SRC Energy, Inc. 6.25% 12/1/25 4,370 3,682 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 5,390 5,309 
5.5% 2/15/26 6,865 6,659 
Teine Energy Ltd. 6.875% 9/30/22 (b) 8,820 8,710 
Tennessee Gas Pipeline Co. 7.625% 4/1/37 2,585 3,431 
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c) 6,493 341 
Unit Corp. 6.625% 5/15/21 (c) 1,660 220 
W&T Offshore, Inc. 9.75% 11/1/23 (b) 24,200 15,149 
Whiting Petroleum Corp. 6.625% 1/15/26 (c) 4,965 881 
  566,673 
TOTAL ENERGY  607,879 
FINANCIALS - 3.9%   
Banks - 0.6%   
Commerzbank AG 4% 3/23/26 (Reg. S) EUR12,050 14,016 
Danske Bank A/S 2.5% 6/21/29 (Reg. S) (e) EUR23,652 27,110 
Lloyds Banking Group PLC 4.5% 3/18/30 (Reg. S) (e) EUR12,510 15,162 
UniCredit SpA 2.731% 1/15/32 (Reg. S) (e) EUR11,593 11,763 
Wells Fargo & Co. 1.741% 5/4/30 (Reg. S) (e) EUR20,118 23,499 
  91,550 
Capital Markets - 0.1%   
AssuredPartners, Inc. 7% 8/15/25 (b) 2,930 2,930 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) 4,875 4,960 
MSCI, Inc. 4% 11/15/29 (b) 3,780 3,856 
  11,746 
Consumer Finance - 2.1%   
Ally Financial, Inc.:   
8% 11/1/31 16,761 21,194 
8% 11/1/31 155,842 201,041 
Springleaf Finance Corp.:   
5.375% 11/15/29 5,560 5,226 
6.625% 1/15/28 4,415 4,371 
6.875% 3/15/25 30,605 31,399 
7.125% 3/15/26 41,215 42,657 
  305,888 
Diversified Financial Services - 0.6%   
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (b) 6,600 6,864 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
5.25% 5/15/27 17,335 16,728 
6.25% 5/15/26 14,625 14,645 
6.375% 12/15/25 32,405 32,081 
6.75% 2/1/24 6,490 6,539 
James Hardie International Finance Ltd.:   
4.75% 1/15/25 (b) 5,220 5,311 
5% 1/15/28 (b) 5,270 5,375 
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) 4,280 3,980 
  91,523 
Insurance - 0.3%   
Acrisure LLC / Acrisure Finance, Inc.:   
7% 11/15/25 (b) 20,290 19,402 
8.125% 2/15/24 (b) 7,875 8,188 
10.125% 8/1/26 (b) 6,810 7,321 
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (b) 3,340 3,329 
HUB International Ltd. 7% 5/1/26 (b) 6,980 6,980 
  45,220 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 6,855 6,238 
Thrifts & Mortgage Finance - 0.2%   
Nationwide Building Society 2% 7/25/29 (Reg. S) (e) EUR20,943 23,505 
TOTAL FINANCIALS  575,670 
HEALTH CARE - 2.2%   
Health Care Equipment & Supplies - 0.1%   
Hologic, Inc.:   
4.375% 10/15/25 (b) 3,700 3,736 
4.625% 2/1/28 (b) 2,505 2,599 
Ortho-Clinical Diagnostics, Inc. 7.25% 2/1/28 (b) 4,155 4,223 
  10,558 
Health Care Providers & Services - 1.8%   
BCPE Cycle Merger Sub II, Inc. 10.625% 7/15/27 (b) 18,900 19,467 
Centene Corp.:   
4.25% 12/15/27 6,820 7,038 
4.625% 12/15/29 23,795 25,193 
4.75% 1/15/25 5,425 5,553 
5.25% 4/1/25 (b) 5,705 5,874 
5.375% 6/1/26 (b) 18,035 18,696 
5.375% 8/15/26 (b) 4,655 4,842 
Community Health Systems, Inc.:   
6.625% 2/15/25 (b) 7,415 6,970 
8% 3/15/26 (b) 37,390 35,341 
8.125% 6/30/24 (b) 25,507 17,090 
9.875% 6/30/23 (b) 21,652 16,844 
Encompass Health Corp. 5.75% 11/1/24 10,048 10,048 
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b) 7,300 7,595 
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (b) 7,220 7,391 
Molina Healthcare, Inc. 4.375% 6/15/28 (b) 4,690 4,702 
Radiology Partners, Inc. 9.25% 2/1/28 (b) 11,755 11,079 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,640 3,567 
4.625% 9/1/24 (b) 7,305 7,141 
4.875% 1/1/26 (b) 18,260 17,885 
5.125% 5/1/25 3,640 3,513 
5.125% 11/1/27 (b) 10,955 10,809 
6.25% 2/1/27 (b) 11,115 11,032 
Vizient, Inc. 6.25% 5/15/27 (b) 1,690 1,770 
  259,440 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (b) 5,660 5,790 
Life Sciences Tools & Services - 0.1%   
Avantor, Inc. 6% 10/1/24 (b) 7,285 7,613 
Charles River Laboratories International, Inc. 4.25% 5/1/28 (b) 2,045 2,044 
  9,657 
Pharmaceuticals - 0.2%   
Catalent Pharma Solutions:   
4.875% 1/15/26 (b) 2,365 2,401 
5% 7/15/27 (b) 2,295 2,383 
Mylan NV 3.125% 11/22/28 (Reg. S) EUR21,360 26,941 
  31,725 
TOTAL HEALTH CARE  317,170 
INDUSTRIALS - 2.9%   
Aerospace & Defense - 1.5%   
Airbus Group NV 2% 4/7/28 (Reg. S) EUR8,069 9,564 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) 2,610 2,612 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 6,590 4,533 
7.5% 12/1/24 (b) 5,505 3,578 
7.5% 3/15/25 (b) 16,070 10,487 
7.875% 4/15/27 (b) 30,330 19,866 
BWX Technologies, Inc.:   
4.125% 6/30/28 (b) 6,400 6,384 
5.375% 7/15/26 (b) 4,990 5,142 
Moog, Inc. 4.25% 12/15/27 (b) 2,025 1,974 
Spirit Aerosystems, Inc. 7.5% 4/15/25 (b) 9,205 9,078 
TransDigm UK Holdings PLC 6.875% 5/15/26 21,085 19,609 
TransDigm, Inc.:   
5.5% 11/15/27 57,420 50,124 
6.25% 3/15/26 (b) 11,120 11,113 
6.375% 6/15/26 37,890 34,575 
6.5% 5/15/25 9,710 9,080 
7.5% 3/15/27 11,028 10,599 
Wolverine Escrow LLC:   
8.5% 11/15/24 (b) 13,041 8,542 
9% 11/15/26 (b) 13,634 8,930 
  225,790 
Air Freight & Logistics - 0.1%   
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) 3,960 3,925 
XPO Logistics, Inc. 6.25% 5/1/25 (b) 11,590 12,141 
  16,066 
Airlines - 0.1%   
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (b) 1,602 1,444 
Continental Airlines, Inc. pass-thru certificates 6.903% 10/19/23 152 128 
Delta Air Lines, Inc. 7% 5/1/25 (b) 2,860 2,952 
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 2,157 2,024 
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 3,082 2,921 
U.S. Airways pass-thru certificates:   
Series 2011-1 Class A, 7.125% 4/22/25 4,597 3,832 
Series 2012-2 Class B, 6.75% 12/3/22 2,256 1,822 
Series 2013-1 Class B, 5.375% 5/15/23 2,982 2,422 
  17,545 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (b) 1,400 1,411 
Commercial Services & Supplies - 0.3%   
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) 6,910 7,169 
Covanta Holding Corp.:   
5.875% 3/1/24 5,895 5,947 
5.875% 7/1/25 1,995 2,020 
6% 1/1/27 7,080 7,169 
IAA Spinco, Inc. 5.5% 6/15/27 (b) 2,830 2,926 
KAR Auction Services, Inc. 5.125% 6/1/25 (b) 6,210 6,117 
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (b) 2,315 2,382 
The Brink's Co. 4.625% 10/15/27 (b) 7,200 6,912 
  40,642 
Construction & Engineering - 0.1%   
AECOM 5.125% 3/15/27 7,490 8,052 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(c) 7,474 404 
5.25% 6/27/29 (b)(c) 6,800 272 
7.125% 6/26/42 (b)(c) 3,310 182 
  8,910 
Electrical Equipment - 0.1%   
Sensata Technologies BV 5% 10/1/25 (b) 8,215 8,747 
Machinery - 0.1%   
Stevens Holding Co., Inc. 6.125% 10/1/26 (b) 1,880 1,965 
Vertical Holdco GmbH 7.625% 7/15/28 (b)(f) 1,870 1,870 
Vertical U.S. Newco, Inc. 0% 6/30/27 (b)(f) 6,830 6,830 
  10,665 
Marine - 0.0%   
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (b) 7,680 7,678 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (b) 5,670 5,537 
Road & Rail - 0.5%   
Hertz Corp.:   
5.5% 10/15/24 (b)(c) 5,950 1,850 
6% 1/15/28 (b)(c) 3,435 1,073 
6.25% 10/15/22 (c) 4,635 1,448 
7.125% 8/1/26 (b)(c) 6,315 1,973 
Uber Technologies, Inc.:   
7.5% 9/15/27 (b) 31,625 31,625 
8% 11/1/26 (b) 29,170 29,695 
  67,664 
Trading Companies & Distributors - 0.1%   
FLY Leasing Ltd. 5.25% 10/15/24 5,695 4,613 
United Rentals North America, Inc.:   
3.875% 11/15/27 3,345 3,337 
5.5% 5/15/27 4,980 5,129 
  13,079 
TOTAL INDUSTRIALS  423,734 
INFORMATION TECHNOLOGY - 1.1%   
Electronic Equipment & Components - 0.0%   
MTS Systems Corp. 5.75% 8/15/27 (b) 1,905 1,748 
IT Services - 0.3%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) 5,645 5,680 
Camelot Finance SA 4.5% 11/1/26 (b) 6,365 6,365 
CDW LLC/CDW Finance Corp. 5% 9/1/25 3,980 4,094 
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (b) 5,665 5,764 
GTT Communications, Inc. 7.875% 12/31/24 (b) 640 336 
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (b) 3,695 3,843 
RP Crown Parent, LLC 7.375% 10/15/24 (b) 2,820 2,813 
Tempo Acquisition LLC 6.75% 6/1/25 (b) 5,340 5,407 
  34,302 
Semiconductors & Semiconductor Equipment - 0.2%   
Infineon Technologies AG 2% 6/24/32 (Reg. S) EUR15,500 17,333 
Qorvo, Inc. 5.5% 7/15/26 3,615 3,760 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 7,880 8,176 
  29,269 
Software - 0.5%   
Ascend Learning LLC:   
6.875% 8/1/25 (b) 7,330 7,367 
6.875% 8/1/25 (b) 2,480 2,498 
Boxer Parent Co., Inc. 7.125% 10/2/25 (b) 3,445 3,618 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 13,310 13,443 
Fair Isaac Corp. 4% 6/15/28 (b) 6,420 6,436 
Nortonlifelock, Inc. 5% 4/15/25 (b) 6,360 6,455 
Open Text Corp.:   
3.875% 2/15/28 (b) 3,220 3,100 
5.875% 6/1/26 (b) 6,000 6,226 
Open Text Holdings, Inc. 4.125% 2/15/30 (b) 3,220 3,164 
Parametric Technology Corp.:   
3.625% 2/15/25 (b) 3,755 3,727 
4% 2/15/28 (b) 3,715 3,687 
Veritas U.S., Inc./Veritas Bermuda Ltd.:   
7.5% 2/1/23 (b) 9,915 9,766 
10.5% 2/1/24 (b) 8,750 7,831 
  77,318 
Technology Hardware, Storage & Peripherals - 0.1%   
NCR Corp.:   
5.75% 9/1/27 (b) 5,480 5,480 
6.125% 9/1/29 (b) 5,480 5,507 
8.125% 4/15/25 (b) 2,910 3,085 
  14,072 
TOTAL INFORMATION TECHNOLOGY  156,709 
MATERIALS - 3.0%   
Chemicals - 1.4%   
CF Industries Holdings, Inc.:   
4.95% 6/1/43 40,343 43,482 
5.15% 3/15/34 19,208 20,539 
5.375% 3/15/44 34,489 37,293 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.0634% 6/15/22 (b)(e)(g) 1,820 1,620 
6.5% 5/15/26 (b) 31,160 26,174 
6.875% 6/15/25 (b) 6,400 5,440 
Element Solutions, Inc. 5.875% 12/1/25 (b) 10,955 11,061 
LSB Industries, Inc. 9.625% 5/1/23 (b) 3,600 3,466 
Neon Holdings, Inc. 10.125% 4/1/26 (b) 7,305 7,250 
OCI NV:   
5.25% 11/1/24 (b) 10,040 9,638 
6.625% 4/15/23 (b) 3,185 3,201 
Starfruit Finco BV / Starfruit U.S. Holdco LLC 8% 10/1/26 (b) 4,977 5,095 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) 5,880 4,970 
The Chemours Co. LLC 5.375% 5/15/27 18,470 16,691 
Tronox, Inc. 6.5% 5/1/25 (b) 5,410 5,464 
Valvoline, Inc. 4.25% 2/15/30 (b) 4,680 4,610 
  205,994 
Construction Materials - 0.0%   
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (b) 3,060 3,022 
U.S. Concrete, Inc. 6.375% 6/1/24 3,885 3,856 
  6,878 
Containers & Packaging - 0.5%   
ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(e) 6,625 6,555 
Cascades, Inc.:   
5.125% 1/15/26 (b) 3,310 3,360 
5.375% 1/15/28 (b) 3,310 3,360 
Crown Cork & Seal, Inc.:   
7.375% 12/15/26 16,535 19,346 
7.5% 12/15/96 7,695 8,157 
Labl Escrow Issuer LLC:   
6.75% 7/15/26 (b) 11,010 11,454 
10.5% 7/15/27 (b) 7,340 7,799 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (b) 4,195 4,232 
8.5% 8/15/27 (b) 7,180 7,674 
  71,937 
Metals & Mining - 1.1%   
Alcoa Nederland Holding BV:   
6.125% 5/15/28 (b) 2,110 2,161 
6.75% 9/30/24 (b) 5,350 5,464 
7% 9/30/26 (b) 4,430 4,541 
Algoma Steel SCA 0% 12/31/23 (d) 1,518 926 
Arconic Rolled Products Corp.:   
6% 5/15/25 (b) 4,090 4,208 
6.125% 2/15/28 (b) 9,123 9,121 
Cleveland-Cliffs, Inc.:   
4.875% 1/15/24 (b) 7,215 6,782 
5.75% 3/1/25 1,889 1,608 
5.875% 6/1/27 11,010 9,097 
Commercial Metals Co. 5.75% 4/15/26 5,405 5,540 
Compass Minerals International, Inc. 6.75% 12/1/27 (b) 14,455 15,178 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (b) 6,560 6,166 
6.875% 3/1/26 (b) 14,330 13,891 
7.25% 5/15/22 (b) 4,105 3,942 
7.25% 4/1/23 (b) 1,985 1,896 
7.5% 4/1/25 (b) 12,105 11,712 
FMG Resources (August 2006) Pty Ltd.:   
4.5% 9/15/27 (b) 5,450 5,452 
4.75% 5/15/22 (b) 4,780 4,872 
5.125% 3/15/23 (b) 7,615 7,824 
5.125% 5/15/24 (b) 5,885 6,062 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (b) 5,460 4,928 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (b) 4,505 4,601 
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) 6,615 6,326 
Mineral Resources Ltd. 8.125% 5/1/27 (b) 11,025 11,714 
Murray Energy Corp.:   
11.25% 4/15/21 (b)(c) 5,925 
12% 4/15/24 pay-in-kind (b)(c)(e) 6,364 
United States Steel Corp. 6.25% 3/15/26 7,180 4,541 
  158,553 
Paper & Forest Products - 0.0%   
Boise Cascade Co. 5.625% 9/1/24 (b) 1,355 1,365 
TOTAL MATERIALS  444,727 
REAL ESTATE - 1.1%   
Equity Real Estate Investment Trusts (REITs) - 0.8%   
Iron Mountain, Inc.:   
4.875% 9/15/29 (b) 14,590 14,189 
5% 7/15/28 (b) 6,370 6,219 
5.25% 7/15/30 (b) 5,915 5,792 
5.625% 7/15/32 (b) 5,915 5,903 
MPT Operating Partnership LP/MPT Finance Corp.:   
4.625% 8/1/29 10,950 11,005 
5% 10/15/27 15,435 15,859 
SBA Communications Corp. 3.875% 2/15/27 (b) 9,720 9,671 
The GEO Group, Inc.:   
5.125% 4/1/23 7,555 6,535 
5.875% 10/15/24 8,101 6,365 
6% 4/15/26 5,755 4,417 
Uniti Group, Inc. 7.875% 2/15/25 (b) 9,940 10,072 
VICI Properties, Inc.:   
4.25% 12/1/26 (b) 12,650 12,139 
4.625% 12/1/29 (b) 7,220 7,040 
  115,206 
Real Estate Management & Development - 0.3%   
DTZ U.S. Borrower LLC 6.75% 5/15/28 (b) 6,575 6,854 
Howard Hughes Corp. 5.375% 3/15/25 (b) 7,940 7,389 
Realogy Group LLC/Realogy Co-Issuer Corp. 7.625% 6/15/25 (b) 20,305 20,254 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:   
5.625% 3/1/24 (b) 775 794 
5.875% 1/31/25 (b) 4,625 4,694 
5.875% 6/15/27 (b) 5,610 5,811 
6% 9/1/23 (b) 4,385 4,484 
  50,280 
TOTAL REAL ESTATE  165,486 
UTILITIES - 2.5%   
Electric Utilities - 2.1%   
Clearway Energy Operating LLC 4.75% 3/15/28 (b) 4,055 4,136 
Energias de Portugal SA 1.625% 4/15/27 (Reg. S) EUR15,000 17,867 
NextEra Energy Partners LP:   
4.25% 7/15/24 (b) 4,030 4,075 
4.25% 9/15/24 (b) 2,830 2,830 
NRG Energy, Inc.:   
5.75% 1/15/28 20,240 21,353 
6.625% 1/15/27 15,685 16,391 
Pacific Gas & Electric Co.:   
3.5% 10/1/20 (c) 3,350 3,652 
3.75% 8/15/42 (c) 6,290 6,510 
3.95% 12/1/47 (c) 32,835 34,345 
4% 12/1/46 (c) 14,690 15,461 
4.25% 3/15/46 (c) 1,475 1,621 
4.3% 3/15/45 (c) 3,690 4,068 
5.8% 3/1/37 (c) 23,540 28,071 
6.05% 3/1/34 (c) 75,170 89,640 
PG&E Corp.:   
5% 7/1/28 13,615 13,564 
5.25% 7/1/30 5,150 5,176 
Vistra Operations Co. LLC:   
5% 7/31/27 (b) 13,800 14,031 
5.5% 9/1/26 (b) 9,975 10,206 
5.625% 2/15/27 (b) 17,455 17,926 
  310,923 
Gas Utilities - 0.2%   
Southern Natural Gas Co.:   
7.35% 2/15/31 14,890 19,155 
8% 3/1/32 9,400 13,625 
  32,780 
Independent Power and Renewable Electricity Producers - 0.2%   
Pattern Energy Group, Inc. 5.875% 2/1/24 (b) 3,540 3,558 
Talen Energy Supply LLC 7.625% 6/1/28 (b) 6,835 6,835 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b) 3,700 3,719 
4.75% 1/15/30 (b) 6,690 6,790 
5% 1/31/28 (b) 3,715 3,882 
The AES Corp. 4.5% 3/15/23 2,769 2,746 
  27,530 
TOTAL UTILITIES  371,233 
TOTAL NONCONVERTIBLE BONDS  4,711,591 
TOTAL CORPORATE BONDS   
(Cost $4,832,782)  4,714,060 
U.S. Government and Government Agency Obligations - 15.8%   
U.S. Government Agency Obligations - 0.1%   
Fannie Mae 0.625% 4/22/25 2,128 2,145 
Tennessee Valley Authority:   
5.25% 9/15/39 $2,106 $3,249 
5.375% 4/1/56 3,503 6,013 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  11,407 
U.S. Treasury Obligations - 15.3%   
U.S. Treasury Bonds:   
1.25% 5/15/50 8,390 8,055 
2% 2/15/50 12,270 14,044 
2.5% 2/15/45 (h)(i)(j) 216,056 266,416 
3% 5/15/45 20,100 26,979 
3% 2/15/49 145,860 201,258 
4.75% 2/15/37 (h)(j) 74,200 118,308 
5.25% 2/15/29 (h) 5,406 7,540 
6.125% 8/15/29 (h) 3,663 5,470 
U.S. Treasury Notes:   
0.125% 5/31/22 66,923 66,873 
0.125% 6/30/22 5,144 5,141 
0.25% 6/15/23 3,146 3,153 
