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 811-22083
Fidelity Central Investment Portfolios II LLC
(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: | September 30 |
Date of reporting period: | March 31, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Inflation-Protected Bond Index Central Fund
Semi-Annual Report
March 31, 2022
Contents
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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.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem 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.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Coupon Distribution as of March 31, 2022
% of fund's investments | |
0.01 - 0.99% | 87.0 |
1 - 1.99% | 1.6 |
2 - 2.99% | 7.2 |
3 - 3.99% | 4.0 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.
Asset Allocation (% of fund's net assets)
As of March 31, 2022 | ||
U.S. Government and U.S. Government Agency Obligations* | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Inflation Protected Securities - 99.9%
Schedule of Investments March 31, 2022 (Unaudited)
Showing Percentage of Net Assets
U.S. Treasury Inflation-Protected Obligations - 99.9% | |||
Principal Amount | Value | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
1.75% 1/15/28 | $9,086,817 | $10,365,273 | |
2% 1/15/26 | 9,442,522 | 10,565,883 | |
2.375% 1/15/25 | 14,637,875 | 16,229,526 | |
2.375% 1/15/27 | 9,491,305 | 10,985,871 | |
2.5% 1/15/29 | 7,723,372 | 9,374,176 | |
3.625% 4/15/28 | 9,317,127 | 11,771,686 | |
3.875% 4/15/29 | 10,945,408 | 14,437,576 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 24,860,314 | 26,056,989 | |
0.125% 10/15/24 | 21,986,532 | 22,949,783 | |
0.125% 4/15/25 | 18,177,115 | 18,943,511 | |
0.125% 10/15/25 | 22,135,843 | 23,142,858 | |
0.125% 4/15/26 | 16,151,656 | 16,820,931 | |
0.125% 7/15/26 | 20,937,616 | 21,961,054 | |
0.125% 10/15/26 | 23,588,902 | 24,696,795 | |
0.125% 1/15/30 | 21,856,093 | 22,999,156 | |
0.125% 7/15/30 | 24,209,852 | 25,687,081 | |
0.125% 1/15/31 | 24,798,569 | 26,259,115 | |
0.125% 7/15/31 | 25,608,749 | 27,252,789 | |
0.125% 1/15/32 | 17,931,586 | 19,083,022 | |
0.25% 1/15/25 | 22,728,867 | 23,810,394 | |
0.25% 7/15/29 | 19,407,162 | 20,658,519 | |
0.375% 7/15/23 | 27,816,733 | 29,159,229 | |
0.375% 7/15/25 | 23,873,622 | 25,248,328 | |
0.375% 1/15/27 | 18,526,801 | 19,554,308 | |
0.375% 7/15/27 | 21,545,340 | 22,841,154 | |
0.5% 4/15/24 | 15,354,429 | 16,104,838 | |
0.5% 1/15/28 | 20,950,480 | 22,347,405 | |
0.625% 4/15/23 | 25,547,438 | 26,598,761 | |
0.625% 1/15/24 | 27,374,805 | 28,788,675 | |
0.625% 1/15/26 | 20,009,603 | 21,297,237 | |
0.75% 7/15/28 | 18,305,934 | 19,981,509 | |
0.875% 1/15/29 | 15,499,224 | 17,039,291 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | |||
(Cost $627,712,770) | 653,012,723 | ||
Shares | Value | ||
Money Market Funds - 0.1% | |||
Fidelity Cash Central Fund 0.31% (a) | |||
(Cost $1,050,646) | 1,050,436 | 1,050,646 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $628,763,416) | 654,063,369 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (259,725) | ||
NET ASSETS - 100% | $653,803,644 |
Legend
(a) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.31% | $12,118,580 | $47,841,222 | $58,909,156 | $1,468 | $-- | $-- | $1,050,646 | 0.0% |
Total | $12,118,580 | $47,841,222 | $58,909,156 | $1,468 | $-- | $-- | $1,050,646 |
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 March 31, 2022, 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: | ||||
U.S. Government and Government Agency Obligations | $653,012,723 | $-- | $653,012,723 | $-- |
Money Market Funds | 1,050,646 | 1,050,646 | -- | -- |
Total Investments in Securities: | $654,063,369 | $1,050,646 | $653,012,723 | $-- |
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 | 99.9% |
Short-Term Investments and Net Other Assets | 0.1% |
100.0% |
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.
Financial Statements
Statement of Assets and Liabilities
March 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $627,712,770) | $653,012,723 | |
Fidelity Central Funds (cost $1,050,646) | 1,050,646 | |
Total Investment in Securities (cost $628,763,416) | $654,063,369 | |
Receivable for investments sold | 12,149,674 | |
Receivable for fund shares sold | 13,861 | |
Interest receivable | 1,025,009 | |
Distributions receivable from Fidelity Central Funds | 189 | |
Total assets | 667,252,102 | |
Liabilities | ||
Payable for investments purchased | $13,107,513 | |
Payable for fund shares redeemed | 340,862 | |
Other payables and accrued expenses | 83 | |
Total liabilities | 13,448,458 | |
Net Assets | $653,803,644 | |
Net Assets consist of: | ||
Paid in capital | $584,251,174 | |
Total accumulated earnings (loss) | 69,552,470 | |
Net Assets | $653,803,644 | |
Net Asset Value, offering price and redemption price per share ($653,803,644 ÷ 6,272,726 shares) | $104.23 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended March 31, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $26,465,430 | |
Income from Fidelity Central Funds | 1,468 | |
Total income | 26,466,898 | |
Expenses | ||
Custodian fees and expenses | $(945) | |
Independent directors' fees and expenses | 1,952 | |
Miscellaneous | 8 | |
Total expenses | 1,015 | |
Net investment income (loss) | 26,465,883 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 32,669,762 | |
Total net realized gain (loss) | 32,669,762 | |
Change in net unrealized appreciation (depreciation) on investment securities | (53,978,294) | |
Net gain (loss) | (21,308,532) | |
Net increase (decrease) in net assets resulting from operations | $5,157,351 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended March 31, 2022 (Unaudited) | Year ended September 30, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $26,465,883 | $59,944,986 |
Net realized gain (loss) | 32,669,762 | 36,465,185 |
Change in net unrealized appreciation (depreciation) | (53,978,294) | (27,057,952) |
Net increase (decrease) in net assets resulting from operations | 5,157,351 | 69,352,219 |
Distributions to shareholders | (86,450,824) | (19,698,943) |
Affiliated share transactions | ||
Proceeds from sales of shares | 53,813,084 | 206,926,540 |
Reinvestment of distributions | 86,450,819 | 19,698,943 |
Cost of shares redeemed | (582,507,285) | (695,183,568) |
Net increase (decrease) in net assets resulting from share transactions | (442,243,382) | (468,558,085) |
Total increase (decrease) in net assets | (523,536,855) | (418,904,809) |
Net Assets | ||
Beginning of period | 1,177,340,499 | 1,596,245,308 |
End of period | $653,803,644 | $1,177,340,499 |
Other Information | ||
Shares | ||
Sold | 496,148 | 1,862,396 |
Issued in reinvestment of distributions | 810,745 | 180,614 |
Redeemed | (5,408,901) | (6,322,143) |
Net increase (decrease) | (4,102,008) | (4,279,133) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Inflation-Protected Bond Index Central Fund
Six months ended (Unaudited) March 31, | Years endedSeptember 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $113.48 | $108.93 | $102.91 | $100.18 | $102.20 | $103.10 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | 2.839 | 5.098 | 1.359 | 2.057 | 3.299 | 1.870 |
Net realized and unrealized gain (loss) | (3.039) | 1.090 | 6.303 | 3.622 | (2.914) | (2.160) |
Total from investment operations | (.200) | 6.188 | 7.662 | 5.679 | .385 | (.290) |
Distributions from net investment income | (7.046) | (.222) | (.389) | (.463) | (.325) | (.165) |
Distributions from net realized gain | (2.004) | (1.416) | (1.253) | (2.486) | (2.080) | (.445) |
Total distributions | (9.050) | (1.638) | (1.642) | (2.949) | (2.405) | (.610) |
Net asset value, end of period | $104.23 | $113.48 | $108.93 | $102.91 | $100.18 | $102.20 |
Total ReturnC,D | (.24)% | 5.74% | 7.55% | 5.84% | .38% | (.27)% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductionsG | - %H | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if anyG | - %H | -% | -% | -% | -% | -% |
Expenses net of all reductionsG | - %H | -% | -% | -% | -% | -% |
Net investment income (loss) | 5.18%H | 4.60% | 1.30% | 2.05% | 3.29% | 1.84% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $653,804 | $1,177,340 | $1,596,245 | $1,381,659 | $1,123,053 | $969,371 |
Portfolio turnover rateI | 28%H | 24% | 41% | 53% | 33% | 29% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount represents less than $.0005 per share.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended March 31, 2022
1. Organization.
Fidelity Inflation-Protected Bond Index Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) 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 LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
2. Investments in Fidelity Central Funds.
Funds may 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing 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 investing fund. These strategies are consistent with the investment objectives of the investing 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 investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | 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.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission 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, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 Directors (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 – unadjusted 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. 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 March 31, 2022 is included at the end of the Fund's Schedule of Investments.
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. 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. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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.
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 certain losses related to deflation adjustments on U.S. Treasury inflation-indexed securities, 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 | $28,810,604 |
Gross unrealized depreciation | (3,517,808) |
Net unrealized appreciation (depreciation) | $25,292,796 |
Tax cost | $628,770,573 |
4. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract, the investment adviser receives a monthly management fee that represents a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Fidelity Inflation-Protected Bond Index Central Fund | 9,344 |
5. Other.
A fund's organizational documents provide former and current directors 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
6. 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, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include 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 a 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 (October 1, 2021 to March 31, 2022).
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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 October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During Period-B October 1, 2021 to March 31, 2022 | |
Fidelity Inflation-Protected Bond Index Central Fund | .0002% | |||
Actual | $1,000.00 | $997.60 | $--C | |
Hypothetical-D | $1,000.00 | $1,024.93 | $--C |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C Amount represents less than $.005.
D 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, 2020 through November 30, 2021. 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.
IPB-SANN-0522
1.938136.110
Fidelity® Investment Grade Bond Central Fund
Semi-Annual Report
March 31, 2022
Contents
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 to request a free copy of the proxy voting guidelines.
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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.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem 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.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
As of March 31, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 54.9% | |
AAA | 7.3% | |
AA | 1.2% | |
A | 8.0% | |
BBB | 22.8% | |
BB and Below | 5.0% | |
Not Rated | 2.6% | |
Short-Term Investments and Net Other Assets* | (1.8)% |
* Short-Term Investments and Net Other Assets are not included in the pie chart
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. Securities rated BB or below were rated investment grade at the time of acquisition.
Asset Allocation (% of fund's net assets)
As of March 31, 2022*,** | ||
Corporate Bonds | 33.8% | |
U.S. Government and U.S. Government Agency Obligations | 54.9% | |
Asset-Backed Securities | 6.1% | |
CMOs and Other Mortgage Related Securities | 5.9% | |
Municipal Bonds | 0.7% | |
Other Investments | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities)*** | (1.8)% |
* Foreign investments - 10.9%
** Futures and Swaps - 0.9%
*** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Geographic Diversification (% of fund's net assets)
As of March 31, 2022 | ||
United States of America | 89.1% | |
Cayman Islands | 4.6% | |
United Kingdom | 1.8% | |
Mexico | 1.3% | |
Ireland | 0.7% | |
Switzerland | 0.6% | |
France | 0.4% | |
Italy | 0.2% | |
Germany | 0.2% | |
Other | 1.1% |
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments March 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 33.8% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | $53,719,000 | $47,726,344 | |
3.8% 12/1/57 | 93,061,000 | 84,903,273 | |
4.3% 2/15/30 | 13,106,000 | 13,847,484 | |
4.45% 4/1/24 | 2,179,000 | 2,242,525 | |
4.75% 5/15/46 | 10,000,000 | 10,860,828 | |
4.9% 6/15/42 | 5,000,000 | 5,394,737 | |
6.2% 3/15/40 | 7,609,000 | 9,107,347 | |
Verizon Communications, Inc.: | |||
2.987% 10/30/56 | 65,611,000 | 54,003,342 | |
3% 3/22/27 | 5,629,000 | 5,563,236 | |
3.15% 3/22/30 | 9,123,000 | 8,972,246 | |
4.862% 8/21/46 | 27,196,000 | 31,204,704 | |
5.012% 4/15/49 | 3,772,000 | 4,415,568 | |
278,241,634 | |||
Entertainment - 0.4% | |||
Magallanes, Inc.: | |||
3.428% 3/15/24 (a) | 18,446,000 | 18,547,122 | |
3.638% 3/15/25 (a) | 10,102,000 | 10,163,379 | |
3.755% 3/15/27 (a) | 19,757,000 | 19,721,037 | |
4.054% 3/15/29 (a) | 6,847,000 | 6,880,959 | |
4.279% 3/15/32 (a) | 9,097,000 | 9,137,470 | |
5.05% 3/15/42 (a) | 10,712,000 | 10,926,564 | |
5.141% 3/15/52 (a) | 8,456,000 | 8,651,288 | |
NBCUniversal, Inc. 5.95% 4/1/41 | 6,541,000 | 8,299,464 | |
The Walt Disney Co.: | |||
3.6% 1/13/51 | 25,350,000 | 25,065,378 | |
3.8% 5/13/60 | 25,000,000 | 25,156,373 | |
142,549,034 | |||
Media - 1.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.4% 4/1/33 | 11,421,000 | 11,387,221 | |
4.464% 7/23/22 | 28,212,000 | 28,315,432 | |
4.908% 7/23/25 | 18,965,000 | 19,666,916 | |
5.25% 4/1/53 | 28,921,000 | 29,116,053 | |
5.375% 5/1/47 | 71,848,000 | 73,564,523 | |
5.5% 4/1/63 | 11,421,000 | 11,488,635 | |
5.75% 4/1/48 | 11,687,000 | 12,424,861 | |
6.484% 10/23/45 | 9,303,000 | 10,590,380 | |
Comcast Corp.: | |||
3.3% 4/1/27 | 6,795,000 | 6,874,640 | |
3.4% 4/1/30 | 6,970,000 | 7,060,947 | |
