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 811-02105
Fidelity Salem Street Trust
(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: | November 30 |
Date of reporting period: | May 31, 2022 |
Item 1.
Reports to Stockholders
Contents
Top Holdings (% of Fund's net assets) | ||
(excluding cash equivalents) | ||
Procter & Gamble Co. | 2.5 | |
The Coca-Cola Co. | 2.2 | |
Eli Lilly & Co. | 1.9 | |
AbbVie, Inc. | 1.7 | |
Bristol-Myers Squibb Co. | 1.6 | |
Merck & Co., Inc. | 1.4 | |
Amgen, Inc. | 1.4 | |
Cisco Systems, Inc. | 1.4 | |
PepsiCo, Inc. | 1.4 | |
Comcast Corp. Class A | 1.3 | |
16.8 | ||
Market Sectors (% of Fund's net assets) | ||
Financials | 22.1 | |
Real Estate | 15.6 | |
Health Care | 13.5 | |
Consumer Staples | 10.1 | |
Information Technology | 8.4 | |
Industrials | 6.6 | |
Utilities | 5.8 | |
Communication Services | 5.6 | |
Energy | 5.1 | |
Consumer Discretionary | 3.5 | |
Materials | 1.8 | |
Quality Diversification (% of Fund's net assets) | |
Percentages shown as 0.0% may reflect amounts less than 0.05%. | |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Foreign investments - 10.4% |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
Corporate Bonds - 9.3% | |||
Principal Amount (a) | Value ($) | ||
Convertible Bonds - 8.7% | |||
COMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.0% | |||
Bandwidth, Inc. 0.25% 3/1/26 | 73,000 | 51,794 | |
Radius Global Infrastructure, Inc. 2.5% 9/15/26 (b) | 91,000 | 87,189 | |
138,983 | |||
Entertainment - 0.2% | |||
Liberty Media Corp. 0.5% 12/1/50 (b) | 461,000 | 558,502 | |
Live Nation Entertainment, Inc.: | |||
2% 2/15/25 | 101,000 | 114,130 | |
2.5% 3/15/23 | 1,239,000 | 1,801,692 | |
Spotify U.S.A., Inc. 0% 3/15/26 | 1,000,000 | 810,000 | |
World Wrestling Entertainment, Inc. 3.375% 12/15/23 | 1,318,000 | 3,575,075 | |
Zynga, Inc.: | |||
0% 12/15/26 | 1,969,000 | 1,964,210 | |
0.25% 6/1/24 | 2,095,000 | 2,459,877 | |
11,283,486 | |||
Interactive Media & Services - 0.5% | |||
Eventbrite, Inc. 5% 12/1/25 | 992,000 | 1,227,600 | |
fuboTV, Inc. 3.25% 2/15/26 | 774,000 | 228,330 | |
IAC FinanceCo 2, Inc. 0.875% 6/15/26 (b) | 1,332,000 | 1,511,249 | |
IAC FinanceCo 3, Inc. 2% 1/15/30 (b) | 1,345,000 | 1,604,712 | |
IAC FinanceCo, Inc. 0.875% 10/1/22 (b) | 951,000 | 1,692,040 | |
Liberty TripAdvisor Holdings, Inc. 0.5% 6/30/51 (b) | 1,875,000 | 1,377,096 | |
Snap, Inc.: | |||
0% 5/1/27 | 4,040,000 | 2,960,836 | |
0.125% 3/1/28(b) | 3,300,000 | 2,409,000 | |
0.25% 5/1/25 | 718,000 | 717,282 | |
0.75% 8/1/26 | 1,690,000 | 1,683,387 | |
TripAdvisor, Inc. 0.25% 4/1/26 | 812,000 | 643,423 | |
Twitter, Inc.: | |||
0% 3/15/26 | 2,169,000 | 1,957,523 | |
0.25% 6/15/24 | 7,012,000 | 6,997,976 | |
Ziff Davis, Inc. 1.75% 11/1/26 (b) | 122,000 | 120,597 | |
25,131,051 | |||
Media - 0.4% | |||
Cable One, Inc. 0% 3/15/26 | 102,000 | 86,037 | |
DISH Network Corp.: | |||
0% 12/15/25 | 5,491,000 | 4,369,458 | |
2.375% 3/15/24 | 4,868,000 | 4,429,628 | |
3.375% 8/15/26 | 8,377,000 | 6,314,875 | |
Gannett Co., Inc. 4.75% 4/15/24 | 1,250,000 | 1,031,983 | |
Grizzly Merger Sub 1 LLC 1.75% 9/30/46 (b) | 2,159,000 | 3,011,805 | |
Liberty Broadband Corp.: | |||
1.25% 9/30/50(b) | 110,000 | 103,694 | |
2.75% 9/30/50(b) | 1,120,000 | 1,086,657 | |
Liberty Interactive LLC 1.75% 9/30/46 (b) | 673,000 | 1,007,818 | |
Liberty Media Corp.: | |||
1% 1/30/23 | 554,000 | 938,199 | |
1.375% 10/15/23 | 83,000 | 105,576 | |
Magnite, Inc. 0.25% 3/15/26 | 2,782,000 | 2,079,463 | |
TechTarget, Inc.: | |||
0% 12/15/26(b) | 120,000 | 99,180 | |
0.125% 12/15/25 | 355,000 | 430,635 | |
25,095,008 | |||
TOTAL COMMUNICATION SERVICES | 61,648,528 | ||
CONSUMER DISCRETIONARY - 1.1% | |||
Auto Components - 0.1% | |||
LCI Industries 1.125% 5/15/26 | 1,850,000 | 1,724,200 | |
Patrick Industries, Inc.: | |||
1% 2/1/23 | 1,742,000 | 1,746,355 | |
1.75% 12/1/28(b) | 2,940,000 | 2,559,638 | |
6,030,193 | |||
Automobiles - 0.2% | |||
Arrival SA 3.5% 12/1/26 (b) | 1,453,000 | 657,483 | |
Fisker, Inc. 2.5% 9/15/26 (b) | 100,000 | 67,109 | |
Ford Motor Co. 0% 3/15/26 | 7,378,000 | 7,687,876 | |
Lucid Group, Inc. 1.25% 12/15/26 (b) | 120,000 | 80,631 | |
8,493,099 | |||
Diversified Consumer Services - 0.1% | |||
2U, Inc. 2.25% 5/1/25 | 2,627,000 | 2,024,104 | |
Chegg, Inc.: | |||
0% 9/1/26 | 1,563,000 | 1,187,880 | |
0.125% 3/15/25 | 1,078,000 | 938,938 | |
4,150,922 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
Airbnb, Inc. 0% 3/15/26 | 2,689,000 | 2,374,387 | |
Booking Holdings, Inc. 0.75% 5/1/25 | 1,481,000 | 2,078,840 | |
Carnival Corp. 5.75% 4/1/23 | 1,383,000 | 2,077,266 | |
Cracker Barrel Old Country Store, Inc. 0.625% 6/15/26 (b) | 2,765,000 | 2,343,338 | |
DraftKings, Inc. 0% 3/15/28 | 3,627,000 | 2,239,673 | |
Expedia, Inc. 0% 2/15/26 | 90,000 | 91,042 | |
Marriott Vacations Worldwide Corp.: | |||
0% 1/15/26 | 100,000 | 102,938 | |
1.5% 9/15/22 | 75,000 | 80,100 | |
NCL Corp. Ltd.: | |||
1.125% 2/15/27(b) | 2,100,000 | 1,604,400 | |
2.5% 2/15/27(b) | 2,240,000 | 1,803,200 | |
5.375% 8/1/25 | 1,000,000 | 1,161,500 | |
Penn National Gaming, Inc. 2.75% 5/15/26 | 876,000 | 1,374,882 | |
Royal Caribbean Cruises Ltd.: | |||
2.875% 11/15/23 | 1,409,000 | 1,422,386 | |
4.25% 6/15/23 | 3,045,000 | 3,243,630 | |
Shake Shack, Inc. 0% 3/1/28 | 1,447,000 | 996,983 | |
The Cheesecake Factory, Inc. 0.375% 6/15/26 | 854,000 | 692,747 | |
Vail Resorts, Inc. 0% 1/1/26 | 100,000 | 92,688 | |
23,780,000 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Etsy, Inc.: | |||
0.125% 10/1/26 | 2,815,000 | 3,365,333 | |
0.125% 9/1/27 | 1,931,000 | 1,601,658 | |
0.25% 6/15/28(b) | 90,000 | 70,335 | |
The RealReal, Inc.: | |||
1% 3/1/28 | 4,042,000 | 2,157,361 | |
3% 6/15/25 | 2,012,000 | 1,256,906 | |
Wayfair LLC: | |||
0.625% 10/1/25 | 2,338,000 | 1,672,839 | |
1.125% 11/1/24 | 329,000 | 287,382 | |
Xometry, Inc. 1% 2/1/27 (b) | 590,000 | 505,665 | |
10,917,479 | |||
Leisure Products - 0.1% | |||
Callaway Golf Co. 2.75% 5/1/26 | 1,522,000 | 2,166,948 | |
Peloton Interactive, Inc. 0% 2/15/26 | 7,191,000 | 4,871,645 | |
7,038,593 | |||
Specialty Retail - 0.0% | |||
American Eagle Outfitters, Inc. 3.75% 4/15/25 | 59,000 | 93,552 | |
Burlington Stores, Inc. 2.25% 4/15/25 | 75,000 | 81,469 | |
Dick's Sporting Goods, Inc. 3.25% 4/15/25 | 447,000 | 1,132,586 | |
National Vision Holdings, Inc. 2.5% 5/15/25 | 998,000 | 1,130,088 | |
2,437,695 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Marathon Digital Holdings, Inc. 1% 12/1/26 (b) | 1,012,000 | 396,078 | |
TOTAL CONSUMER DISCRETIONARY | 63,244,059 | ||
CONSUMER STAPLES - 0.2% | |||
Food & Staples Retailing - 0.0% | |||
Chefs' Warehouse Holdings 1.875% 12/1/24 | 1,000,000 | 1,088,702 | |
Food Products - 0.1% | |||
Beyond Meat, Inc. 0% 3/15/27 | 8,857,000 | 3,462,315 | |
Tobacco - 0.1% | |||
Turning Point Brands, Inc. 2.5% 7/15/24 | 4,949,000 | 4,558,449 | |
TOTAL CONSUMER STAPLES | 9,109,466 | ||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Antero Resources Corp. 4.25% 9/1/26 | 211,000 | 2,071,493 | |
Arch Resources, Inc. 5.25% 11/15/25 | 249,000 | 1,024,646 | |
CNX Resources Corp. 2.25% 5/1/26 | 1,172,000 | 2,116,046 | |
EQT Corp. 1.75% 5/1/26 | 1,657,000 | 5,343,825 | |
Pioneer Natural Resources Co. 0.25% 5/15/25 | 2,149,000 | 5,802,300 | |
16,358,310 | |||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Coinbase Global, Inc. 0.5% 6/1/26 (b) | 3,308,000 | 2,318,908 | |
Consumer Finance - 0.1% | |||
LendingTree, Inc. 0.5% 7/15/25 | 1,000,000 | 740,000 | |
SoFi Technologies, Inc. 0% 10/15/26 (b) | 2,980,000 | 2,083,020 | |
Upstart Holdings, Inc. 0.25% 8/15/26 (b) | 104,000 | 65,455 | |
2,888,475 | |||
Insurance - 0.0% | |||
HCI Group, Inc. 4.75% 6/1/42 (b) | 90,000 | 91,980 | |
Mortgage Real Estate Investment Trusts - 0.0% | |||
Arbor Realty Trust, Inc. 4.75% 11/1/22 | 510,000 | 513,315 | |
Blackstone Mortgage Trust, Inc. 5.5% 3/15/27 | 100,000 | 97,450 | |
HAT Holdings I LLC/HAT Holdings II LLC 0% 5/1/25 (b) | 90,000 | 87,681 | |
698,446 | |||