0.25% 6/30/25 18,840 18,803 
0.375% 3/31/22 92,800 93,134 
0.375% 4/30/25 82,771 83,146 
0.5% 6/30/27 122,492 122,569 
0.625% 5/15/30 93,835 93,549 
1.375% 8/31/23 11,000 11,415 
1.5% 8/31/21 22,000 22,338 
1.5% 9/30/21 25,180 25,596 
1.5% 10/31/24 480 506 
1.5% 1/31/27 34,389 36,714 
1.625% 11/15/22 14,901 15,414 
1.625% 5/31/23 19,717 20,547 
1.625% 9/30/26 3,093 3,322 
1.75% 7/31/21 9,325 9,483 
1.875% 7/31/22 43,433 44,975 
2.125% 3/31/24 56,643 60,690 
2.125% 7/31/24 118,408 127,515 
2.125% 5/15/25 (h) 12,033 13,102 
2.25% 3/31/21 9,900 10,055 
2.25% 7/31/21 52,019 53,181 
2.25% 4/30/24 24,428 26,326 
2.25% 3/31/26 34,717 38,421 
2.375% 4/15/21 74,550 75,849 
2.5% 12/31/20 80,000 80,931 
2.5% 1/31/21 42,832 43,414 
2.5% 2/28/21 90,000 91,392 
2.5% 1/15/22 136,816 141,695 
2.5% 2/28/26 38,997 43,663 
2.625% 12/31/23 69,183 75,034 
2.75% 6/30/25 197 221 
3.125% 11/15/28 31,330 37,875 
TOTAL U.S. TREASURY OBLIGATIONS  2,244,112 
Other Government Related - 0.4%   
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 0.5301% 12/7/20 (NCUA Guaranteed) (e)(g) 1,392 1,390 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 49,900 51,347 
Private Export Funding Corp. Secured 1.75% 11/15/24 11,520 12,137 
TOTAL OTHER GOVERNMENT RELATED  64,874 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,104,122)  2,320,393 
U.S. Government Agency - Mortgage Securities - 0.8%   
Fannie Mae - 0.3%   
12 month U.S. LIBOR + 1.360% 3.693% 10/1/35 (e)(g) 28 29 
12 month U.S. LIBOR + 1.490% 3.548% 1/1/35 (e)(g) 106 110 
12 month U.S. LIBOR + 1.550% 4.303% 6/1/36 (e)(g) 12 12 
12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (e)(g) 43 45 
12 month U.S. LIBOR + 1.630% 3.76% 3/1/33 (e)(g) 69 72 
12 month U.S. LIBOR + 1.640% 3.722% 6/1/47 (e)(g) 91 96 
12 month U.S. LIBOR + 1.670% 3.744% 11/1/36 (e)(g) 16 17 
12 month U.S. LIBOR + 1.700% 3.051% 6/1/42 (e)(g) 114 119 
12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (e)(g) 15 16 
12 month U.S. LIBOR + 1.750% 3.719% 7/1/35 (e)(g) 74 77 
12 month U.S. LIBOR + 1.760% 3.784% 2/1/37 (e)(g) 277 291 
12 month U.S. LIBOR + 1.800% 3.814% 1/1/42 (e)(g) 306 319 
12 month U.S. LIBOR + 1.800% 4.501% 7/1/41 (e)(g) 119 124 
12 month U.S. LIBOR + 1.810% 3.825% 2/1/42 (e)(g) 341 356 
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (e)(g) 49 51 
12 month U.S. LIBOR + 1.810% 4.27% 7/1/41 (e)(g) 91 95 
12 month U.S. LIBOR + 1.830% 3.888% 10/1/41 (e)(g) 51 53 
12 month U.S. LIBOR + 1.890% 3.416% 8/1/35 (e)(g) 98 103 
12 month U.S. LIBOR + 1.890% 3.889% 4/1/36 (e)(g) 226 239 
6 month U.S. LIBOR + 1.550% 3.375% 9/1/33 (e)(g) 242 250 
2.5% 11/1/29 12,841 13,446 
3% 5/1/33 to 7/1/33 6,017 6,387 
3.5% 7/1/32 to 10/1/34 17,644 18,824 
4% 5/1/29 2,704 2,863 
4.5% 11/1/25 981 1,028 
5% 2/1/22 to 5/1/22 
6% to 6% 1/1/34 to 6/1/36 2,223 2,614 
6.5% 2/1/22 to 8/1/36 3,284 3,798 
7.5% 1/1/28 21 24 
TOTAL FANNIE MAE  51,464 
Freddie Mac - 0.2%   
12 month U.S. LIBOR + 1.320% 3.412% 1/1/36 (e)(g) 52 54 
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (e)(g) 49 51 
12 month U.S. LIBOR + 1.750% 4.008% 9/1/41 (e)(g) 795 825 
12 month U.S. LIBOR + 1.790% 3.793% 4/1/37 (e)(g) 13 14 
12 month U.S. LIBOR + 1.870% 4.283% 10/1/42 (e)(g) 386 403 
12 month U.S. LIBOR + 1.880% 3.719% 4/1/41 (e)(g) 34 36 
12 month U.S. LIBOR + 1.880% 3.838% 10/1/41(e)(g) 480 501 
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (e)(g) 72 74 
12 month U.S. LIBOR + 1.910% 4.284% 5/1/41 (e)(g) 139 146 
12 month U.S. LIBOR + 1.910% 4.42% 5/1/41 (e)(g) 104 109 
12 month U.S. LIBOR + 1.910% 4.611% 6/1/41 (e)(g) 155 162 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (e)(g) 67 69 
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (e)(g) 91 95 
6 month U.S. LIBOR + 1.660% 3.415% 1/1/37 (e)(g) 28 29 
6 month U.S. LIBOR + 1.720% 3.595% 8/1/37 (e)(g) 89 93 
6 month U.S. LIBOR + 1.720% 3.597% 2/1/37 (e)(g) 19 20 
6 month U.S. LIBOR + 1.830% 3.58% 5/1/37 (e)(g) 24 25 
6 month U.S. LIBOR + 1.840% 3.588% 10/1/36 (e)(g) 245 256 
6 month U.S. LIBOR + 1.860% 3.625% 10/1/35 (e)(g) 130 136 
6 month U.S. LIBOR + 2.010% 3.385% 5/1/37 (e)(g) 41 43 
6 month U.S. LIBOR + 2.010% 3.576% 5/1/37 (e)(g) 54 57 
6 month U.S. LIBOR + 2.020% 3.995% 6/1/37 (e)(g) 44 46 
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (e)(g) 34 35 
6 month U.S. LIBOR + 2.680% 4.294% 10/1/35 (e)(g) 12 13 
U.S. TREASURY 1 YEAR INDEX + 2.030% 3.926% 6/1/33 (e)(g) 191 200 
U.S. TREASURY 1 YEAR INDEX + 2.310% 3.91% 2/1/36 (e)(g) 
U.S. TREASURY 1 YEAR INDEX + 2.540% 4.956% 7/1/35 (e)(g) 160 166 
3% 4/1/33 to 11/1/33 18,421 19,605 
3.5% 7/1/32 3,543 3,785 
6% 1/1/24 367 386 
6.5% 9/1/21 to 3/1/22 63 64 
TOTAL FREDDIE MAC  27,499 
Ginnie Mae - 0.3%   
6% 6/15/36 2,937 3,434 
7% 9/15/25 to 8/15/31 
7.5% 2/15/22 to 8/15/28 17 19 
8% 12/15/26 
3.5% 8/20/42 to 3/20/44 22,950 25,003 
4% 10/20/43 to 7/20/47 13,305 14,337 
4.7% 2/20/62 (e)(k) 48 49 
4.94% 2/20/62 (e)(k) 
5% 4/20/48 686 759 
5.196% 1/20/62 (e)(k) 40 41 
5.47% 8/20/59 (e)(k) 
TOTAL GINNIE MAE  43,666 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $117,692)  122,629 
Asset-Backed Securities - 0.1%   
ALG Student Loan Trust Series 2017-1A Class A3, 3 month U.S. LIBOR + 0.090% 0.9771% 6/28/23
(Cost $7,183)(b)(e)(g) 
$7,208 $7,153 
Collateralized Mortgage Obligations - 1.9%   
U.S. Government Agency - 1.9%   
Fannie Mae:   
floater Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 1.1145% 6/25/36 (e)(g) 3,093 3,137 
planned amortization class:   
Series 2003-70 Class BJ, 5% 7/25/33 318 362 
Series 2005-64 Class PX, 5.5% 6/25/35 543 582 
Series 2005-68 Class CZ, 5.5% 8/25/35 3,339 3,879 
Series 2010-118 Class PB, 4.5% 10/25/40 3,069 3,441 
Series 2012-149:   
Class DA, 1.75% 1/25/43 716 736 
Class GA, 1.75% 6/25/42 765 785 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 359 377 
Series 2004-91 Class Z, 5% 12/25/34 2,635 3,004 
Series 2005-117 Class JN, 4.5% 1/25/36 442 489 
Series 2005-14 Class ZB, 5% 3/25/35 1,029 1,173 
Series 2006-72 Class CY, 6% 8/25/26 682 743 
Series 2009-59 Class HB, 5% 8/25/39 1,434 1,636 
Series 2010-139 Class NI, 4.5% 2/25/40 (l) 1,119 76 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 1.1045% 3/25/36 (e)(g) 2,000 2,043 
Series 2010-97 Class CI, 4.5% 8/25/25 (l) 
Series 2011-67 Class AI, 4% 7/25/26 (l) 346 21 
Freddie Mac:   
floater Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 1.0848% 2/15/33 (e)(g) 921 934 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 0.5848% 3/15/34 (e)(g) 1,247 1,250 
planned amortization class:   
Series 2101 Class PD, 6% 11/15/28 33 36 
Series 2996 Class MK, 5.5% 6/15/35 71 80 
Series 3415 Class PC, 5% 12/15/37 423 475 
Series 3857 Class ZP, 5% 5/15/41 2,470 3,118 
Series 4135 Class AB, 1.75% 6/15/42 575 591 
sequential payer:   
Series 2303 Class ZV, 6% 4/15/31 101 113 
Series 2877 Class ZD, 5% 10/15/34 3,312 3,776 
Series 3745 Class KV, 4.5% 12/15/26 3,978 4,233 
Series 3843 Class PZ, 5% 4/15/41 2,504 3,062 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 1,521 1,563 
Series 4341 Class ML, 3.5% 11/15/31 3,577 3,867 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 0.69% 7/20/37 (e)(g) 650 655 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 0.67% 1/20/38 (e)(g) 166 167 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 1.05% 8/20/38 (e)(g) 1,143 1,162 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 1.09% 9/20/38 (e)(g) 874 891 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 0.7951% 11/16/39 (e)(g) 718 725 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 0.7251% 12/16/39 (e)(g) 541 545 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 7/20/60 (e)(g)(k) 5,506 5,474 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.6034% 9/20/60 (e)(g)(k) 6,536 6,495 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.6034% 8/20/60 (e)(g)(k) 6,733 6,692 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.6834% 12/20/60 (e)(g)(k) 2,619 2,608 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.8034% 12/20/60 (e)(g)(k) 3,618 3,615 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.8034% 2/20/61 (e)(g)(k) 6,351 6,348 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.7934% 2/20/61 (e)(g)(k) 7,931 7,925 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.8034% 4/20/61 (e)(g)(k) 2,967 2,965 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 0.8034% 5/20/61 (e)(g)(k) 3,915 3,912 
Class FC, 1 month U.S. LIBOR + 0.500% 0.8034% 5/20/61 (e)(g)(k) 3,452 3,449 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.8334% 6/20/61 (e)(g)(k) 4,047 4,047 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.9034% 10/20/61 (e)(g)(k) 4,511 4,518 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.0034% 11/20/61 (e)(g)(k) 4,221 4,238 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.0034% 1/20/62 (e)(g)(k) 2,764 2,774 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.9334% 1/20/62 (e)(g)(k) 3,991 4,000 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.9334% 3/20/62 (e)(g)(k) 2,572 2,576 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.9534% 5/20/61 (e)(g)(k) 59 59 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 0.9034% 8/20/63 (e)(g)(k) 775 776 
Class FD, 1 month U.S. LIBOR + 0.600% 0.9034% 8/20/63 (e)(g)(k) 1,932 1,934 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.5834% 5/20/63 (e)(g)(k) 176 176 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.5034% 4/20/63 (e)(g)(k) 203 201 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.44% 10/20/47 (e)(g) 4,396 4,372 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.49% 5/20/48 (e)(g) 5,195 5,175 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.49% 6/20/48 (e)(g) 6,153 6,129 
Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 0.64% 9/20/49 (e)(g) 13,259 13,284 
Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 0.64% 8/20/49 (e)(g) 29,309 29,334 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 3,810 4,349 
Series 2011-136 Class WI, 4.5% 5/20/40 (l) 781 48 
Series 2017-134 Class BA, 2.5% 11/20/46 837 879 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 9,450 10,136 
Series 2013-H06 Class HA, 1.65% 1/20/63 (k) 210 211 
Series 2014-H04 Class HA, 2.75% 2/20/64 (k) 10,001 10,346 
Series 2014-H12 Class KA, 2.75% 5/20/64 (k) 3,082 3,151 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 0.8034% 9/20/62 (e)(g)(k) 456 456 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 0.9534% 11/20/65 (e)(g)(k) 125 125 
Series 2018-H12 Class HA, 3.25% 8/20/68 (k) 8,205 8,912 
Series 2004-22 Class M1, 5.5% 4/20/34 648 888 
Series 2010-169 Class Z, 4.5% 12/20/40 5,411 5,975 
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) 16 16 
Series 2010-H16 Class BA, 3.55% 7/20/60 (k) 601 640 
Series 2010-H18 Class PL, 5.01% 9/20/60 (e)(k) 57 62 
Series 2010-H28 Class KA, 3.75% 12/20/60 (k) 
Series 2012-64 Class KI, 3.5% 11/20/36 (l) 383 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 8.4133% 4/20/39 (e)(m) 815 847 
Class ST, 8.800% - 1 month U.S. LIBOR 8.5467% 8/20/39 (e)(m) 3,249 3,359 
Series 2013-H07 Class JA, 1.75% 3/20/63 (k) 2,299 2,303 
Series 2013-H08 Class MA, 3% 3/20/63 (k) 2,565 2,585 
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) 1,087 1,089 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (k) 505 504 
Class JA, 2.5% 6/20/65 (k) 245 245 
Series 2015-H30 Class HA, 1.75% 9/20/62 (e)(k) 1,665 1,675 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.67% 5/20/66 (e)(g)(k) 10,071 10,003 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (e)(g)(k) 11,081 10,969 
Series 2090-118 Class XZ, 5% 12/20/39 12,063 14,018 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $273,287)  276,606 
Foreign Government and Government Agency Obligations - 7.9%   
Australian Commonwealth:   
2.5% 5/21/30 (Reg. S) AUD26,770 21,283 
3% 3/21/47 AUD58,350 51,221 
Buoni del Tesoro Poliennali:   
1.85% 7/1/25 (Reg. S) (b) EUR50,000 59,244 
2.45% 9/1/50 (Reg. S) (b) EUR14,339 16,856 
Canadian Government:   
1.25% 3/1/25 CAD74,000 56,757 
1.25% 6/1/30 CAD35,890 28,278 
1.75% 8/1/20 CAD126,760 93,487 
2% 12/1/51 CAD14,000 13,120 
German Federal Republic:   
0% 9/11/20(Reg. S) EUR62,050 69,785 
0% 2/15/30 (Reg. S) EUR45,430 53,406 
0.25% 2/15/29 EUR249,860 300,436 
Israeli State (guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 57,646 67,093 
5.5% 12/4/23 19,812 23,323 
Japan Government:   
0.1% 9/20/29 JPY8,451,850 78,938 
0.4% 3/20/56 JPY3,024,550 26,110 
0.9% 6/20/22 JPY5,350,000 50,560 
Jordanian Kingdom 3% 6/30/25 16,691 18,510 
Spanish Kingdom 1% 10/31/50 (Reg. S) (b) EUR5,000 5,215 
Ukraine Government 1.471% 9/29/21 6,753 6,853 
United Kingdom, Great Britain and Northern Ireland:   
0.875% 10/22/29 (Reg. S) GBP73,660 97,511 
2% 7/22/20 (Reg. S) GBP24,390 30,253 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,124,990)  1,168,239 
 Shares Value (000s) 
Common Stocks - 5.7%   
COMMUNICATION SERVICES - 0.7%   
Interactive Media & Services - 0.3%   
Alphabet, Inc. Class A (n) 13,900 19,711 
Facebook, Inc. Class A (n) 92,600 21,027 
  40,738 
Media - 0.2%   
Altice U.S.A., Inc. Class A (n) 482,800 10,882 
iHeartMedia, Inc. warrants 5/1/39 (n) 26 
Nexstar Broadcasting Group, Inc. Class A 137,200 11,482 
  22,364 
Wireless Telecommunication Services - 0.2%   
T-Mobile U.S., Inc. 346,800 36,119 
T-Mobile U.S., Inc. rights 7/28/20 (n) 346,800 58 
  36,177 
TOTAL COMMUNICATION SERVICES  99,279 
CONSUMER DISCRETIONARY - 0.5%   
Auto Components - 0.0%   
Chassix Holdings, Inc. warrants 7/29/20 (d)(n) 30,337 
Exide Technologies (d)(n) 7,093 
Exide Technologies (d)(n) 418,807 
UC Holdings, Inc. (d)(n) 560,355 8,069 
  8,077 
Hotels, Restaurants & Leisure - 0.3%   
Boyd Gaming Corp. 449,600 9,397 
Eldorado Resorts, Inc. (n) 394,353 15,798 
MGM Mirage, Inc. 241,800 4,062 
Penn National Gaming, Inc. (n) 343,406 10,488 
Studio City International Holdings Ltd. ADR (n) 133,400 2,121 
  41,866 
Household Durables - 0.1%   
Tempur Sealy International, Inc. (n) 183,762 13,222 
Internet & Direct Marketing Retail - 0.1%   
Amazon.com, Inc. (n) 4,900 13,518 
TOTAL CONSUMER DISCRETIONARY  76,683 
CONSUMER STAPLES - 0.3%   
Food & Staples Retailing - 0.1%   
Southeastern Grocers, Inc. (d)(n) 134,915 7,223 
Food Products - 0.2%   
Darling Ingredients, Inc. (n) 489,800 12,059 
JBS SA 4,515,500 17,562 
Reddy Ice Holdings, Inc. (d) 133,255 14 
Reddy Ice Holdings, Inc. (d)(n) 331,236 
  29,635 
TOTAL CONSUMER STAPLES  36,858 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. (n) 135,187 11 
Oil, Gas & Consumable Fuels - 0.0%   
Chaparral Energy, Inc. Class A (n)(o) 108,327 70 
Goodrich Petroleum Corp. (n) 90,737 653 
Harvest Oil & Gas Corp. 19,388 407 
MEG Energy Corp. (n) 870,000 2,416 
Ultra Petroleum Corp. warrants 7/14/25 (n) 127,890 
  3,546 
TOTAL ENERGY  3,557 
FINANCIALS - 0.2%   
Banks - 0.1%   
Bank of America Corp. 296,000 7,030 
JPMorgan Chase & Co. 115,500 10,864 
  17,894 
Capital Markets - 0.0%   
Motors Liquidation Co. GUC Trust (n) 5,066 
Penson Worldwide, Inc. Class A (d)(n) 7,403,098 
  