3.75% 4/1/40 | 2,448,000 | 2,464,189 | |
3.9% 3/1/38 | 5,001,000 | 5,150,898 | |
4.65% 7/15/42 | 11,795,000 | 12,960,028 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 14,753,000 | 14,329,567 | |
4.65% 5/15/50 | 39,956,000 | 38,726,705 | |
Fox Corp.: | |||
4.03% 1/25/24 | 6,266,000 | 6,396,943 | |
4.709% 1/25/29 | 9,069,000 | 9,681,971 | |
5.476% 1/25/39 | 8,943,000 | 10,124,384 | |
5.576% 1/25/49 | 5,934,000 | 6,897,458 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 19,701,000 | 18,221,849 | |
5.5% 9/1/41 | 8,397,000 | 8,716,775 | |
5.875% 11/15/40 | 7,566,000 | 8,131,254 | |
6.55% 5/1/37 | 73,937,000 | 85,029,749 | |
6.75% 6/15/39 | 10,675,000 | 12,377,168 | |
7.3% 7/1/38 | 16,247,000 | 19,725,227 | |
469,423,773 | |||
Wireless Telecommunication Services - 0.3% | |||
Rogers Communications, Inc.: | |||
3.2% 3/15/27 (a) | 21,204,000 | 20,871,330 | |
3.8% 3/15/32 (a) | 18,504,000 | 18,360,716 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 25,540,000 | 25,689,289 | |
3.875% 4/15/30 | 36,970,000 | 37,111,933 | |
4.375% 4/15/40 | 5,513,000 | 5,536,392 | |
4.5% 4/15/50 | 10,830,000 | 10,956,233 | |
118,525,893 | |||
TOTAL COMMUNICATION SERVICES | 1,008,740,334 | ||
CONSUMER DISCRETIONARY - 1.0% | |||
Automobiles - 0.2% | |||
General Motors Financial Co., Inc.: | |||
2.35% 2/26/27 | 17,500,000 | 16,320,581 | |
3.45% 4/10/22 | 1,250,000 | 1,250,425 | |
4% 1/15/25 | 14,536,000 | 14,714,621 | |
4.25% 5/15/23 | 9,840,000 | 9,959,798 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (a) | 24,305,000 | 24,335,865 | |
3.125% 5/12/23 (a) | 21,172,000 | 21,315,814 | |
87,897,104 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 249,000 | 253,472 | |
Hotels, Restaurants & Leisure - 0.1% | |||
McDonald's Corp.: | |||
3.3% 7/1/25 | 2,498,000 | 2,526,015 | |
3.5% 7/1/27 | 7,113,000 | 7,229,286 | |
3.6% 7/1/30 | 8,445,000 | 8,600,101 | |
4.2% 4/1/50 | 4,263,000 | 4,450,171 | |
22,805,573 | |||
Household Durables - 0.1% | |||
D.R. Horton, Inc. 2.6% 10/15/25 | 34,514,000 | 33,487,103 | |
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 19,745,000 | 19,586,364 | |
Specialty Retail - 0.5% | |||
AutoNation, Inc. 4.75% 6/1/30 | 3,310,000 | 3,449,934 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 4,758,000 | 4,808,511 | |
4% 4/15/30 | 22,128,000 | 22,714,902 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 3,072,000 | 3,089,961 | |
3.75% 4/1/32 | 9,454,000 | 9,557,988 | |
4.25% 4/1/52 | 59,996,000 | 62,055,869 | |
4.45% 4/1/62 | 39,650,000 | 41,259,300 | |
4.5% 4/15/30 | 16,112,000 | 17,241,149 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 4,968,000 | 5,138,057 | |
The Home Depot, Inc. 2.5% 4/15/27 | 3,139,000 | 3,081,232 | |
172,396,903 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
NIKE, Inc. 2.75% 3/27/27 | 6,632,000 | 6,598,727 | |
TOTAL CONSUMER DISCRETIONARY | 343,025,246 | ||
CONSUMER STAPLES - 1.9% | |||
Beverages - 1.4% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 11,108,000 | 12,353,705 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 46,768,000 | 50,159,410 | |
4.9% 2/1/46 | 50,530,000 | 56,196,679 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 10,000,000 | 10,143,308 | |
4.35% 6/1/40 | 10,000,000 | 10,406,414 | |
4.5% 6/1/50 | 12,500,000 | 13,355,528 | |
4.6% 6/1/60 | 10,000,000 | 10,628,483 | |
4.75% 4/15/58 | 26,711,000 | 28,964,658 | |
5.45% 1/23/39 | 23,200,000 | 27,092,369 | |
5.55% 1/23/49 | 54,331,000 | 66,244,468 | |
5.8% 1/23/59 (Reg. S) | 55,947,000 | 70,608,111 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 48,345,000 | 47,741,374 | |
5% 5/1/42 | 3,080,000 | 3,257,943 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 2,862,000 | 2,844,201 | |
2.75% 3/19/30 | 18,600,000 | 18,268,904 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 24,531,000 | 25,100,641 | |
3.45% 3/25/30 | 14,988,000 | 15,405,414 | |
468,771,610 | |||
Food & Staples Retailing - 0.2% | |||
Sysco Corp.: | |||
3.25% 7/15/27 | 11,011,000 | 10,951,342 | |
6.6% 4/1/50 | 25,587,000 | 34,389,177 | |
45,340,519 | |||
Food Products - 0.3% | |||
Archer Daniels Midland Co. 3.25% 3/27/30 | 6,931,000 | 6,985,754 | |
General Mills, Inc. 2.875% 4/15/30 | 3,013,000 | 2,894,389 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (a) | 38,495,000 | 35,752,616 | |
3.625% 1/15/32 (a) | 13,400,000 | 12,261,000 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) | 5,265,000 | 5,550,626 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (a) | 43,240,000 | 38,916,432 | |
5.5% 1/15/30 (a) | 5,250,000 | 5,366,970 | |
6.5% 4/15/29 (a) | 4,195,000 | 4,430,969 | |
112,158,756 | |||
Household Products - 0.0% | |||
Kimberly-Clark Corp. 3.1% 3/26/30 | 1,764,000 | 1,758,025 | |
Tobacco - 0.0% | |||
Altria Group, Inc.: | |||
5.375% 1/31/44 | 6,787,000 | 7,014,929 | |
5.95% 2/14/49 | 2,618,000 | 2,834,126 | |
9,849,055 | |||
TOTAL CONSUMER STAPLES | 637,877,965 | ||
ENERGY - 3.6% | |||
Energy Equipment & Services - 0.0% | |||
Halliburton Co.: | |||
3.8% 11/15/25 | 207,000 | 211,393 | |
4.85% 11/15/35 | 7,402,000 | 7,952,768 | |
8,164,161 | |||
Oil, Gas & Consumable Fuels - 3.6% | |||
Canadian Natural Resources Ltd. 3.8% 4/15/24 | 619,000 | 627,700 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 6,628,000 | 6,839,674 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 14,468,000 | 14,468,868 | |
5.6% 4/1/44 | 13,506,000 | 14,191,565 | |
6.45% 11/3/36 (a) | 10,621,000 | 12,238,047 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (a) | 10,510,000 | 10,791,143 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 13,445,000 | 13,653,918 | |
4.25% 12/1/26 | 8,321,000 | 8,623,017 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 27,891,000 | 27,438,010 | |
3.9% 5/15/24 (b) | 6,444,000 | 6,482,077 | |
4.2% 9/15/23 | 5,509,000 | 5,581,590 | |
4.25% 3/15/23 | 4,861,000 | 4,913,945 | |
4.5% 4/15/24 | 6,244,000 | 6,388,667 | |
4.95% 6/15/28 | 18,799,000 | 19,743,437 | |
5% 5/15/50 | 23,229,000 | 23,504,009 | |
5.25% 4/15/29 | 10,158,000 | 10,839,669 | |
5.4% 10/1/47 | 6,651,000 | 6,963,143 | |
5.8% 6/15/38 | 10,481,000 | 11,338,327 | |
6% 6/15/48 | 26,826,000 | 29,736,540 | |
6.25% 4/15/49 | 7,637,000 | 8,763,277 | |
Enterprise Products Operating LP: | |||
3.7% 2/15/26 | 8,600,000 | 8,710,111 | |
3.75% 2/15/25 | 285,000 | 290,112 | |
Hess Corp.: | |||
4.3% 4/1/27 | 23,059,000 | 23,660,437 | |
7.125% 3/15/33 | 4,791,000 | 5,911,845 | |
7.3% 8/15/31 | 6,610,000 | 8,095,270 | |
7.875% 10/1/29 | 20,178,000 | 24,980,789 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 1,645,000 | 1,967,066 | |
MPLX LP: | |||
2.65% 8/15/30 | 9,000,000 | 8,246,886 | |
4.5% 7/15/23 | 9,347,000 | 9,501,673 | |
4.8% 2/15/29 | 5,370,000 | 5,717,331 | |
4.875% 12/1/24 | 12,572,000 | 13,020,336 | |
5.5% 2/15/49 | 16,108,000 | 17,840,086 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 9,098,000 | 8,961,530 | |
4.3% 8/15/39 | 1,326,000 | 1,253,070 | |
4.4% 8/15/49 | 1,327,000 | 1,247,380 | |
5.55% 3/15/26 | 26,200,000 | 27,772,000 | |
6.2% 3/15/40 | 7,169,000 | 7,957,590 | |
6.45% 9/15/36 | 15,883,000 | 18,657,522 | |
6.6% 3/15/46 | 28,439,000 | 33,415,825 | |
7.5% 5/1/31 | 29,749,000 | 36,293,780 | |
Ovintiv Exploration, Inc. 5.625% 7/1/24 | 28,150,000 | 29,595,846 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 5,000,000 | 4,973,730 | |
8.125% 9/15/30 | 13,383,000 | 16,756,784 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 24,688,000 | 24,033,768 | |
5.35% 2/12/28 | 3,500,000 | 3,309,250 | |
5.95% 1/28/31 | 16,274,000 | 15,003,814 | |
6.35% 2/12/48 | 14,404,000 | 11,299,938 | |
6.49% 1/23/27 | 37,360,000 | 37,841,944 | |
6.5% 3/13/27 | 21,300,000 | 21,550,275 | |
6.75% 9/21/47 | 102,130,000 | 82,005,284 | |
6.84% 1/23/30 | 68,521,000 | 68,007,093 | |
6.95% 1/28/60 | 18,760,000 | 15,193,724 | |
7.69% 1/23/50 | 117,141,000 | 101,912,670 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 5,964,000 | 5,763,617 | |
3.6% 11/1/24 | 6,641,000 | 6,661,419 | |
3.8% 9/15/30 | 15,976,000 | 15,670,553 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 33,855,000 | 35,404,459 | |
Shell International Finance BV 4.375% 5/11/45 | 6,392,000 | 6,895,285 | |
Southeast Supply Header LLC 4.25% 6/15/24 (a) | 10,683,000 | 10,691,364 | |
The Williams Companies, Inc.: | |||
2.6% 3/15/31 | 5,542,000 | 5,103,134 | |
3.5% 11/15/30 | 36,437,000 | 36,023,979 | |
3.7% 1/15/23 | 26,582,000 | 26,751,342 | |
3.9% 1/15/25 | 4,336,000 | 4,397,098 | |
4.3% 3/4/24 | 20,381,000 | 20,833,565 | |
4.5% 11/15/23 | 6,265,000 | 6,395,292 | |
4.55% 6/24/24 | 70,596,000 | 72,519,101 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 3,918,000 | 3,941,861 | |
4.5% 3/1/28 | 3,100,000 | 3,162,000 | |
4.65% 7/1/26 | 9,376,000 | 9,610,400 | |
4.75% 8/15/28 | 5,504,000 | 5,680,844 | |
1,213,616,695 | |||
TOTAL ENERGY | 1,221,780,856 | ||
FINANCIALS - 15.7% | |||
Banks - 6.6% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (b) | 80,000,000 | 71,201,210 | |
3.3% 1/11/23 | 32,511,000 | 32,871,219 | |
3.419% 12/20/28 (b) | 23,187,000 | 22,952,678 | |
3.5% 4/19/26 | 34,343,000 | 34,768,655 | |
3.705% 4/24/28 (b) | 58,915,000 | 59,291,776 | |
3.864% 7/23/24 (b) | 46,066,000 | 46,586,766 | |
3.95% 4/21/25 | 19,377,000 | 19,745,017 | |
4.183% 11/25/27 | 22,749,000 | 23,193,668 | |
4.2% 8/26/24 | 24,032,000 | 24,616,079 | |
4.25% 10/22/26 | 20,189,000 | 20,779,982 | |
4.271% 7/23/29 (b) | 2,000,000 | 2,063,406 | |
4.45% 3/3/26 | 3,182,000 | 3,290,787 | |
Barclays PLC: | |||
2.852% 5/7/26 (b) | 34,514,000 | 33,522,458 | |
4.375% 1/12/26 | 28,767,000 | 29,369,748 | |
5.088% 6/20/30 (b) | 35,020,000 | 36,326,793 | |
5.2% 5/12/26 | 11,811,000 | 12,280,605 | |
BNP Paribas SA 2.219% 6/9/26 (a)(b) | 32,804,000 | 31,193,518 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 88,772,000 | 89,256,393 | |
3.352% 4/24/25 (b) | 23,697,000 | 23,753,358 | |
3.875% 3/26/25 | 35,450,000 | 35,915,652 | |
4.05% 7/30/22 | 34,759,000 | 35,051,258 | |
4.3% 11/20/26 | 52,072,000 | 53,549,752 | |
4.4% 6/10/25 | 11,010,000 | 11,325,961 | |
4.412% 3/31/31 (b) | 45,100,000 | 46,820,775 | |
4.45% 9/29/27 | 69,500,000 | 71,684,828 | |
5.5% 9/13/25 | 42,579,000 | 45,463,295 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 35,537,000 | 31,346,721 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 12,091,000 | 11,607,214 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 35,920,000 | 36,290,040 | |
Discover Bank 4.2% 8/8/23 | 259,000 | 263,344 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (b) | 5,620,000 | 5,676,786 | |
HSBC Holdings PLC: | |||
2.099% 6/4/26 (b) | 25,000,000 | 23,774,340 | |
4.25% 3/14/24 | 10,444,000 | 10,596,671 | |
4.95% 3/31/30 | 6,013,000 | 6,421,913 | |
5.25% 3/14/44 | 2,847,000 | 3,139,905 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 21,002,000 | 21,183,466 | |
5.71% 1/15/26 (a) | 48,607,000 | 49,654,380 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 63,807,000 | 63,312,916 | |
2.956% 5/13/31 (b) | 18,323,000 | 17,144,770 | |
3.797% 7/23/24 (b) | 12,224,000 | 12,363,113 | |
3.875% 9/10/24 | 90,088,000 | 92,021,246 | |
4.125% 12/15/26 | 146,208,000 | 151,293,771 | |
4.203% 7/23/29 (b) | 3,000,000 | 3,102,501 | |
4.452% 12/5/29 (b) | 46,000,000 | 47,948,691 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (b) | 20,149,000 | 19,340,665 | |
5.125% 5/28/24 | 125,085,000 | 128,965,244 | |
6% 12/19/23 | 108,056,000 | 112,680,680 | |
6.1% 6/10/23 | 49,671,000 | 51,238,588 | |
6.125% 12/15/22 | 88,078,000 | 90,184,409 | |
NatWest Markets PLC 2.375% 5/21/23 (a) | 37,687,000 | 37,479,520 | |
Rabobank Nederland 4.375% 8/4/25 | 36,518,000 | 37,111,813 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (b) | 25,589,000 | 23,874,555 | |
Societe Generale: | |||
1.038% 6/18/25 (a)(b) | 55,000,000 | 51,659,895 | |
1.488% 12/14/26 (a)(b) | 40,199,000 | 36,341,043 | |
Synchrony Bank 3% 6/15/22 | 12,252,000 | 12,272,832 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (b) | 19,840,000 | 19,421,958 | |
3.526% 3/24/28 (b) | 42,125,000 | 42,040,399 | |
4.478% 4/4/31 (b) | 60,800,000 | 64,381,120 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 17,722,000 | 17,468,040 | |
2,248,478,186 | |||
Capital Markets - 3.9% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 27,065,000 | 27,298,788 | |
4.25% 2/15/24 | 10,069,000 | 10,313,921 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 54,729,000 | 53,687,844 | |
4.2% 6/10/24 | 42,554,000 | 42,861,597 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 48,618,000 | 46,965,453 | |
3.75% 3/26/25 | 24,390,000 | 24,299,763 | |
3.8% 6/9/23 | 43,060,000 | 43,454,813 | |
3.869% 1/12/29 (a)(b) | 9,005,000 | 8,787,393 | |
4.194% 4/1/31 (a)(b) | 40,079,000 | 39,538,334 | |
4.55% 4/17/26 | 5,038,000 | 5,125,034 | |
Deutsche Bank AG 4.5% 4/1/25 | 67,655,000 | 67,912,762 | |
Deutsche Bank AG New York Branch 3.3% 11/16/22 | 46,720,000 | 47,033,650 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (b) | 39,755,000 | 35,211,113 | |
3.2% 2/23/23 | 59,200,000 | 59,726,230 | |
3.691% 6/5/28 (b) | 21,000,000 | 21,024,091 | |
3.75% 2/25/26 | 15,000,000 | 15,236,574 | |
3.8% 3/15/30 | 67,720,000 | 68,169,907 | |
4.25% 10/21/25 | 22,692,000 | 23,242,135 | |
4.411% 4/23/39 (b) | 3,000,000 | 3,164,468 | |
5.15% 5/22/45 | 9,000,000 | 10,055,876 | |
6.75% 10/1/37 | 30,816,000 | 38,832,533 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 4,530,000 | 4,632,431 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,681,000 | 10,663,933 | |
3.25% 5/20/50 | 9,704,000 | 8,675,941 | |
3.75% 3/24/25 | 21,924,000 | 22,288,837 | |
4.875% 2/15/24 | 10,030,000 | 10,340,514 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 122,810,000 | 123,999,891 | |
3.125% 7/27/26 | 24,646,000 | 24,433,317 | |
3.622% 4/1/31 (b) | 41,803,000 | 41,585,531 | |
3.7% 10/23/24 | 15,967,000 | 16,253,527 | |
3.737% 4/24/24 (b) | 90,600,000 | 91,496,546 | |
4.1% 5/22/23 | 4,810,000 | 4,896,240 | |
4.431% 1/23/30 (b) | 54,318,000 | 56,794,072 | |
4.875% 11/1/22 | 43,855,000 | 44,599,865 | |
5% 11/24/25 | 102,478,000 | 108,024,131 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (a) | 25,500,000 | 25,823,833 | |
State Street Corp. 2.901% 3/30/26 (b) | 2,660,000 | 2,637,477 | |
UBS Group AG: | |||
1.494% 8/10/27 (a)(b) | 24,731,000 | 22,448,139 | |
4.125% 9/24/25 (a) | 17,678,000 | 18,008,086 | |
1,329,544,590 | |||
Consumer Finance - 2.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 47,436,000 | 44,798,991 | |
2.45% 10/29/26 | 17,295,000 | 15,997,051 | |
2.875% 8/14/24 | 28,486,000 | 27,703,518 | |
3% 10/29/28 | 18,114,000 | 16,704,498 | |
3.3% 1/23/23 | 13,000,000 | 13,038,218 | |
3.3% 1/30/32 | 19,378,000 | 17,468,484 | |
4.125% 7/3/23 | 19,471,000 | 19,586,888 | |
4.45% 4/3/26 | 15,328,000 | 15,481,647 | |
4.875% 1/16/24 | 28,044,000 | 28,422,854 | |
6.5% 7/15/25 | 15,770,000 | 16,699,406 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 9,655,000 | 9,428,271 | |
3.05% 6/5/23 | 41,948,000 | 42,101,139 | |
5.125% 9/30/24 | 9,461,000 | 9,874,834 | |
5.75% 11/20/25 | 16,947,000 | 17,821,516 | |