TOTAL FINANCIALS | 5,997,809 | ||
HEALTH CARE - 1.0% | |||
Biotechnology - 0.2% | |||
Coherus BioSciences, Inc. 1.5% 4/15/26 | 80,000 | 55,961 | |
Cytokinetics, Inc. 4% 11/15/26 | 100,000 | 391,962 | |
Dynavax Technologies Corp. 2.5% 5/15/26 | 100,000 | 141,813 | |
Exact Sciences Corp.: | |||
0.375% 3/15/27 | 1,417,000 | 1,138,028 | |
0.375% 3/1/28 | 1,777,000 | 1,331,639 | |
1% 1/15/25 | 1,218,000 | 1,219,827 | |
Global Blood Therapeutics, Inc. 1.875% 12/15/28 (b) | 3,700,000 | 3,755,500 | |
Insmed, Inc. 0.75% 6/1/28 | 100,000 | 82,950 | |
Natera, Inc. 2.25% 5/1/27 | 578,000 | 724,065 | |
Neurocrine Biosciences, Inc. 2.25% 5/15/24 | 1,475,000 | 1,907,625 | |
Sarepta Therapeutics, Inc. 1.5% 11/15/24 | 1,860,000 | 2,313,375 | |
13,062,745 | |||
Health Care Equipment & Supplies - 0.5% | |||
CONMED Corp. 2.625% 2/1/24 | 1,068,000 | 1,483,986 | |
CryoPort, Inc. 0.75% 12/1/26 (b) | 1,845,000 | 1,392,975 | |
DexCom, Inc.: | |||
0.25% 11/15/25 | 3,228,000 | 3,033,830 | |
0.75% 12/1/23 | 1,805,000 | 3,292,586 | |
Envista Holdings Corp. 2.375% 6/1/25 | 1,879,000 | 3,958,114 | |
Glaukos Corp. 2.75% 6/15/27 | 1,304,000 | 1,459,665 | |
Haemonetics Corp. 0% 3/1/26 | 100,000 | 80,000 | |
Insulet Corp. 0.375% 9/1/26 | 2,115,000 | 2,407,366 | |
Integra LifeSciences Holdings Corp. 0.5% 8/15/25 | 1,458,000 | 1,502,927 | |
LivaNova U.S.A., Inc. 3% 12/15/25 | 1,360,000 | 1,810,160 | |
Mesa Laboratories, Inc. 1.375% 8/15/25 | 566,000 | 541,064 | |
Nevro Corp. 2.75% 4/1/25 | 343,000 | 306,985 | |
Novocure Ltd. 0% 11/1/25 | 890,000 | 791,127 | |
Omnicell, Inc. 0.25% 9/15/25 | 959,000 | 1,195,394 | |
Tandem Diabetes Care, Inc. 1.5% 5/1/25 (b) | 2,570,000 | 2,471,055 | |
Varex Imaging Corp. 4% 6/1/25 | 100,000 | 129,874 | |
25,857,108 | |||
Health Care Providers & Services - 0.2% | |||
1Life Healthcare, Inc. 3% 6/15/25 | 2,125,000 | 1,751,000 | |
Accolade, Inc. 0.5% 4/1/26 | 3,666,000 | 2,325,169 | |
Brookdale Senior Living, Inc. 2% 10/15/26 (b) | 2,132,000 | 2,190,630 | |
Guardant Health, Inc. 0% 11/15/27 | 3,404,000 | 2,246,640 | |
Oak Street Health, Inc. 0% 3/15/26 | 2,175,000 | 1,559,258 | |
10,072,697 | |||
Health Care Technology - 0.0% | |||
Allscripts Healthcare Solutions, Inc. 0.875% 1/1/27 | 500,000 | 701,750 | |
Health Catalyst, Inc. 2.5% 4/15/25 | 724,000 | 641,193 | |
Teladoc Health, Inc. 1.25% 6/1/27 | 504,000 | 388,080 | |
1,731,023 | |||
Life Sciences Tools & Services - 0.1% | |||
Illumina, Inc. 0% 8/15/23 | 58,000 | 56,463 | |
Inotiv, Inc. 3.25% 10/15/27 (b) | 80,000 | 55,848 | |
Nanostring Technologies, Inc. 2.625% 3/1/25 | 972,000 | 832,883 | |
NeoGenomics, Inc. 1.25% 5/1/25 | 420,000 | 350,070 | |
Repligen Corp. 0.375% 7/15/24 | 960,000 | 1,474,915 | |
2,770,179 | |||
Pharmaceuticals - 0.0% | |||
Innoviva, Inc. 2.125% 3/15/28 (b) | 80,000 | 70,550 | |
TOTAL HEALTH CARE | 53,564,302 | ||
INDUSTRIALS - 1.1% | |||
Aerospace & Defense - 0.2% | |||
Aerojet Rocketdyne Holdings, Inc. 2.25% 12/15/23 | 2,622,000 | 4,079,832 | |
Parsons Corp. 0.25% 8/15/25 | 5,936,000 | 6,071,934 | |
Virgin Galactic Holdings, Inc. 2.5% 2/1/27 (b) | 100,000 | 71,500 | |
10,223,266 | |||
Air Freight & Logistics - 0.0% | |||
Air Transport Services Group, Inc. 1.125% 10/15/24 | 776,500 | 860,362 | |
Atlas Air Worldwide Holdings, Inc. 1.875% 6/1/24 | 1,025,000 | 1,299,828 | |
2,160,190 | |||
Airlines - 0.3% | |||
American Airlines Group, Inc. 6.5% 7/1/25 | 2,925,000 | 3,914,419 | |
JetBlue Airways Corp. 0.5% 4/1/26 | 3,700,000 | 2,923,000 | |
Southwest Airlines Co. 1.25% 5/1/25 | 5,726,000 | 7,821,716 | |
14,659,135 | |||
Construction & Engineering - 0.1% | |||
Granite Construction, Inc. 2.75% 11/1/24 | 2,891,000 | 3,386,807 | |
Electrical Equipment - 0.2% | |||
Array Technologies, Inc. 1% 12/1/28 (b) | 4,423,000 | 3,094,211 | |
Bloom Energy Corp. 2.5% 8/15/25 | 1,726,000 | 2,208,935 | |
Plug Power, Inc. 3.75% 6/1/25 | 577,000 | 2,192,369 | |
Stem, Inc. 0.5% 12/1/28 (b) | 3,271,000 | 1,947,881 | |
Sunrun, Inc. 0% 2/1/26 | 1,615,000 | 1,169,260 | |
10,612,656 | |||
Machinery - 0.2% | |||
Chart Industries, Inc. 1% 11/15/24 (b) | 766,000 | 2,312,426 | |
Desktop Metal, Inc. 6% 5/15/27 (b) | 550,000 | 716,650 | |
John Bean Technologies Corp. 0.25% 5/15/26 | 3,544,000 | 3,412,872 | |
Middleby Corp. 1% 9/1/25 | 1,940,000 | 2,479,987 | |
The Greenbrier Companies, Inc. 2.875% 4/15/28 | 3,190,000 | 3,182,025 | |
12,103,960 | |||
Professional Services - 0.1% | |||
FTI Consulting, Inc. 2% 8/15/23 | 1,195,000 | 2,010,229 | |
KBR, Inc. 2.5% 11/1/23 | 2,060,000 | 4,073,650 | |
Upwork, Inc. 0.25% 8/15/26 (b) | 109,000 | 82,596 | |
6,166,475 | |||
Road & Rail - 0.0% | |||
Lyft, Inc. 1.5% 5/15/25 | 74,000 | 67,673 | |
Uber Technologies, Inc. 0% 12/15/25 | 74,000 | 62,789 | |
130,462 | |||
Transportation Infrastructure - 0.0% | |||
Seaspan Corp. 3.75% 12/15/25 (b) | 2,263,000 | 2,600,187 | |
TOTAL INDUSTRIALS | 62,043,138 | ||
INFORMATION TECHNOLOGY - 3.2% | |||
Communications Equipment - 0.0% | |||
Lumentum Holdings, Inc.: | |||
0.25% 3/15/24 | 1,309,000 | 1,945,829 | |
0.5% 12/15/26 | 1,359,000 | 1,467,930 | |
0.5% 6/15/28(b) | 90,000 | 80,944 | |
3,494,703 | |||
Electronic Equipment & Components - 0.1% | |||
II-VI, Inc. 0.25% 9/1/22 | 1,079,000 | 1,432,373 | |
Insight Enterprises, Inc. 0.75% 2/15/25 | 1,766,000 | 2,622,189 | |
Par Technology Corp.: | |||
1.5% 10/15/27 | 73,000 | 61,320 | |
2.875% 4/15/26 | 750,000 | 871,170 | |
4,987,052 | |||
IT Services - 0.6% | |||
Affirm Holdings, Inc. 0% 11/15/26 (b) | 1,710,000 | 1,065,330 | |
Akamai Technologies, Inc.: | |||
0.125% 5/1/25 | 2,780,000 | 3,251,003 | |
0.375% 9/1/27 | 3,192,000 | 3,333,865 | |
BigCommerce Holdings, Inc. 0.25% 10/1/26 (b) | 2,877,000 | 2,112,797 | |
Block, Inc.: | |||
0% 5/1/26 | 1,886,000 | 1,558,756 | |
0.125% 3/1/25 | 1,469,000 | 1,572,748 | |
0.25% 11/1/27 | 1,032,000 | 822,401 | |
0.5% 5/15/23 | 1,156,000 | 1,540,948 | |
Cloudflare, Inc.: | |||
0% 8/15/26(b) | 64,000 | 51,672 | |
0.75% 5/15/25 | 668,000 | 1,093,126 | |
Digitalocean Holdings, Inc. 0% 12/1/26 (b) | 2,221,000 | 1,725,717 | |
Fastly, Inc. 0% 3/15/26 | 5,707,000 | 4,223,180 | |
MongoDB, Inc. 0.25% 1/15/26 | 2,244,000 | 2,972,536 | |
Okta, Inc.: | |||
0.125% 9/1/25 | 2,536,000 | 2,246,795 | |
0.375% 6/15/26 | 2,171,000 | 1,775,807 | |
Perficient, Inc. 0.125% 11/15/26 (b) | 1,910,000 | 1,609,175 | |
Repay Holdings Corp. 0% 2/1/26 (b) | 977,000 | 757,175 | |
Shift4 Payments, Inc. 0% 12/15/25 | 119,000 | 107,769 | |
Shopify, Inc. 0.125% 11/1/25 | 1,400,000 | 1,195,600 | |
Wix.com Ltd. 0% 8/15/25 | 1,682,000 | 1,360,738 | |
34,377,138 | |||
Semiconductors & Semiconductor Equipment - 0.4% | |||
Camtek Ltd. 0% 12/1/26 (b) | 600,000 | 513,600 | |
Enphase Energy, Inc.: | |||
0% 3/1/26 | 100,000 | 97,003 | |
0% 3/1/28 | 100,000 | 97,802 | |
0.25% 3/1/25 | 791,000 | 1,877,926 | |
Microchip Technology, Inc.: | |||
1.625% 2/15/27 | 585,000 | 1,208,025 | |
2.25% 2/15/37 | 922,000 | 1,947,149 | |
onsemi: | |||
0% 5/1/27 | 3,073,000 | 4,037,179 | |
1.625% 10/15/23 | 1,421,000 | 4,172,271 | |
SMART Global Holdings, Inc. 2.25% 2/15/26 | 100,000 | 135,814 | |
SolarEdge Technologies, Inc. 0% 9/15/25 | 2,415,000 | 2,951,485 | |
Teradyne, Inc. 1.25% 12/15/23 | 289,000 | 998,033 | |
Veeco Instruments, Inc. 3.75% 6/1/27 | 90,000 | 159,210 | |
Wolfspeed, Inc.: | |||
0.25% 2/15/28(b) | 1,560,000 | 1,391,010 | |
1.75% 5/1/26 | 1,205,000 | 2,096,700 | |
21,683,207 | |||
Software - 2.1% | |||
8x8, Inc. 0.5% 2/1/24 | 73,000 | 63,145 | |
Altair Engineering, Inc. 0.25% 6/1/24 | 1,265,000 | 1,610,345 | |
Avalara, Inc. 0.25% 8/1/26 (b) | 1,550,000 | 1,277,695 | |
Bentley Systems, Inc. 0.125% 1/15/26 | 100,000 | 87,650 | |
Bill.Com Holdings, Inc.: | |||
0% 12/1/25 | 1,100,000 | 1,140,150 | |
0% 4/1/27(b) | 81,000 | 63,828 | |
BlackLine, Inc.: | |||
0% 3/15/26 | 2,050,000 | 1,685,100 | |
0.125% 8/1/24 | 1,486,000 | 1,732,120 | |
Box, Inc. 0% 1/15/26 | 3,157,000 | 3,714,211 | |
Cerence, Inc. 3% 6/1/25 | 559,000 | 648,999 | |
Ceridian HCM Holding, Inc. 0.25% 3/15/26 | 4,001,000 | 3,296,824 | |