Consumer Finance - 0.1%   
American Express Co. 80,400 7,654 
OneMain Holdings, Inc. 262,600 6,444 
  14,098 
TOTAL FINANCIALS  32,000 
HEALTH CARE - 0.8%   
Biotechnology - 0.1%   
Alexion Pharmaceuticals, Inc. (n) 67,800 7,610 
Regeneron Pharmaceuticals, Inc. (n) 900 561 
  8,171 
Health Care Providers & Services - 0.3%   
Cigna Corp. 57,400 10,771 
HCA Holdings, Inc. 101,300 9,832 
Humana, Inc. 37,500 14,541 
Rotech Healthcare, Inc. (d)(n) 129,242 1,345 
UnitedHealth Group, Inc. 51,300 15,131 
  51,620 
Life Sciences Tools & Services - 0.3%   
Charles River Laboratories International, Inc. (n) 66,800 11,647 
IQVIA Holdings, Inc. (n) 139,300 19,764 
Thermo Fisher Scientific, Inc. 39,200 14,204 
  45,615 
Pharmaceuticals - 0.1%   
Bausch Health Cos., Inc. (Canada) (n) 256,100 4,686 
Jazz Pharmaceuticals PLC (n) 51,000 5,627 
  10,313 
TOTAL HEALTH CARE  115,719 
INDUSTRIALS - 0.6%   
Air Freight & Logistics - 0.1%   
XPO Logistics, Inc. (n) 100,100 7,733 
Airlines - 0.1%   
Air Canada (n) 1,531,900 19,126 
Building Products - 0.1%   
Carrier Global Corp. 459,000 10,199 
Commercial Services & Supplies - 0.0%   
Novus Holdings Ltd. 48,111 
Machinery - 0.1%   
Allison Transmission Holdings, Inc. 151,000 5,554 
Fortive Corp. 134,900 9,127 
  14,681 
Marine - 0.0%   
U.S. Shipping Partners Corp. (d)(n) 22,876 
U.S. Shipping Partners Corp. warrants 12/31/29 (d)(n) 214,176 
  