5.8% 5/1/25 | 68,233,000 | 72,375,915 | |
8% 11/1/31 | 11,577,000 | 14,521,362 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 31,704,000 | 31,797,844 | |
2.636% 3/3/26 (b) | 21,697,000 | 21,230,531 | |
3.273% 3/1/30 (b) | 27,750,000 | 26,794,163 | |
3.65% 5/11/27 | 57,194,000 | 57,264,499 | |
3.8% 1/31/28 | 29,870,000 | 30,057,671 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 9,161,000 | 9,273,392 | |
3.95% 11/6/24 | 41,289,000 | 42,020,377 | |
4.1% 2/9/27 | 5,722,000 | 5,834,388 | |
4.5% 1/30/26 | 23,106,000 | 23,804,435 | |
5.2% 4/27/22 | 8,179,000 | 8,198,936 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 79,422,000 | 79,182,940 | |
5.584% 3/18/24 | 30,750,000 | 31,627,298 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 7,279,000 | 7,298,982 | |
3.95% 12/1/27 | 37,530,000 | 37,168,573 | |
4.25% 8/15/24 | 29,533,000 | 29,945,030 | |
4.375% 3/19/24 | 24,886,000 | 25,347,866 | |
5.15% 3/19/29 | 40,161,000 | 42,073,162 | |
Toyota Motor Credit Corp.: | |||
2.9% 3/30/23 | 32,287,000 | 32,499,405 | |
3% 4/1/25 | 29,531,000 | 29,578,133 | |
3.375% 4/1/30 | 9,583,000 | 9,615,135 | |
962,637,352 | |||
Diversified Financial Services - 0.6% | |||
Blackstone Private Credit Fund 4.7% 3/24/25 (a) | 49,854,000 | 49,924,857 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 450,000 | 453,313 | |
4.05% 7/1/30 | 22,047,000 | 22,120,585 | |
4.125% 6/15/26 | 26,610,000 | 27,145,878 | |
4.125% 5/15/29 | 24,028,000 | 24,645,325 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 3,067,000 | 3,108,211 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | 29,300,000 | 29,988,174 | |
Pine Street Trust I 4.572% 2/15/29 (a) | 27,943,000 | 29,068,602 | |
Pine Street Trust II 5.568% 2/15/49 (a) | 29,500,000 | 32,812,792 | |
219,267,737 | |||
Insurance - 1.8% | |||
AFLAC, Inc. 3.6% 4/1/30 | 9,937,000 | 10,256,072 | |
AIA Group Ltd.: | |||
3.2% 9/16/40 (a) | 15,222,000 | 13,514,187 | |
3.375% 4/7/30 (a) | 30,867,000 | 30,699,026 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 50,600,000 | 49,472,277 | |
3.4% 6/30/30 | 50,600,000 | 50,462,535 | |
3.75% 7/10/25 | 40,830,000 | 41,488,314 | |
Aon PLC 4% 11/27/23 | 13,880,000 | 14,140,717 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 41,367,000 | 39,202,459 | |
Liberty Mutual Group, Inc.: | |||
3.951% 10/15/50 (a) | 4,626,000 | 4,375,598 | |
4.25% 6/15/23 (a) | 2,019,000 | 2,050,194 | |
4.569% 2/1/29 (a) | 27,600,000 | 29,255,033 | |
Lincoln National Corp. 3.4% 1/15/31 | 34,132,000 | 33,417,548 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 19,688,000 | 20,805,155 | |
4.75% 3/15/39 | 9,035,000 | 9,920,597 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (a) | 20,812,000 | 18,625,685 | |
Metropolitan Life Global Funding I 3% 1/10/23 (a) | 223,000 | 224,942 | |
New York Life Insurance Co. 3.75% 5/15/50 (a) | 7,429,000 | 7,201,347 | |
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (a) | 2,000 | 2,480 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 15,610,000 | 17,131,405 | |
Progressive Corp. 3.2% 3/26/30 | 3,815,000 | 3,781,031 | |
SunAmerica, Inc.: | |||
3.5% 4/4/25 (a) | 9,337,000 | 9,329,624 | |
3.65% 4/5/27 (a) | 13,314,000 | 13,295,360 | |
3.85% 4/5/29 (a) | 13,061,000 | 13,049,114 | |
3.9% 4/5/32 (a) | 15,550,000 | 15,526,986 | |
4.35% 4/5/42 (a) | 3,537,000 | 3,536,045 | |
4.4% 4/5/52 (a) | 10,459,000 | 10,457,222 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 11,400,000 | 11,799,000 | |
Teachers Insurance & Annuity Association of America: | |||
3.3% 5/15/50 (a) | 16,941,000 | 14,998,408 | |
4.9% 9/15/44 (a) | 29,277,000 | 32,271,190 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 8,401,000 | 8,558,618 | |
Unum Group: | |||
3.875% 11/5/25 | 16,863,000 | 16,984,611 | |
4% 3/15/24 | 600,000 | 608,497 | |
4% 6/15/29 | 21,076,000 | 21,539,865 | |
5.75% 8/15/42 | 29,395,000 | 31,124,281 | |
599,105,423 | |||
TOTAL FINANCIALS | 5,359,033,288 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.2% | |||
AbbVie, Inc. 3.2% 11/21/29 | 17,500,000 | 17,291,899 | |
Amgen, Inc. 1.65% 8/15/28 | 65,000,000 | 59,202,292 | |
76,494,191 | |||
Health Care Providers & Services - 1.0% | |||
Aetna, Inc. 2.75% 11/15/22 | 52,000 | 52,212 | |
Centene Corp.: | |||
2.45% 7/15/28 | 32,380,000 | 29,585,606 | |
2.625% 8/1/31 | 15,205,000 | 13,532,450 | |
3.375% 2/15/30 | 17,480,000 | 16,447,544 | |
4.25% 12/15/27 | 19,645,000 | 19,718,669 | |
4.625% 12/15/29 | 30,530,000 | 30,776,988 | |
Cigna Corp.: | |||
3.05% 10/15/27 | 67,800,000 | 67,185,476 | |
4.375% 10/15/28 | 29,050,000 | 30,558,301 | |
4.8% 8/15/38 | 18,087,000 | 19,798,849 | |
4.9% 12/15/48 | 18,071,000 | 20,249,086 | |
CVS Health Corp.: | |||
3% 8/15/26 | 2,965,000 | 2,940,722 | |
3.625% 4/1/27 | 7,479,000 | 7,602,693 | |
3.875% 7/20/25 | 20,803,000 | 21,221,456 | |
HCA Holdings, Inc. 4.75% 5/1/23 | 1,040,000 | 1,065,963 | |
Humana, Inc. 3.7% 3/23/29 | 12,046,000 | 12,085,765 | |
Sabra Health Care LP 3.2% 12/1/31 | 39,949,000 | 35,650,226 | |
Toledo Hospital 5.325% 11/15/28 | 9,969,000 | 10,672,197 | |
339,144,203 | |||
Pharmaceuticals - 0.6% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 63,993,000 | 65,067,135 | |
Elanco Animal Health, Inc.: | |||
5.772% 8/28/23 (b) | 15,106,000 | 15,596,945 | |
6.4% 8/28/28 (b) | 6,362,000 | 6,823,372 | |
Mylan NV 4.55% 4/15/28 | 6,911,000 | 6,987,252 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 12,375,000 | 12,280,134 | |
Viatris, Inc.: | |||
1.125% 6/22/22 | 13,597,000 | 13,596,176 | |
1.65% 6/22/25 | 4,370,000 | 4,066,496 | |
2.7% 6/22/30 | 39,716,000 | 34,932,813 | |
3.85% 6/22/40 | 9,677,000 | 8,369,745 | |
4% 6/22/50 | 16,712,000 | 14,039,357 | |
Zoetis, Inc. 3.25% 2/1/23 | 2,327,000 | 2,343,082 | |
184,102,507 | |||
TOTAL HEALTH CARE | 599,740,901 | ||
INDUSTRIALS - 1.0% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (a) | 9,575,000 | 9,434,888 | |
The Boeing Co.: | |||
5.805% 5/1/50 | 21,237,000 | 24,523,150 | |
5.93% 5/1/60 | 12,640,000 | 14,593,969 | |
48,552,007 | |||
Industrial Conglomerates - 0.0% | |||
3M Co.: | |||
2.65% 4/15/25 | 1,885,000 | 1,871,592 | |
3.05% 4/15/30 | 1,519,000 | 1,510,228 | |
3.7% 4/15/50 | 1,875,000 | 1,892,549 | |
5,274,369 | |||
Machinery - 0.3% | |||
Daimler Trucks Finance North America LLC: | |||
1.125% 12/14/23 (a) | 30,000,000 | 29,090,939 | |
1.625% 12/13/24 (a) | 28,773,000 | 27,470,463 | |
2% 12/14/26 (a) | 30,000,000 | 27,943,928 | |
Deere & Co.: | |||
2.75% 4/15/25 | 3,746,000 | 3,722,680 | |
3.1% 4/15/30 | 9,897,000 | 9,912,321 | |
98,140,331 | |||
Professional Services - 0.1% | |||
Leidos, Inc.: | |||
2.95% 5/15/23 | 16,357,000 | 16,392,168 | |
3.625% 5/15/25 | 12,349,000 | 12,345,913 | |
Thomson Reuters Corp. 3.85% 9/29/24 | 3,021,000 | 3,065,554 | |
31,803,635 | |||
Road & Rail - 0.0% | |||
CSX Corp. 3.8% 4/15/50 | 5,875,000 | 5,964,335 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 6,049,000 | 6,051,196 | |
3% 9/15/23 | 4,193,000 | 4,174,958 | |
3.375% 7/1/25 | 28,656,000 | 28,242,966 | |
3.875% 7/3/23 | 1,190,000 | 1,201,997 | |
4.25% 2/1/24 | 28,366,000 | 28,672,752�� | |
4.25% 9/15/24 | 16,843,000 | 17,046,107 | |
85,389,976 | |||
Transportation Infrastructure - 0.2% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (a) | 10,113,000 | 10,080,277 | |
4.375% 5/1/26 (a) | 21,306,000 | 21,018,484 | |
5.25% 5/15/24 (a) | 21,769,000 | 22,224,192 | |
53,322,953 | |||
TOTAL INDUSTRIALS | 328,447,606 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 5,972,000 | 6,152,013 | |
5.85% 7/15/25 | 5,417,000 | 5,781,744 | |
6.02% 6/15/26 | 7,709,000 | 8,350,610 | |
6.1% 7/15/27 | 9,944,000 | 10,924,381 | |
6.2% 7/15/30 | 8,607,000 | 9,808,969 | |
41,017,717 | |||
IT Services - 0.0% | |||
MasterCard, Inc.: | |||
3.3% 3/26/27 | 3,028,000 | 3,086,016 | |
3.35% 3/26/30 | 4,213,000 | 4,293,584 | |
7,379,600 | |||
Semiconductors & Semiconductor Equipment - 0.6% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (a) | 7,184,000 | 6,473,399 | |
2.45% 2/15/31 (a) | 61,131,000 | 54,533,625 | |
2.6% 2/15/33 (a) | 61,131,000 | 53,071,704 | |
3.5% 2/15/41 (a) | 49,365,000 | 43,960,920 | |
3.75% 2/15/51 (a) | 23,167,000 | 20,744,656 | |
178,784,304 | |||
Software - 0.4% | |||
Oracle Corp.: | |||
2.5% 4/1/25 | 24,552,000 | 23,980,125 | |
2.8% 4/1/27 | 24,552,000 | 23,499,043 | |
2.95% 4/1/30 | 24,600,000 | 22,695,039 | |
3.6% 4/1/40 | 24,550,000 | 21,296,791 | |
3.6% 4/1/50 | 24,550,000 | 20,360,844 | |
3.85% 4/1/60 | 24,600,000 | 20,188,409 | |
132,020,251 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 7,460,000 | 7,535,209 | |
TOTAL INFORMATION TECHNOLOGY | 366,737,081 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
The Dow Chemical Co. 4.55% 11/30/25 | 13,459,000 | 14,030,134 | |
REAL ESTATE - 3.2% | |||
Equity Real Estate Investment Trusts (REITs) - 2.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 19,486,000 | 17,031,203 | |
4.9% 12/15/30 | 17,745,000 | 19,617,750 | |
American Homes 4 Rent: | |||
3.625% 4/15/32 | 14,296,000 | 13,941,030 | |
4.3% 4/15/52 | 9,909,000 | 9,635,214 | |
American Homes 4 Rent LP 2.375% 7/15/31 | 3,169,000 | 2,797,576 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 16,564,000 | 16,019,485 | |
4.5% 12/1/28 | 18,628,000 | 19,646,500 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 7,272,000 | 6,928,672 | |
2.75% 4/15/31 | 5,118,000 | 4,594,491 | |
Duke Realty LP 3.25% 6/30/26 | 2,124,000 | 2,112,512 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 6,066,000 | 5,766,270 | |
3.5% 8/1/26 | 6,318,000 | 6,298,928 | |
Healthpeak Properties, Inc.: | |||
3.25% 7/15/26 | 2,733,000 | 2,728,780 | |
3.4% 2/1/25 | 912,000 | 915,512 | |
3.5% 7/15/29 | 3,125,000 | 3,120,655 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 37,205,000 | 39,010,799 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 (c) | 21,143,000 | 21,592,677 | |
Kimco Realty Corp. 3.375% 10/15/22 | 2,433,000 | 2,443,722 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 27,373,000 | 27,534,783 | |
4.75% 9/15/30 | 42,235,000 | 43,648,000 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 7,890,000 | 7,279,785 | |
4.4% 6/15/24 | 8,117,000 | 8,257,850 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 22,119,000 | 19,290,200 | |
3.375% 2/1/31 | 14,471,000 | 13,256,714 | |
3.625% 10/1/29 | 26,970,000 | 25,482,769 | |
4.375% 8/1/23 | 7,048,000 | 7,156,389 | |
4.5% 1/15/25 | 12,446,000 | 12,651,054 | |
4.5% 4/1/27 | 86,567,000 | 88,287,155 | |
4.75% 1/15/28 | 28,933,000 | 29,425,098 | |
4.95% 4/1/24 | 6,427,000 | 6,567,202 | |
5.25% 1/15/26 | 28,200,000 | 29,245,234 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 6,300,000 | 5,613,601 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 3,445,000 | 3,177,984 | |
2.85% 12/15/32 | 4,238,000 | 4,003,913 | |
3.25% 1/15/31 | 4,502,000 | 4,420,996 | |
3.4% 1/15/28 | 7,083,000 | 7,062,856 | |
Regency Centers LP 3.7% 6/15/30 | 25,000,000 | 25,011,769 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 4,615,000 | 4,627,546 | |
5% 12/15/23 | 3,475,000 | 3,541,593 | |
Simon Property Group LP 2.65% 2/1/32 | 30,000,000 | 27,714,424 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 10,990,000 | 10,997,143 | |
4.25% 2/1/26 | 15,247,000 | 15,424,885 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 8,515,000 | 7,705,038 | |
4.625% 3/15/29 | 8,847,000 | 9,181,359 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 7,110,000 | 6,441,478 | |
2.7% 7/15/31 | 18,176,000 | 16,397,219 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 53,031,000 | 47,850,466 | |
3% 1/15/30 | 35,454,000 | 33,928,481 | |
3.5% 2/1/25 | 7,488,000 | 7,508,205 | |
3.75% 5/1/24 | 7,900,000 | 7,987,165 | |
4% 3/1/28 | 10,351,000 | 10,575,298 | |
4.125% 1/15/26 | 7,649,000 | 7,823,430 | |
4.375% 2/1/45 | 3,802,000 | 3,827,980 | |
4.75% 11/15/30 | 41,973,000 | 44,667,208 | |
Vornado Realty LP 2.15% 6/1/26 | 7,918,000 | 7,400,257 | |
Welltower, Inc. 4% 6/1/25 | 4,568,000 | 4,638,263 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 6,097,000 | 6,166,571 | |
4% 2/1/25 | 26,847,000 | 27,418,178 | |
4.6% 4/1/24 | 14,578,000 | 14,952,036 | |
888,349,351 | |||
Real Estate Management & Development - 0.6% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 26,303,000 | 26,473,999 | |
3.95% 11/15/27 | 20,195,000 | 20,219,535 | |
4.1% 10/1/24 | 23,803,000 | 24,081,785 | |
4.55% 10/1/29 | 27,295,000 | 28,272,408 | |
CBRE Group, Inc.: | |||
2.5% 4/1/31 | 23,518,000 | 21,248,952 | |
4.875% 3/1/26 | 19,900,000 | 20,881,847 | |
Essex Portfolio LP 3.875% 5/1/24 | 5,285,000 | 5,344,810 | |
Mid-America Apartments LP 4% 11/15/25 | 3,541,000 | 3,613,921 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,860,000 | 1,866,224 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 18,732,000 | 16,249,017 | |
3.125% 9/1/26 | 16,602,000 | 15,937,552 | |
3.875% 7/15/27 | 28,881,000 | 28,848,085 | |
213,038,135 | |||
TOTAL REAL ESTATE | 1,101,387,486 | ||
UTILITIES - 1.6% | |||
Electric Utilities - 0.7% | |||
Alabama Power Co. 3.05% 3/15/32 | 29,471,000 | 28,655,185 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 15,724,000 | 15,027,358 | |
3.743% 5/1/26 | 60,730,000 | 61,536,707 | |
Cleveland Electric Illuminating Co. 5.95% 12/15/36 | 1,128,000 | 1,301,445 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (a) | 10,574,000 | 9,484,780 | |
2.775% 1/7/32 (a) | 19,219,000 | 17,177,080 | |
Eversource Energy 2.8% 5/1/23 | 435,000 | 435,927 | |
Exelon Corp.: | |||
2.75% 3/15/27 (a) | 6,523,000 | 6,355,820 | |
3.35% 3/15/32 (a) | 7,920,000 | 7,717,084 | |
4.05% 4/15/30 | 7,291,000 | 7,526,026 | |
4.1% 3/15/52 (a) | 5,867,000 | 5,958,942 | |
4.7% 4/15/50 | 3,246,000 | 3,569,862 | |
FirstEnergy Corp. 7.375% 11/15/31 | 56,726,000 | 69,963,579 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 9,552,000 | 9,576,749 | |
244,286,544 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (a) | 6,879,947 | 7,848,730 | |
Independent Power and Renewable Electricity Producers - 0.4% | |||
Emera U.S. Finance LP 3.55% 6/15/26 | 6,732,000 | 6,725,066 | |
The AES Corp.: | |||
1.375% 1/15/26 | 30,500,000 | 28,046,936 | |
2.45% 1/15/31 | 28,885,000 | 25,830,542 | |
3.3% 7/15/25 (a) | 37,234,000 | 36,530,277 | |
3.95% 7/15/30 (a) | 32,477,000 | 32,173,554 | |
129,306,375 | |||
Multi-Utilities - 0.5% | |||
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 4,149,000 | 4,261,807 | |
4.05% 4/15/25 | 53,700,000 | 55,353,954 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.35% 4/1/30 | 3,290,000 | 3,279,257 | |
3.95% 4/1/50 | 5,775,000 | 5,937,647 | |
NiSource, Inc. 2.95% 9/1/29 | 40,740,000 | 38,823,408 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 14,579,000 | 14,551,107 | |
4.224% 3/15/32 | 27,319,000 | 27,373,976 | |
Sempra Energy 6% 10/15/39 | 5,386,000 | 6,584,647 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (b)(d) | 12,629,000 | 10,709,392 | |
166,875,195 | |||
TOTAL UTILITIES | 548,316,844 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $11,715,350,561) | 11,529,117,741 | ||
U.S. Treasury Obligations - 34.6% | |||
U.S. Treasury Bonds: | |||