Confluent, Inc. 0% 1/15/27 (b) | 2,372,000 | 1,756,151 | |
Coupa Software, Inc.: | |||
0.125% 6/15/25 | 3,793,000 | 3,269,566 | |
0.375% 6/15/26 | 7,419,000 | 5,839,060 | |
CyberArk Software Ltd. 0% 11/15/24 | 2,233,000 | 2,473,121 | |
Datadog, Inc. 0.125% 6/15/25 | 1,316,000 | 1,675,035 | |
DocuSign, Inc. 0% 1/15/24 | 2,328,000 | 2,155,728 | |
Dropbox, Inc.: | |||
0% 3/1/26 | 797,000 | 705,345 | |
0% 3/1/28 | 811,000 | 705,570 | |
Dye & Durham Ltd. 3.75% 3/1/26 (b)(c) | CAD | 1,490,000 | 986,579 |
Everbridge, Inc.: | |||
0% 3/15/26 | 2,317,000 | 1,985,669 | |
0.125% 12/15/24 | 1,106,000 | 976,137 | |
Five9, Inc. 0.5% 6/1/25 | 2,560,000 | 2,548,480 | |
Guidewire Software, Inc. 1.25% 3/15/25 | 1,087,000 | 1,052,107 | |
HubSpot, Inc. 0.375% 6/1/25 | 1,240,000 | 1,703,760 | |
InterDigital, Inc. 3.5% 6/1/27 (b) | 100,000 | 105,850 | |
LivePerson, Inc.: | |||
0% 12/15/26 | 6,680,000 | 4,963,908 | |
0.75% 3/1/24 | 1,765,000 | 1,581,440 | |
Mandiant, Inc.: | |||
0.875% 6/1/24 | 2,257,000 | 2,457,873 | |
1.625% 6/1/35 | 1,544,000 | 1,504,446 | |
New Relic, Inc. 0.5% 5/1/23 | 2,216,000 | 2,139,548 | |
NortonLifeLock, Inc. 2% 8/15/22 | 1,643,000 | 1,970,175 | |
Nutanix, Inc. 0% 1/15/23 | 318,000 | 308,594 | |
Pagerduty, Inc. 1.25% 7/1/25 | 645,000 | 642,743 | |
Palo Alto Networks, Inc.: | |||
0.375% 6/1/25 | 3,998,000 | 6,952,522 | |
0.75% 7/1/23 | 3,244,000 | 6,194,949 | |
Pegasystems, Inc. 0.75% 3/1/25 | 653,000 | 534,211 | |
Progress Software Corp. 1% 4/15/26 | 2,055,000 | 2,067,117 | |
Q2 Holdings, Inc. 0.75% 6/1/26 | 1,720,000 | 1,578,960 | |
Rapid7, Inc.: | |||
0.25% 3/15/27 | 2,275,000 | 2,131,661 | |
2.25% 5/1/25 | 2,439,000 | 3,230,456 | |
RingCentral, Inc.: | |||
0% 3/1/25 | 2,104,000 | 1,798,920 | |
0% 3/15/26 | 2,876,000 | 2,223,148 | |
SailPoint Technologies Holding, Inc. 0.125% 9/15/24 | 1,168,000 | 2,625,080 | |
Splunk, Inc.: | |||
0.5% 9/15/23 | 1,102,000 | 1,099,796 | |
1.125% 9/15/25 | 3,260,000 | 3,302,178 | |
1.125% 6/15/27 | 1,202,000 | 1,025,306 | |
Tyler Technologies, Inc. 0.25% 3/15/26 | 3,415,000 | 3,351,823 | |
Unity Software, Inc. 0% 11/15/26 (b) | 2,589,000 | 1,955,990 | |
Varonis Systems, Inc. 1.25% 8/15/25 | 2,075,000 | 2,637,325 | |
Verint Systems, Inc. 0.25% 4/15/26 | 762,000 | 770,164 | |
Veritone, Inc. 1.75% 11/15/26 (b) | 1,164,000 | 770,568 | |
Workday, Inc. 0.25% 10/1/22 | 3,565,000 | 4,012,408 | |
Workiva, Inc. 1.125% 8/15/26 | 2,245,000 | 2,608,690 | |
Zendesk, Inc. 0.625% 6/15/25 | 3,384,000 | 3,636,108 | |
Zscaler, Inc. 0.125% 7/1/25 | 2,124,000 | 2,621,016 | |
115,955,348 | |||
TOTAL INFORMATION TECHNOLOGY | 180,497,448 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Amyris, Inc. 1.5% 11/15/26 (b) | 2,470,000 | 1,202,057 | |
Danimer Scientific, Inc. 3.25% 12/15/26 (b) | 110,000 | 76,560 | |
Livent Corp. 4.125% 7/15/25 | 522,000 | 1,952,019 | |
3,230,636 | |||
Metals & Mining - 0.1% | |||
Allegheny Technologies, Inc. 3.5% 6/15/25 | 60,000 | 114,030 | |
Endeavour Mining Corp. 3% 2/15/23 (b) | 1,610,000 | 1,737,351 | |
MP Materials Corp. 0.25% 4/1/26 (b) | 859,000 | 953,920 | |
SSR Mining, Inc. 2.5% 4/1/39 | 2,061,000 | 2,592,738 | |
United States Steel Corp. 5% 11/1/26 | 728,000 | 1,464,008 | |
6,862,047 | |||
TOTAL MATERIALS | 10,092,683 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.3% | |||
Pebblebrook Hotel Trust 1.75% 12/15/26 | 5,620,000 | 5,999,350 | |
Porch Group, Inc. 0.75% 9/15/26 (b) | 8,182,000 | 4,638,171 | |
Summit Hotel Properties, Inc. 1.5% 2/15/26 | 3,637,000 | 3,404,232 | |
Uniti Fiber Holdings, Inc. 4% 6/15/24 (b) | 3,116,000 | 3,646,977 | |
17,688,730 | |||
Real Estate Management & Development - 0.0% | |||
Opendoor Technologies, Inc. 0.25% 8/15/26 (b) | 1,141,000 | 756,483 | |
Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 (b) | 84,000 | 67,570 | |
Redfin Corp.: | |||
0% 10/15/25 | 692,000 | 426,878 | |
0.5% 4/1/27 | 1,255,000 | 692,760 | |
Zillow Group, Inc. 2.75% 5/15/25 | 67,000 | 66,866 | |
2,010,557 | |||
TOTAL REAL ESTATE | 19,699,287 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
NRG Energy, Inc. 2.75% 6/1/48 | 1,399,000 | 1,682,997 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
NextEra Energy Partners LP 0% 6/15/24 (b) | 80,000 | 76,680 | |
Sunnova Energy International, Inc. 0.25% 12/1/26 (b) | 80,000 | 64,000 | |
140,680 | |||
Multi-Utilities - 0.0% | |||
CenterPoint Energy, Inc. 2.00% ZENS | 23,475 | 1,182,436 | |
TOTAL UTILITIES | 3,006,113 | ||
TOTAL CONVERTIBLE BONDS | 485,261,143 | ||
Nonconvertible Bonds - 0.6% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.1% | |||
Gannett Holdings LLC 6% 11/1/26 (b) | 4,965,000 | 4,505,738 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Luminar Technologies, Inc. 1.25% 12/15/26 (b) | 100,000 | 76,650 | |
CONSUMER STAPLES - 0.1% | |||
Food & Staples Retailing - 0.0% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 4.875% 2/15/30 (b) | 1,080,000 | 1,007,008 | |
Tobacco - 0.1% | |||
Turning Point Brands, Inc. 5.625% 2/15/26 (b) | 2,850,000 | 2,611,776 | |
TOTAL CONSUMER STAPLES | 3,618,784 | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Calumet Specialty Products Partners LP/Calumet Finance Corp. 11% 4/15/25 (b) | 4,010,000 | 4,043,744 | |
DCP Midstream Operating LP 5.85% 5/21/43 (b)(d) | 1,000,000 | 877,500 | |
4,921,244 | |||
FINANCIALS - 0.3% | |||
Banks - 0.0% | |||
JPMorgan Chase & Co. 3 month U.S. LIBOR + 1.000% 2.4113% 5/15/77 (d)(e) | 4,500,000 | 3,488,400 | |
Diversified Financial Services - 0.2% | |||
ILFC E-Capital Trust I 3 month U.S. LIBOR + 1.550% 4.05% 12/21/65 (b)(d)(e) | 14,050,000 | 10,959,000 | |
Insurance - 0.1% | |||
MetLife, Inc. 6.4% 12/15/66 (d) | 5,000,000 | 5,137,500 | |
TOTAL FINANCIALS | 19,584,900 | ||
UTILITIES - 0.0% | |||
Multi-Utilities - 0.0% | |||
CMS Energy Corp. 4.75% 6/1/50 (d) | 2,000,000 | 1,869,191 | |
Sempra Energy 4.125% 4/1/52 (d) | 1,250,000 | 1,088,442 | |
2,957,633 | |||
TOTAL NONCONVERTIBLE BONDS | 35,664,949 | ||
TOTAL CORPORATE BONDS (Cost $528,733,563) | 520,926,092 | ||
Common Stocks - 53.4% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 4.0% | |||
Diversified Telecommunication Services - 1.7% | |||
AT&T, Inc. | 1,513,100 | 32,213,899 | |
Cellnex Telecom SA (b) | 29,564 | 1,334,199 | |
Helios Towers PLC (f) | 69,039 | 99,002 | |
Verizon Communications, Inc. | 1,212,819 | 62,205,487 | |
95,852,587 | |||
Entertainment - 0.1% | |||
Activision Blizzard, Inc. | 36,800 | 2,865,984 | |
Media - 1.7% | |||
Charter Communications, Inc. Class A (f) | 619 | 313,790 | |
Comcast Corp. Class A | 1,708,039 | 75,631,967 | |
Gannett Co., Inc. (f) | 907,363 | 3,565,937 | |
Interpublic Group of Companies, Inc. | 284,400 | 9,166,212 | |
Shaw Communications, Inc. Class B | 308,826 | 8,750,701 | |
97,428,607 | |||
Wireless Telecommunication Services - 0.5% | |||
T-Mobile U.S., Inc. (f) | 195,954 | 26,118,709 | |
TOTAL COMMUNICATION SERVICES | 222,265,887 | ||
CONSUMER DISCRETIONARY - 2.1% | |||
Hotels, Restaurants & Leisure - 1.4% | |||
McDonald's Corp. | 277,378 | 69,957,505 | |
Super Group SGHC Ltd. (f) | 1,055,795 | 7,390,565 | |
77,348,070 | |||
Internet & Direct Marketing Retail - 0.0% | |||
eBay, Inc. | 53,723 | 2,614,698 | |
Multiline Retail - 0.4% | |||
Dollar Tree, Inc. (f) | 20,700 | 3,318,831 | |
Target Corp. | 132,000 | 21,368,160 | |
24,686,991 | |||
Specialty Retail - 0.2% | |||
Best Buy Co., Inc. | 93,000 | 7,631,580 | |
Burlington Stores, Inc. (f) | 15,000 | 2,524,500 | |
10,156,080 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
PVH Corp. | 73,800 | 5,230,206 | |
TOTAL CONSUMER DISCRETIONARY | 120,036,045 | ||
CONSUMER STAPLES - 9.8% | |||
Beverages - 4.5% | |||
Diageo PLC | 610,738 | 28,375,667 | |
Keurig Dr. Pepper, Inc. | 757,852 | 26,327,778 | |
PepsiCo, Inc. | 463,720 | 77,789,030 | |
The Coca-Cola Co. | 1,929,947 | 122,320,041 | |
254,812,516 | |||
Food & Staples Retailing - 0.8% | |||
Albertsons Companies, Inc. | 215,400 | 6,580,470 | |
BJ's Wholesale Club Holdings, Inc. (f) | 165,600 | 9,583,272 | |