Professional Services - 0.0%   
ASGN, Inc. (n) 101,200 6,748 
Trading Companies & Distributors - 0.2%   
HD Supply Holdings, Inc. (n) 358,700 12,429 
Penhall Acquisition Co.:   
Class A (d)(n) 11,553 887 
Class B (d)(n) 3,850 296 
United Rentals, Inc. (n) 112,170 16,718 
  30,330 
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA:   
Class A1 (d)(n)(p) 403,760 
Class A2 (d)(n)(p) 403,760 
Class A3 (d)(n)(p) 403,760 
Class A4 (d)(n)(p) 403,760 
Class A5 (d)(n)(p) 403,760 
Class A6 (d)(n)(p) 403,760 
Class A7 (d)(n)(p) 403,760 
Class A8 (d)(n)(p) 403,760 
Class A9 (d)(n)(p) 403,760 
  
TOTAL INDUSTRIALS  88,820 
INFORMATION TECHNOLOGY - 2.1%   
Electronic Equipment & Components - 0.3%   
CDW Corp. 96,400 11,200 
Zebra Technologies Corp. Class A (n) 123,100 31,507 
  42,707 
IT Services - 0.8%   
EPAM Systems, Inc. (n) 85,100 21,446 
Fiserv, Inc. (n) 112,625 10,994 
Global Payments, Inc. 122,500 20,778 
GoDaddy, Inc. (n) 113,400 8,316 
MasterCard, Inc. Class A 54,900 16,234 
PayPal Holdings, Inc. (n) 128,000 22,301 
Visa, Inc. Class A 84,900 16,400 
  116,469 
Semiconductors & Semiconductor Equipment - 0.3%   
Broadcom, Inc. 23,000 7,259 
Lam Research Corp. 60,200 19,472 
Microchip Technology, Inc. 76,000 8,004 
ON Semiconductor Corp. (n) 460,400 9,125 
  43,860 
Software - 0.7%   
Adobe, Inc. (n) 93,600 40,745 
Microsoft Corp. 191,700 39,013 
Palo Alto Networks, Inc. (n) 42,900 9,853 
SS&C Technologies Holdings, Inc. 193,939 10,954 
VMware, Inc. Class A (n)(o) 43,200 6,690 
  107,255 
TOTAL INFORMATION TECHNOLOGY  310,291 
MATERIALS - 0.2%   
Chemicals - 0.1%   
CF Industries Holdings, Inc. 269,200 7,575 
The Chemours Co. LLC 278,110 4,269 
  11,844 
Containers & Packaging - 0.1%   
Berry Global Group, Inc. (n) 247,500 10,969 
WestRock Co. 279,900 7,910 
  18,879 
Metals & Mining - 0.0%   
Algoma Steel GP (d)(n) 151,792 
Algoma Steel SCA (d)(n) 151,792 21 
Elah Holdings, Inc. (n) 517 25 
First Quantum Minerals Ltd. 709,700 5,656 
  5,705 
TOTAL MATERIALS  36,428 
UTILITIES - 0.3%   
Electric Utilities - 0.2%   
NRG Energy, Inc. 329,000 10,712 
Pacific Gas & Electric Co.:   
rights 8/29/20 (d)(n) 6,000,000 360 
rights (d)(n) 261,364 261 
PG&E Corp. (n) 796,300 7,063 
Portland General Electric Co. 13,962 584 
  18,980 
Independent Power and Renewable Electricity Producers - 0.1%   
Vistra Energy Corp. 984,600 18,333 
TOTAL UTILITIES  37,313 
TOTAL COMMON STOCKS   
(Cost $699,181)  836,948 
Nonconvertible Preferred Stocks - 0.0%   
INDUSTRIALS - 0.0%   
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA (d)(n)(p)   
(Cost $6,908) 193,792,711 65 
 Principal Amount (000s)(a) Value (000s) 
Bank Loan Obligations - 2.2%   
COMMUNICATION SERVICES - 0.1%   
Diversified Telecommunication Services - 0.1%   
Connect Finco Sarl Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/11/26 (e)(g)(q) 5,451 5,114 
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1782% 3/9/27 (e)(g)(q) 4,868 4,609 
  9,723 
Entertainment - 0.0%   
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.8079% 2/10/27 (e)(g)(q) 4,797 4,541 
Media - 0.0%   
LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1848% 10/22/26 (e)(g)(q) 1,285 1,272 
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9226% 9/19/26 (e)(g)(q) 2,603 2,471 
  3,743 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.05% 7/13/21 (e)(g)(q)(r) 3,215 3,257 
TOTAL COMMUNICATION SERVICES  21,264 
CONSUMER DISCRETIONARY - 0.2%   
Diversified Consumer Services - 0.1%   
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (e)(g)(q) 3,640 2,730 
Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 1/3/27 (e)(g)(q) 6,765 6,302 
  9,032 
Hotels, Restaurants & Leisure - 0.0%   
Travelport Finance Luxembourg SARL Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.072% 5/28/27 (e)(g)(q) 7,655 2,174 
Specialty Retail - 0.1%   
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.072% 2/5/26 (e)(g)(q) 11,323 10,728 
TOTAL CONSUMER DISCRETIONARY  21,934 
ENERGY - 0.6%   
Energy Equipment & Services - 0.0%   
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 4.9282% 11/3/25 (e)(g)(q) 3,495 2,254 
Forbes Energy Services LLC Tranche B, term loan 18% 4/13/21 (d)(e)(q) 1,389 1,399 
  3,653 
Oil, Gas & Consumable Fuels - 0.6%   
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (e)(g)(q) 5,272 3,769 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.375% 12/31/21 (e)(g)(q) 59,940 2,697 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.75% 12/31/22 (e)(g)(q) 71,920 24,543 
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 0% 6/9/24 (c)(e)(g)(q) 57,825 33,167 
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (e)(g)(q) 844 800 
EG America LLC 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.072% 3/23/26 (e)(g)(q) 3,290 2,994 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.37% 3/1/26 (e)(g)(q) 22,150 16,908 
Sanchez Energy Corp.:   
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(d)(g)(q) 3,423 1,198 
term loan 0% 12/31/49 (c)(d)(e)(q) 1,476 517 
  86,593 
TOTAL ENERGY  90,246 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9282% 2/27/26 (e)(g)(q) 2,205 2,141 
Diversified Financial Services - 0.0%   
RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9283% 2/11/27 (e)(g)(q) 2,826 2,732 
TOTAL FINANCIALS  4,873 
HEALTH CARE - 0.2%   
Health Care Providers & Services - 0.2%   
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1782% 6/13/26 (e)(g)(q) 26,341 25,284 
Pharmaceuticals - 0.0%   
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.19% 6/1/25 (e)(g)(q) 1,046 1,015 
TOTAL HEALTH CARE  26,299 
INDUSTRIALS - 0.2%   
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.8079% 4/8/26 (e)(g)(q) 1,545 1,315 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.8079% 4/8/26 (e)(g)(q) 830 707 
  2,022 
Building Products - 0.0%   
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 8/13/25 (e)(g)(q) 2,638 2,574 
Commercial Services & Supplies - 0.1%   
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1782% 1/23/27 (e)(g)(q) 1,255 1,229 
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (e)(g)(q) 4,838 4,701 
  5,930 
Construction & Engineering - 0.0%   
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 9/27/24 (e)(g)(q) 1,764 1,462 
Electrical Equipment - 0.1%   
Vertiv Group Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1825% 3/2/27 (e)(g)(q) 19,192 18,088 
TOTAL INDUSTRIALS  30,076 
INFORMATION TECHNOLOGY - 0.8%   
Electronic Equipment & Components - 0.0%   
Curie Merger Sub LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4283% 11/4/26 (e)(g)(q) 359 345 
IT Services - 0.3%   
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1782% 10/31/26 (e)(g)(q) 687 664 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.93% 5/31/25 (e)(g)(q) 15,579 11,418 
Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.6728% 5/1/27 (e)(g)(q) 13,740 13,603 
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 7.9401% 10/11/26 (e)(g)(q) 9,150 7,741 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9401% 10/11/25 (e)(g)(q) 6,574 6,202 
  39,628 
Semiconductors & Semiconductor Equipment - 0.0%   
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1783% 9/19/26 (e)(g)(q) 4,699 4,500 
Software - 0.5%   
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.4282% 10/2/25 (e)(g)(q) 21,773 20,549 
Kronos, Inc. 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 11/1/24 (e)(g)(q) 13,470 13,462 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.25% 1/20/24 (e)(g)(q) 1,982 1,890 
3 month U.S. LIBOR + 9.000% 10% 1/20/25 (e)(g)(q) 6,500 5,744 
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 3.9336% 9/29/24 (e)(g)(q) 2,751 2,672 
3 month U.S. LIBOR + 8.500% 9.5% 9/29/25 (e)(g)(q) 14,801 14,697 
Ultimate Software Group, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 4.000% 5/3/26 (g)(q)(s) 6,805 6,713 
2LN, term loan 3 month U.S. LIBOR + 6.750% 5/3/27 (g)(q)(s) 1,430 1,451 
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4283% 2/28/27 (e)(g)(q) 1,307 1,258 
  68,436 
TOTAL INFORMATION TECHNOLOGY  112,909 
MATERIALS - 0.0%   
Metals & Mining - 0.0%   
Murray Energy Corp.:   
term loan 3 month U.S. LIBOR + 11.000% 13% 7/31/20 (e)(g)(q) 3,073 1,636 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 0% 10/17/22 (c)(g)(q) 14,942 199 
  1,835 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
Pacific Gas & Electric Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6/18/25 (g)(q)(s) 17,015 16,696 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $473,335)  326,132 
 Shares Value (000s) 
Fixed-Income Funds - 25.9%   
Fidelity Emerging Markets Debt Central Fund (t) 266,484,806 2,363,720 
Fidelity Floating Rate Central Fund (t) 15,382,005 1,444,370 
TOTAL FIXED-INCOME FUNDS   
(Cost $4,106,530)  3,808,090 
 Principal Amount (000s)(a) Value (000s) 
Preferred Securities - 4.6%   
ENERGY - 0.4%   
Oil, Gas & Consumable Fuels - 0.4%   
DCP Midstream Partners LP 7.375% (e)(u) 8,965 6,252 
Energy Transfer Partners LP:   
6.25% (e)(u) 40,712 32,201 
6.625% (e)(u) 15,640 12,358 
MPLX LP 6.875% (e)(u) 18,000 16,486 
Summit Midstream Partners LP 9.5% (e)(u) 8,965 1,203 
  68,500 
FINANCIALS - 4.2%   
Banks - 3.6%   
Bank of America Corp.:   
5.125% (e)(u) 22,020 21,812 
5.2% (e)(u) 48,090 46,567 
5.875% (e)(u) 60,475 62,811 
6.25% (e)(u) 18,480 19,499 
Citigroup, Inc.:   
4.7% (e)(u) 8,755 7,943 
5% (e)(u) 36,455 34,865 
5.9% (e)(u) 25,875 26,304 
5.95% (e)(u) 46,925 47,627 
6.3% (e)(u) 4,120 4,160 
Huntington Bancshares, Inc. 5.7% (e)(u) 7,660 6,584 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 3.320% 4.7534% (e)(g)(u) 30,810 27,556 
4% (e)(u) 19,100 16,986 
4.4866% (e)(g)(u) 12,280 11,738 
4.6% (e)(u) 13,385 12,203 
5% (e)(u) 18,675 18,349 
6% (e)(u) 54,840 56,616 
6.125% (e)(u) 12,865 13,262 
6.75% (e)(u) 6,270 6,916 
Wells Fargo & Co.:   
5.875% (e)(u) 36,775 38,317 
5.9% (e)(u) 46,445 46,097 
  526,212 
Capital Markets - 0.5%   
Goldman Sachs Group, Inc.:   
4.3696% (e)(g)(u) 22,175 20,465 
4.4% (e)(u) 4,530 4,116 
4.95% (e)(u) 7,885 7,735 
5% (e)(u) 50,754 47,299 
  79,615 
Insurance - 0.1%   
MAPFRE SA 4.375% 3/31/47 (Reg. S) (e) EUR6,100 7,503 
TOTAL FINANCIALS  613,330 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd. 7.5% (b)(c)(u) 1,825 103 
TOTAL PREFERRED SECURITIES   
(Cost $721,469)  681,933 
 Shares Value (000s) 
Money Market Funds - 3.0%   
Fidelity Cash Central Fund 0.12% (v) 447,622,523 447,713 
Fidelity Securities Lending Cash Central Fund 0.12% (v)(w) 189,904 190 
TOTAL MONEY MARKET FUNDS   
(Cost $447,859)  447,903 

Purchased Swaptions - 0.1%(x)    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 55,600 $560 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 19,200 89 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 20,100 332 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 19,800 234 
TOTAL PUT OPTIONS   1,215 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 55,600 2,941 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 19,200 1,502 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 20,100 814 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 19,800 925 
TOTAL CALL OPTIONS   6,182 
TOTAL PURCHASED SWAPTIONS    
(Cost $6,470)   7,397 
TOTAL INVESTMENT IN SECURITIES - 100.1%    
(Cost $14,921,808)   14,717,548 
NET OTHER ASSETS (LIABILITIES) - (0.1)%   (11,849) 
NET ASSETS - 100%   $14,705,699 

Written Swaptions    
 Expiration Date Notional Amount Value (000s) 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 20,300 $(272) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 36,100 (505) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.89% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 1,800 (17) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/8/25 47,000 (444) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2030 3/18/25 32,000 (610) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.487% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 28,100 (14) 
TOTAL PUT SWAPTIONS   (1,862) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 20,300 (860) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 36,100 (1,668) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.89% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 1,800 (105) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/8/25 47,000 (2,797) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2030 3/18/25 32,000 (1,159) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.487% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 28,100 (2,324) 
TOTAL CALL SWAPTIONS   (8,913) 
TOTAL WRITTEN SWAPTIONS   $(10,775) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,271 Sept. 2020 $176,887 $354 $354 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 90 Sept. 2020 19,875 
TOTAL FUTURES CONTRACTS     $355 

The notional amount of futures purchased as a percentage of Net Assets is 1.3%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $378,672,000.

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) (000s) 
USD 5,357 EUR 4,778 BNP Paribas 7/1/20 $(11) 
AUD 2,321 USD 1,605 Citibank NA 8/13/20 (3) 
AUD 2,065 USD 1,444 Citibank NA 8/13/20 (18) 
AUD 8,758 USD 5,619 National Australia Bank 8/13/20 426 
CAD 2,273 USD 1,692 Bank Of America NA 8/13/20 (18) 
CAD 40,824 USD 28,992 JPMorgan Chase Bank, N.A. 8/13/20 1,082 
EUR 4,994 USD 5,605 BNP Paribas 8/13/20 11 
EUR 2,852 USD 3,100 BNP Paribas SA 8/13/20 107 
EUR 26,449 USD 28,877 BNP Paribas SA 8/13/20 866 
EUR 4,994 USD 5,605 BNP Paribas SA 8/13/20 11 
EUR 13,730 USD 15,431 Citibank NA 8/13/20 
EUR 13,730 USD 15,431 Citibank NA 8/13/20 
EUR 1,383 USD 1,501 Hsbc-Fx Custodian 8/13/20 54 
EUR 1,187 USD 1,331 JPMorgan Chase Bank, N.A. 8/13/20 
EUR 1,187 USD 1,331 JPMorgan Chase Bank, N.A. 8/13/20 
EUR 6,695 USD 7,551 Morgan Stanley 8/13/20 (22) 
EUR 8,362 USD 9,104 National Australia Bank 8/13/20 300 
EUR 1,297 USD 1,416 National Australia Bank 8/13/20 43 
EUR 16,434 USD 18,603 National Australia Bank 8/13/20 (122) 
EUR 1,922 USD 2,191 National Australia Bank 8/13/20 (30) 
EUR 24,767 USD 26,739 Royal Bank Of Canada 8/13/20 1,114 
EUR 2,516 USD 2,759 Societe Generale SA 8/13/20 71 
JPY 434,555 USD 4,050 Hsbc-Fx Custodian 8/13/20 (24) 
JPY 1,575,230 USD 14,754 State Street Bank 8/13/20 (157) 
NOK 188,940 USD 18,418 CIBC World Markets 8/13/20 1,215 
NOK 173,757 USD 16,885 National Australia Bank 8/13/20 1,171 
USD 2,178 AUD 3,175 BNP Paribas SA 8/13/20 (13) 
USD 72,775 AUD 112,907 National Australia Bank 8/13/20 (5,158) 
USD 207,590 CAD 291,097 CIBC World Markets 8/13/20 (6,853) 
USD 6,408 CAD 9,002 National Australia Bank 8/13/20 (224) 
USD 17,729 EUR 15,798 BNP Paribas SA 8/13/20 (37) 
USD 2,656 EUR 2,354 BNP Paribas SA 8/13/20 
USD 203,443 EUR 187,171 BNP Paribas SA 8/13/20 (7,043) 
USD 190,242 EUR 175,000 Bank Of America NA 8/13/20 (6,559) 
USD 2,294 EUR 2,115 CIBC World Markets 8/13/20 (84) 
USD 13,473 EUR 12,078 Citibank NA 8/13/20 (110) 
USD 192,447 EUR 177,000 Citibank NA 8/13/20 (6,603) 
USD 2,679 EUR 2,426 JPMorgan Chase Bank, N.A. 8/13/20 (50) 
USD 1,587 EUR 1,406 Morgan Stanley 8/13/20 
USD 30,198 EUR 27,608 Royal Bank Of Canada 8/13/20 (849) 
USD 191,331 EUR 176,000 Royal Bank Of Canada 8/13/20 (6,594) 
USD 31,020 EUR 28,187 Societe Generale SA 8/13/20 (679) 
USD 1,883 EUR 1,675 Societe Generale SA 8/13/20 (1) 
USD 11,827 GBP 9,492 Brown Brothers Harriman & Co. 8/13/20 63 
USD 95,944 GBP 77,000 Brown Brothers Harriman & Co. 8/13/20 508 
USD 19,328 GBP 15,644 Royal Bank Of Canada 8/13/20 (62) 
USD 175,942 JPY 18,744,168 CIBC World Markets 8/13/20 2,249 
USD 35,212 NOK 362,697 National Australia Bank 8/13/20 (2,476) 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $(34,468) 
     Unrealized Appreciation 9,332 
     Unrealized Depreciation (43,800) 

For the period, the average contract value for forward foreign currency contracts was $2,779,255,000. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount (000s) Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps          
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2022 $82,762 $72 $0 $72 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2025 23,510 1,070 1,070 
3-month LIBOR(3) Quarterly 0.75% Semi - annual LCH Sep. 2027 10,214 (35) (35) 
0.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2030 46,349 190 190 
0.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2050 2,752 396 396 
TOTAL INTEREST RATE SWAPS       $1,693 $0 $1,693 

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

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

 (3) Represents floating rate.

Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

JPY – Japanese yen

NOK – Norwegian krone

USD – U.S. dollar

Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.

Legend

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

 (b) 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 $2,777,788,000 or 18.9% of net assets.

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

 (d) Level 3 security

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

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

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

 (h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,282,000.

 (i) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $793,000.

 (j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,658,000.

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

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

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

 (n) Non-income producing

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

 (p) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $65,000 or 0.0% of net assets.

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

 (r) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled 1,573,000 and 1,594,000, respectively.

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

 (t) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

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

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

 (x) For the period, the average monthly notional amount for purchased swaptions was $586,300,000.

Additional information on each restricted holding is as follows:

Security Acquisition Date Cost (000s) 
Tricer Holdco SCA 10/16/09 - 12/30/17 $6,909 
Tricer Holdco SCA Class A1 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A2 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A3 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A4 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A5 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A6 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A7 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A8 10/16/09 - 10/29/09 $1,100 
Tricer Holdco SCA Class A9 10/16/09 - 10/29/09 $1,100 

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 $2,376 
Fidelity Emerging Markets Debt Central Fund 63,731 
Fidelity Floating Rate Central Fund 37,686 
Fidelity Securities Lending Cash Central Fund 
Total $103,796 

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

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Emerging Markets Debt Central Fund $2,613,139 $63,731 $165,020 $(824) $(147,306) $2,363,720 88.7% 
Fidelity Floating Rate Central Fund 1,518,627 89,186 52,999 (960) (109,484) 1,444,370 77.1% 
Total $4,131,766 $152,917 $218,019 $(1,784) $(256,790) $3,808,090  

Investment Valuation

The following is a summary of the inputs used, as of June 30, 2020, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Communication Services $99,279 $99,279 $-- $-- 
Consumer Discretionary 76,683 68,606 -- 8,077 
Consumer Staples 36,858 29,621 -- 7,237 
Energy 3,557 3,557 -- -- 
Financials 32,000 32,000 -- -- 
Health Care 115,719 114,374 -- 1,345 
Industrials 88,885 87,637 -- 1,248 
Information Technology 310,291 310,291 -- -- 
Materials 36,428 36,404 -- 24 
Utilities 37,313 36,692 -- 621 
Corporate Bonds 4,714,060 -- 4,711,255 2,805 
U.S. Government and Government Agency Obligations 2,320,393 -- 2,320,393 -- 
U.S. Government Agency - Mortgage Securities 122,629 -- 122,629 -- 
Asset-Backed Securities 7,153 -- 7,153 -- 
Collateralized Mortgage Obligations 276,606 -- 276,606 -- 
Foreign Government and Government Agency Obligations 1,168,239 -- 1,168,239 -- 
Bank Loan Obligations 326,132 -- 323,018 3,114 
Fixed-Income Funds 3,808,090 3,808,090 -- -- 
Preferred Securities 681,933 -- 681,933 -- 
Money Market Funds 447,903 447,903 -- -- 
Purchased Swaptions 7,397 -- 7,397 -- 
Total Investments in Securities: $14,717,548 $5,074,454 $9,618,623 $24,471 
Derivative Instruments:     
Assets     
Forward Foreign Currency Contracts $9,322  $-- $9,322  $-- 
Futures Contracts 355 355   
Swaps 1,728 -- 1,728 -- 
Total Assets $11,405 $355 $11,050 $-- 
Liabilities     
Forward Foreign Currency Contracts $(43,800) $-- $(43,800) $-- 
Swaps (35) -- (35) -- 
Written Swaptions (10,775) -- (10,775) -- 
Total Liabilities $(54,610) $-- $(54,610) $-- 
Total Derivative Instruments: $(43,205) $355 $(43,560) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
(Amounts in thousands)   
Foreign Exchange Risk   
Forward Foreign Currency Contracts(a) $9,322 $(43,800) 
Total Foreign Exchange Risk 9,322 (43,800) 
Interest Rate Risk   
Futures Contracts(b) 355 
Purchased Swaptions(c) 7,397 
Swaps(d) 1,728 (35) 
Written Swaptions(e) (10,775) 
Total Interest Rate Risk 9,480 (10,810) 
Total Value of Derivatives $18,802 $(54,610) 

 (a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

 (b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

 (c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (d) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).