1.75% 8/15/41 | $896,321,000 | $776,858,217 | |
1.875% 11/15/51 | 120,053,000 | 105,308,991 | |
2% 11/15/41 | 2,400,000 | 2,171,625 | |
2% 8/15/51 | 1,412,404,000 | 1,274,253,234 | |
3% 2/15/49 | 794,760,000 | 873,584,050 | |
U.S. Treasury Notes: | |||
1.125% 2/15/31 (e) | 1,005,019,000 | 907,461,494 | |
1.25% 12/31/26 | 1,000,000,000 | 944,804,690 | |
1.25% 4/30/28 | 2,172,413,000 | 2,023,738,456 | |
1.375% 11/15/31 (f)(g) | 912,026,000 | 836,783,855 | |
1.5% 1/31/27 | 372,000,000 | 355,492,500 | |
1.5% 11/30/28 | 800,000,000 | 753,562,496 | |
1.625% 5/15/26 | 708,147,900 | 683,279,736 | |
1.875% 2/28/27 (e) | 570,000,000 | 554,725,778 | |
1.875% 2/28/29 | 300,000,000 | 289,593,750 | |
1.875% 2/15/32 (e) | 230,000,000 | 220,800,000 | |
2% 5/31/24 | 311,790,000 | 309,159,272 | |
2.125% 7/31/24 | 245,203,000 | 243,459,759 | |
2.125% 11/30/24 | 264,890,000 | 262,303,185 | |
2.375% 3/31/29 | 400,000,000 | 398,812,500 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $12,475,395,389) | 11,816,153,588 | ||
U.S. Government Agency - Mortgage Securities - 21.2% | |||
Fannie Mae - 6.1% | |||
12 month U.S. LIBOR + 1.390% 1.645% 5/1/33 (b)(d) | 2,041 | 2,106 | |
12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (b)(d) | 18,163 | 18,764 | |
12 month U.S. LIBOR + 1.460% 1.857% 1/1/35 (b)(d) | 19,927 | 20,605 | |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (b)(d) | 5,919 | 6,147 | |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (b)(d) | 35,859 | 37,431 | |
12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (b)(d) | 18,968 | 19,673 | |
12 month U.S. LIBOR + 1.620% 1.907% 5/1/35 (b)(d) | 42,290 | 44,019 | |
12 month U.S. LIBOR + 1.620% 1.96% 3/1/33 (b)(d) | 27,246 | 28,158 | |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (b)(d) | 17,719 | 18,442 | |
12 month U.S. LIBOR + 1.630% 1.905% 7/1/35 (b)(d) | 80,863 | 84,179 | |
12 month U.S. LIBOR + 1.630% 1.95% 11/1/36 (b)(d) | 148,987 | 155,201 | |
12 month U.S. LIBOR + 1.640% 1.881% 5/1/36 (b)(d) | 31,951 | 33,383 | |
12 month U.S. LIBOR + 1.640% 1.944% 6/1/47 (b)(d) | 44,075 | 46,166 | |
12 month U.S. LIBOR + 1.680% 1.96% 7/1/43 (b)(d) | 437,810 | 455,377 | |
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (b)(d) | 39,628 | 41,376 | |
12 month U.S. LIBOR + 1.710% 1.959% 3/1/36 (b)(d) | 79,079 | 82,556 | |
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (b)(d) | 30,601 | 32,119 | |
12 month U.S. LIBOR + 1.730% 2.012% 3/1/40 (b)(d) | 41,654 | 43,335 | |
12 month U.S. LIBOR + 1.730% 2.062% 5/1/36 (b)(d) | 78,895 | 82,725 | |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (b)(d) | 54,527 | 57,133 | |
12 month U.S. LIBOR + 1.750% 2.082% 7/1/35 (b)(d) | 27,918 | 29,036 | |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (b)(d) | 26,016 | 27,263 | |
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (b)(d) | 1,185,634 | 1,241,046 | |
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (b)(d) | 88,353 | 91,926 | |
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (b)(d) | 30,810 | 32,084 | |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (b)(d) | 34,641 | 36,450 | |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (b)(d) | 13,761 | 14,436 | |
12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (b)(d) | 48,213 | 50,238 | |
12 month U.S. LIBOR + 1.820% 2.292% 2/1/35 (b)(d) | 52,126 | 54,343 | |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (b)(d) | 12,402 | 12,630 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (b)(d) | 85,486 | 90,334 | |
6 month U.S. LIBOR + 1.310% 1.438% 5/1/34 (b)(d) | 55,702 | 57,282 | |
6 month U.S. LIBOR + 1.420% 1.571% 9/1/33 (b)(d) | 84,944 | 87,066 | |
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (b)(d) | 61,934 | 64,135 | |
6 month U.S. LIBOR + 1.510% 1.76% 2/1/33 (b)(d) | 211 | 218 | |
6 month U.S. LIBOR + 1.530% 1.736% 3/1/35 (b)(d) | 31,712 | 32,849 | |
6 month U.S. LIBOR + 1.530% 1.785% 12/1/34 (b)(d) | 20,824 | 21,548 | |
6 month U.S. LIBOR + 1.550% 1.747% 10/1/33 (b)(d) | 3,694 | 3,823 | |
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (b)(d) | 5,665 | 5,887 | |
6 month U.S. LIBOR + 1.740% 1.865% 12/1/34 (b)(d) | 1,035 | 1,079 | |
6 month U.S. LIBOR + 1.960% 2.116% 9/1/35 (b)(d) | 13,427 | 14,084 | |
6 month U.S. LIBOR + 2.500% 2.75% 3/1/36 (b)(d) | 49,645 | 51,996 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (b)(d) | 18,795 | 19,616 | |
U.S. TREASURY 1 YEAR INDEX + 2.220% 2.338% 8/1/36 (b)(d) | 219,441 | 229,673 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (b)(d) | 44,841 | 46,784 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.409% 10/1/33 (b)(d) | 41,022 | 42,768 | |
U.S. TREASURY 1 YEAR INDEX + 2.420% 2.538% 5/1/35 (b)(d) | 24,680 | 25,773 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.538% 7/1/34 (b)(d) | 65,776 | 68,672 | |
1.5% 11/1/41 to 10/1/51 | 30,535,330 | 27,540,548 | |
2% 12/1/36 to 3/1/52 | 478,412,038 | 445,662,807 | |
2.5% 9/1/29 to 3/1/52 | 517,746,607 | 497,726,551 | |
3% 12/1/28 to 3/1/52 (f)(h) | 353,351,312 | 348,996,349 | |
3.25% 12/1/41 | 19,870 | 20,087 | |
3.4% 7/1/42 to 9/1/42 | 366,959 | 372,150 | |
3.5% 10/1/33 to 3/1/52 | 452,448,160 | 456,675,628 | |
3.65% 5/1/42 to 8/1/42 | 131,624 | 135,288 | |
3.9% 4/1/42 | 30,329 | 31,465 | |
4% 3/1/36 to 11/1/49 | 151,952,969 | 157,118,632 | |
4.25% 11/1/41 | 66,475 | 69,054 | |
4.5% to 4.5% 6/1/24 to 9/1/49 | 95,132,211 | 100,068,760 | |
5% 11/1/22 to 3/1/45 | 22,884,269 | 24,251,788 | |
5.237% 8/1/41 (b) | 902,986 | 957,708 | |
5.5% 4/1/22 to 5/1/49 | 10,202,127 | 11,033,816 | |
6% to 6% 10/1/22 to 1/1/42 | 11,119,297 | 12,257,688 | |
6.5% 8/1/22 to 4/1/37 | 584,893 | 634,269 | |
6.637% 2/1/39 (b) | 612,577 | 651,788 | |
7% to 7% 3/1/23 to 7/1/37 | 597,883 | 652,899 | |
7.5% to 7.5% 6/1/25 to 11/1/31 | 426,580 | 465,082 | |
8% 8/1/29 to 3/1/37 | 9,302 | 10,675 | |
TOTAL FANNIE MAE | 2,089,094,966 | ||
Freddie Mac - 5.5% | |||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (b)(d) | 21,379 | 21,942 | |
12 month U.S. LIBOR + 1.370% 1.646% 3/1/36 (b)(d) | 81,241 | 83,772 | |
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (b)(d) | 42,312 | 43,738 | |
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (b)(d) | 559,081 | 581,379 | |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (b)(d) | 132,062 | 138,221 | |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (b)(d) | 220,325 | 230,099 | |
12 month U.S. LIBOR + 1.800% 2.05% 5/1/35 (b)(d) | 114,235 | 119,880 | |
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (b)(d) | 28,235 | 29,771 | |
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (b)(d) | 4,950 | 5,217 | |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (b)(d) | 19,612 | 20,485 | |
12 month U.S. LIBOR + 1.900% 2.176% 10/1/42 (b)(d) | 79,958 | 83,690 | |
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (b)(d) | 40,314 | 42,478 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(d) | 52,879 | 55,683 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(d) | 13,922 | 14,647 | |
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (b)(d) | 38,435 | 40,536 | |
12 month U.S. LIBOR + 2.020% 2.327% 4/1/38 (b)(d) | 32,272 | 33,860 | |
12 month U.S. LIBOR + 2.030% 2.281% 3/1/33 (b)(d) | 760 | 787 | |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (b)(d) | 37,049 | 38,864 | |
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (b)(d) | 55,401 | 57,880 | |
6 month U.S. LIBOR + 1.120% 1.424% 8/1/37 (b)(d) | 25,370 | 25,912 | |
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (b)(d) | 2,203 | 2,291 | |
6 month U.S. LIBOR + 1.650% 1.808% 4/1/35 (b)(d) | 80,331 | 83,578 | |
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (b)(d) | 8,990 | 9,381 | |
6 month U.S. LIBOR + 1.840% 2.22% 2/1/37 (b)(d) | 13,769 | 14,379 | |
6 month U.S. LIBOR + 1.880% 2.078% 10/1/36 (b)(d) | 93,010 | 97,054 | |
6 month U.S. LIBOR + 1.990% 2.164% 10/1/35 (b)(d) | 34,296 | 35,832 | |
6 month U.S. LIBOR + 2.020% 2.18% 6/1/37 (b)(d) | 19,206 | 20,103 | |
6 month U.S. LIBOR + 2.680% 2.844% 10/1/35 (b)(d) | 48,321 | 50,870 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (b)(d) | 62,156 | 64,882 | |
U.S. TREASURY 1 YEAR INDEX + 2.240% 2.371% 1/1/35 (b)(d) | 4,242 | 4,422 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.396% 6/1/33 (b)(d) | 112,772 | 117,548 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.516% 3/1/35 (b)(d) | 210,738 | 220,050 | |
1.5% 11/1/50 to 10/1/51 | 9,133,406 | 8,164,895 | |
2% 6/1/50 to 4/1/52 | 448,306,333 | 417,365,799 | |
2.5% 10/1/29 to 1/1/52 | 467,922,174 | 450,236,827 | |
3% 6/1/31 to 3/1/52 | 413,020,928 | 408,359,445 | |
3.5% 12/1/29 to 3/1/52 | 366,993,503 | 371,465,618 | |
3.5% 8/1/47 | 15,394,161 | 15,602,175 | |
4% 1/1/36 to 1/1/49 | 136,793,701 | 141,769,678 | |
4% 4/1/48 | 28,791 | 29,605 | |
4.5% 6/1/25 to 12/1/48 | 42,499,041 | 45,003,841 | |
5% 8/1/33 to 7/1/41 | 13,480,791 | 14,558,441 | |
5.5% 6/1/22 | 421 | 422 | |
6% 1/1/23 to 12/1/37 | 1,046,325 | 1,145,778 | |
6.5% 5/1/26 to 9/1/39 | 1,681,987 | 1,882,501 | |
7% 3/1/26 to 9/1/36 | 405,527 | 450,128 | |
7.5% 4/1/22 to 6/1/32 | 101,751 | 111,578 | |
8% 7/1/24 to 4/1/32 | 14,410 | 15,782 | |
8.5% 5/1/22 to 1/1/28 | 7,995 | 8,675 | |
TOTAL FREDDIE MAC | 1,878,560,419 | ||
Ginnie Mae - 4.6% | |||
3% 5/15/42 to 7/20/51 | 80,743,849 | 80,167,795 | |
3.5% 9/20/40 to 5/20/50 | 70,624,881 | 72,055,780 | |
4% 7/15/39 to 6/20/49 | 177,950,923 | 183,457,168 | |
4.5% 6/20/33 to 8/15/41 | 31,438,129 | 33,415,450 | |
5.5% 7/15/33 to 9/15/39 | 1,167,881 | 1,263,692 | |
6% to 6% 10/15/30 to 5/15/40 | 1,147,536 | 1,265,142 | |
7% to 7% 11/15/22 to 3/15/33 | 1,124,495 | 1,224,627 | |
7.5% to 7.5% 6/15/22 to 9/15/31 | 172,134 | 183,838 | |
8% 5/15/22 to 11/15/29 | 25,757 | 27,341 | |
8.5% 11/15/27 to 11/15/31 | 32,599 | 36,161 | |
9% 1/15/23 | 25 | 25 | |
2% 4/1/52 (c) | 59,700,000 | 56,764,479 | |
2% 4/1/52 (c) | 59,500,000 | 56,574,314 | |
2% 4/1/52 (c) | 21,700,000 | 20,632,985 | |
2% 4/1/52 (c) | 46,650,000 | 44,356,164 | |
2% 4/1/52 (c) | 27,400,000 | 26,052,709 | |
2% 5/1/52 (c) | 59,500,000 | 56,483,671 | |
2% 5/1/52 (c) | 57,250,000 | 54,347,734 | |
2% 5/1/52 (c) | 62,500,000 | 59,331,588 | |
2% 5/1/52 (c) | 57,350,000 | 54,442,665 | |
2.5% 4/1/52 (c) | 36,600,000 | 35,495,928 | |
2.5% 4/1/52 (c) | 48,300,000 | 46,842,987 | |
2.5% 4/1/52 (c) | 4,800,000 | 4,655,204 | |
2.5% 4/1/52 (c) | 1,550,000 | 1,503,243 | |
2.5% 4/1/52 (c) | 13,250,000 | 12,850,302 | |
2.5% 4/1/52 (c) | 14,200,000 | 13,771,644 | |
2.5% 5/1/52 (c) | 119,150,000 | 115,309,057 | |
2.5% 5/1/52 (c) | 42,400,000 | 41,033,185 | |
2.5% 5/1/52 (c) | 52,300,000 | 50,614,047 | |
3% 4/1/52 (c) | 27,150,000 | 26,836,168 | |
3% 4/1/52 (c) | 16,150,000 | 15,963,319 | |
3% 4/1/52 (c) | 13,550,000 | 13,393,373 | |
3% 4/1/52 (c) | 47,000,000 | 46,456,718 | |
3% 4/1/52 (c) | 46,700,000 | 46,160,185 | |
3% 4/1/52 (c) | 13,700,000 | 13,541,639 | |
3% 5/1/52 (c) | 93,200,000 | 91,878,760 | |
3.5% 4/1/52 (c) | 25,300,000 | 25,448,787 | |
3.5% 4/1/52 (c) | 41,350,000 | 41,593,175 | |
3.5% 4/1/52 (c) | 31,200,000 | 31,383,484 | |
3.5% 4/1/52 (c) | 15,500,000 | 15,591,154 | |
3.5% 4/1/52 (c) | 30,500,000 | 30,679,367 | |
4% 4/1/52 (c) | 14,200,000 | 14,478,242 | |
4% 4/1/52 (c) | 14,400,000 | 14,682,161 | |
5% 12/15/32 to 4/20/48 | 13,924,323 | 14,916,629 | |
6.5% 3/20/31 to 6/15/37 | 162,664 | 179,656 | |
TOTAL GINNIE MAE | 1,567,341,742 | ||
Uniform Mortgage Backed Securities - 5.0% | |||
1.5% 4/1/37 (c) | 21,200,000 | 20,104,556 | |
1.5% 4/1/37 (c) | 10,500,000 | 9,957,445 | |
1.5% 4/1/37 (c) | 10,500,000 | 9,957,445 | |
1.5% 4/1/52 (c) | 8,250,000 | 7,359,767 | |
1.5% 4/1/52 (c) | 128,825,000 | 114,923,881 | |
1.5% 4/1/52 (c) | 22,900,000 | 20,428,930 | |
1.5% 5/1/52 (c) | 62,550,000 | 55,702,689 | |
2% 4/1/37 (c) | 43,950,000 | 42,674,782 | |
2% 4/1/37 (c) | 35,000,000 | 33,984,468 | |
2% 4/1/37 (c) | 44,050,000 | 42,771,880 | |
2% 4/1/37 (c) | 44,050,000 | 42,771,880 | |
2% 4/1/37 (c) | 87,250,000 | 84,718,424 | |
2% 4/1/37 (c) | 9,150,000 | 8,884,511 | |
2% 5/1/37 (c) | 71,600,000 | 69,368,686 | |
2% 5/1/37 (c) | 39,150,000 | 37,929,945 | |
2% 4/1/52 (c) | 24,850,000 | 23,064,294 | |
2% 4/1/52 (c) | 61,650,000 | 57,219,868 | |
2% 4/1/52 (c) | 57,600,000 | 53,460,899 | |
2% 4/1/52 (c) | 70,500,000 | 65,433,912 | |
2% 4/1/52 (c) | 2,075,000 | 1,925,892 | |
2% 4/1/52 (c) | 80,450,000 | 74,668,911 | |
2% 4/1/52 (c) | 9,200,000 | 8,538,894 | |
2% 4/1/52 (c) | 19,700,000 | 18,284,370 | |
2% 4/1/52 (c) | 27,400,000 | 25,431,052 | |
2% 5/1/52 (c) | 14,400,000 | 13,341,037 | |
2% 5/1/52 (c) | 118,600,000 | 109,878,263 | |
2.5% 5/1/37 (c) | 56,900,000 | 56,050,972 | |
2.5% 4/1/52 (c) | 53,000,000 | 50,573,596 | |
2.5% 4/1/52 (c) | 90,700,000 | 86,547,645 | |
2.5% 4/1/52 (c) | 57,400,000 | 54,772,159 | |
2.5% 4/1/52 (c) | 26,000,000 | 24,809,689 | |
2.5% 5/1/52 (c) | 92,250,000 | 87,846,502 | |
2.5% 5/1/52 (c) | 84,550,000 | 80,514,056 | |
2.5% 6/1/52 (c) | 29,200,000 | 27,753,689 | |
3% 4/1/52 (c) | 29,000,000 | 28,372,423 | |
3.5% 4/1/52 (c) | 36,400,000 | 36,465,407 | |
3.5% 4/1/52 (c) | 30,500,000 | 30,554,805 | |
3.5% 4/1/52 (c) | 14,200,000 | 14,225,516 | |
3.5% 4/1/52 (c) | 14,400,000 | 14,425,875 | |
3.5% 5/1/52 (c) | 11,500,000 | 11,477,539 | |
3.5% 5/1/52 (c) | 9,550,000 | 9,531,348 | |
4% 4/1/52 (c) | 14,200,000 | 14,491,773 | |
4% 4/1/52 (c) | 14,400,000 | 14,695,883 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,695,895,558 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $7,483,581,446) | 7,230,892,685 | ||
Asset-Backed Securities - 6.1% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (a) | $13,170,973 | $9,088,008 | |
Series 2019-1 Class A, 3.844% 5/15/39 (a) | 14,733,016 | 9,445,873 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (a) | 25,067,468 | 19,902,476 | |
Class B, 4.458% 10/16/39 (a) | 4,664,187 | 3,032,170 | |
Series 2021-1A Class A, 2.95% 11/16/41 (a) | 28,199,126 | 23,341,866 | |
Series 2021-2A Class A, 2.798% 1/15/47 (a) | 51,205,386 | 47,166,398 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | 9,684,000 | 9,633,125 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(d) | 7,556,000 | 7,496,156 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.3713% 10/17/34 (a)(b)(d) | 17,910,000 | 17,716,536 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 1.244% 4/20/34 (a)(b)(d) | 43,014,000 | 42,408,105 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.394% 7/20/34 (a)(b)(d) | 21,007,000 | 20,798,926 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (a) | 10,605,043 | 9,330,374 | |
Class B, 4.335% 1/16/40 (a) | 2,108,877 | 977,461 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (a)(b)(d) | 24,769,000 | 24,657,218 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3713% 7/15/34 (a)(b)(d) | 26,517,000 | 26,352,595 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, UNITED STATES 90 DAY AVERAGE S + 1.330% 1.5112% 1/15/35 (a)(b)(d) | 37,068,000 | 36,981,224 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 1.3113% 4/15/34 (a)(b)(d) | 29,947,000 | 29,725,692 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4913% 4/17/33 (a)(b)(d) | 60,917,000 | 60,530,847 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/36 (a)(b)(d) | 17,946,000 | 17,771,870 | |