Costco Wholesale Corp. | 8,100 | 3,776,382 | |
Walmart, Inc. | 169,500 | 21,802,785 | |
41,742,909 | |||
Food Products - 1.0% | |||
Bunge Ltd. | 53,100 | 6,282,792 | |
Mondelez International, Inc. | 552,014 | 35,086,010 | |
Nestle SA (Reg. S) | 115,544 | 14,133,022 | |
55,501,824 | |||
Household Products - 2.5% | |||
Procter & Gamble Co. | 949,860 | 140,465,282 | |
Personal Products - 0.1% | |||
Unilever PLC | 157,500 | 7,609,058 | |
Tobacco - 0.9% | |||
Philip Morris International, Inc. | 484,200 | 51,446,250 | |
TOTAL CONSUMER STAPLES | 551,577,839 | ||
ENERGY - 4.5% | |||
Energy Equipment & Services - 0.0% | |||
Tenaris SA sponsored ADR | 50,771 | 1,692,705 | |
Oil, Gas & Consumable Fuels - 4.5% | |||
Antero Resources Corp. (f) | 151,859 | 6,511,714 | |
Canadian Natural Resources Ltd. | 24,181 | 1,603,926 | |
Canadian Natural Resources Ltd. | 127,038 | 8,407,599 | |
Cenovus Energy, Inc. | 271,411 | 6,288,593 | |
Cheniere Energy, Inc. | 36,738 | 5,024,656 | |
ConocoPhillips Co. | 101,188 | 11,369,484 | |
DCP Midstream Partners LP | 200,789 | 7,210,333 | |
DHT Holdings, Inc. | 3,164,055 | 18,857,768 | |
DT Midstream, Inc. | 7,172 | 416,693 | |
Energy Transfer LP | 1,019,056 | 11,882,193 | |
Enterprise Products Partners LP | 8,639 | 236,881 | |
Enviva, Inc. | 71,587 | 5,575,911 | |
Equitrans Midstream Corp. | 59,079 | 464,952 | |
Euronav NV (g) | 885,200 | 11,330,560 | |
Exxon Mobil Corp. | 356,806 | 34,253,376 | |
Genesis Energy LP | 492,700 | 6,030,648 | |
Golar LNG Ltd. (f) | 13,894 | 351,935 | |
Hess Corp. | 18,000 | 2,215,260 | |
Imperial Oil Ltd. | 476,231 | 26,084,740 | |
MEG Energy Corp. (f) | 162,454 | 2,834,613 | |
MPLX LP | 78,656 | 2,591,715 | |
Occidental Petroleum Corp. | 36,087 | 2,501,190 | |
ONEOK, Inc. | 11,017 | 725,469 | |
PDC Energy, Inc. | 46,974 | 3,717,522 | |
Phillips 66 Co. | 108,924 | 10,980,628 | |
Plains All American Pipeline LP | 726,038 | 8,269,573 | |
Suncor Energy, Inc. | 455,534 | 18,327,964 | |
Targa Resources Corp. | 121,172 | 8,726,807 | |
The Williams Companies, Inc. | 35,158 | 1,302,955 | |
Valero Energy Corp. | 117,538 | 15,232,925 | |
Western Midstream Partners LP | 392,589 | 10,855,086 | |
250,183,669 | |||
TOTAL ENERGY | 251,876,374 | ||
FINANCIALS - 5.5% | |||
Banks - 2.3% | |||
Bank of America Corp. | 600,145 | 22,325,394 | |
Huntington Bancshares, Inc. | 890,652 | 12,362,250 | |
JPMorgan Chase & Co. | 139,600 | 18,459,308 | |
M&T Bank Corp. | 120,057 | 21,606,658 | |
PNC Financial Services Group, Inc. | 202,802 | 35,573,499 | |
Wells Fargo & Co. | 435,012 | 19,910,499 | |
130,237,608 | |||
Capital Markets - 0.9% | |||
BlackRock, Inc. Class A | 74,011 | 49,519,280 | |
Consumer Finance - 0.4% | |||
Capital One Financial Corp. | 162,090 | 20,724,827 | |
Insurance - 1.9% | |||
American Financial Group, Inc. | 79,200 | 11,190,960 | |
Chubb Ltd. | 187,036 | 39,518,836 | |
Hartford Financial Services Group, Inc. | 230,836 | 16,737,918 | |
The Travelers Companies, Inc. | 238,592 | 42,717,512 | |
110,165,226 | |||
TOTAL FINANCIALS | 310,646,941 | ||
HEALTH CARE - 12.1% | |||
Biotechnology - 3.1% | |||
AbbVie, Inc. | 662,637 | 97,652,815 | |
Amgen, Inc. | 308,600 | 79,229,964 | |
176,882,779 | |||
Health Care Providers & Services - 0.6% | |||
UnitedHealth Group, Inc. | 65,904 | 32,739,789 | |
Life Sciences Tools & Services - 0.6% | |||
Danaher Corp. | 128,270 | 33,840,191 | |
Pharmaceuticals - 7.8% | |||
AstraZeneca PLC sponsored ADR | 463,524 | 30,815,076 | |
Bristol-Myers Squibb Co. | 1,192,871 | 90,002,117 | |
Eli Lilly & Co. | 341,033 | 106,893,384 | |
Johnson & Johnson | 411,520 | 73,880,186 | |
Merck & Co., Inc. | 872,181 | 80,266,817 | |
Roche Holding AG (participation certificate) | 79,353 | 27,042,799 | |
Sanofi SA sponsored ADR | 553,500 | 29,473,875 | |
438,374,254 | |||
TOTAL HEALTH CARE | 681,837,013 | ||
INDUSTRIALS - 4.8% | |||
Aerospace & Defense - 1.5% | |||
Huntington Ingalls Industries, Inc. | 59,694 | 12,563,199 | |
Lockheed Martin Corp. | 88,700 | 39,037,757 | |
Northrop Grumman Corp. | 56,502 | 26,441,241 | |
The Boeing Co. (f) | 39,899 | 5,242,729 | |
83,284,926 | |||
Air Freight & Logistics - 1.0% | |||
United Parcel Service, Inc. Class B | 296,029 | 53,951,285 | |
Building Products - 0.3% | |||
Johnson Controls International PLC | 297,590 | 16,221,631 | |
Commercial Services & Supplies - 0.1% | |||
GFL Environmental, Inc. | 18,908 | 578,018 | |
Waste Connections, Inc. (United States) | 5,898 | 752,231 | |
Waste Management, Inc. | 47,500 | 7,529,225 | |
8,859,474 | |||
Construction & Engineering - 0.0% | |||
Ferrovial SA | 23,485 | 605,348 | |
VINCI SA | 4,012 | 387,159 | |
992,507 | |||
Electrical Equipment - 0.9% | |||
AMETEK, Inc. | 43,700 | 5,308,239 | |
Babcock & Wilcox Enterprises, Inc. (f) | 1,415,380 | 9,270,739 | |
Eaton Corp. PLC | 256,703 | 35,579,036 | |
50,158,014 | |||
Industrial Conglomerates - 0.3% | |||
General Electric Co. | 62,475 | 4,891,168 | |
Hitachi Ltd. | 125,300 | 6,501,382 | |
Siemens AG | 45,800 | 6,045,737 | |
17,438,287 | |||
Machinery - 0.1% | |||
ITT, Inc. | 90,200 | 6,658,564 | |
Professional Services - 0.1% | |||
Clarivate Analytics PLC (f) | 271,600 | 4,011,532 | |
Trading Companies & Distributors - 0.1% | |||
Watsco, Inc. | 20,356 | 5,203,604 | |
Transportation Infrastructure - 0.4% | |||
Aena SME SA (b)(f) | 95,252 | 14,531,540 | |
Aeroports de Paris SA (f) | 3,194 | 477,134 | |
Flughafen Zuerich AG (f) | 3,544 | 598,549 | |
Getlink SE | 79,673 | 1,533,178 | |
Grupo Aeroportuario del Pacifico S.A.B. de CV sponsored ADR | 4,602 | 692,049 | |
Grupo Aeroportuario Norte S.A.B. de CV ADR | 11,442 | 660,890 | |
Transurban Group unit | 193,958 | 2,000,217 | |
20,493,557 | |||
TOTAL INDUSTRIALS | 267,273,381 | ||
INFORMATION TECHNOLOGY - 4.7% | |||
Communications Equipment - 1.4% | |||
Cisco Systems, Inc. | 1,742,780 | 78,512,239 | |
IT Services - 0.5% | |||
Accenture PLC Class A | 32,302 | 9,640,855 | |
Amdocs Ltd. | 71,839 | 6,242,091 | |
Capgemini SA | 36,600 | 7,092,193 | |
Visa, Inc. Class A | 28,700 | 6,089,279 | |
29,064,418 | |||
Semiconductors & Semiconductor Equipment - 0.9% | |||
NXP Semiconductors NV | 116,600 | 22,126,016 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 293,207 | 27,942,627 | |
50,068,643 | |||
Software - 1.0% | |||
Microsoft Corp. | 131,467 | 35,741,933 | |
NortonLifeLock, Inc. | 311,700 | 7,586,778 | |
Open Text Corp. | 231,726 | 9,497,313 | |
Roper Technologies, Inc. | 12,900 | 5,707,476 | |
58,533,500 | |||
Technology Hardware, Storage & Peripherals - 0.9% | |||
Apple, Inc. | 43,741 | 6,510,410 | |
FUJIFILM Holdings Corp. | 60,100 | 3,310,267 | |
Samsung Electronics Co. Ltd. | 518,953 | 28,152,777 | |
Seagate Technology Holdings PLC | 121,900 | 10,321,273 | |
48,294,727 | |||
TOTAL INFORMATION TECHNOLOGY | 264,473,527 | ||
MATERIALS - 1.6% | |||
Chemicals - 0.5% | |||
Linde PLC | 63,318 | 20,558,088 | |
Nutrien Ltd. | 74,976 | 7,327,180 | |
27,885,268 | |||
Containers & Packaging - 0.9% | |||
Ball Corp. | 101,600 | 7,202,424 | |
Crown Holdings, Inc. | 212,932 | 22,238,618 | |
Packaging Corp. of America | 136,932 | 21,536,665 | |
50,977,707 | |||
Metals & Mining - 0.2% | |||
Lundin Mining Corp. | 316,238 | 2,815,227 | |
Wheaton Precious Metals Corp. | 203,600 | 8,408,953 | |
11,224,180 | |||
TOTAL MATERIALS | 90,087,155 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.5% | |||
American Tower Corp. | 48,385 | 12,392,850 | |
ARGAN SA | 1,143 | 137,432 | |
Crown Castle International Corp. | 3,286 | 623,190 | |
Digital Realty Trust, Inc. | 1,964 | 274,155 | |
Equinix, Inc. | 523 | 359,348 | |
Lamar Advertising Co. Class A | 130,868 | 12,818,521 | |
Prologis (REIT), Inc. | 1,189 | 151,574 | |
SBA Communications Corp. Class A | 1,482 | 498,856 | |
Warehouses de Pauw | 1,891 | 69,713 | |
27,325,639 | |||
UTILITIES - 3.8% | |||
Electric Utilities - 2.3% | |||
Constellation Energy Corp. | 143,732 | 8,922,883 | |
Enel SpA | 145,507 | 945,378 | |
Exelon Corp. | 282,262 | 13,873,177 | |