 (e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 70.6% 
Germany 3.3% 
Canada 2.8% 
Netherlands 2.1% 
Luxembourg 2.1% 
United Kingdom 2.0% 
Cayman Islands 1.6% 
Mexico 1.5% 
Argentina 1.2% 
Japan 1.0% 
Others (Individually Less Than 1%) 11.8% 
 100% 

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

See accompanying notes which are an integral part of the financial statements.


Fidelity Advisor® Strategic Income Fund

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  June 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $161) — See accompanying schedule:
Unaffiliated issuers (cost $10,367,419) 
$10,461,555  
Fidelity Central Funds (cost $4,554,389) 4,255,993  
Total Investment in Securities (cost $14,921,808)  $14,717,548 
Cash  68,945 
Foreign currency held at value (cost $5)  
Receivable for investments sold  39,805 
Receivable for premium on written options  9,295 
Unrealized appreciation on forward foreign currency contracts  9,332 
Receivable for fund shares sold  13,279 
Dividends receivable  364 
Interest receivable  95,858 
Distributions receivable from Fidelity Central Funds  54 
Other receivables  35 
Total assets  14,954,520 
Liabilities   
Payable for investments purchased   
Regular delivery $87,312  
Delayed delivery 76,790  
Unrealized depreciation on forward foreign currency contracts 43,800  
Payable for fund shares redeemed 17,604  
Distributions payable 2,463  
Accrued management fee 6,797  
Distribution and service plan fees payable 1,035  
Payable for daily variation margin on futures contracts 198  
Payable for daily variation margin on centrally cleared OTC swaps 93  
Written options, at value (premium receivable $9,295) 10,775  
Other affiliated payables 1,683  
Other payables and accrued expenses 82  
Collateral on securities loaned 189  
Total liabilities  248,821 
Net Assets  $14,705,699 
Net Assets consist of:   
Paid in capital  $14,641,298 
Total accumulated earnings (loss)  64,401 
Net Assets  $14,705,699 
Net Asset Value and Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($1,788,781 ÷ 149,128 shares)(a)  $11.99 
Maximum offering price per share (100/96.00 of $11.99)  $12.49 
Class M:   
Net Asset Value and redemption price per share ($737,456 ÷ 61,515 shares)(a)  $11.99 
Maximum offering price per share (100/96.00 of $11.99)  $12.49 
Class C:   
Net Asset Value and offering price per share ($597,988 ÷ 49,989 shares)(a)  $11.96 
Fidelity Strategic Income Fund:   
Net Asset Value, offering price and redemption price per share ($6,593,464 ÷ 542,174 shares)  $12.16 
Class I:   
Net Asset Value, offering price and redemption price per share ($4,442,743 ÷ 365,274 shares)  $12.16 
Class Z:   
Net Asset Value, offering price and redemption price per share ($545,267 ÷ 44,806 shares)  $12.17 

 (a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

Amounts in thousands  Six months ended June 30, 2020 (Unaudited) 
Investment Income   
Dividends  $23,444 
Interest (including $22 from security lending)  192,441 
Income from Fidelity Central Funds (including $3 from security lending)  103,796 
Total income  319,681 
Expenses   
Management fee $42,243  
Transfer agent fees 9,682  
Distribution and service plan fees 6,318  
Accounting fees 895  
Custodian fees and expenses 33  
Independent trustees' fees and expenses 27  
Registration fees 178  
Audit 76  
Legal (363)  
Miscellaneous 115  
Total expenses before reductions 59,204  
Expense reductions (47)  
Total expenses after reductions  59,157 
Net investment income (loss)  260,524 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 138,944  
Fidelity Central Funds (1,775)  
Forward foreign currency contracts 46,247  
Foreign currency transactions 2,773  
Futures contracts 32,403  
Swaps (11,589)  
Written options (1,782)  
Total net realized gain (loss)  205,221 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $23,124) (455,664)  
Fidelity Central Funds (256,789)  
Forward foreign currency contracts (24,159)  
Assets and liabilities in foreign currencies (30)  
Futures contracts 4,177  
Swaps 109  
Written options (1,639)  
Delayed delivery commitments 371  
Total change in net unrealized appreciation (depreciation)  (733,624) 
Net gain (loss)  (528,403) 
Net increase (decrease) in net assets resulting from operations  $(267,879) 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

Amounts in thousands Six months ended June 30, 2020 (Unaudited) Year ended December 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $260,524 $600,996 
Net realized gain (loss) 205,221 159,227 
Change in net unrealized appreciation (depreciation) (733,624) 976,082 
Net increase (decrease) in net assets resulting from operations (267,879) 1,736,305 
Distributions to shareholders (199,835) (718,416) 
Share transactions - net increase (decrease) (1,853,509) (195,579) 
Total increase (decrease) in net assets (2,321,223) 822,310 
Net Assets   
Beginning of period 17,026,922 16,204,612 
End of period $14,705,699 $17,026,922 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity Advisor Strategic Income Fund Class A

 Six months ended (Unaudited) June 30, Years endedDecember 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $12.29 $11.56 $12.32 $11.88 $11.32 $11.92 
Income from Investment Operations       
Net investment income (loss)A .190 .412 .424 .399 .428 .420 
Net realized and unrealized gain (loss) (.347) .818 (.780) .526 .516 (.629) 
Total from investment operations (.157) 1.230 (.356) .925 .944 (.209) 
Distributions from net investment income (.133) (.390) (.392) (.382) (.384) (.307) 
Distributions from net realized gain (.010) (.110) (.012) (.103) – (.007) 
Tax return of capital – – – – – (.077) 
Total distributions (.143) (.500) (.404) (.485) (.384) (.391) 
Net asset value, end of period $11.99 $12.29 $11.56 $12.32 $11.88 $11.32 
Total ReturnB,C,D (1.26)% 10.74% (2.95)% 7.87% 8.42% (1.84)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .98%G .98% .98% 1.00% 1.01% 1.00% 
Expenses net of fee waivers, if any .98%G .97% .98% .99% 1.01% 1.00% 
Expenses net of all reductions .98%G .97% .98% .99% 1.01% 1.00% 
Net investment income (loss) 3.22%G 3.38% 3.52% 3.24% 3.64% 3.55% 
Supplemental Data       
Net assets, end of period (in millions) $1,789 $1,918 $1,631 $1,921 $3,098 $3,274 
Portfolio turnover rateH 122%G 138%I 113%J 123% 76% 88% 

 A Calculated based on average shares outstanding during the period.

 B Total returns for periods of less than one year are not annualized.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Total returns do not include the effect of the sales charges.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

 J The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Fidelity Advisor Strategic Income Fund Class M

 Six months ended (Unaudited) June 30, Years endedDecember 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $12.28 $11.55 $12.31 $11.88 $11.31 $11.92 
Income from Investment Operations       
Net investment income (loss)A .191 .412 .424 .398 .428 .420 
Net realized and unrealized gain (loss) (.338) .818 (.779) .517 .526 (.639) 
Total from investment operations (.147) 1.230 (.355) .915 .954 (.219) 
Distributions from net investment income (.133) (.390) (.393) (.382) (.384) (.307) 
Distributions from net realized gain (.010) (.110) (.012) (.103) – (.007) 
Tax return of capital – – – – – (.077) 
Total distributions (.143) (.500) (.405) (.485) (.384) (.391) 
Net asset value, end of period $11.99 $12.28 $11.55 $12.31 $11.88 $11.31 
Total ReturnB,C,D (1.18)% 10.75% (2.95)% 7.78% 8.52% (1.93)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .97%G .97% .98% .99% 1.01% 1.00% 
Expenses net of fee waivers, if any .97%G .97% .97% .99% 1.00% 1.00% 
Expenses net of all reductions .97%G .97% .97% .99% 1.00% 1.00% 
Net investment income (loss) 3.23%G 3.39% 3.52% 3.24% 3.64% 3.55% 
Supplemental Data       
Net assets, end of period (in millions) $737 $806 $755 $864 $967 $1,008 
Portfolio turnover rateH 122%G 138%I 113%J 123% 76% 88% 

 A Calculated based on average shares outstanding during the period.

 B Total returns for periods of less than one year are not annualized.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Total returns do not include the effect of the sales charges.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

 J The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Fidelity Advisor Strategic Income Fund Class C

 Six months ended (Unaudited) June 30, Years endedDecember 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $12.26 $11.53 $12.28 $11.85 $11.29 $11.89 
Income from Investment Operations       
Net investment income (loss)A .146 .320 .334 .305 .339 .331 
Net realized and unrealized gain (loss) (.348) .818 (.770) .518 .516 (.629) 
Total from investment operations (.202) 1.138 (.436) .823 .855 (.298) 
Distributions from net investment income (.088) (.298) (.302) (.290) (.295) (.236) 
Distributions from net realized gain (.010) (.110) (.012) (.103) – (.007) 
Tax return of capital – – – – – (.059) 
Total distributions (.098) (.408) (.314) (.393) (.295) (.302) 
Net asset value, end of period $11.96 $12.26 $11.53 $12.28 $11.85 $11.29 
Total ReturnB,C,D (1.64)% 9.94% (3.60)% 7.00% 7.63% (2.59)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.73%G 1.72% 1.72% 1.74% 1.75% 1.75% 
Expenses net of fee waivers, if any 1.73%G 1.72% 1.72% 1.74% 1.75% 1.75% 
Expenses net of all reductions 1.73%G 1.72% 1.72% 1.74% 1.75% 1.75% 
Net investment income (loss) 2.47%G 2.63% 2.78% 2.50% 2.90% 2.80% 
Supplemental Data       
Net assets, end of period (in millions) $598 $678 $1,006 $1,302 $1,376 $1,429 
Portfolio turnover rateH 122%G 138%I 113%J 123% 76% 88% 

 A Calculated based on average shares outstanding during the period.

 B Total returns for periods of less than one year are not annualized.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Total returns do not include the effect of the contingent deferred sales charge.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

 J The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Fidelity Strategic Income Fund

 Six months ended (Unaudited) June 30, Years endedDecember 31,  
 2020 2019 2018 A 
Selected Per–Share Data    
Net asset value, beginning of period $12.46 $11.72 $12.38 
Income from Investment Operations    
Net investment income (loss)B .212 .454 .314 
Net realized and unrealized gain (loss) (.349) .827 (.657) 
Total from investment operations (.137) 1.281 (.343) 
Distributions from net investment income (.153) (.431) (.317) 
Distributions from net realized gain (.010) (.110) – 
Total distributions (.163) (.541) (.317) 
Net asset value, end of period $12.16 $12.46 $11.72 
Total ReturnC,D (1.08)% 11.04% (2.78)% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .67%G .68% .69%G 
Expenses net of fee waivers, if any .67%G .68% .68%G 
Expenses net of all reductions .67%G .68% .68%G 
Net investment income (loss) 3.52%G 3.68% 3.64%G 
Supplemental Data    
Net assets, end of period (in millions) $6,593 $8,139 $7,817 
Portfolio turnover rateH 122%G 138%I 113%J 

 A For the period April 13, 2018 (commencement of sale of shares) to December 31, 2018.

 B Calculated based on average shares outstanding during the period.

 C Total returns for periods of less than one year are not annualized.

 D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

 J The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Fidelity Advisor Strategic Income Fund Class I

 Six months ended (Unaudited) June 30, Years endedDecember 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $12.46 $11.72 $12.49 $12.05 $11.47 $12.09 
Income from Investment Operations       
Net investment income (loss)A .209 .449 .458 .432 .463 .452 
Net realized and unrealized gain (loss) (.349) .827 (.789) .528 .535 (.650) 
Total from investment operations (.140) 1.276 (.331) .960 .998 (.198) 
Distributions from net investment income (.150) (.426) (.427) (.417) (.418) (.332) 
Distributions from net realized gain (.010) (.110) (.012) (.103) – (.007) 
Tax return of capital – – – – – (.083) 
Total distributions (.160) (.536) (.439) (.520) (.418) (.422) 
Net asset value, end of period $12.16 $12.46 $11.72 $12.49 $12.05 $11.47 
Total ReturnB,C (1.10)% 11.00% (2.71)% 8.06% 8.80% (1.73)% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .72%F .72% .73% .75% .76% .78% 
Expenses net of fee waivers, if any .72%F .72% .73% .74% .76% .78% 
Expenses net of all reductions .72%F .72% .73% .74% .76% .78% 
Net investment income (loss) 3.48%F 3.64% 3.76% 3.49% 3.89% 3.77% 
Supplemental Data       
Net assets, end of period (in millions) $4,443 $4,899 $4,831 $5,039 $2,827 $2,640 
Portfolio turnover rateG 122%F 138%H 113%I 123% 76% 88% 

 A Calculated based on average shares outstanding during the period.

 B Total returns for periods of less than one year are not annualized.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

 G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 H Portfolio turnover rate excludes securities received or delivered in-kind.

 I The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Fidelity Advisor Strategic Income Fund Class Z

 Six months ended (Unaudited) June 30, Years endedDecember 31,  
 2020 2019 2018 A 
Selected Per–Share Data    
Net asset value, beginning of period $12.47 $11.72 $12.17 
Income from Investment Operations    
Net investment income (loss)B .215 .461 .119 
Net realized and unrealized gain (loss) (.349) .837 (.437) 
Total from investment operations (.134) 1.298 (.318) 
Distributions from net investment income (.156) (.438) (.132) 
Distributions from net realized gain (.010) (.110) – 
Total distributions (.166) (.548) (.132) 
Net asset value, end of period $12.17 $12.47 $11.72 
Total ReturnC,D (1.05)% 11.19% (2.62)% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .62%G .62% .62%G 
Expenses net of fee waivers, if any .62%G .62% .62%G 
Expenses net of all reductions .62%G .62% .62%G 
Net investment income (loss) 3.58%G 3.74% 3.95%G 
Supplemental Data    
Net assets, end of period (in millions) $545 $587 $166 
Portfolio turnover rateH 122%G 138%I 113%J 

 A For the period October 2, 2018 (commencement of sale of shares) to December 31, 2018.

 B Calculated based on average shares outstanding during the period.

 C Total returns for periods of less than one year are not annualized.

 D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

 J The portfolio turnover rate does not include the assets acquired in the merger.

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements (Unaudited)

For the period ended June 30, 2020
(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Strategic Income Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions. The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".

Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Emerging Markets Debt Central Fund FMR Co., Inc. (FMR) Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. Foreign Securities
Restricted Securities
 
Less than .005% 
Fidelity Floating Rate Central Fund FMR Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. Loans & Direct Debt Instruments
Restricted Securities
 
Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

  • 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)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of June 30, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to defaulted bonds, futures contracts, swaps, foreign currency transactions, market discount, partnerships, capital loss carryforwards and losses deferred due to futures contracts, wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $814,712 
Gross unrealized depreciation (1,026,436) 
Net unrealized appreciation (depreciation) $(211,724) 
Tax cost $14,895,372 

The Fund elected to defer to its next fiscal year approximately $5,563 of capital losses recognized during the period November 1, 2019 to December 31, 2019. The Fund elected to defer to its next fiscal year $949 of ordinary losses recognized during the period November 1, 2019 to December 31, 2019.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risks:

Foreign Exchange Risk Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts $46,247 $(24,159) 
Total Foreign Exchange Risk 46,247 (24,159) 
Interest Rate Risk   
Futures Contracts 32,403 4,177 
Purchased Options 22,424 369 
Written Options (1,782) (1,639) 
Swaps (11,589) 109 
Total Interest Rate Risk $41,456 $3,016 
Totals $87,703 $(21,143) 

A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period for written options.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Advisor Strategic Income Fund 6,264,314 6,740,991 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .55% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

 Distribution Fee Service Fee Total Fees Retained by FDC 
Class A -% .25% $2,261 $54 
Class M -% .25% 945 14 
Class C .75% .25% 3,112 269 
   $6,318 $337 

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

 Retained by FDC 
Class A $86 
Class M 10 
Class C(a) 32 
 $128 

 (a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Class Z. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

 Amount % of Class-Level Average Net Assets(a) 
Class A $1,415 .16 
Class M 569 .15 
Class C 486 .16 
Fidelity Strategic Income Fund 3,680 .11 
Class I 3,396 .15 
Class Z 136 .05 
 $9,682  

 (a) Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:

 % of Average Net Assets 
Fidelity Advisor Strategic Income Fund .01 

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Fidelity Advisor Strategic Income Fund $4 

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $22.

Prior Fiscal Year Exchanges In-Kind. During the prior period, the Fidelity Advisor Strategic Income Fund completed an exchange in-kind with Fidelity Emerging Markets Debt Central Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets. For additional information of the Fidelity Advisor Strategic Income Fund in-kind transactions, please refer to the Fidelity Emerging Markets Debt Central Fund prior annual shareholder report.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

 Amount 
Fidelity Advisor Strategic Income Fund $20 

During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Total fees paid by the Fund to NFS, as lending agent, amounted to less than five hundred dollars. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Total security lending income during the period is presented in the Statement of Operations as a component of interest income. Net income from the Fidelity Securities Lending Cash Central Fund during the period is presented in the Statement of Operations as a component of income from Fidelity Central Funds. During the period, there were no securities loaned to NFS.

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $6 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $24. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

 Expense reduction 
Class C $–(a) 

 (a) In the amount of less than five hundred dollars.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $17.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended
June 30, 2020 
Year ended
December 31, 2019 
Distributions to shareholders   
Class A $21,780 $76,009 
Class M 9,123 32,492 
Class C 5,171 25,288 
Fidelity Strategic Income Fund 95,600 353,007 
Class I 60,664 211,541 
Class Z 7,497 20,079 
Total $199,835 $718,416 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended June 30, 2020 Year ended December 31, 2019 Six months ended June 30, 2020 Year ended December 31, 2019 
Class A     
Shares sold 12,205 43,566 $145,795 $528,485 
Reinvestment of distributions 1,755 5,960 20,862 72,944 
Shares redeemed (20,939) (34,497) (245,246) (420,095) 
Net increase (decrease) (6,979) 15,029 $(78,589) $181,334 
Class M     
Shares sold 4,297 9,378 $51,265 $113,952 
Reinvestment of distributions 751 2,601 8,922 31,804 
Shares redeemed (9,160) (11,692) (107,148) (142,125) 
Net increase (decrease) (4,112) 287 $(46,961) $3,631 
Class C     
Shares sold 3,060 7,648 $36,406 $92,857 
Reinvestment of distributions 410 1,951 4,867 23,766 
Shares redeemed (8,817) (41,561) (103,357) (501,565) 
Net increase (decrease) (5,347) (31,962) $(62,084) $(384,942) 
Fidelity Strategic Income Fund     
Shares sold 41,578 100,407 $504,203 $1,238,415 
Reinvestment of distributions 7,093 24,054 85,545 298,403 
Shares redeemed (159,707) (138,469) (1,922,986) (1,706,366) 
Net increase (decrease) (111,036) (14,008) $(1,333,238) $(169,548) 
Class I     
Shares sold 57,760 115,327 $695,447 $1,420,553 
Reinvestment of distributions 4,667 15,859 56,267 196,642 
Shares redeemed (90,332) (150,285) (1,062,381) (1,848,390) 
Net increase (decrease) (27,905) (19,099) $(310,667) $(231,195) 
Class Z     
Shares sold 10,003 40,054 $121,320 $493,698 
Reinvestment of distributions 504 1,315 6,083 16,369 
Shares redeemed (12,761) (8,437) (149,373) (104,926) 
Net increase (decrease) (2,254) 32,932 $(21,970) $405,141 

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

13. Credit Risk.

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

14. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 to June 30, 2020).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
January 1, 2020 
Ending
Account Value
June 30, 2020 
Expenses Paid
During Period-B
January 1, 2020
to June 30, 2020 
Class A .98%    
Actual  $1,000.00 $987.40 $4.84 
Hypothetical-C  $1,000.00 $1,019.99 $4.92 
Class M .97%    
Actual  $1,000.00 $988.20 $4.80 
Hypothetical-C  $1,000.00 $1,020.04 $4.87 
Class C 1.73%    
Actual  $1,000.00 $983.60 $8.53 
Hypothetical-C  $1,000.00 $1,016.26 $8.67 
Fidelity Strategic Income Fund .67%    
Actual  $1,000.00 $989.20 $3.31 
Hypothetical-C  $1,000.00 $1,021.53 $3.37 
Class I .72%    
Actual  $1,000.00 $989.00 $3.56 
Hypothetical-C  $1,000.00 $1,021.28 $3.62 
Class Z .62%    
Actual  $1,000.00 $989.50 $3.07 
Hypothetical-C  $1,000.00 $1,021.78 $3.12 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.

The following are the financial statements for the Fidelity® Emerging Markets Debt Central Fund as of June 30, 2020 which is a direct investment of Fidelity® Strategic Income Fund.

Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Fidelity® Emerging Markets Debt Central Fund

Investment Summary (Unaudited)

Top Five Countries as of June 30, 2020

(excluding cash equivalents) % of fund's net assets 
Mexico 8.7 
United States of America 7.4 
Argentina 6.2 
Turkey 5.7 
Ukraine 4.8 

Percentages are adjusted for the effect of futures contracts, if applicable.

Top Five Holdings as of June 30, 2020

(by issuer, excluding cash equivalents) % of fund's net assets 
U.S. Treasury Obligations 5.0 
Ukraine Government 4.8 
Turkish Republic 4.2 
Ministry of Finance of the Russian Federation 3.9 
Petroleos Mexicanos 3.9 
 21.8 

Asset Allocation (% of fund's net assets)

As of June 30, 2020 
   Corporate Bonds 38.0% 
   Government Obligations 45.9% 
   Preferred Securities 2.4% 
   Short-Term Investments and Net Other Assets (Liabilities) 13.7% 