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.474% 1/20/32 (a)(b)(d) | 28,600,000 | 28,429,944 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.5587% 1/17/35 (a)(b)(d) | 38,048,000 | 37,957,902 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (a)(b)(d) | 27,114,000 | 26,863,738 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 32,068,574 | 29,939,901 | |
Class AA, 2.487% 12/16/41 (a)(b) | 4,226,625 | 4,025,486 | |
Series 2021-1A Class A, 2.443% 7/15/46 (a) | 36,964,844 | 33,808,257 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.1077% 7/25/29 (b)(d) | 251,164 | 251,304 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (a)(b)(d) | 28,924,000 | 28,842,348 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (a) | 23,941,430 | 21,685,257 | |
Class B, 5.095% 4/15/39 (a) | 10,307,675 | 8,692,439 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (a) | 16,711,529 | 15,068,383 | |
Series 2021-1A Class A, 3.474% 1/15/46 (a) | 8,191,340 | 7,586,381 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(d) | 21,787,000 | 21,576,908 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 2.0327% 4/20/35 (a)(b)(d) | 35,314,000 | 35,271,941 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3877% 10/25/34 (a)(b)(d) | 16,882,000 | 16,708,234 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 1.304% 4/20/34 (a)(b)(d) | 26,059,000 | 25,766,019 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.424% 10/20/34 (a)(b)(d) | 27,352,000 | 27,084,443 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.454% 4/20/34 (a)(b)(d) | 28,400,000 | 28,150,336 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.564% 1/20/34 (a)(b)(d) | 37,850,000 | 37,543,756 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 932,891 | 933,173 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (a) | 25,342,080 | 25,422,009 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 2.204% 4/20/35 (a)(b)(d) | 19,817,000 | 19,770,490 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(d) | 18,048,000 | 17,851,169 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4613% 1/18/32 (a)(b)(d) | 22,160,000 | 22,064,646 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4213% 4/17/33 (a)(b)(d) | 20,000,000 | 19,849,620 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/35 (a)(b)(d) | 23,913,000 | 23,691,350 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.2897% 2/20/35 (a)(b)(d) | 14,569,000 | 14,429,371 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(d) | 12,634,000 | 12,550,894 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 1/15/35 (a)(b)(d) | 32,919,000 | 32,717,174 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.4913% 1/15/34 (a)(b)(d) | 6,000,000 | 5,959,218 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 19,526,783 | 19,114,739 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.358% 7/19/34 (a)(b)(d) | 19,090,000 | 18,931,438 | |
Class AR, 3 month U.S. LIBOR + 1.080% 1.5386% 11/16/34 (a)(b)(d) | 27,750,000 | 27,497,780 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.7796% 11/20/33 (a)(b)(d) | 27,700,000 | 27,532,498 | |
Ford Credit Floorplan Master Owner Trust Series 2019-3 Class A1, 2.23% 9/15/24 | 12,531,000 | 12,564,824 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 11,682,349 | 10,756,840 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 14,222,969 | 12,686,652 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.2485% 10/22/34 (a)(b)(d) | 19,246,000 | 19,036,623 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 2.0223% 4/15/35 (a)(b)(d) | 46,050,000 | 45,941,184 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 22,374,000 | 22,321,846 | |
Long Beach Mortgage Loan Trust Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.120% 1.5816% 7/25/33 (b)(d) | 847,174 | 835,369 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4513% 1/15/33 (a)(b)(d) | 13,900,000 | 13,830,389 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.388% 4/19/34 (a)(b)(d) | 30,470,000 | 30,302,354 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 1.1926% 1/22/35 (a)(b)(d) | 32,026,000 | 31,702,890 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.3613% 7/15/34 (a)(b)(d) | 19,039,000 | 18,950,811 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 1.4589% 1/22/31 (a)(b)(d) | 7,913,000 | 7,909,384 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.394% 10/20/34 (a)(b)(d) | 6,442,000 | 6,379,261 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 1.2622% 10/25/34 (a)(b)(d) | 32,900,000 | 32,613,671 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 1.274% 4/20/34 (a)(b)(d) | 25,147,000 | 24,908,481 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 1.251% 1/25/35 (a)(b)(d) | 23,616,000 | 23,362,955 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.2313% 1/15/34 (a)(b)(d) | 26,100,000 | 25,878,515 | |
Marlette Funding Trust: | |||
Series 2021-3A Class A, 0.65% 12/15/31 (a) | 13,479,343 | 13,304,715 | |
Series 2022-1A Class A, 1.36% 4/15/32 (a) | 17,000,000 | 16,885,896 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/30 (a)(b)(d) | 28,992,000 | 28,824,600 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.7016% 1/25/36 (b)(d) | 1,248,629 | 1,244,432 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.384% 10/20/34 (a)(b)(d) | 10,625,000 | 10,510,006 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 22,488,365 | 21,187,233 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (a) | 22,902,000 | 21,795,444 | |
Class A2II, 4.008% 12/5/51 (a) | 20,465,000 | 18,975,946 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (a)(b) | 7,543,342 | 7,260,702 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) | 22,544,161 | 20,093,561 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.374% 4/20/34 (a)(b)(d) | 35,857,000 | 35,590,941 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (a)(b)(d) | 38,243,000 | 38,153,358 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (a) | 21,689,800 | 19,579,634 | |
Class B, 4.335% 3/15/40 (a) | 2,308,845 | 1,805,708 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 28,285,000 | 27,844,040 | |
1.884% 7/15/50 (a) | 10,516,000 | 9,931,853 | |
2.328% 7/15/52 (a) | 8,041,000 | 7,629,087 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.296% 12/15/27 (a)(b)(d) | 101,602 | 101,574 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (a) | 9,663,625 | 8,997,550 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.85% 4/23/35 (a)(b)(d) | 39,612,000 | 39,544,620 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(d) | 3,663,000 | 3,637,399 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 1.228% 4/19/34 (a)(b)(d) | 15,000,000 | 14,834,310 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.334% 4/20/33 (a)(b)(d) | 22,750,000 | 22,674,334 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.3166% 9/25/34 (b)(d) | 63,433 | 62,007 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 33,654,178 | 30,007,717 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 32,552,013 | 28,543,262 | |
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6575% 3/25/58 (a)(b) | 956,657 | 954,619 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.776% 4/6/42 (a)(b)(d) | 3,641,000 | 2,653,925 | |
Upstart Securitization Trust: | |||
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 19,038,603 | 18,709,544 | |
Series 2021-4 Class A, 0.84% 9/20/31 (a) | 27,209,693 | 26,468,525 | |
3.12% 3/20/32 (a) | 15,800,000 | 15,669,374 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.524% 7/20/32 (a)(b)(d) | 31,233,000 | 31,092,889 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.408% 7/19/34 (a)(b)(d) | 17,782,000 | 17,689,889 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(d) | 36,484,000 | 36,207,597 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 7/16/34 (a)(b)(d) | 17,721,000 | 17,592,718 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $2,168,180,241) | 2,095,966,524 | ||
Collateralized Mortgage Obligations - 1.3% | |||
Private Sponsor - 0.8% | |||
Ajax Mortgage Loan Trust sequential payer: | |||
Series 2021-C Class A, 2.115% 1/25/61 (a) | 5,194,030 | 5,096,611 | |
Series 2021-E Class A1, 1.74% 12/25/60 (a) | 12,181,701 | 11,300,489 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (a) | 17,252,385 | 16,740,707 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 15,339,242 | 14,948,858 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (a) | 17,157,636 | 16,953,578 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (a)(b) | 21,661,817 | 21,329,514 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 16,711,858 | 16,529,985 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 19,009,155 | 18,818,664 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (a) | 23,552,790 | 23,185,635 | |
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (a) | 20,457,546 | 19,719,035 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (a)(b) | 32,200,000 | 31,591,378 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 9,000,000 | 9,010,746 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 15,961,960 | 16,007,912 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (a) | 11,679,104 | 11,653,162 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) | 10,407,310 | 10,014,647 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (a) | 10,720,837 | 10,401,794 | |
RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) | 8,898,048 | 8,541,722 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(d) | 12,970 | 12,553 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.0966% 9/25/43 (b)(d) | 865,917 | 840,000 | |
TOTAL PRIVATE SPONSOR | 262,696,990 | ||
U.S. Government Agency - 0.5% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 1.2566% 2/25/32 (b)(d) | 8,292 | 8,416 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.4676% 3/18/32 (b)(d) | 15,394 | 15,711 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.4566% 4/25/32 (b)(d) | 17,549 | 17,924 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.4566% 10/25/32 (b)(d) | 23,004 | 23,499 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 1.2066% 1/25/32 (b)(d) | 8,236 | 8,343 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.6434% 12/25/33 (b)(i)(j) | 301,059 | 61,210 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.2234% 11/25/36 (b)(i)(j) | 210,499 | 31,611 | |
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.7566% 1/25/43 (b)(d) | 825,971 | 824,241 | |
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.8066% 5/25/47 (b)(d) | 1,659,047 | 1,655,304 | |
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.7566% 5/25/48 (b)(d) | 951,637 | 947,193 | |
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.7566% 6/25/48 (b)(d) | 2,268,624 | 2,257,812 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 637 | 645 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 34,231 | 34,818 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 13,562 | 13,821 | |
Series 1999-17 Class PG, 6% 4/25/29 | 96,084 | 101,310 | |
Series 1999-32 Class PL, 6% 7/25/29 | 105,771 | 111,825 | |
Series 1999-33 Class PK, 6% 7/25/29 | 80,423 | 84,993 | |
Series 1999-54 Class PH, 6.5% 11/18/29 | 178,880 | 189,024 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 280,359 | 293,231 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 11,385 | 11,991 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 12,438 | 12,656 | |
Series 2005-102 Class CO 11/25/35 (k) | 52,280 | 46,405 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 16.3629% 8/25/35 (b)(j) | 13,527 | 15,946 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 145,921 | 156,475 | |
Series 2006-12 Class BO 10/25/35 (k) | 253,563 | 226,056 | |
Series 2006-15 Class OP 3/25/36 (k) | 291,619 | 253,070 | |
Series 2006-37 Class OW 5/25/36 (k) | 26,965 | 22,837 | |
Series 2006-45 Class OP 6/25/36 (k) | 91,911 | 78,105 | |
Series 2006-62 Class KP 4/25/36 (k) | 151,821 | 132,282 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 396,695 | 379,902 | |
Class GA, 1.75% 6/25/42 | 430,332 | 413,024 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 19,784 | 20,910 | |
Series 1999-25 Class Z, 6% 6/25/29 | 89,577 | 92,860 | |
Series 2001-20 Class Z, 6% 5/25/31 | 108,358 | 114,936 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 57,525 | 60,219 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 37,681 | 39,761 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.0934% 11/25/32 (b)(i)(j) | 119,303 | 9,828 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (i) | 174,026 | 8,132 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.1834% 12/25/36 (b)(i)(j) | 146,920 | 27,264 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.9834% 5/25/37 (b)(i)(j) | 74,293 | 13,591 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 18.5084% 9/25/23 (b)(j) | 1,672 | 1,775 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.6434% 3/25/33 (b)(i)(j) | 17,894 | 3,299 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 1,185,892 | 1,220,768 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 652,429 | 707,302 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 37.8806% 6/25/37 (b)(j) | 67,879 | 116,057 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 36.8606% 7/25/37 (b)(j) | 100,902 | 173,065 | |
Class SB, 39.600% - 1 month U.S. LIBOR 36.8606% 7/25/37 (b)(j) | 30,664 | 45,421 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.8934% 3/25/38 (b)(i)(j) | 503,664 | 78,573 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.5934% 12/25/40 (b)(i)(j) | 507,584 | 68,543 | |
Class ZA, 4.5% 12/25/40 | 208,970 | 231,294 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (i) | 195,363 | 7,339 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 2,132,042 | 2,313,616 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 4,775,067 | 5,166,867 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 355,178 | 381,823 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 707,613 | 751,022 | |
Series 2011-67 Class AI, 4% 7/25/26 (i) | 59,490 | 2,230 | |
Series 2011-83 Class DI, 6% 9/25/26 (i) | 6,391 | 67 | |
Series 2012-100 Class WI, 3% 9/25/27 (i) | 1,207,073 | 74,365 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.1934% 12/25/30 (b)(i)(j) | 209,101 | 6,936 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.0934% 6/25/41 (b)(i)(j) | 175,477 | 4,880 | |
Series 2013-133 Class IB, 3% 4/25/32 (i) | 483,846 | 18,604 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.5934% 1/25/44 (b)(i)(j) | 333,666 | 58,566 | |
Series 2013-51 Class GI, 3% 10/25/32 (i) | 335,287 | 22,812 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.2634% 6/25/35 (b)(i)(j) | 422,272 | 55,704 | |
Series 2015-42 Class IL, 6% 6/25/45 (i) | 2,156,266 | 405,643 | |