Iberdrola SA | 85,798 | 1,016,579 | |
NextEra Energy, Inc. | 921,757 | 69,767,787 | |
NRG Energy, Inc. | 194,669 | 8,962,561 | |
ORSTED A/S (b) | 5,803 | 654,053 | |
PG&E Corp. (f) | 221,000 | 2,696,200 | |
Xcel Energy, Inc. | 307,026 | 23,131,339 | |
129,969,957 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Brookfield Renewable Partners LP | 8,211 | 292,147 | |
EDP Renovaveis SA | 13,252 | 324,937 | |
NextEra Energy Partners LP | 3,687 | 264,174 | |
RWE AG | 14,759 | 649,626 | |
The AES Corp. | 9,245 | 203,760 | |
Vistra Corp. | 388,000 | 10,231,560 | |
11,966,204 | |||
Multi-Utilities - 1.3% | |||
Ameren Corp. | 215,605 | 20,523,440 | |
Dominion Energy, Inc. | 402,973 | 33,938,386 | |
WEC Energy Group, Inc. | 155,151 | 16,301,716 | |
70,763,542 | |||
TOTAL UTILITIES | 212,699,703 | ||
TOTAL COMMON STOCKS (Cost $2,168,903,303) | 3,000,099,504 | ||
Preferred Stocks - 10.0% | |||
Shares | Value ($) | ||
Convertible Preferred Stocks - 2.6% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.1% | |||
Paramount Global Series A 5.75% | 38,670 | 1,950,605 | |
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S., Inc. 5.25% (b)(f) | 5,850 | 6,677,527 | |
TOTAL COMMUNICATION SERVICES | 8,628,132 | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Auto Components - 0.1% | |||
Aptiv PLC Series A, 5.50% | 23,400 | 2,869,348 | |
Internet & Direct Marketing Retail - 0.0% | |||
Chewy, Inc. 6.50% (b) | 2,250 | 1,429,403 | |
TOTAL CONSUMER DISCRETIONARY | 4,298,751 | ||
FINANCIALS - 0.6% | |||
Banks - 0.6% | |||
Bank of America Corp. 7.25% | 12,765 | 16,083,900 | |
Wells Fargo & Co. 7.50% | 12,645 | 15,992,279 | |
32,076,179 | |||
Capital Markets - 0.0% | |||
KKR & Co. LP Series C, 6.00% | 29,300 | 2,009,101 | |
TOTAL FINANCIALS | 34,085,280 | ||
HEALTH CARE - 0.4% | |||
Health Care Equipment & Supplies - 0.3% | |||
Becton, Dickinson & Co. 6.50% | 113,500 | 5,828,225 | |
Boston Scientific Corp. Series A, 5.50% | 77,000 | 8,437,871 | |
14,266,096 | |||
Health Care Technology - 0.0% | |||
Change Healthcare, Inc. 6.00% | 22,000 | 1,707,420 | |
Life Sciences Tools & Services - 0.1% | |||
Danaher Corp. Series B, 5.00% | 5,760 | 8,178,635 | |
TOTAL HEALTH CARE | 24,152,151 | ||
INDUSTRIALS - 0.2% | |||
Construction & Engineering - 0.1% | |||
Fluor Corp. 6.50% | 4,200 | 5,919,440 | |
Machinery - 0.0% | |||
RBC Bearings, Inc. | 32,100 | 3,107,568 | |
Professional Services - 0.1% | |||
Clarivate Analytics PLC 5.00% | 52,900 | 3,181,935 | |
TOTAL INDUSTRIALS | 12,208,943 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
IT Services - 0.0% | |||
Sabre Corp. Series A, 6.50% | 700 | 69,419 | |
Semiconductors & Semiconductor Equipment - 0.3% | |||
Broadcom, Inc. Series A, 8.00% | 9,050 | 16,411,510 | |
TOTAL INFORMATION TECHNOLOGY | 16,480,929 | ||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
ArcelorMittal SA 5.50% | 39,200 | 3,005,072 | |
UTILITIES - 0.8% | |||
Electric Utilities - 0.6% | |||
American Electric Power Co., Inc. 6.125% | 66,200 | 3,727,722 | |
NextEra Energy, Inc.: | |||
4.872% | 189,600 | 10,443,450 | |
5.279% | 120,900 | 5,889,039 | |
6.219% | 119,500 | 5,861,475 | |
PG&E Corp. | 44,500 | 5,031,964 | |
Southern Co. 6.75% | 37,500 | 2,111,765 | |
33,065,415 | |||
Gas Utilities - 0.1% | |||
UGI Corp. 7.125% | 39,900 | 3,928,953 | |
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. 6.875% | 37,900 | 3,368,173 | |
Multi-Utilities - 0.0% | |||
Dominion Energy, Inc. 7.25% | 1,100 | 111,837 | |
DTE Energy Co. 6.25% | 48,400 | 2,539,527 | |
NiSource, Inc. 7.75% | 800 | 94,240 | |
2,745,604 | |||
TOTAL UTILITIES | 43,108,145 | ||
TOTAL CONVERTIBLE PREFERRED STOCKS | 145,967,403 | ||
Nonconvertible Preferred Stocks - 7.4% | |||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.2% | |||
AT&T, Inc.: | |||
4.75% | 160,000 | 3,270,400 | |
5.125% | 85,000 | 1,836,850 | |
5.35% | 100,000 | 2,525,000 | |
BCE, Inc.: | |||
2.954%(d) | 72,900 | 962,509 | |
Series AM, Canadian Government Bond 5 Year Note Index + 2.090% 2.939%(d)(e) | 68,700 | 936,929 | |
Series R | 67,600 | 893,602 | |
10,425,290 | |||
Wireless Telecommunication Services - 0.0% | |||
Telephone & Data Systems, Inc. 6.625% | 8,100 | 191,458 | |
U.S. Cellular Corp. 6.25% | 65,000 | 1,477,450 | |
1,668,908 | |||
TOTAL COMMUNICATION SERVICES | 12,094,198 | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Leisure Products - 0.1% | |||
Brunswick Corp.: | |||
6.375% | 20,000 | 527,000 | |
6.50% | 45,000 | 1,150,650 | |
6.625% | 30,000 | 807,000 | |
2,484,650 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Fossil Group, Inc. 7.00% | 65,400 | 1,485,234 | |
TOTAL CONSUMER DISCRETIONARY | 3,969,884 | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Enbridge, Inc.: | |||
Canadian Government Bond 5 Year Note Index + 2.400% 3.415%(d)(e) | 2,000 | 31,972 | |
Canadian Government Bond 5 Year Note Index + 2.570% 4.449%(d)(e) | 13,400 | 203,725 | |
Canadian Government Bond 5 Year Note Index + 2.650% 5.086%(d)(e) | 22,700 | 370,601 | |
Series F, Canadian Government Bond 5 Year Note Index + 2.510% 4.689%(d)(e) | 33,400 | 527,862 | |
Series L, 5 year U.S. Treasury Index + 3.150% 4.959%(d)(e) | 17,800 | 428,980 | |
Energy Transfer LP Series C, 7.375% (d) | 60,000 | 1,297,800 | |
Global Partners LP Series B, 9.50% | 60,000 | 1,590,000 | |
Pembina Pipeline Corp.: | |||
Series 15, 4.40%(d) | 8,600 | 155,906 | |
Series 17, Canadian Government Bond 5 Year Note Index + 3.010% 4.821%(d)(e) | 6,800 | 124,995 | |
Series 3, Canadian Government Bond 5 Year Note Index + 2.600% 4.478%(d)(e) | 11,900 | 195,597 | |
Series 5, Canadian Government Bond 5 Year Note Index + 3.000% 4.573%(d)(e) | 1,500 | 26,481 | |
Series 7, Canadian Government Bond 5 Year Note Index + 2.940% 4.38%(d)(e) | 900 | 15,526 | |
TC Energy Corp. Canadian Government Bond 5 Year Note Index + 2.380% 3.903% (d)(e) | 12,000 | 192,497 | |
5,161,942 | |||
FINANCIALS - 5.4% | |||
Banks - 3.6% | |||
Bank of America Corp.: | |||
4.25% | 325,000 | 6,418,750 | |
4.375% | 315,200 | 6,266,176 | |
5.00% | 384,200 | 8,679,078 | |
Series GG, 6.00% | 350,000 | 9,037,000 | |
Series HH, 5.875% | 195,043 | 4,905,331 | |
Series KK, 5.375% | 411,400 | 9,659,672 | |
Series PP, 4.125% | 275,000 | 5,362,500 | |
Bank of Hawaii Corp. Series A, 4.625% | 60,000 | 1,184,400 | |
Cullen/Frost Bankers, Inc. Series B 4.45% | 50,000 | 1,050,000 | |
First Citizens Bancshares, Inc. | 100,000 | 2,340,000 | |
First Citizens Bancshares, Inc. Series C | 150,000 | 3,598,500 | |
First Republic Bank: | |||
4.125% | 150,000 | 2,757,000 | |
4.50% | 180,000 | 3,567,600 | |
5.125% | 20,000 | 449,000 | |
Series J, 4.70% | 110,000 | 2,275,900 | |
Series L, 4.375% | 225,000 | 4,263,750 | |
Series M, 4.00% | 165,000 | 3,007,950 | |
First Tennessee Bank NA 3 month U.S. LIBOR + 0.850% 3.75% (b)(d)(e) | 12,500 | 10,250,000 | |
JPMorgan Chase & Co.: | |||
4.55% | 540,000 | 11,167,200 | |
4.625% | 442,400 | 9,268,280 | |
4.75% | 200,000 | 4,356,000 | |
Series DD, 5.75% | 434,100 | 11,026,140 | |
Series EE, 6.00% | 196,000 | 5,123,440 | |
Series MM, 4.20% | 356,400 | 7,085,232 | |
PNC Financial Services Group, Inc. Series P, 6.125% (d)(e) | 145,086 | 3,631,503 | |
Regions Financial Corp. 4.45% | 10,000 | 192,200 | |
Truist Financial Corp.: | |||
4.75% | 230,000 | 4,800,100 | |
Series O, 5.25% | 39,000 | 904,410 | |
U.S. Bancorp: | |||
4.50% | 105,000 | 2,242,800 | |
Series K, 5.50% | 52,191 | 1,323,042 | |
Series L, 3.75% | 25,000 | 455,290 | |
Series M, 4.00% | 155,000 | 2,955,850 | |
Wells Fargo & Co.: | |||
4.25% | 360,000 | 6,744,600 | |
4.70% | 350,000 | 7,147,000 | |
5.85%(d) | 453,751 | 10,768,872 | |
6.625%(d) | 200,000 | 5,158,000 | |
Series CC, 4.375% | 325,000 | 6,201,000 | |
Series Y, 5.625% | 170,000 | 4,159,900 | |
Series Z, 4.75% | 591,400 | 12,283,378 | |
202,066,844 | |||
Capital Markets - 0.7% | |||
B. Riley Financial, Inc.: | |||
5.00% | 80,000 | 1,907,200 | |
5.25% | 57,400 | 1,316,756 | |
6.375% | 53,300 | 1,345,825 | |