Fidelity® Emerging Markets Debt Central Fund

Schedule of Investments June 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 38.0%   
 Principal Amount(a) Value 
Argentina - 2.6%   
Aeropuertos Argentina 2000 SA:   
6.875% 2/1/27 (b) $43,750 $30,570 
9.375% 2/1/27 pay-in-kind (b)(c) 15,384,928 12,120,439 
Banco Macro SA 6.75% 11/4/26 (b)(c) 9,860,000 7,945,004 
Pampa Holding SA:   
7.375% 7/21/23 (b) 4,720,000 4,012,425 
7.5% 1/24/27 (b) 2,185,000 1,748,683 
Pan American Energy LLC 7.875% 5/7/21 (b) 266,667 267,167 
Tecpetrol SA 4.875% 12/12/22 (b) 2,190,000 2,042,134 
Telecom Argentina SA 6.5% 6/15/21 (b) 2,466,000 2,266,408 
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) 5,965,000 5,105,928 
YPF SA:   
8.5% 3/23/21 (b) 10,062,000 8,502,390 
8.5% 6/27/29 (b) 2,461,000 1,800,375 
8.75% 4/4/24 (b) 29,160,000 23,488,380 
TOTAL ARGENTINA  69,329,903 
Austria - 0.3%   
ESAL GmbH 6.25% 2/5/23 (b) 4,489,000 4,455,333 
JBS Investments II GmbH 7% 1/15/26 (b) 2,360,000 2,476,820 
TOTAL AUSTRIA  6,932,153 
Azerbaijan - 0.0%   
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 1,095,000 1,256,369 
Bahrain - 0.2%   
The Oil and Gas Holding Co.:   
7.5% 10/25/27 (b) 1,635,000 1,750,983 
7.625% 11/7/24 (b) 4,425,000 4,792,828 
TOTAL BAHRAIN  6,543,811 
Belarus - 0.0%   
Development Bank of the Republic of Belarus 6.75% 5/2/24 (b) 1,300,000 1,239,063 
Bermuda - 0.5%   
Digicel Group Ltd. 6.75% 3/1/23 (b) 4,120,000 2,060,206 
GeoPark Ltd. 6.5% 9/21/24 (b) 3,660,000 3,347,756 
Qtel International Finance Ltd.:   
3.25% 2/21/23 (b) 5,230,000 5,458,813 
5% 10/19/25 (b) 2,795,000 3,207,263 
TOTAL BERMUDA  14,074,038 
Brazil - 0.2%   
Banco BMG SA 8.875% 8/5/20 (b) 206,000 203,683 
Embraer SA 5.15% 6/15/22 3,135,000 3,041,930 
Globo Comunicacao e Participacoes SA 4.843% 6/8/25 (b) 2,935,000 2,921,242 
TOTAL BRAZIL  6,166,855 
British Virgin Islands - 1.8%   
1MDB Global Investments Ltd. 4.4% 3/9/23 39,500,000 37,142,344 
Central American Bottling Corp. 5.75% 1/31/27 (b) 1,295,000 1,299,452 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 7,612,000 7,627,224 
5.125% 5/15/24 (b) 1,850,000 1,985,281 
TOTAL BRITISH VIRGIN ISLANDS  48,054,301 
Canada - 1.0%   
First Quantum Minerals Ltd.:   
7.25% 4/1/23 (b) 21,465,000 20,499,075 
7.5% 4/1/25 (b) 2,900,000 2,805,750 
Frontera Energy Corp. 9.7% 6/25/23 (b) 3,375,000 2,736,914 
TOTAL CANADA  26,041,739 
Cayman Islands - 0.9%   
Comcel Trust 6.875% 2/6/24 (b) 11,400,000 11,658,438 
DP World Crescent Ltd. 3.875% 7/18/29 (Reg. S) 1,815,000 1,780,969 
Embraer Overseas Ltd. 5.696% 9/16/23 (b) 1,415,000 1,347,802 
NagaCorp Ltd. 9.375% 5/21/21 (b) 4,645,000 4,714,675 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(d) 11,075,000 598,742 
7.125% 6/26/42 (b)(d) 14,263,000 784,465 
Sable International Finance Ltd. 5.75% 9/7/27 (b) 1,435,000 1,463,700 
Sparc Em Spc 0% 12/5/22 (b) 678,510 653,473 
TOTAL CAYMAN ISLANDS  23,002,264 
Colombia - 0.3%   
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) 7,424,000 7,421,096 
Curacao - 0.1%   
Teva Pharmaceutical Finance Co. BV:   
2.95% 12/18/22 3,125,000 3,015,625 
3.65% 11/10/21 1,030,000 1,022,996 
TOTAL CURACAO  4,038,621 
Dominican Republic - 0.0%   
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 1,075,000 1,040,063 
Georgia - 0.7%   
Georgia Bank Joint Stock Co. 6% 7/26/23 (b) 10,695,000 10,467,731 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 4,663,000 4,534,766 
JSC Georgian Railway 7.75% 7/11/22 (b) 1,290,000 1,307,334 
TBC Bank JSC 5.75% 6/19/24 (b) 1,445,000 1,421,519 
TOTAL GEORGIA  17,731,350 
India - 0.1%   
Shriram Transport Finance Co. Ltd. 5.1% 7/16/23 (b) 1,850,000 1,626,844 
Indonesia - 0.7%   
Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (b)(d) 1,970,000 217,316 
PT Adaro Indonesia 4.25% 10/31/24 (b) 9,750,000 9,174,141 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 9,910,000 8,237,688 
TOTAL INDONESIA  17,629,145 
Ireland - 1.0%   
Alfa Bond Issuance PLC 5.95% 4/15/30 (b)(c) 2,605,000 2,582,206 
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) 9,085,000 9,198,563 
Borets Finance DAC 6.5% 4/7/22 (b) 2,775,000 2,769,797 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 1,950,000 1,935,375 
CBOM Finance PLC:   
4.7% 1/29/25 (b) 1,460,000 1,450,875 
5.55% 2/14/23 (b) 4,190,000 4,297,369 
Celtic Resources Holdings DAC 4.125% 10/9/24 (b) 3,700,000 3,866,500 
TOTAL IRELAND  26,100,685 
Isle of Man - 0.1%   
Sasol Financing International PLC 4.5% 11/14/22 4,275,000 3,859,043 
Kazakhstan - 0.5%   
BTA Bank JSC 5.5% 12/21/22 (b) 7,959,968 7,910,218 
KazMunaiGaz National Co.:   
3.875% 4/19/22 (b) 3,970,000 4,039,475 
4.75% 4/24/25 (b) 1,325,000 1,423,547 
TOTAL KAZAKHSTAN  13,373,240 
Korea (South) - 0.1%   
POSCO 4% 8/1/23 (b) 1,720,000 1,838,577 
Luxembourg - 2.2%   
CSN Resources SA 7.625% 2/13/23 (b) 22,265,000 20,595,125 
MHP SA 7.75% 5/10/24 (b) 3,960,000 4,138,200 
Millicom International Cellular SA 6% 3/15/25 (b) 4,210,000 4,336,300 
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 6,673,000 6,981,835 
Rumo Luxembourg SARL:   
5.25% 1/10/28 (b) 1,535,000 1,535,000 
7.375% 2/9/24 (b) 19,098,000 20,019,479 
Usiminas International SARL 5.875% 7/18/26 (b) 1,245,000 1,134,506 
TOTAL LUXEMBOURG  58,740,445 
Malaysia - 0.2%   
Petronas Capital Ltd. 3.5% 4/21/30 (b) 3,905,000 4,327,278 
Mauritius - 0.2%   
MTN (Mauritius) Investments Ltd.:   
5.373% 2/13/22 (b) 1,400,000 1,420,563 
6.5% 10/13/26 (b) 2,670,000 2,816,016 
TOTAL MAURITIUS  4,236,579 
Mexico - 6.3%   
Aerovias de Mexico SA de CV 7% 2/5/25 (b) 1,615,000 373,469 
America Movil S.A.B. de CV 6.45% 12/5/22 MXN224,420,000 9,892,124 
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 4,440,000 4,611,029 
CEMEX S.A.B. de CV 7.75% 4/16/26 (b) 2,630,000 2,676,469 
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) 2,715,000 2,773,542 
Elementia S.A.B. de CV 5.5% 1/15/25 (b) 4,230,000 3,402,506 
Metalsa SA de CV 4.9% 4/24/23 (b) 10,002,000 9,801,960 
Pemex Project Funding Master Trust:   
6.625% 6/15/35 21,100,000 17,093,243 
8.625% 2/1/22 1,575,000 1,646,367 
8.625% 12/1/23 (c) 930,000 897,450 
Petroleos Mexicanos:   
3 month U.S. LIBOR + 3.650% 3.9646% 3/11/22 (c)(e) 4,025,000 3,880,100 
3.5% 1/30/23 7,330,000 6,930,515 
4.875% 1/24/22 9,840,000 9,732,375 
4.875% 1/18/24 27,065,000 26,024,689 
5.375% 3/13/22 4,290,000 4,279,275 
5.5% 1/21/21 2,190,000 2,190,684 
6.375% 2/4/21 300,000 301,125 
6.5% 6/2/41 2,675,000 2,044,285 
6.75% 9/21/47 8,752,000 6,719,348 
7.69% 1/23/50 (b) 47,424,000 39,563,472 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 26,515,000 12,056,039 
TOTAL MEXICO  166,890,066 
Mongolia - 0.0%   
Development Bank of Mongolia 7.25% 10/23/23 (b) 1,405,000 1,350,556 
Morocco - 0.1%   
OCP SA 6.875% 4/25/44 (b) 1,260,000 1,528,931 
Netherlands - 4.8%   
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 10,950,000 6,419,438 
GTH Finance BV 7.25% 4/26/23 (b) 6,930,000 7,664,026 
IHS Netherlands Holdco BV 7.125% 3/18/25 (b) 10,715,000 10,802,059 
MDC GMTN BV 2.875% 11/7/29 (b) 6,010,000 6,290,126 
Metinvest BV 7.75% 4/23/23 (b) 18,515,000 18,306,706 
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) 30,870,000 8,180,550 
Petrobras Global Finance BV:   
5.75% 2/1/29 3,710,000 3,801,591 
6.125% 1/17/22 2,370,000 2,474,428 
6.25% 3/17/24 14,055,000 14,885,123 
6.9% 3/19/49 2,395,000 2,520,738 
8.75% 5/23/26 11,250,000 13,275,000 
SABIC Capital II BV 4% 10/10/23 (b) 9,280,000 9,894,800 
Teva Pharmaceutical Finance Netherlands III BV 2.8% 7/21/23 2,740,000 2,588,444 
VTR Finance BV:   
6.375% 7/15/28 (b) 3,655,000 3,755,513 
6.875% 1/15/24 (b) 17,090,000 17,454,017 
TOTAL NETHERLANDS  128,312,559 
Nigeria - 0.1%   
Fidelity Bank PLC 10.5% 10/16/22 (b) 1,875,000 1,903,125 
Paraguay - 0.1%   
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) 2,585,000 2,688,400 
Peru - 0.2%   
Telefonica del Peru SA 7.375% 4/10/27 (b) PEN19,410,000 5,477,148 
Saudi Arabia - 2.1%   
Saudi Arabian Oil Co.:   
3.5% 4/16/29 (b) 25,745,000 27,788,509 
4.25% 4/16/39 (b) 12,520,000 13,991,100 
4.375% 4/16/49 (b) 13,200,000 14,878,875 
TOTAL SAUDI ARABIA  56,658,484 
Singapore - 0.8%   
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 14,560,000 14,141,400 
Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (b) 1,530,000 1,431,571 
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) 5,650,000 5,635,367 
TOTAL SINGAPORE  21,208,338 
South Africa - 2.5%   
Eskom Holdings SOC Ltd.:   
5.75% 1/26/21 (b) 63,640,000 60,617,100 
6.75% 8/6/23 (b) 7,660,000 7,238,700 
TOTAL SOUTH AFRICA  67,855,800 
Tunisia - 0.2%   
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 7,050,000 6,532,266 
Turkey - 1.5%   
Akbank TAS:   
5.125% 3/31/25 (b) 1,350,000 1,268,578 
7.2% 3/16/27 (b)(c) 3,365,000 3,227,876 
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) 10,715,000 10,607,850 
T.C. Ziraat Bankasi A/S 5.125% 5/3/22 (b) 6,135,000 6,006,548 
Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b) 1,420,000 1,466,150 
Turk Telekomunikasyon A/S 6.875% 2/28/25 (b) 2,600,000 2,734,875 
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(c) 3,605,000 3,366,169 
Turkiye Sinai Kalkinma Bankasi A/S 6% 1/23/25 (b) 4,070,000 3,869,044 
Turkiye Vakiflar Bankasi TAO 5.75% 1/30/23 (b) 6,445,000 6,265,748 
TOTAL TURKEY  38,812,838 
Ukraine - 0.0%   
VFU Funding PLC (VF Ukraine) 6.2% 2/11/25 (b) 530,000 524,197 
United Arab Emirates - 0.3%   
ADES International Holding Ltd. 8.625% 4/24/24 (b) 6,560,000 6,035,200 
DP World Ltd. 5.625% 9/25/48 (b) 1,795,000 1,952,164 
TOTAL UNITED ARAB EMIRATES  7,987,364 
United Kingdom - 2.9%   
Biz Finance PLC:   
9.625% 4/27/22 (b) 4,074,333 4,162,186 
9.75% 1/22/25 (b) 605,000 620,421 
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (c) 15,480,000 9,128,363 
NAK Naftogaz Ukraine:   
7.375% 7/19/22 (Reg. S) 8,875,000 8,827,852 
7.625% 11/8/26 (b) 2,455,000 2,385,953 
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) 2,299,500 2,354,832 
Tullow Oil PLC 6.25% 4/15/22 (b) 29,360,000 21,590,316 
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) 3,143,700 3,159,418 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 26,635,000 20,192,659 
8.25% 6/7/21 (b) 4,365,000 3,807,153 
TOTAL UNITED KINGDOM  76,229,153 
United States of America - 2.4%   
Azul Investments LLP 5.875% 10/26/24 (b) 10,825,000 4,708,875 
CEMEX Finance LLC 6% 4/1/24 (b) 1,485,000 1,466,456 
Citgo Holding, Inc. 9.25% 8/1/24 (b) 5,685,000 5,656,575 
Citgo Petroleum Corp. 6.25% 8/15/22 (b) 18,970,000 18,851,817 
Kosmos Energy Ltd. 7.125% 4/4/26 (b) 18,315,000 16,323,244 
Sasol Financing U.S.A. LLC 5.875% 3/27/24 1,515,000 1,359,713 
Stillwater Mining Co. 6.125% 6/27/22 (b) 15,295,000 15,440,111 
TOTAL UNITED STATES OF AMERICA  63,806,791 
Venezuela - 0.0%   
Petroleos de Venezuela SA:   
5.375% 4/12/27 (d) 5,000,000 132,500 
5.5% 4/12/37 (d) 330,000 9,900 
6% 5/16/24 (b)(d) 9,685,000 271,180 
6% 11/15/26 (b)(d) 12,130,000 351,770 
9.75% 5/17/35 (b)(d) 1,315,000 39,450 
12.75% 2/17/22 (b)(d) 1,310,000 39,300 
TOTAL VENEZUELA  844,100 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,111,870,107)  1,013,213,578 
Government Obligations - 45.9%   
Argentina - 3.6%   
Argentine Republic:   
5.625% 1/26/22 (d) 21,655,000 8,932,688 
6.875% 4/22/21 (d) 72,290,000 30,090,713 
7.5% 4/22/26 (d) 49,985,000 20,087,722 
8.28% 12/31/33 (d) 9,996,531 4,460,952 
City of Buenos Aires:   
7.5% 6/1/27 (Reg. S) 1,299,000 1,000,230 
8.95% 2/19/21 (b) 3,292,900 2,934,797 
Mendoza Province 8.375% 5/19/24 (b)(d) 965,000 454,684 
Province of Santa Fe 7% 3/23/23 (b) 14,050,000 9,150,063 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 19,290,000 11,833,209 
7.45% 9/1/24 (b) 9,710,000 5,704,625 
TOTAL ARGENTINA  94,649,683 
Armenia - 0.0%   
Republic of Armenia 7.15% 3/26/25 (b) 720,000 807,075 
Azerbaijan - 0.2%   
Azerbaijan Republic 4.75% 3/18/24 (b) 4,125,000 4,398,281 
Bahamas (Nassau) - 0.0%   
Bahamian Republic 6% 11/21/28 (b) 1,095,000 941,700 
Barbados - 0.4%   
Barbados Government:   
6.5% 2/1/21 (b) 2,936,800 2,909,268 
6.5% 10/1/29 (b) 7,990,000 7,198,491 
TOTAL BARBADOS  10,107,759 
Belarus - 0.5%   
Belarus Republic 6.875% 2/28/23 (b) 13,655,000 13,667,802 
Bermuda - 0.4%   
Bermuda Government:   
3.717% 1/25/27 (b) 3,310,000 3,512,738 
4.75% 2/15/29 (b) 6,745,000 7,596,556 
TOTAL BERMUDA  11,109,294 
Brazil - 1.8%   
Brazilian Federative Republic:   
2.875% 6/6/25 1,865,000 1,838,890 
3.875% 6/12/30 1,935,000 1,867,275 
4.5% 5/30/29 4,455,000 4,581,689 
4.75% 1/14/50 3,195,000 3,021,272 
5.625% 1/7/41 1,345,000 1,397,539 
7.125% 1/20/37 4,065,000 4,886,892 
8.25% 1/20/34 22,860,000 29,639,419 
TOTAL BRAZIL  47,232,976 
Cameroon - 0.6%   
Cameroon Republic 9.5% 11/19/25 (b) 17,220,000 17,268,431 
Colombia - 0.1%   
Colombian Republic 3.125% 4/15/31 2,845,000 2,825,085 
Dominican Republic - 1.7%   
Dominican Republic:   
4.5% 1/30/30 (b) 575,000 520,195 
5.5% 1/27/25 (b) 2,710,000 2,738,794 
5.875% 1/30/60 (b) 4,500,000 3,865,781 
5.95% 1/25/27 (b) 6,410,000 6,448,059 
6% 7/19/28 (b) 3,370,000 3,387,903 
6.4% 6/5/49 (b) 5,070,000 4,640,634 
6.5% 2/15/48 (Reg. S) 930,000 855,891 
6.85% 1/27/45 (b) 2,830,000 2,710,609 
6.875% 1/29/26 (b) 9,945,000 10,426,711 
7.45% 4/30/44 (b) 7,520,000 7,726,800 
7.5% 5/6/21 (b) 2,177,333 2,247,416 
TOTAL DOMINICAN REPUBLIC  45,568,793 
Egypt - 2.7%   
Arab Republic of Egypt:   
5.75% 5/29/24 (b) 1,905,000 1,913,334 
6.125% 1/31/22 (b) 8,265,000 8,463,877 
7.0529% 1/15/32 (b) 1,665,000 1,581,750 
7.5% 1/31/27 (b) 33,460,000 34,997,069 
7.6003% 3/1/29 (b) 12,740,000 12,970,913 
7.903% 2/21/48 (b) 4,290,000 3,966,909 
8.5% 1/31/47 (b) 7,395,000 7,228,613 
8.7002% 3/1/49 (b) 1,150,000 1,126,641 
TOTAL EGYPT  72,249,106 
El Salvador - 0.5%   
El Salvador Republic:   
7.1246% 1/20/50 (b) 2,200,000 1,793,000 
7.625% 2/1/41 (b) 1,335,000 1,128,492 
7.75% 1/24/23 (b) 11,335,000 10,566,345 
TOTAL EL SALVADOR  13,487,837 
Georgia - 0.1%   
Georgia Republic 6.875% 4/12/21 (b) 3,440,000 3,500,200 
Ghana - 0.1%   
Ghana Republic:   
7.875% 3/26/27 (b) 2,515,000 2,487,492 
9.25% 9/15/22 (b) 520,000 520,000 
TOTAL GHANA  3,007,492 
Guatemala - 0.1%   
Guatemalan Republic 5.375% 4/24/32 (b) 1,870,000 2,062,259 
Honduras - 0.2%   
Republic of Honduras:   
5.625% 6/24/30 (b) 1,185,000 1,204,256 
8.75% 12/16/20 (b) 4,461,000 4,537,673 
TOTAL HONDURAS  5,741,929 
Indonesia - 2.9%   
Indonesian Republic:   
3.85% 10/15/30 3,790,000 4,206,900 
4.1% 4/24/28 7,105,000 7,879,889 
4.35% 1/11/48 5,270,000 5,928,750 
5.125% 1/15/45 (b) 9,585,000 11,694,647 
5.25% 1/17/42 (b) 4,340,000 5,362,613 
5.95% 1/8/46 (b) 4,505,000 6,128,966 
6.625% 2/17/37 (b) 821,000 1,124,257 
6.75% 1/15/44 (b) 3,710,000 5,408,063 
7.75% 1/17/38 (b) 11,250,000 16,917,188 
8.5% 10/12/35 (b) 7,965,000 12,422,911 
TOTAL INDONESIA  77,074,184 
Iraq - 1.0%   
Republic of Iraq 5.8% 1/15/28 (Reg. S) 29,005,000 26,077,308 
Ivory Coast - 0.3%   
Ivory Coast 5.75% 12/31/32 8,071,750 7,935,539 
Jamaica - 0.1%   
Jamaican Government:   
6.75% 4/28/28 725,000 816,531 
7.875% 7/28/45 1,995,000 2,436,394 
8% 3/15/39 555,000 684,558 
TOTAL JAMAICA  3,937,483 
Jordan - 0.4%   
Jordanian Kingdom:   
4.95% 7/7/25 (b) 3,175,000 3,175,000 
5.85% 7/7/30 (b) 1,915,000 1,915,000 
6.125% 1/29/26 (b) 5,330,000 5,608,159 
TOTAL JORDAN  10,698,159 
Kazakhstan - 0.0%   
Kazakhstan Republic 6.5% 7/21/45 (b) 825,000 1,217,648 
Lebanon - 0.1%   
Lebanese Republic:   
5.8% 12/31/49 (d) 7,162,000 1,358,542 
6.375% 12/31/49 (d) 10,163,000 1,880,155 
TOTAL LEBANON  3,238,697 
Mexico - 2.4%   
United Mexican States:   
3.25% 4/16/30 6,095,000 6,043,193 
3.75% 1/11/28 6,690,000 6,982,688 
3.9% 4/27/25 2,875,000 3,082,000 
4.5% 4/22/29 3,355,000 3,634,933 
4.75% 4/27/32 1,910,000 2,103,865 
5.75% 10/12/2110 20,520,000 22,790,025 
6.05% 1/11/40 15,105,000 18,432,820 
6.5% 6/9/22 MXN16,030,000 721,488 
TOTAL MEXICO  63,791,012 
Morocco - 0.2%   
Moroccan Kingdom:   
4.25% 12/11/22 (b) 2,775,000 2,924,156 
5.5% 12/11/42 (b) 850,000 1,038,063 
TOTAL MOROCCO  3,962,219 
Nigeria - 0.8%   
Republic of Nigeria:   
6.75% 1/28/21 (b) 2,415,000 2,447,452 
7.625% 11/21/25 (b) 17,780,000 18,141,156 
TOTAL NIGERIA  20,588,608 
Oman - 0.4%   
Sultanate of Oman:   
3.875% 3/8/22 (b) 6,325,000 6,234,078 
4.125% 1/17/23 (b) 2,130,000 2,088,731 
6.75% 1/17/48 (b) 1,620,000 1,395,731 
TOTAL OMAN  9,718,540 
Pakistan - 0.2%   
Islamic Republic of Pakistan 8.25% 4/15/24 (b) 1,300,000 1,354,438 
The Third Pakistan International Sukuk Co. Ltd. 5.5% 10/13/21 (b) 3,625,000 3,547,969 
TOTAL PAKISTAN  4,902,407 
Papua New Guinea - 0.1%   
Papua New Guinea 8.375% 10/4/28 (b) 3,640,000 3,494,400 
Paraguay - 0.2%   
Republic of Paraguay 4.95% 4/28/31 (b) 4,575,000 5,078,250 
Qatar - 2.7%   
State of Qatar:   
3.75% 4/16/30 (b) 21,965,000 25,060,692 
4% 3/14/29 (b) 8,120,000 9,338,000 
4.5% 4/23/28 (b) 1,100,000 1,296,625 
4.817% 3/14/49 (b) 12,025,000 15,835,422 
5.103% 4/23/48 (b) 8,925,000 12,135,211 
9.75% 6/15/30 (b) 4,350,000 7,214,203 
TOTAL QATAR  70,880,153 
Romania - 0.1%   
Romanian Republic 4.375% 8/22/23 (b) 2,435,000 2,590,231 
Russia - 3.9%   
Ministry of Finance of the Russian Federation:   
4.375% 3/21/29(Reg. S) 9,200,000 10,442,000 
5.1% 3/28/35 (b) 26,000,000 32,134,375 
5.1% 3/28/35(Reg. S) 9,200,000 11,370,625 
5.25% 6/23/47 (b) 16,000,000 21,136,000 
5.25% 6/23/47(Reg. S) 3,600,000 4,755,600 
5.625% 4/4/42 (b) 2,825,000 3,830,523 
5.875% 9/16/43 (b) 1,195,000 1,681,216 
5.875% 9/16/43 (Reg. S) 600,000 844,125 
7.25% 5/10/34 RUB45,415,000 708,338 
7.6% 7/20/22 RUB724,350,000 10,793,469 
8.15% 2/3/27 RUB381,395,000 6,174,615 
TOTAL RUSSIA  103,870,886 
Rwanda - 0.3%   
Rwanda Republic 6.625% 5/2/23 (b) 7,500,000 7,403,906 
Saudi Arabia - 0.7%   
Kingdom of Saudi Arabia:   
2.9% 10/22/25 (b) 4,675,000 4,955,500 
3.625% 3/4/28 (b) 5,415,000 5,953,116 
4.625% 10/4/47 (b) 5,515,000 6,424,975 
TOTAL SAUDI ARABIA  17,333,591 
Senegal - 0.0%   
Republic of Senegal 8.75% 5/13/21 (b) 865,000 895,005 
Serbia - 0.2%   
Republic of Serbia 7.25% 9/28/21 (b) 4,910,000 5,223,013 
Sri Lanka - 0.3%   
Democratic Socialist Republic of Sri Lanka 6.25% 10/4/20 (b) 7,705,000 7,290,856 
Trinidad & Tobago - 0.1%   
Republic of Trinidad & Tobago 4.5% 6/26/30 (b) 2,570,000 2,534,663 
Turkey - 4.2%   
Turkish Republic:   
3.25% 3/23/23 37,210,000 35,175,078 
4.25% 3/13/25 4,985,000 4,645,397 
5.125% 3/25/22 21,935,000 21,955,564 
5.25% 3/13/30 2,900,000 2,596,406 
5.75% 5/11/47 10,975,000 8,985,781 
6.25% 9/26/22 32,905,000 33,316,313 
6.35% 8/10/24 3,290,000 3,328,041 
7.25% 12/23/23 2,780,000 2,886,856 
TOTAL TURKEY  112,889,436 
Ukraine - 4.8%   
Ukraine Government:   
7.375% 9/25/32 (b) 4,110,000 4,127,981 
7.75% 9/1/20 (b) 39,221,000 39,417,105 
7.75% 9/1/21 (b) 67,912,000 70,187,052 
7.75% 9/1/22 (b) 3,762,000 3,921,885 
7.75% 9/1/23 (b) 1,645,000 1,723,138 
7.75% 9/1/24 (b) 5,595,000 5,832,788 
7.75% 9/1/26 (b) 2,195,000 2,288,288 
7.75% 9/1/27 (b) 1,360,000 1,414,825 
TOTAL UKRAINE  128,913,062 
United Arab Emirates - 0.3%   
Emirate of Abu Dhabi:   
2.5% 4/16/25 (b) 2,485,000 2,581,294 
3.125% 9/30/49 (b) 4,100,000 4,269,125 
3.875% 4/16/50 (b) 1,385,000 1,632,569 
TOTAL UNITED ARAB EMIRATES  8,482,988 
United States of America - 5.0%   
U.S. Treasury Notes:   
0.375% 4/30/25 16,566,000 16,641,065 
2% 11/15/26 106,714,000 117,181,127 
TOTAL UNITED STATES OF AMERICA  133,822,192 
Uruguay - 0.0%   
Banco Central del Uruguay:   
value recovery A rights 1/2/21 (f)(g) 1,000,000 10 
value recovery B rights 1/2/21 (f)(g) 1,500,000 15 
TOTAL URUGUAY  25 
Uzbekistan - 0.1%   
Republic of Uzbekistan 4.75% 2/20/24 (b) 2,255,000 2,369,864 
Venezuela - 0.1%   
Venezuelan Republic:   
9.25% 9/15/27 (d) 32,390,000 1,943,400 
11.95% 8/5/31 (Reg. S) (d) 14,080,000 844,800 
12.75% 8/23/22 (d) 2,705,000 162,300 
TOTAL VENEZUELA  2,950,500 
Vietnam - 1.0%   
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.810% 2.625% 3/13/28 (c)(e) 1,040,000 933,571 
4.8% 11/19/24 (b) 705,000 768,255 
5.5% 3/12/28 23,954,250 23,789,564 
TOTAL VIETNAM  25,491,390 
TOTAL GOVERNMENT OBLIGATIONS   
(Cost $1,288,212,218)  1,223,281,917 
Preferred Securities - 2.4%   
Cayman Islands - 1.6%   
Banco Do Brasil SA:   
6.25% (b)(c)(h) 3,590,000 3,195,635 
8.5% (b)(c)(h) 2,375,000 2,435,494 
Banco Mercantil del Norte SA 7.625% (b)(c)(h) 2,830,000 2,749,161 
Cosan Overseas Ltd. 8.25% (h) 23,591,000 23,929,319 
Itau Unibanco Holding SA:   
5.5% 8/6/22 (b) 5,655,000 6,035,994 
6.125% (b)(c)(h) 3,325,000 3,119,449 
Odebrecht Finance Ltd. 7.5% (b)(d)(h) 22,325,000 1,262,758 
TOTAL CAYMAN ISLANDS  42,727,810 
Georgia - 0.0%   
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (c)(h) 1,300,000 1,236,183 
Ireland - 0.8%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(h) 10,187,000 10,394,999 
Tinkoff Credit Systems 9.25% (Reg. S) (c)(h) 9,739,000 9,902,949 
TOTAL IRELAND  20,297,948 
TOTAL PREFERRED SECURITIES   
(Cost $77,930,794)  64,261,941 
 Shares Value 
Money Market Funds - 12.6%   
Fidelity Cash Central Fund 0.12% (i)   
(Cost $334,135,807) 334,069,485 334,136,299 
TOTAL INVESTMENT IN SECURITIES - 98.9%   
(Cost $2,812,148,926)  2,634,893,735 
NET OTHER ASSETS (LIABILITIES) - 1.1%  29,147,355 
NET ASSETS - 100%  $2,664,041,090 