Series 2015-70 Class JC, 3% 10/25/45 | 2,359,004 | 2,350,283 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 1,163,473 | 223,534 | |
Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 5.7434% 10/25/47 (b)(i)(j) | 12,771,968 | 2,009,911 | |
Series 2018-3 Class SB, 6.150% - 1 month U.S. LIBOR 5.6934% 2/25/48 (b)(i)(j) | 31,241,763 | 4,580,052 | |
Series 2018-44 Class SA, 6.200% - 1 month U.S. LIBOR 5.7434% 6/25/48 (b)(i)(j) | 7,514,160 | 1,088,973 | |
Series 2019-67 Class SA, 6.050% - 1 month U.S. LIBOR 5.5934% 11/25/49 (b)(i)(j) | 27,340,872 | 4,709,801 | |
Series 2019-82 Class PI, 4% 6/25/49 (i) | 8,573,804 | 1,295,203 | |
Series 2020-13 Class A/S, 6.200% - 1 month U.S. LIBOR 5.7434% 8/25/48 (b)(i)(j) | 10,451,251 | 1,511,579 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (i) | 78,420 | 13,682 | |
Series 343 Class 16, 5.5% 5/25/34 (i) | 69,134 | 11,124 | |
Series 348 Class 14, 6.5% 8/25/34 (b)(i) | 48,458 | 10,165 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(i) | 28,312 | 5,061 | |
Class 13, 6% 3/25/34 (i) | 44,469 | 7,852 | |
Series 359 Class 19, 6% 7/25/35 (b)(i) | 24,748 | 4,830 | |
Series 384 Class 6, 5% 7/25/37 (i) | 297,608 | 52,228 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 1.1966% 1/15/32 (b)(d) | 6,289 | 6,386 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.2966% 3/15/32 (b)(d) | 9,468 | 9,641 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.3966% 3/15/32 (b)(d) | 9,499 | 9,699 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.2966% 6/15/31 (b)(d) | 16,551 | 16,820 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.2966% 3/15/32 (b)(d) | 5,284 | 5,378 | |
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.7466% 8/15/47 (b)(d) | 903,768 | 902,134 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.6466% 5/15/37 (b)(d) | 368,028 | 369,083 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 120,706 | 127,773 | |
Series 2101 Class PD, 6% 11/15/28 | 9,943 | 10,526 | |
Series 2121 Class MG, 6% 2/15/29 | 47,249 | 49,980 | |
Series 2131 Class BG, 6% 3/15/29 | 347,305 | 367,887 | |
Series 2137 Class PG, 6% 3/15/29 | 56,513 | 59,897 | |
Series 2154 Class PT, 6% 5/15/29 | 93,351 | 98,940 | |
Series 2162 Class PH, 6% 6/15/29 | 18,978 | 20,043 | |
Series 2520 Class BE, 6% 11/15/32 | 146,060 | 157,541 | |
Series 2693 Class MD, 5.5% 10/15/33 | 332,947 | 344,149 | |
Series 2802 Class OB, 6% 5/15/34 | 135,305 | 143,675 | |
Series 3002 Class NE, 5% 7/15/35 | 360,855 | 378,167 | |
Series 3110 Class OP 9/15/35 (k) | 125,243 | 117,125 | |
Series 3119 Class PO 2/15/36 (k) | 352,721 | 304,204 | |
Series 3121 Class KO 3/15/36 (k) | 51,055 | 44,691 | |
Series 3123 Class LO 3/15/36 (k) | 199,103 | 172,558 | |
Series 3145 Class GO 4/15/36 (k) | 207,045 | 180,143 | |
Series 3189 Class PD, 6% 7/15/36 | 309,886 | 337,939 | |
Series 3225 Class EO 10/15/36 (k) | 107,861 | 92,258 | |
Series 3258 Class PM, 5.5% 12/15/36 | 135,105 | 145,204 | |
Series 3415 Class PC, 5% 12/15/37 | 135,739 | 141,964 | |
Series 3806 Class UP, 4.5% 2/15/41 | 631,683 | 651,020 | |
Series 3832 Class PE, 5% 3/15/41 | 1,409,185 | 1,479,502 | |
Series 4135 Class AB, 1.75% 6/15/42 | 322,076 | 309,854 | |
Series 4765 Class PE, 3% 12/15/41 | 207,983 | 208,715 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 23,827 | 25,063 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 33,361 | 34,884 | |
Series 2281 Class ZB, 6% 3/15/30 | 67,148 | 70,923 | |
Series 2303 Class ZV, 6% 4/15/31 | 33,477 | 35,571 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 260,492 | 281,186 | |
Series 2502 Class ZC, 6% 9/15/32 | 65,094 | 70,144 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 95,520 | 102,046 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 8,312 | 8,458 | |
Series 2601 Class TB, 5.5% 4/15/23 | 3,646 | 3,712 | |
Series 2998 Class LY, 5.5% 7/15/25 | 39,172 | 41,641 | |
Series 3871 Class KB, 5.5% 6/15/41 | 1,795,439 | 1,955,229 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.2034% 2/15/36 (b)(i)(j) | 99,044 | 13,781 | |
Series 2013-4281 Class AI, 4% 12/15/28 (i) | 491,344 | 15,738 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 3,089,939 | 3,067,531 | |
Series 2017-4720 Class IO, 4% 9/15/47 (i) | 10,524,781 | 1,875,138 | |
Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 5.8034% 8/15/47 (b)(i)(j) | 6,628,875 | 959,487 | |
Series 2018-4765 Class IB, 4% 3/15/48 (i) | 9,228,679 | 1,650,734 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 44.2223% 8/15/24 (b)(j) | 4 | 4 | |
Class SD, 86.400% - 1 month U.S. LIBOR 81.2946% 8/15/24 (b)(j) | 6 | 7 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 1,506,710 | 1,651,628 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 1,258,767 | 1,356,310 | |
Series 2947 Class XZ, 6% 3/15/35 | 594,699 | 645,530 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 981,037 | 1,055,204 | |
Series 3237 Class C, 5.5% 11/15/36 | 1,455,829 | 1,542,893 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.2634% 11/15/36 (b)(i)(j) | 454,770 | 76,412 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.3534% 3/15/37 (b)(i)(j) | 661,742 | 127,603 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.3634% 4/15/37 (b)(i)(j) | 950,609 | 165,986 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.1834% 6/15/37 (b)(i)(j) | 334,601 | 50,476 | |
Series 3949 Class MK, 4.5% 10/15/34 | 261,819 | 271,249 | |
Series 4055 Class BI, 3.5% 5/15/31 (i) | 530,871 | 21,287 | |
Series 4149 Class IO, 3% 1/15/33 (i) | 173,969 | 15,481 | |
Series 4314 Class AI, 5% 3/15/34 (i) | 186,204 | 8,789 | |
Series 4427 Class LI, 3.5% 2/15/34 (i) | 1,275,782 | 108,591 | |
Series 4471 Class PA 4% 12/15/40 | 1,338,595 | 1,360,231 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 53,466 | 56,318 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0911% 2/15/24 (b)(d) | 9,571 | 9,596 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 39,286 | 41,464 | |
Series 2056 Class Z, 6% 5/15/28 | 93,718 | 99,083 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.6966% 5/15/48 (b)(d) | 1,485,050 | 1,476,807 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 2,945,757 | 3,064,496 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 1,267,913 | 1,287,809 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.2594% 6/16/37 (b)(i)(j) | 183,871 | 29,989 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.7806% 3/20/60 (b)(d)(l) | 2,403,881 | 2,399,854 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.5606% 7/20/60 (b)(d)(l) | 330,274 | 328,170 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4063% 9/20/60 (b)(d)(l) | 394,770 | 392,045 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4063% 8/20/60 (b)(d)(l) | 356,490 | 354,161 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4863% 12/20/60 (b)(d)(l) | 906,430 | 901,740 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6063% 12/20/60 (b)(d)(l) | 908,736 | 906,281 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6063% 2/20/61 (b)(d)(l) | 979,400 | 976,877 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5963% 2/20/61 (b)(d)(l) | 1,470,110 | 1,466,049 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6063% 4/20/61 (b)(d)(l) | 847,822 | 845,504 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 0.6063% 5/20/61 (b)(d)(l) | 1,353,353 | 1,349,688 | |
Class FC, 1 month U.S. LIBOR + 0.500% 0.6063% 5/20/61 (b)(d)(l) | 1,001,659 | 998,925 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6363% 6/20/61 (b)(d)(l) | 1,184,771 | 1,182,223 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6563% 9/20/61 (b)(d)(l) | 3,175,092 | 3,169,312 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7063% 10/20/61 (b)(d)(l) | 1,344,175 | 1,342,851 | |
Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 0.8486% 8/20/42 (b)(d) | 814,295 | 815,858 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8063% 11/20/61 (b)(d)(l) | 1,319,168 | 1,320,197 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8063% 1/20/62 (b)(d)(l) | 804,490 | 804,973 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7363% 1/20/62 (b)(d)(l) | 1,134,495 | 1,134,057 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7363% 3/20/62 (b)(d)(l) | 731,958 | 732,563 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7563% 5/20/61 (b)(d)(l) | 21,382 | 21,389 | |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 0.6263% 10/20/62 (b)(d)(l) | 30,742 | 30,674 | |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 0.4663% 3/20/63 (b)(d)(l) | 38,587 | 38,374 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7063% 1/20/64 (b)(d)(l) | 942,335 | 941,417 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7063% 12/20/63 (b)(d)(l) | 3,969,448 | 3,964,789 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6063% 6/20/64 (b)(d)(l) | 1,020,819 | 1,018,133 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.4063% 3/20/65 (b)(d)(l) | 10,608 | 10,550 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3863% 5/20/63 (b)(d)(l) | 22,365 | 22,170 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3063% 4/20/63 (b)(d)(l) | 21,089 | 20,898 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5063% 12/20/62 (b)(d)(l) | 61,281 | 60,926 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.9486% 10/20/49 (b)(d) | 2,089,203 | 2,096,297 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.8986% 2/20/49 (b)(d) | 4,491,012 | 4,519,591 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.1029% 12/20/40 (b)(j) | 1,801,834 | 1,839,996 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (i) | 79,179 | 5,294 | |
Series 2016-69 Class WA, 3% 2/20/46 | 861,971 | 854,501 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 473,985 | 465,956 | |
Series 2017-153 Class GA, 3% 9/20/47 | 4,058,177 | 4,001,195 | |
Series 2017-182 Class KA, 3% 10/20/47 | 3,188,962 | 3,160,346 | |
Series 2018-13 Class Q, 3% 4/20/47 | 4,230,292 | 4,199,505 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 524,180 | 531,341 | |
Series 2010-160 Class DY, 4% 12/20/40 | 3,700,966 | 3,741,892 | |
Series 2010-170 Class B, 4% 12/20/40 | 830,793 | 840,120 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (l) | 114,799 | 114,652 | |
Series 2017-139 Class BA, 3% 9/20/47 | 9,145,678 | 9,075,668 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.0694% 5/16/34 (b)(i)(j) | 108,896 | 14,342 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 6.7694% 8/17/34 (b)(i)(j) | 106,540 | 18,276 | |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 37.6166% 6/16/37 (b)(j) | 4,949 | 7,252 | |
Series 2010-116 Class QB, 4% 9/16/40 | 288,172 | 293,562 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.5194% 2/16/40 (b)(i)(j) | 730,674 | 82,093 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.5606% 5/20/60 (b)(d)(l) | 1,081,604 | 1,075,076 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.6514% 7/20/41 (b)(i)(j) | 346,647 | 54,453 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.2694% 6/16/42 (b)(i)(j) | 396,467 | 61,174 | |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.0686% 4/20/39 (b)(j) | 25,667 | 25,810 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 3,463,016 | 3,476,203 | |
Series 2014-2 Class BA, 3% 1/20/44 | 7,490,767 | 7,387,439 | |
Series 2014-21 Class HA, 3% 2/20/44 | 2,751,076 | 2,718,321 | |
Series 2014-25 Class HC, 3% 2/20/44 | 4,750,760 | 4,650,798 | |
Series 2014-5 Class A, 3% 1/20/44 | 4,173,364 | 4,115,997 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 32,797 | 32,202 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.19% 5/20/66 (b)(d)(l) | 7,298,134 | 7,255,205 | |
Series 2017-186 Class HK, 3% 11/16/45 | 3,995,738 | 3,935,306 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.04% 8/20/66 (b)(d)(l) | 8,178,719 | 8,111,167 | |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.235% 5/20/65 (b)(l) | 171,770 | 174,259 | |
TOTAL U.S. GOVERNMENT AGENCY | 177,091,372 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $460,852,292) | 439,788,362 | ||
Commercial Mortgage Securities - 6.1% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.452% 1/15/39 (a)(b)(d) | 20,613,000 | 20,439,482 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.852% 1/15/39 (a)(b)(d) | 3,893,000 | 3,853,373 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.452% 1/15/39 (a)(b)(d) | 2,780,000 | 2,752,109 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (a) | 38,000,000 | 37,129,758 | |
Class ANM, 3.112% 11/5/32 (a) | 17,278,000 | 16,907,487 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (a) | 3,878,000 | 3,728,240 | |
Class CNM, 3.7186% 11/5/32 (a)(b) | 1,604,000 | 1,516,114 | |
BANK: | |||
sequential payer Series 2019-BN21 Class A5, 2.851% 10/17/52 | 2,858,000 | 2,762,582 | |
Series 2020-BN25 Class XB, 0.4399% 1/15/63 (b)(i) | 31,293,000 | 955,357 | |
Bayview Commercial Asset Trust Series 2004-1, Class IO, 1.25% 4/25/34 (a)(i) | 460,850 | 18,089 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B4 Class A5, 4.121% 7/15/51 | 3,240,000 | 3,367,491 | |
Series 2019-B14 Class XA, 0.7819% 12/15/62 (b)(i) | 108,997,057 | 4,369,354 | |
Series 2020-B17 Class XA, 1.4179% 3/15/53 (b)(i) | 109,785,501 | 8,238,337 | |
Series 2020-B18 Class XA, 1.7916% 7/15/53 (b)(i) | 51,164,153 | 4,937,116 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.447% 11/15/28 (a)(b)(d) | 15,266,000 | 15,113,053 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2018-BIOA Class A, 1 month U.S. LIBOR + 0.670% 1.0681% 3/15/37 (a)(b)(d) | 22,825,381 | 22,639,074 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 1.0861% 10/15/36 (a)(b)(d) | 37,043,000 | 36,317,772 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.2958% 10/15/36 (a)(b)(d) | 5,541,000 | 5,360,606 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.4956% 10/15/36 (a)(b)(d) | 7,417,000 | 7,129,104 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.6953% 10/15/36 (a)(b)(d) | 7,201,000 | 6,912,465 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.3445% 10/15/36 (a)(b)(d) | 25,035,000 | 24,115,672 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 1.0493% 5/15/38 (a)(b)(d) | 31,100,000 | 30,321,396 | |
Series 2022-LP2: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.3179% 2/15/39 (a)(b)(d) | 52,261,000 | 51,213,355 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.310% 1.6173% 2/15/39 (a)(b)(d) | 15,746,000 | 15,420,870 | |
Class C, CME TERM SOFR 1 MONTH + 1.560% 1.8667% 2/15/39 (a)(b)(d) | 15,746,000 | 15,411,429 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 1.960% 2.2658% 2/15/39 (a)(b)(d) | 15,746,000 | 15,390,851 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.273% 11/15/32 (a)(b)(d) | 6,805,000 | 6,732,434 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.397% 11/15/32 (a)(b)(d) | 18,522,161 | 18,388,166 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.4846% 9/15/37 (a)(b)(d) | 8,944,271 | 8,843,953 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.722% 9/15/37 (a)(b)(d) | 10,172,653 | 9,828,890 | |