6.50% | 15,600 | 388,284 | |
Brookfield Asset Management, Inc.: | |||
Canadian Government Bond 5 Year Note Index + 1.800% 2.727%(d)(e) | 800 | 11,625 | |
Canadian Government Bond 5 Year Note Index + 2.310% 3.471%(d)(e) | 2,400 | 36,906 | |
Canadian Government Bond 5 Year Note Index + 2.630% 4.437%(d)(e) | 600 | 10,483 | |
Charles Schwab Corp.: | |||
4.45% | 225,000 | 4,803,750 | |
5.95% | 28,000 | 710,640 | |
Morgan Stanley: | |||
6.875%(d) | 100,000 | 2,635,000 | |
Series E, 7.125%(d) | 25,000 | 668,500 | |
Series I, 6.375%(d) | 30,000 | 782,700 | |
Series K, 5.85%(d) | 270,000 | 6,987,600 | |
Series L, 4.875% | 75,000 | 1,682,250 | |
Series O, 4.50% | 380,000 | 7,425,200 | |
Northern Trust Corp. Series E, 4.70% | 110,000 | 2,500,300 | |
Oaktree Capital Group LLC: | |||
6.55% | 80,300 | 2,038,014 | |
Series A, 6.625% | 65,197 | 1,636,445 | |
State Street Corp.: | |||
Series D, 5.90%(d) | 60,700 | 1,504,146 | |
Series G, 5.35%(d) | 20,000 | 508,400 | |
Stifel Financial Corp.: | |||
5.20% | 5,000 | 116,400 | |
Series D, 4.50% | 27,900 | 562,743 | |
39,579,167 | |||
Consumer Finance - 0.1% | |||
Capital One Financial Corp.: | |||
4.25% | 40,000 | 749,200 | |
5.00% | 15,000 | 324,300 | |
Series J, 5.00% | 117,000 | 2,392,650 | |
Series L, 4.375% | 12,000 | 224,040 | |
3,690,190 | |||
Diversified Financial Services - 0.1% | |||
Apollo Global Management LLC: | |||
6.375% | 38,246 | 946,206 | |
Series B, 6.375% | 30,000 | 770,100 | |
Carlyle Finance LLC 4.625% | 133,646 | 2,692,967 | |
Equitable Holdings, Inc.: | |||
4.30% | 26,000 | 502,320 | |
Series A 5.25% | 52,500 | 1,189,650 | |
6,101,243 | |||
Insurance - 0.9% | |||
Allstate Corp.: | |||
5.10% | 347,743 | 8,404,948 | |
Series G, 5.625% | 150,000 | 3,858,000 | |
Series I, 4.75% | 100,000 | 2,437,000 | |
Athene Holding Ltd.: | |||
Series A, 6.35%(d) | 135,000 | 3,542,400 | |
Series B, 5.625% | 111,000 | 2,673,990 | |
Series C, 6.375%(d) | 185,500 | 4,837,840 | |
Series D, 4.875% | 340,000 | 7,078,800 | |
Hartford Financial Services Group, Inc. Series G, 6.00% | 60,000 | 1,557,000 | |
MetLife, Inc.: | |||
5.625% | 115,000 | 2,955,500 | |
Series F 4.75% | 271,100 | 6,316,630 | |
Power Financial Corp. BK CDA TREASURY BIL 3 MTH INDX + 1.600% 1.77% (d)(e) | 23,400 | 287,678 | |
Prudential Financial, Inc. 4.125% | 25,000 | 533,250 | |
RenaissanceRe Holdings Ltd. Series G, 4.20% | 40,000 | 747,200 | |
W.R. Berkley Corp.: | |||
4.125% | 80,000 | 1,610,400 | |
4.25% | 75,000 | 1,491,750 | |
5.10% | 125,000 | 2,922,500 | |
5.70% | 39,071 | 987,324 | |
52,242,210 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
KKR Real Estate Finance Trust, Inc. 6.50% | 40,000 | 974,000 | |
TPG RE Finance Trust, Inc. Series C, 6.25% | 10,000 | 210,400 | |
Two Harbors Investment Corp. Series C, 7.25% (d) | 20,000 | 450,000 | |
1,634,400 | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Properties Corp.: | |||
Canadian Government Bond 5 Year Note Index + 3.000% 4.161%(d)(e) | 33,900 | 458,307 | |
Canadian Government Bond 5 Year Note Index + 3.160% 5.383%(d)(e) | 14,000 | 225,244 | |
Series CC, Canadian Government Bond 5 Year Note Index + 5.180% 6.00%(d)(e) | 9,500 | 187,769 | |
Series EE, 5.10%(d) | 10,500 | 190,932 | |
Series R, Canadian Government Bond 5 Year Note Index + 3.480% 4.155%(d)(e) | 20,900 | 296,435 | |
1,358,687 | |||
TOTAL FINANCIALS | 306,672,741 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
Bombardier, Inc. Series 3, 3.983% | 123,400 | 2,097,561 | |
Commercial Services & Supplies - 0.0% | |||
Pitney Bowes, Inc. 6.70% | 12,300 | 268,140 | |
Electrical Equipment - 0.2% | |||
Babcock & Wilcox Enterprises, Inc.: | |||
6.50% | 60,000 | 1,404,000 | |
8.125% | 303,300 | 7,388,388 | |
Series A, 7.75% | 148,000 | 3,692,600 | |
12,484,988 | |||
TOTAL INDUSTRIALS | 14,850,689 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.5% | |||
Digitalbridge Group, Inc. Series I, 7.15% | 14,400 | 339,984 | |
Pebblebrook Hotel Trust: | |||
6.375% | 54,000 | 1,168,290 | |
Series H, 5.70% | 9,514 | 182,288 | |
Public Storage: | |||
3.875% | 67,833 | 1,304,788 | |
3.95% | 40,000 | 756,796 | |
4.00% | 160,000 | 3,067,200 | |
4.00% | 140,000 | 2,696,400 | |
Series F, 5.15% | 30,298 | 755,632 | |
Series G, 5.05% | 55,937 | 1,379,966 | |
Series H, 5.60% | 11,300 | 298,094 | |
Series I, 4.875% | 60,000 | 1,423,200 | |
Series J, 4.70% | 65,000 | 1,483,300 | |
Series K, 4.75% | 35,000 | 834,400 | |
Series L, 4.625% | 130,000 | 2,941,900 | |
Series M, 4.125% | 70,000 | 1,441,300 | |
Series O, 3.90% | 35,000 | 659,750 | |
Series S, 4.10% | 50,000 | 983,000 | |
Summit Hotel Properties, Inc.: | |||
Series E, 6.25% | 20,500 | 450,795 | |
Series F, 5.875% | 68,698 | 1,465,651 | |
Sunstone Hotel Investors, Inc.: | |||
Series H, 6.125% | 20,000 | 451,600 | |
Series I, 5.70% | 31,000 | 654,100 | |
Vornado Realty Trust Series O, 4.45% | 16,300 | 302,202 | |
25,040,636 | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Property Partners LP 5.75% | 60,800 | 1,191,680 | |
TOTAL REAL ESTATE | 26,232,316 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.4% | |||
Alabama Power Co. Series A, 5.00% | 35,000 | 868,700 | |
Brookfield Infrastructure Finance ULC 5.00% | 40,000 | 821,600 | |
Duke Energy Corp.: | |||
5.625% | 85,000 | 2,187,050 | |
5.75% | 11,800 | 306,682 | |
Entergy Louisiana LLC 4.875% | 10,618 | 259,610 | |
Entergy New Orleans LLC 5.50% | 24,795 | 621,859 | |
Entergy, Inc.: | |||
4.875% | 8,000 | 191,760 | |
Series A, 5.375% | 10,000 | 251,600 | |
Fortis, Inc. Series G, Canadian Government Bond 5 Year Note Index + 2.130% 3.883% (d)(e) | 14,600 | 241,361 | |
Georgia Power Co. 5.00% | 21,503 | 540,585 | |
NextEra Energy Capital Holdings, Inc. 5.65% | 115,000 | 2,954,350 | |
Southern Co.: | |||
4.20% | 210,000 | 4,126,500 | |
5.25% | 186,487 | 4,557,742 | |
Series A, 4.95% | 300,000 | 6,849,000 | |
24,778,399 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Brookfield Renewable Partners LP 5.25% | 125,000 | 2,795,000 | |
TransAlta Corp.: | |||
Canadian Government Bond 5 Year Note Index + 3.800% 4.988%(d)(e) | 10,800 | 195,618 | |
Series E, Canadian Government Bond 5 Year Note Index + 3.650% 5.19%(d)(e) | 11,300 | 215,127 | |
3,205,745 | |||
Multi-Utilities - 0.3% | |||
Brookfield Infrastructure Partners LP: | |||
5.125% | 53,000 | 1,059,952 | |
Class A 5.00% | 59,100 | 1,153,632 | |
CMS Energy Corp.: | |||
5.625% | 108,258 | 2,723,771 | |
5.875% | 59,330 | 1,518,848 | |
5.875% | 112,943 | 2,875,529 | |
DTE Energy Co.: | |||
4.375% | 65,000 | 1,324,700 | |
Series E, 5.25% | 75,000 | 1,830,375 | |
Sempra Energy 5.75% | 220,459 | 5,511,475 | |
17,998,282 | |||
TOTAL UTILITIES | 45,982,426 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 414,964,196 | ||
TOTAL PREFERRED STOCKS (Cost $592,292,302) | 560,931,599 | ||
Equity Funds - 14.8% | |||
Shares | Value ($) | ||
Fidelity Real Estate Equity Central Fund (h) (Cost $702,869,064) | 6,069,211 | 830,450,159 | |
Preferred Securities - 10.7% | |||
Principal Amount (a) | Value ($) | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
DCP Midstream Partners LP 7.375% (d)(i) | 2,635,000 | 2,521,297 | |
Enbridge, Inc. 5.75% 7/15/80 (d) | 500,000 | 485,705 | |
Energy Transfer LP: | |||
6.25% (d)(i) | 2,270,000 | 1,866,056 | |
6.75% (d)(i) | 500,000 | 443,717 | |
7.125% (d)(i) | 3,000,000 | 2,707,462 | |
Summit Midstream Partners LP 9.5% (d)(i) | 191,000 | 155,072 | |
8,179,309 | |||
FINANCIALS - 10.2% | |||
Banks - 7.7% | |||
Bank of America Corp.: | |||
4.3% (d)(i) | 2,500,000 | 2,305,581 | |
4.375% (d)(i) | 10,000,000 | 8,841,404 | |
5.125% (d)(i) | 15,500,000 | 15,410,568 | |
5.2% (d)(i) | 24,000,000 | 23,912,578 | |
5.875% (d)(i) | 18,400,000 | 17,732,125 | |
6.1% (d)(i) | 13,420,000 | 13,646,297 | |
6.125% (d)(i) | 16,000,000 | 16,287,726 | |
6.25% (d)(i) | 13,925,000 | 14,093,551 | |
6.3% (d)(i) | 5,000,000 | 5,166,186 | |
6.5% (d)(i) | 10,000,000 | 10,213,124 | |
Citigroup, Inc.: | |||
3.875% (d)(i) | 10,000,000 | 8,941,742 | |