Currency Abbreviations

MXN – Mexican peso

PEN – Peruvian new sol

RUB – Russian ruble

Categorizations in the Schedule of Investments are based on country or territory of incorporation.

Legend

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

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,472,166,711 or 55.3% of net assets.

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

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

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

 (f) Level 3 security

 (g) Quantity represents share amount.

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

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

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 $1,175,025 
Total $1,175,025 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of June 30, 2020, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $1,013,213,578 $-- $1,013,213,578 $-- 
Government Obligations 1,223,281,917 -- 1,223,281,892 25 
Preferred Securities 64,261,941 -- 64,261,941 -- 
Money Market Funds 334,136,299 334,136,299 -- -- 
Total Investments in Securities: $2,634,893,735 $334,136,299 $2,300,757,411 $25 

Other Information

The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):

U.S. Government and U.S. Government Agency Obligations 5.0% 
AAA,AA,A 7.7% 
BBB 7.6% 
BB 21.6% 
24.1% 
CCC,CC,C 12.5% 
0.1% 
Not Rated 7.7% 
Short-Term Investments and Net Other Assets 13.7% 
 100% 

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

See accompanying notes which are an integral part of the financial statements.


Fidelity® Emerging Markets Debt Central Fund

Financial Statements

Statement of Assets and Liabilities

  June 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $2,478,013,119) 
$2,300,757,436  
Fidelity Central Funds (cost $334,135,807) 334,136,299  
Total Investment in Securities (cost $2,812,148,926)  $2,634,893,735 
Foreign currency held at value (cost $457)  457 
Receivable for investments sold  8,521,973 
Receivable for fund shares sold  11,166 
Interest receivable  46,760,876 
Distributions receivable from Fidelity Central Funds  33,818 
Total assets  2,690,222,025 
Liabilities   
Payable to custodian bank $319,750  
Payable for investments purchased 25,675,887  
Payable for fund shares redeemed 161,924  
Other payables and accrued expenses 23,374  
Total liabilities  26,180,935 
Net Assets  $2,664,041,090 
Net Assets consist of:   
Paid in capital  $2,865,390,831 
Total accumulated earnings (loss)  (201,349,741) 
Net Assets  $2,664,041,090 
Net Asset Value, offering price and redemption price per share ($2,664,041,090 ÷ 300,180,785 shares)  $8.87 

See accompanying notes which are an integral part of the financial statements.


Statement of Operations

  Six months ended June 30, 2020 (Unaudited) 
Investment Income   
Dividends  $2,613,097 
Interest  77,948,224 
Income from Fidelity Central Funds  1,175,025 
Income before foreign taxes withheld  81,736,346 
Less foreign taxes withheld  15,319 
Total income  81,751,665 
Expenses   
Custodian fees and expenses $25,266  
Independent trustees' fees and expenses 8,564  
Legal 281  
Total expenses before reductions 34,111  
Expense reductions (8,677)  
Total expenses after reductions  25,434 
Net investment income (loss)  81,726,231 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (43,367,264)  
Fidelity Central Funds (1,570)  
Foreign currency transactions (199,821)  
Total net realized gain (loss)  (43,568,655) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (133,094,104)  
Assets and liabilities in foreign currencies (16,861)  
Total change in net unrealized appreciation (depreciation)  (133,110,965) 
Net gain (loss)  (176,679,620) 
Net increase (decrease) in net assets resulting from operations  $(94,953,389) 

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets

 Six months ended June 30, 2020 (Unaudited) Year ended December 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $81,726,231 $128,631,573 
Net realized gain (loss) (43,568,655) 18,623,816 
Change in net unrealized appreciation (depreciation) (133,110,965) (11,366,369) 
Net increase (decrease) in net assets resulting from operations (94,953,389) 135,889,020 
Distributions to shareholders (71,843,491) (135,285,645) 
Share transactions   
Proceeds from sales of shares 6,979,318 2,746,218,804 
Reinvestment of distributions 71,843,491 135,271,409 
Cost of shares redeemed (184,238,520) (74,335,058) 
Net increase (decrease) in net assets resulting from share transactions (105,415,711) 2,807,155,155 
Total increase (decrease) in net assets (272,212,591) 2,807,758,530 
Net Assets   
Beginning of period 2,936,253,681 128,495,151 
End of period $2,664,041,090 $2,936,253,681 
Other Information   
Shares   
Sold 770,450 290,519,318 
Issued in reinvestment of distributions 8,223,892 14,388,766 
Redeemed (19,884,996) (7,945,966) 
Net increase (decrease) (10,890,654) 296,962,118 

See accompanying notes which are an integral part of the financial statements.


Financial Highlights

Fidelity Emerging Markets Debt Central Fund

 Six months ended (Unaudited) June 30, Years endedDecember 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $9.44 $9.11 $10.11 $9.81 $9.04 $9.47 
Income from Investment Operations       
Net investment income (loss)A .271 .582 .564 .686 .754 .744 
Net realized and unrealized gain (loss) (.603) .353 (1.013) .370 .707 (.526) 
Total from investment operations (.332) .935 (.449) 1.056 1.461 .218 
Distributions from net investment income (.238) (.548) (.551) (.730) (.691) (.648) 
Distributions from net realized gain – (.057) – (.026) – – 
Total distributions (.238) (.605) (.551) (.756) (.691) (.648) 
Net asset value, end of period $8.87 $9.44 $9.11 $10.11 $9.81 $9.04 
Total ReturnB,C (3.44)% 10.48% (4.52)% 10.99% 16.50% 2.26% 
Ratios to Average Net AssetsD,E       
Expenses before reductions - %F,G - %G .01% .01% .01% .01% 
Expenses net of fee waivers, if any - %F,G - %G .01% .01% .01% .01% 
Expenses net of all reductions - %F,G - %G - %G .01% .01% .01% 
Net investment income (loss) 6.19%F 6.23% 5.91% 6.76% 7.80% 7.89% 
Supplemental Data       
Net assets, end of period (000 omitted) $2,664,041 $2,936,254 $128,495 $133,138 $116,523 $103,080 
Portfolio turnover rateH 63%F 72%I 40% 57% 48% 39% 

 A Calculated based on average shares outstanding during the period.

 B Total returns for periods of less than one year are not annualized.

 C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

 F Annualized

 G Amount represents less than .005%.

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements (Unaudited)

For the period ended June 30, 2020

1. Organization.

Fidelity Emerging Markets Debt Central Fund (the Fund) is a non-diversified fund of Fidelity Hanover Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

2. Investments in Fidelity Central Funds.

The Fund invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

  • 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)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of June 30, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to foreign currency transactions, market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $111,010,741 
Gross unrealized depreciation (274,676,493) 
Net unrealized appreciation (depreciation) $(163,665,752) 
Tax cost $2,798,559,487 

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Emerging Markets Debt Central Fund 679,979,318 758,690,950 

5. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract, the investment adviser receives a monthly management fee that represents a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Prior Fiscal Year Affiliated Exchange In-Kind. During the prior period, Fidelity Advisor Strategic Income Fund (the Investing Fund) completed an exchange in-kind transaction with the Fund. The Investing Fund delivered investments, including accrued interest, valued at $2,529,798,896 (which included $23,123,655 of unrealized depreciation), in exchange for 268,001,366 shares of the Fund. The value of investments delivered from the Investing Fund is included in proceeds from sales of shares in the accompanying Statement of Changes in Net Assets. This transaction was treated as a tax free exchange with carry forward basis for book and tax.

6. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8,677.

7. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment advisor or its affiliates were the owners of record of all of the outstanding shares of the Fund.

8. Credit Risk.

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

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 to June 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 Annualized Expense Ratio-A Beginning
Account Value
January 1, 2020 
Ending
Account Value
June 30, 2020 
Expenses Paid
During Period-B
January 1, 2020
to June 30, 2020 
Actual .0026% $1,000.00 $965.60 $.01 
Hypothetical-C  $1,000.00 $1,024.85 $.01 

 A Annualized expense ratio reflects expenses net of applicable fee waivers.

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Emerging Markets Debt Central Fund

Each year, the Board of Directors, including the Independent Directors (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Directors' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Directors with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its January 2020 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Directors' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Directors also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, and the use of "soft" commission dollars to pay for research services.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies managed by Fidelity and ultimately to enhance the performance of those investment companies.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered that while the fund does not pay a management fee, FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund with certain exceptions. Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of the funds that invest in the fund.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and met periodically, to evaluate potential fall-out benefits (PFOB Committee). The Board noted that the PFOB Committee, among other things: (i) discussed the legal framework surrounding potential fall-out benefits; (ii) reviewed the Board's responsibilities and approach to potential fall-out benefits; and (iii) reviewed practices employed by competitor funds regarding the review of potential fall-out benefits.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions.

Economies of Scale.  The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds; (ii) consideration of performance fees for additional funds; (iii) changes in Fidelity's non-fund businesses and the impact of such changes on the funds; (iv) metrics for evaluating index fund and ETF performance and information about ETF trading characteristics; (v) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (vi) the expense structures for different funds and classes; (vii) information regarding other accounts managed by Fidelity, including collective investment trusts and separately managed accounts; and (viii) Fidelity's philosophies and strategies for evaluating funds and classes with lower or declining asset levels.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SI-SANN-0820
1.705747.122


Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series IIs Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series IIs (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 Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.



Item 13.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




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 Advisor Series II



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

August 20, 2020


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/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer



Date:

August 20, 2020



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

August 20, 2020

 






                                                      Exhibit EX-99.CERT

     

I, Laura M. Del Prato, certify that:


1.

I have reviewed this report on Form N-CSR of Fidelity Advisor Series II;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and



5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

 August 20, 2020

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Advisor Series II;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):



a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

August 20, 2020

/s/John J. Burke III

John J. Burke III

Chief Financial Officer








Exhibit EX-99.906CERT



Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)


In connection with the attached Report of Fidelity Advisor Series II (the Trust) on Form N-CSR to be filed with the Securities and Exchange Commission (the Report), each of the undersigned officers of the Trust does hereby certify that, to the best of such officers knowledge:


1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.


Dated: August 20, 2020



/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



 

Dated: August 20, 2020



/s/John J. Burke III

John J. Burke III

Chief Financial Officer




A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.






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