Class D, 1 month U.S. LIBOR + 2.620% 3.022% 9/15/37 (a)(b)(d) | 7,790,221 | 6,612,709 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 2.197% 11/15/35 (a)(b)(d) | 6,369,513 | 6,365,674 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.697% 4/15/34 (a)(b)(d) | 15,742,000 | 15,486,597 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.997% 4/15/34 (a)(b)(d) | 10,407,000 | 10,211,584 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.297% 4/15/34 (a)(b)(d) | 10,925,000 | 10,663,681 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.477% 10/15/36 (a)(b)(d) | 11,924,650 | 11,819,675 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.647% 10/15/36 (a)(b)(d) | 14,991,450 | 14,854,753 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.847% 10/15/36 (a)(b)(d) | 21,234,700 | 21,034,391 | |
Class E, 1 month U.S. LIBOR + 1.800% 2.197% 10/15/36 (a)(b)(d) | 29,835,850 | 29,517,678 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.247% 11/15/38 (a)(b)(d) | 34,500,000 | 34,037,255 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 1.0329% 10/15/26 (a)(b)(d) | 32,600,000 | 31,620,406 | |
floater sequential payer Series 2021-SOAR Class A, 1.067% 6/15/38 (a)(b) | 36,700,000 | 35,918,345 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.397% 4/15/34 (a)(b)(d) | 29,901,000 | 29,565,624 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.317% 10/15/36 (a)(b)(d) | 15,099,698 | 15,033,944 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 1.467% 12/15/37 (a)(b)(d) | 6,700,000 | 6,672,513 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (a) | 66,149,222 | 62,563,921 | |
Class A2, 1.99% 7/15/60 (a) | 25,883,850 | 23,819,144 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 47,948,455 | 44,598,368 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.3466% 11/15/36 (a)(b)(d) | 12,876,000 | 12,730,935 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.6466% 11/15/36 (a)(b)(d) | 6,900,000 | 6,813,237 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.517% 6/15/34 (a)(b)(d) | 41,992,492 | 41,569,745 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.897% 6/15/34 (a)(b)(d) | 7,406,936 | 7,295,082 | |
Class C, 1 month U.S. LIBOR + 1.750% 2.147% 6/15/34 (a)(b)(d) | 8,366,929 | 8,156,344 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class B, 1 month U.S. LIBOR + 1.900% 2.297% 8/15/36 (a)(b)(d) | 4,569,807 | 4,453,042 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.697% 8/15/36 (a)(b)(d) | 3,929,250 | 3,815,813 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.447% 8/15/36 (a)(b)(d) | 4,851,750 | 4,689,584 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC17 Class A/S, 4.544% 11/10/46 | 7,000,000 | 7,134,214 | |
Series 2019-GC41 Class XA, 1.0554% 8/10/56 (b)(i) | 52,026,372 | 2,984,321 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2012=CR5 Class AM, 3.223% 12/10/45 (a) | 2,000,000 | 2,005,043 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 5,493,000 | 5,553,057 | |
Series 2012-CR1 Class AM, 3.912% 5/15/45 | 665,761 | 664,800 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.377% 5/15/36 (a)(b)(d) | 44,040,000 | 43,802,197 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 8,470,828 | 8,064,211 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 18,322,000 | 18,118,543 | |
Class B, 4.5349% 4/15/36 (a) | 5,603,000 | 5,483,189 | |
Class C, 4.782% 4/15/36 (a)(b) | 3,781,000 | 3,677,390 | |
Class D, 4.782% 4/15/36 (a)(b) | 7,560,000 | 7,188,370 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 1.098% 11/15/38 (a)(b)(d) | 51,838,000 | 50,829,004 | |
Class B, 1 month U.S. LIBOR + 1.120% 1.5172% 11/15/38 (a)(b)(d) | 6,300,000 | 6,169,651 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.477% 7/15/38 (a)(b)(d) | 16,550,142 | 16,352,682 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.777% 7/15/38 (a)(b)(d) | 9,425,988 | 9,302,312 | |
Class C, 1 month U.S. LIBOR + 1.700% 2.097% 7/15/38 (a)(b)(d) | 6,949,231 | 6,848,884 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.647% 7/15/38 (a)(b)(d) | 14,052,514 | 13,840,794 | |
Freddie Mac: | |||
floater: | |||
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2997% 1/25/31 (b)(d) | 20,504,323 | 20,504,323 | |
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2997% 2/25/31 (b)(d) | 35,158,488 | 34,799,899 | |
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2797% 4/25/31 (b)(d) | 37,674,000 | 37,674,000 | |
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2797% 5/25/28 (b)(d) | 32,688,475 | 32,688,475 | |
Series 2021-F114 Class A/S, 0.2697% 5/25/31 (b) | 73,132,000 | 72,305,769 | |
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2597% 6/25/31 (b)(d) | 65,300,312 | 65,300,312 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.2297% 8/25/28 (b)(d) | 13,350,000 | 13,216,164 | |
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2697% 10/25/31 (b)(d) | 68,795,000 | 68,017,334 | |
sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31 | 1,500,000 | 1,407,670 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 2.097% 9/15/31 (a)(b)(d) | 9,342,196 | 9,291,187 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.347% 10/15/36 (a)(b)(d) | 21,765,000 | 21,351,315 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.547% 10/15/36 (a)(b)(d) | 3,364,000 | 3,293,357 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.947% 10/15/36 (a)(b)(d) | 2,773,000 | 2,693,703 | |
Series 2011-GC5 Class A/S, 5.1634% 8/10/44 (a)(b) | 5,674,976 | 5,685,107 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 14,957,000 | 14,987,964 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 3,955,000 | 4,021,122 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-C21 Class A4, 3.4927% 8/15/47 | 5,637,475 | 5,646,327 | |
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 6,681,000 | 6,708,048 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 1,558,000 | 1,556,617 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.397% 9/15/29 (a)(b)(d) | 12,313,855 | 12,252,242 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) | 14,000,000 | 14,017,937 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 3,100,000 | 3,102,165 | |
Series 2013-C10 Class A/S, 3.3715% 12/15/47 | 4,900,000 | 4,927,387 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 2,784,000 | 2,832,700 | |
Series 2018-WPT: | |||
Class CFX, 4.9498% 7/5/33 (a) | 3,450,000 | 3,483,463 | |
Class DFX, 5.3503% 7/5/33 (a) | 5,907,000 | 5,957,210 | |
Class EFX, 5.5422% 7/5/33 (a) | 7,262,000 | 7,252,778 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 1.097% 3/15/38 (a)(b)(d) | 30,384,590 | 29,700,038 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.277% 3/15/38 (a)(b)(d) | 7,331,974 | 7,093,352 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.497% 3/15/38 (a)(b)(d) | 4,613,079 | 4,457,185 | |
Class D, 1 month U.S. LIBOR + 1.400% 1.797% 3/15/38 (a)(b)(d) | 6,416,829 | 6,199,971 | |
Class E, 1 month U.S. LIBOR + 1.750% 2.147% 3/15/38 (a)(b)(d) | 5,605,879 | 5,388,368 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 1.097% 7/15/38 (a)(b)(d) | 17,747,000 | 17,412,698 | |
MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 1.198% 4/15/38 (a)(b)(d) | 33,700,000 | 33,151,677 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2016-C28 Class A3, 3.272% 1/15/49 | 27,128,074 | 26,783,448 | |
Series 2017-C33 Class A4, 3.337% 5/15/50 | 36,600,000 | 36,217,794 | |
Series 2012-C5 Class A/S, 3.792% 8/15/45 | 12,500,000 | 12,509,054 | |
Series 2012-C6 Class A/S, 3.476% 11/15/45 | 11,700,000 | 11,721,975 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 1.647% 8/15/33 (a)(b)(d) | 625,292 | 621,555 | |
Class C, 1 month U.S. LIBOR + 1.500% 1.897% 8/15/33 (a)(b)(d) | 1,505,393 | 1,492,312 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 42,970,000 | 42,178,553 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 11,843,000 | 12,370,351 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (a)(b) | 5,415,000 | 5,223,285 | |
Class C, 3.1771% 11/10/36 (a)(b) | 5,196,000 | 4,947,462 | |
Series 2021-L6 Class XA, 1.2359% 6/15/54 (b)(i) | 49,003,267 | 3,768,047 | |
Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.6117% 12/15/37 (a)(b)(d) | 8,480,551 | 8,369,200 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) | 514,117 | 579,152 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 1.197% 4/15/36 (a)(b)(d) | 12,400,000 | 12,234,522 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 2.000% 2.3012% 2/15/39 (a)(b)(d) | 9,333,000 | 9,268,396 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.650% 2.9512% 2/15/39 (a)(b)(d) | 4,854,000 | 4,831,123 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 1.1274% 11/15/38 (a)(b)(d) | 35,261,000 | 34,531,327 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.4764% 11/15/38 (a)(b)(d) | 20,195,000 | 19,726,415 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.7256% 11/15/38 (a)(b)(d) | 12,543,000 | 12,204,416 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.9748% 11/15/38 (a)(b)(d) | 8,243,000 | 7,989,636 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) | 29,470,000 | 26,200,153 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (a) | 1,400,000 | 1,235,224 | |
Class X, 0.4294% 10/10/42 (a)(b)(i) | 40,100,000 | 1,237,642 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.597% 5/15/31 (a)(b)(d) | 19,889,000 | 19,665,931 | |
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 16,246,000 | 16,149,439 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 18,453,255 | 17,955,691 | |
Series 2018-C46 Class XA, 0.935% 8/15/51 (b)(i) | 53,249,552 | 1,967,699 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 13,797,000 | 14,530,588 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2014-C24 Class A4, 3.343% 11/15/47 | 27,181,000 | 26,998,493 | |
Series 2012-C8 Class A/S, 3.66% 8/15/45 | 11,619,000 | 11,620,335 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $2,139,008,043) | 2,091,559,767 | ||
Municipal Securities - 0.7% | |||
California Gen. Oblig.: | |||
Series 2009: | $ | $ | |
7.35% 11/1/39 | 2,420,000 | 3,425,123 | |
7.55% 4/1/39 | 28,540,000 | 42,320,453 | |
Series 2010, 7.625% 3/1/40 | 1,640,000 | 2,414,105 | |
Chicago Gen. Oblig.: | |||
(Taxable Proj.): | |||
Series 2010 C1, 7.781% 1/1/35 | 7,020,000 | 8,947,071 | |
Series 2012 B, 5.432% 1/1/42 | 6,950,000 | 7,206,456 | |
Series 2009 E: | |||
6.05% 1/1/29 | 240,000 | 253,218 | |
6.05% 1/1/29 (Pre-Refunded to 1/1/23 @ 100) | 10,000 | 10,292 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 11,637,818 | 11,845,226 | |
5.1% 6/1/33 | 20,175,000 | 21,454,244 | |
Series 2010-1, 6.63% 2/1/35 | 45,930,000 | 51,542,862 | |
Series 2010-3: | |||
6.725% 4/1/35 | 39,580,000 | 44,887,061 | |
7.35% 7/1/35 | 18,315,000 | 21,299,272 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 32,466,000 | 38,152,238 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $253,714,805) | 253,757,621 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Panamanian Republic 3.298% 1/19/33 | $50,825,000 | $48,741,175 | |
State of Qatar: | |||
3.4% 4/16/25 (a) | 7,320,000 | 7,438,950 | |
4.4% 4/16/50 (a) | 13,195,000 | 14,794,894 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $71,325,736) | 70,975,019 | ||
Bank Notes - 0.2% | |||
Discover Bank: | |||
3.35% 2/6/23 | $5,980,000 | $6,037,493 | |
4.682% 8/9/28 (b) | 23,162,000 | 23,487,476 | |
KeyBank NA 6.95% 2/1/28 | 850,000 | 984,930 | |
Regions Bank 6.45% 6/26/37 | 30,566,000 | 37,940,426 | |
TOTAL BANK NOTES | |||
(Cost $65,219,988) | 68,450,325 | ||
Shares | Value | ||
Money Market Funds - 7.3% | |||
Fidelity Cash Central Fund 0.31% (m) | 1,546,906,890 | $1,547,216,271 | |
Fidelity Securities Lending Cash Central Fund 0.31% (m)(n) | 957,628,100 | 957,723,863 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $2,504,935,911) | 2,504,940,134 | ||
TOTAL INVESTMENT IN SECURITIES - 111.5% | |||
(Cost $39,337,564,412) | 38,101,601,766 | ||
NET OTHER ASSETS (LIABILITIES) - (11.5)% | (3,939,310,795) | ||
NET ASSETS - 100% | $34,162,290,971 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 4/1/52 | $(13,700,000) | $(13,026,355) |
2% 4/1/52 | (57,350,000) | (54,530,032) |
3% 4/1/52 | (93,200,000) | (92,122,683) |
3.5% 4/1/52 | (14,700,000) | (14,786,449) |
3.5% 4/1/52 | (14,200,000) | (14,283,509) |
3.5% 4/1/52 | (14,400,000) | (14,484,685) |
TOTAL GINNIE MAE | (203,233,713) | |
Uniform Mortgage Backed Securities | ||
1.5% 4/1/37 | (13,800,000) | (13,086,928) |
1.5% 4/1/52 | (62,550,000) | (55,800,417) |
2% 4/1/37 | (26,000,000) | (25,245,605) |
2% 4/1/37 | (28,600,000) | (27,770,165) |
2% 4/1/37 | (14,000,000) | (13,593,787) |
2% 4/1/37 | (9,150,000) | (8,884,511) |
2% 4/1/37 | (28,700,000) | (27,867,264) |
2% 4/1/37 | (21,500,000) | (20,876,173) |
2% 4/1/52 | (14,400,000) | (13,365,225) |
2% 4/1/52 | (21,700,000) | (20,140,651) |
2% 4/1/52 | (118,600,000) | (110,077,475) |
2% 4/1/52 | (29,000,000) | (26,916,077) |
2% 4/1/52 | (8,700,000) | (8,074,823) |
2% 4/1/52 | (27,400,000) | (25,431,052) |
2.5% 4/1/52 | (84,550,000) | (80,679,200) |
2.5% 4/1/52 | (32,700,000) | (31,202,955) |
2.5% 4/1/52 | (32,500,000) | (31,012,111) |
2.5% 4/1/52 | (20,100,000) | (19,179,798) |
2.5% 4/1/52 | (5,100,000) | (4,866,516) |
2.5% 4/1/52 | (29,200,000) | (27,863,189) |
2.5% 4/1/52 | (10,200,000) | (9,733,032) |
3% 4/1/52 | (5,400,000) | (5,283,141) |
3% 4/1/52 | (10,800,000) | (10,566,282) |
3% 4/1/52 | (15,200,000) | (14,871,063) |
3.5% 4/1/52 | (2,300,000) | (2,304,133) |
3.5% 4/1/52 | (30,500,000) | (30,554,805) |
3.5% 4/1/52 | (11,500,000) | (11,520,664) |
3.5% 4/1/52 | (9,550,000) | (9,567,160) |
3.5% 4/1/52 | (14,200,000) | (14,225,516) |
3.5% 4/1/52 | (14,400,000) | (14,425,875) |
4% 4/1/52 | (14,200,000) | (14,491,773) |
4% 4/1/52 | (14,400,000) | (14,695,882) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (744,173,248) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $952,267,410) | $(947,406,961) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 642 | June 2022 | $78,885,750 | $(6,584) | $(6,584) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 207 | June 2022 | 23,740,313 | 570 | 570 |
TOTAL PURCHASED | (6,014) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 370 | June 2022 | 78,411,094 | 583,558 | 583,558 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1,508 | June 2022 | 226,294,250 | 6,922,554 | 6,922,554 |
TOTAL SOLD | 7,506,112 | ||||
TOTAL FUTURES CONTRACTS | $7,500,098 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
The notional amount of futures sold as a percentage of Net Assets is 0.9%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $10,550,000 | $18,902 | $35,011 | $53,913 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 11,100,000 | 19,888 | 10,488 | 30,376 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 2,100,000 | 3,763 | (3,175) | 588 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 10,600,000 | 18,992 | (42,938) | (23,946) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8,990,000 | 16,107 | (49,119) | (33,012) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15,550,000 | 27,861 | (110,497) | (82,636) |