4% (d)(i) | 5,500,000 | 5,010,947 | |
4.15% (d)(i) | 3,975,000 | 3,513,869 | |
5% (d)(i) | 6,550,000 | 6,095,336 | |
5.35% (d)(i) | 5,000,000 | 4,861,629 | |
5.9% (d)(i) | 6,605,000 | 6,689,220 | |
5.95% (d)(i) | 11,750,000 | 11,563,606 | |
6.25% (d)(i) | 3,500,000 | 3,574,940 | |
6.3% (d)(i) | 6,000,000 | 5,785,433 | |
Comerica, Inc. 5.625% (d)(i) | 2,000,000 | 2,038,942 | |
Farm Credit Bank of Texas 5.7% (b)(d) | 500,000 | 483,422 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 3.320% 4.2869% (d)(e)(i) | 10,000,000 | 9,725,714 | |
3.65% (d)(i) | 18,500,000 | 16,518,188 | |
4% (d)(i) | 9,000,000 | 7,890,573 | |
4.6% (d)(i) | 21,670,000 | 19,731,635 | |
4.625% (d)(i) | 2,000,000 | 1,856,779 | |
5% (d)(i) | 17,815,000 | 16,836,173 | |
5.15% (d)(i) | 13,265,000 | 12,926,872 | |
6% (d)(i) | 12,000,000 | 11,990,746 | |
6.1% (d)(i) | 16,000,000 | 15,917,171 | |
6.125% (d)(i) | 7,000,000 | 6,929,406 | |
6.75% (d)(i) | 13,250,000 | 13,918,140 | |
M&T Bank Corp.: | |||
3.5% (d)(i) | 2,650,000 | 2,199,500 | |
6.45% (d)(i) | 1,000,000 | 1,018,580 | |
PNC Financial Services Group, Inc.: | |||
3 month U.S. LIBOR + 3.670% 4.964% (d)(e)(i) | 3,500,000 | 3,480,207 | |
3.4% (d)(i) | 9,750,000 | 8,211,212 | |
4.85% (d)(i) | 1,490,000 | 1,466,902 | |
5% (d)(i) | 3,730,000 | 3,538,715 | |
6% (d)(i) | 6,000,000 | 6,057,851 | |
Truist Financial Corp.: | |||
4.8% (d)(i) | 7,000,000 | 6,692,210 | |
4.95% (d)(i) | 4,050,000 | 4,139,302 | |
5.05% (d)(i) | 2,000,000 | 1,867,713 | |
5.1% (d)(i) | 7,100,000 | 6,939,982 | |
U.S. Bancorp: | |||
3.7% (d)(i) | 6,000,000 | 5,002,923 | |
5.3% (d)(i) | 1,500,000 | 1,393,613 | |
Wells Fargo & Co.: | |||
3.9% (d)(i) | 27,050,000 | 25,122,280 | |
5.875% (d)(i) | 15,000,000 | 15,331,731 | |
5.9% (d)(i) | 20,500,000 | 20,392,974 | |
433,265,318 | |||
Capital Markets - 1.7% | |||
Bank of New York Mellon Corp.: | |||
3.7% (d)(i) | 4,675,000 | 4,219,632 | |
3.75% (d)(i) | 6,500,000 | 5,700,168 | |
4.625% (d)(i) | 7,150,000 | 6,583,402 | |
4.7% (d)(i) | 3,000,000 | 3,021,494 | |
Charles Schwab Corp.: | |||
3 month U.S. LIBOR + 3.310% 3.838% (d)(e)(i) | 250,000 | 247,426 | |
3 month U.S. LIBOR + 4.820% 6.106% (d)(e)(i) | 1,000,000 | 1,006,985 | |
4% (d)(i) | 15,500,000 | 14,175,962 | |
4% (d)(i) | 21,750,000 | 17,544,810 | |
5% (d)(i) | 4,670,000 | 4,424,052 | |
5.375% (d)(i) | 16,750,000 | 17,144,196 | |
Goldman Sachs Capital II 3 month U.S. LIBOR + 0.760% 4% (d)(e)(i) | 4,694,000 | 3,474,603 | |
Goldman Sachs Group, Inc.: | |||
3.65% (d)(i) | 2,250,000 | 1,930,662 | |
3.8% (d)(i) | 4,000,000 | 3,395,187 | |
4.125% (d)(i) | 4,550,000 | 3,992,470 | |
Morgan Stanley: | |||
5.3% (d)(i) | 1,000,000 | 965,259 | |
5.875% (d)(i) | 1,000,000 | 1,009,320 | |
Northern Trust Corp. 4.6% (d)(i) | 4,285,000 | 4,021,579 | |
State Street Corp. 3 month U.S. LIBOR + 3.590% 4.423% (d)(e)(i) | 583,000 | 587,683 | |
93,444,890 | |||
Consumer Finance - 0.6% | |||
Ally Financial, Inc.: | |||
4.7% (d)(i) | 19,500,000 | 16,485,665 | |
4.7% (d)(i) | 7,000,000 | 5,605,003 | |
American Express Co. 3.55% (d)(i) | 12,000,000 | 10,297,544 | |
Capital One Financial Corp. 3.95% (d)(i) | 3,000,000 | 2,593,095 | |
34,981,307 | |||
Diversified Financial Services - 0.0% | |||
Equitable Holdings, Inc. 4.95% (d)(i) | 750,000 | 744,509 | |
Insurance - 0.2% | |||
Allianz SE 3.2% (b)(d)(i) | 3,000,000 | 2,391,702 | |
MetLife, Inc. 3.85% (d)(i) | 6,300,000 | 5,897,790 | |
8,289,492 | |||
TOTAL FINANCIALS | 570,725,516 | ||
INDUSTRIALS - 0.1% | |||
Industrial Conglomerates - 0.1% | |||
General Electric Co. 3 month U.S. LIBOR + 3.330% 4.156% (d)(e)(i) | 3,630,000 | 3,325,097 | |
Trading Companies & Distributors - 0.0% | |||
Air Lease Corp. 4.65% (d)(i) | 1,000,000 | 881,241 | |
TOTAL INDUSTRIALS | 4,206,338 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.2% | |||
Duke Energy Corp. 4.875% (d)(i) | 3,000,000 | 2,880,036 | |
Edison International: | |||
5% (d)(i) | 4,000,000 | 3,482,470 | |
5.375% (d)(i) | 3,500,000 | 3,132,124 | |
9,494,630 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Vistra Corp.: | |||
7% (b)(d)(i) | 1,500,000 | 1,488,374 | |
8% (b)(d)(i) | 1,750,000 | 1,754,856 | |
3,243,230 | |||
Multi-Utilities - 0.1% | |||
Dominion Energy, Inc. 4.65% (d)(i) | 250,000 | 237,790 | |
Sempra Energy 4.875% (d)(i) | 7,000,000 | 6,797,487 | |
7,035,277 | |||
TOTAL UTILITIES | 19,773,137 | ||
TOTAL PREFERRED SECURITIES (Cost $646,747,205) | 602,884,300 | ||
Money Market Funds - 1.9% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.82% (j) | 101,142,285 | 101,162,514 | |
Fidelity Securities Lending Cash Central Fund 0.82% (j)(k) | 8,309,769 | 8,310,600 | |
TOTAL MONEY MARKET FUNDS (Cost $109,471,587) | 109,473,114 | ||
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $4,749,017,024) | 5,624,764,768 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (6,672,428) |
NET ASSETS - 100.0% | 5,618,092,340 |
CAD | - | Canadian dollar |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $144,686,811 or 2.6% of net assets. |
(c) | Level 3 security |
(d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(f) | Non-income producing |
(g) | Security or a portion of the security is on loan at period end. |
(h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(i) | Security is perpetual in nature with no stated maturity date. |
(j) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 0.82% | 281,528,623 | 777,833,330 | 958,199,439 | 232,768 | - | - | 101,162,514 | 0.2% |
Fidelity Real Estate Equity Central Fund | 973,846,445 | 51,402,686 | 124,950,189 | 9,386,819 | 13,304,046 | (83,152,829) | 830,450,159 | 56.5% |
Fidelity Securities Lending Cash Central Fund 0.82% | 3,246,875 | 91,485,469 | 86,421,744 | 9,312 | - | - | 8,310,600 | 0.0% |
Total | 1,258,621,943 | 920,721,485 | 1,169,571,372 | 9,628,899 | 13,304,046 | (83,152,829) | 939,923,273 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 242,988,217 | 233,025,886 | 9,962,331 | - |
Consumer Discretionary | 128,304,680 | 124,005,929 | 4,298,751 | - |
Consumer Staples | 551,577,839 | 501,460,092 | 50,117,747 | - |
Energy | 257,038,316 | 257,038,316 | - | - |
Financials | 651,404,962 | 609,078,783 | 42,326,179 | - |
Health Care | 705,989,164 | 654,794,214 | 51,194,950 | - |
Industrials | 294,333,013 | 257,840,187 | 36,492,826 | - |
Information Technology | 280,954,456 | 261,163,260 | 19,791,196 | - |
Materials | 93,092,227 | 90,087,155 | 3,005,072 | - |
Real Estate | 53,557,955 | 53,557,955 | - | - |
Utilities | 301,790,274 | 256,066,119 | 45,724,155 | - |
Corporate Bonds | 520,926,092 | - | 519,939,513 | 986,579 |
Equity Funds | 830,450,159 | 830,450,159 | - | - |
Preferred Securities | 602,884,300 | - | 602,884,300 | - |
Money Market Funds | 109,473,114 | 109,473,114 | - | - |
Total Investments in Securities: | 5,624,764,768 | 4,238,041,169 | 1,385,737,020 | 986,579 |
Statement of Assets and Liabilities | ||||
May 31, 2022 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $7,879,680) - See accompanying schedule: | $4,684,841,495 | |||
Unaffiliated issuers (cost $3,936,676,373) | ||||
Fidelity Central Funds (cost $812,340,651) | 939,923,273 | |||
Total Investment in Securities (cost $4,749,017,024) | $ | 5,624,764,768 | ||
Cash | 520,337 | |||
Foreign currency held at value (cost $5,672) | 5,672 | |||
Receivable for investments sold | 42,597,319 | |||
Receivable for fund shares sold | 3,705,039 | |||
Dividends receivable | 9,625,699 | |||
Interest receivable | 1,877,379 | |||
Distributions receivable from Fidelity Central Funds | 111,564 | |||
Prepaid expenses | 943 | |||
Other receivables | 25,334 | |||
Total assets | 5,683,234,054 | |||
Liabilities | ||||
Payable for investments purchased | $49,469,876 | |||
Payable for fund shares redeemed | 3,649,734 | |||
Accrued management fee | 2,415,789 | |||
Distribution and service plan fees payable | 472,201 | |||
Other affiliated payables | 770,343 | |||
Other payables and accrued expenses | 53,171 | |||
Collateral on securities loaned | 8,310,600 | |||