TOTAL CREDIT DEFAULT SWAPS | $105,513 | $(160,230) | $(54,717) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (3) | Annual | LCH | Jun. 2024 | $98,257,000 | $(1,220,028) | $0 | $(1,220,028) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (3) | Annual | LCH | Jun. 2027 | 41,458,000 | (963,243) | 0 | (963,243) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (3) | Annual | LCH | Jun. 2029 | 10,314,000 | (247,639) | 0 | (247,639) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (3) | Annual | LCH | Jun. 2052 | 3,090,000 | (108,582) | 0 | (108,582) |
TOTAL INTEREST RATE SWAPS | $(2,539,492) | $0 | $(2,539,492) | ||||||
(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.
Legend
(a) 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 $5,490,251,027 or 16.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Security or a portion of the security is on loan at period end.
(f) 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 $6,490,152.
(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $46,953,136.
(h) 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 $2,776,282.
(i) Interest Only (IO) security represents the right to receive only 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.
(j) 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.
(k) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(l) 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.
(m) 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.
(n) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.31% | $3,710,034,505 | $5,304,389,849 | $7,467,208,084 | $1,215,198 | $-- | $1 | $1,547,216,271 | 3.0% |
Fidelity Securities Lending Cash Central Fund 0.31% | 841,382,960 | 6,065,904,824 | 5,949,563,921 | 431,448 | -- | -- | 957,723,863 | 2.1% |
Total | $4,551,417,465 | $11,370,294,673 | $13,416,772,005 | $1,646,646 | $-- | $1 | $2,504,940,134 |
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.
Investment Valuation
The following is a summary of the inputs used, as of March 31, 2022, 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 | $11,529,117,741 | $-- | $11,529,117,741 | $-- |
U.S. Government and Government Agency Obligations | 11,816,153,588 | -- | 11,816,153,588 | -- |
U.S. Government Agency - Mortgage Securities | 7,230,892,685 | -- | 7,230,892,685 | -- |
Asset-Backed Securities | 2,095,966,524 | -- | 2,095,966,524 | -- |
Collateralized Mortgage Obligations | 439,788,362 | -- | 439,788,362 | -- |
Commercial Mortgage Securities | 2,091,559,767 | -- | 2,091,559,767 | -- |
Municipal Securities | 253,757,621 | -- | 253,757,621 | -- |
Foreign Government and Government Agency Obligations | 70,975,019 | -- | 70,975,019 | -- |
Bank Notes | 68,450,325 | -- | 68,450,325 | -- |
Money Market Funds | 2,504,940,134 | 2,504,940,134 | -- | -- |
Total Investments in Securities: | $38,101,601,766 | $2,504,940,134 | $35,596,661,632 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $7,506,682 | $7,506,682 | $-- | $-- |
Swaps | 105,513 | -- | 105,513 | -- |
Total Assets | $7,612,195 | $7,506,682 | $105,513 | $-- |
Liabilities | ||||
Futures Contracts | $(6,584) | $(6,584) | $-- | $-- |
Swaps | (2,539,492) | -- | (2,539,492) | -- |
Total Liabilities | $(2,546,076) | $(6,584) | $(2,539,492) | $-- |
Total Derivative Instruments: | $5,066,119 | $7,500,098 | $(2,433,979) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(947,406,961) | $-- | $(947,406,961) | $-- |
Total Other Financial Instruments: | $(947,406,961) | $-- | $(947,406,961) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of March 31, 2022. 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 | |
Credit Risk | ||
Swaps(a) | $105,513 | $0 |
Total Credit Risk | 105,513 | 0 |
Interest Rate Risk | ||
Futures Contracts(b) | 7,506,682 | (6,584) |
Swaps(c) | 0 | (2,539,492) |
Total Interest Rate Risk | 7,506,682 | (2,546,076) |
Total Value of Derivatives | $7,612,195 | $(2,546,076) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value 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) 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).
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 | 89.1% |
Cayman Islands | 4.6% |
United Kingdom | 1.8% |
Mexico | 1.3% |
Others (Individually Less Than 1%) | 3.2% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
March 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $938,671,915) — See accompanying schedule: Unaffiliated issuers (cost $36,832,628,501) | $35,596,661,632 | |
Fidelity Central Funds (cost $2,504,935,911) | 2,504,940,134 | |
Total Investment in Securities (cost $39,337,564,412) | $38,101,601,766 | |
Cash | 7,763,230 | |
Receivable for investments sold | 61,618,141 | |
Receivable for TBA sale commitments | 952,267,410 | |
Receivable for fund shares sold | 38,435 | |
Interest receivable | 192,522,300 | |
Distributions receivable from Fidelity Central Funds | 271,997 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 59,928 | |
Bi-lateral OTC swaps, at value | 105,513 | |
Other receivables | 3,912 | |
Total assets | 39,316,252,632 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $297,832,925 | |
Delayed delivery | 2,943,542,164 | |
TBA sale commitments, at value | 947,406,961 | |
Payable for swaps | 3,175 | |
Payable for fund shares redeemed | 6,367,986 | |
Distributions payable | 12,073 | |
Payable for daily variation margin on futures contracts | 1,067,821 | |
Other payables and accrued expenses | 4,693 | |
Collateral on securities loaned | 957,723,863 | |
Total liabilities | 5,153,961,661 | |
Net Assets | $34,162,290,971 | |
Net Assets consist of: | ||
Paid in capital | $35,547,796,873 | |
Total accumulated earnings (loss) | (1,385,505,902) | |
Net Assets | $34,162,290,971 | |
Net Asset Value, offering price and redemption price per share ($34,162,290,971 ÷ 318,994,876 shares) | $107.09 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended March 31, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $372,548,906 | |
Income from Fidelity Central Funds (including $431,448 from security lending) | 1,646,646 | |
Total income | 374,195,552 | |
Expenses | ||
Custodian fees and expenses | $(9,046) | |
Independent directors' fees and expenses | 56,822 | |
Miscellaneous | 271 | |
Total expenses before reductions | 48,047 | |
Expense reductions | (1,973) | |
Total expenses after reductions | 46,074 | |
Net investment income (loss) | 374,149,478 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (46,922,105) | |
Futures contracts | 10,562,979 | |
Swaps | (5,455,863) | |
Total net realized gain (loss) | (41,814,989) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,222,743,667) | |
Fidelity Central Funds | 1 | |
Futures contracts | 2,595,439 | |
Swaps | (1,688,651) | |
TBA sale commitments | 2,573,600 | |
Total change in net unrealized appreciation (depreciation) | (2,219,263,278) | |
Net gain (loss) | (2,261,078,267) | |
Net increase (decrease) in net assets resulting from operations | $(1,886,928,789) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended March 31, 2022 (Unaudited) | Year ended September 30, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $374,149,478 | $689,934,552 |
Net realized gain (loss) | (41,814,989) | 32,724,153 |
Change in net unrealized appreciation (depreciation) | (2,219,263,278) | (365,983,008) |
Net increase (decrease) in net assets resulting from operations | (1,886,928,789) | 356,675,697 |
Distributions to shareholders | (380,379,748) | (1,366,019,389) |
Affiliated share transactions | ||
Proceeds from sales of shares | 3,722,906,784 | 4,772,576,629 |
Reinvestment of distributions | 380,367,383 | 1,366,019,389 |
Cost of shares redeemed | (636,001,503) | (1,303,472,762) |
Net increase (decrease) in net assets resulting from share transactions | 3,467,272,664 | 4,835,123,256 |
Total increase (decrease) in net assets | 1,199,964,127 | 3,825,779,564 |
Net Assets | ||
Beginning of period | 32,962,326,844 | 29,136,547,280 |
End of period | $34,162,290,971 | $32,962,326,844 |
Other Information | ||
Shares | ||
Sold | 33,408,692 | 41,207,631 |
Issued in reinvestment of distributions | 3,400,421 | 11,786,609 |
Redeemed | (5,692,023) | (11,186,877) |
Net increase (decrease) | 31,117,090 | 41,807,363 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Investment Grade Bond Central Fund
Six months ended (Unaudited) March 31, | Years endedSeptember 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $114.50 | $118.41 | $112.59 | $105.24 | $108.86 | $110.23 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | 1.020 | 2.569 | 3.127 | 3.512 | 3.276 | 2.761 |
Net realized and unrealized gain (loss) | (7.173) | (1.197) | 6.011 | 7.580 | (3.786) | (1.152) |
Total from investment operations | (6.153) | 1.372 | 9.138 | 11.092 | (.510) | 1.609 |
Distributions from net investment income | (1.257) | (2.615) | (3.192) | (3.742) | (3.059) | (2.868) |
Distributions from net realized gain | – | (2.667) | (.126) | – | (.051) | (.111) |
Total distributions | (1.257) | (5.282) | (3.318) | (3.742) | (3.110) | (2.979) |
Net asset value, end of period | $107.09 | $114.50 | $118.41 | $112.59 | $105.24 | $108.86 |
Total ReturnC,D | (5.42)% | 1.18% | 8.24% | 10.75% | (.47)% | 1.52% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductionsG | - %H | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if anyG | - %H | -% | -% | -% | -% | -% |
Expenses net of all reductionsG | - %H | -% | -% | -% | -% | -% |
Net investment income (loss) | 1.82%H | 2.22% | 2.72% | 3.27% | 3.07% | 2.56% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $34,162,291 | $32,962,327 | $29,136,547 | $26,647,348 | $8,167,488 | $7,424,984 |
Portfolio turnover rateI | 184%H | 245% | 204%J | 186%J | 73% | 98% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount represents less than .005%.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J 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 March 31, 2022
1. Organization.
Fidelity Investment Grade Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) 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 LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
2. Investments in Fidelity Central Funds.
Funds may 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing 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 investing fund. These strategies are consistent with the investment objectives of the investing 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 investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | 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.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission 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, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 Directors (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 – unadjusted 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 notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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. Investments in open-end mutual funds, including other 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 March 31, 2022 is included at the end of the Fund's Schedule of Investments.
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. 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. 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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.
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 futures contracts, swaps and losses deferred due to wash sales, futures transactions 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 | $231,719,315 |
Gross unrealized depreciation | (1,458,087,731) |
Net unrealized appreciation (depreciation) | $(1,226,368,416) |
Tax cost | $39,337,736,520 |
The Fund elected to defer to its next fiscal year approximately $70,066,787 of capital losses recognized during the period November 1, 2020 to September 30, 2021.
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. 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.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
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 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 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:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
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 bi-lateral swaps, 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. 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) |
Credit Risk | ||
Swaps | $207,050 | $(107,451) |
Total Credit Risk | $207,050 | $(107,451) |
Interest Rate Risk | ||
Futures Contracts | $10,562,979 | $2,595,439 |
Swaps | (5,662,913) | (1,581,200) |
Total Interest Rate Risk | 4,900,066 | 1,014,239 |
Totals | $5,107,116 | $906,788 |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
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.
For both bi-lateral and centrally cleared OTC swaps, 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Investment Grade Bond Central Fund | 18,173,276,005 | 18,009,168,373 |
6. 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 Directors, 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Investment Grade Bond Central Fund | $45,851 | $– | $– |
8. 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 $1,973.
9. Other.
A fund's organizational documents provide former and current directors 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
10. Credit Risk.
The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
11. 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, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include 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 a 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 (October 1, 2021 to March 31, 2022).
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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 October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During Period-B October 1, 2021 to March 31, 2022 | |
Fidelity Investment Grade Bond Central Fund | .0003% | |||
Actual | $1,000.00 | $945.80 | $--C | |
Hypothetical-D | $1,000.00 | $1,024.93 | $--C |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C Amount represents less than $.005.
D 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, 2020 through November 30, 2021. 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.
TP1-SANN-0522
1.807412.117
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 Central Investment Portfolios II LLC’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Central Investment Portfolios II LLC’s (the “Trust”) disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s 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) | |
(a) | (3) | Not applicable. |
(b) |
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 Central Investment Portfolios II LLC
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | May 19, 2022 |
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: | May 19, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | May 19, 2022 |