Total Liabilities | 65,141,714 | |||
Net Assets | $ | 5,618,092,340 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,667,339,188 | ||
Total accumulated earnings (loss) | 950,753,152 | |||
Net Assets | $ | 5,618,092,340 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($869,370,944 ÷ 53,288,619 shares) (a) | $ | 16.31 | ||
Maximum offering price per share (100/94.25 of $16.31) | $ | 17.31 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($311,293,440 ÷ 19,095,621 shares) (a) | $ | 16.30 | ||
Maximum offering price per share (100/96.50 of $16.30) | $ | 16.89 | ||
Class C : | ||||
Net Asset Value and offering price per share ($202,810,124 ÷ 12,487,537 shares) (a) | $ | 16.24 | ||
Strategic Dividend and Income : | ||||
Net Asset Value , offering price and redemption price per share ($3,401,247,376 ÷ 206,686,262 shares) | $ | 16.46 | ||
Class I : | ||||
Net Asset Value , offering price and redemption price per share ($647,449,402 ÷ 39,485,278 shares) | $ | 16.40 | ||
Class Z : | ||||
Net Asset Value , offering price and redemption price per share ($185,921,054 ÷ 11,336,468 shares) | $ | 16.40 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Six months ended May 31, 2022 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 64,875,658 | ||
Interest | 4,567,648 | |||
Income from Fidelity Central Funds (including $9,312 from security lending) | 9,628,899 | |||
Total Income | 79,072,205 | |||
Expenses | ||||
Management fee | $ | 15,161,172 | ||
Transfer agent fees | 4,010,557 | |||
Distribution and service plan fees | 3,010,121 | |||
Accounting fees | 556,498 | |||
Custodian fees and expenses | 24,174 | |||
Independent trustees' fees and expenses | 9,017 | |||
Registration fees | 88,914 | |||
Audit | 42,033 | |||
Legal | 4,039 | |||
Miscellaneous | 10,474 | |||
Total expenses before reductions | 22,916,999 | |||
Expense reductions | (86,150) | |||
Total expenses after reductions | 22,830,849 | |||
Net Investment income (loss) | 56,241,356 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 66,032,978 | |||
Fidelity Central Funds | 13,304,046 | |||
Foreign currency transactions | (115,233) | |||
Total net realized gain (loss) | 79,221,791 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (159,412,970) | |||
Fidelity Central Funds | (83,152,829) | |||
Assets and liabilities in foreign currencies | (34,508) | |||
Total change in net unrealized appreciation (depreciation) | (242,600,307) | |||
Net gain (loss) | (163,378,516) | |||
Net increase (decrease) in net assets resulting from operations | $ | (107,137,160) |
Statement of Changes in Net Assets | ||||
Six months ended May 31, 2022 (Unaudited) | Year ended November 30, 2021 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 56,241,356 | $ | 88,360,912 |
Net realized gain (loss) | 79,221,791 | 387,293,053 | ||
Change in net unrealized appreciation (depreciation) | (242,600,307) | 334,852,369 | ||
Net increase (decrease) in net assets resulting from operations | (107,137,160) | 810,506,334 | ||
Distributions to shareholders | (420,908,408) | (263,479,517) | ||
Share transactions - net increase (decrease) | 386,406,064 | 564,028,562 | ||
Total increase (decrease) in net assets | (141,639,504) | 1,111,055,379 | ||
Net Assets | ||||
Beginning of period | 5,759,731,844 | 4,648,676,465 | ||
End of period | $ | 5,618,092,340 | $ | 5,759,731,844 |
Fidelity Advisor® Strategic Dividend & Income® Fund Class A |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 17.88 | $ | 16.11 | $ | 15.77 | $ | 15.18 | $ | 15.92 | $ | 14.63 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .15 | .25 | .33 | .34 | .40 | .37 | ||||||
Net realized and unrealized gain (loss) | (.42) | 2.39 | 1.01 | 1.23 | (.02) | 1.61 | ||||||
Total from investment operations | (.27) | 2.64 | 1.34 | 1.57 | .38 | 1.98 | ||||||
Distributions from net investment income | (.20) | (.38) | (.30) | (.33) | (.38) C | (.38) C | ||||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | (.73) C | (.31) C | ||||||
Total distributions | (1.30) | (.87) | (1.00) | (.98) | (1.12) D | (.69) | ||||||
Net asset value, end of period | $ | 16.31 | $ | 17.88 | $ | 16.11 | $ | 15.77 | $ | 15.18 | $ | 15.92 |
Total Return E,F,G | (2.01)% | 16.99% | 9.04% | 11.44% | 2.50% | 13.96% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .97% J | .97% | .99% | 1.00% | 1.00% | 1.01% | ||||||
Expenses net of fee waivers, if any | .96% J | .97% | .99% | 1.00% | 1.00% | 1.01% | ||||||
Expenses net of all reductions | .96% J | .97% | .99% | 1.00% | 1.00% | 1.01% | ||||||
Net investment income (loss) | 1.77% J | 1.45% | 2.20% | 2.28% | 2.62% | 2.41% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 869,371 | $ | 867,690 | $ | 666,152 | $ | 661,327 | $ | 559,334 | $ | 619,704 |
Portfolio turnover rate K | 27% J | 37% | 55% | 58% | 49% | 64% |
Fidelity Advisor® Strategic Dividend & Income® Fund Class M |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 17.86 | $ | 16.10 | $ | 15.76 | $ | 15.17 | $ | 15.90 | $ | 14.62 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .13 | .21 | .29 | .30 | .36 | .33 | ||||||
Net realized and unrealized gain (loss) | (.41) | 2.38 | 1.01 | 1.23 | (.01) | 1.61 | ||||||
Total from investment operations | (.28) | 2.59 | 1.30 | 1.53 | .35 | 1.94 | ||||||
Distributions from net investment income | (.18) | (.34) | (.26) | (.29) | (.35) C | (.34) C | ||||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | (.73) C | (.31) C | ||||||
Total distributions | (1.28) | (.83) | (.96) | (.94) | (1.08) | (.66) D | ||||||
Net asset value, end of period | $ | 16.30 | $ | 17.86 | $ | 16.10 | $ | 15.76 | $ | 15.17 | $ | 15.90 |
Total Return E,F,G | (2.08)% | 16.65% | 8.77% | 11.16% | 2.31% | 13.64% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | 1.21% J | 1.22% | 1.24% | 1.25% | 1.25% | 1.26% | ||||||
Expenses net of fee waivers, if any | 1.21% J | 1.22% | 1.24% | 1.25% | 1.25% | 1.26% | ||||||
Expenses net of all reductions | 1.21% J | 1.22% | 1.23% | 1.25% | 1.25% | 1.26% | ||||||
Net investment income (loss) | 1.53% J | 1.21% | 1.96% | 2.04% | 2.37% | 2.16% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 311,293 | $ | 316,442 | $ | 275,209 | $ | 275,564 | $ | 247,182 | $ | 263,012 |
Portfolio turnover rate K | 27% J | 37% | 55% | 58% | 49% | 64% |
Fidelity Advisor® Strategic Dividend & Income® Fund Class C |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 17.80 | $ | 16.03 | $ | 15.69 | $ | 15.10 | $ | 15.83 | $ | 14.56 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .09 | .12 | .21 | .23 | .28 | .25 | ||||||
Net realized and unrealized gain (loss) | (.42) | 2.38 | 1.01 | 1.22 | (.01) | 1.60 | ||||||
Total from investment operations | (.33) | 2.50 | 1.22 | 1.45 | .27 | 1.85 | ||||||
Distributions from net investment income | (.13) | (.24) | (.19) | (.21) | (.26) C | (.27) C | ||||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | (.73) C | (.31) C | ||||||
Total distributions | (1.23) | (.73) | (.88) D | (.86) | (1.00) D | (.58) | ||||||
Net asset value, end of period | $ | 16.24 | $ | 17.80 | $ | 16.03 | $ | 15.69 | $ | 15.10 | $ | 15.83 |
Total Return E,F,G | (2.36)% | 16.12% | 8.22% | 10.61% | 1.76% | 13.05% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | 1.72% J | 1.73% | 1.75% | 1.75% | 1.76% | 1.76% | ||||||
Expenses net of fee waivers, if any | 1.72% J | 1.73% | 1.74% | 1.75% | 1.76% | 1.76% | ||||||
Expenses net of all reductions | 1.72% J | 1.73% | 1.74% | 1.75% | 1.75% | 1.76% | ||||||
Net investment income (loss) | 1.02% J | .70% | 1.45% | 1.53% | 1.86% | 1.66% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 202,810 | $ | 233,431 | $ | 278,672 | $ | 316,896 | $ | 349,003 | $ | 422,221 |
Portfolio turnover rate K | 27% J | 37% | 55% | 58% | 49% | 64% |
Strategic Dividend & Income® Fund |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 18.02 | $ | 16.23 | $ | 15.88 | $ | 15.27 | $ | 16.01 | $ | 14.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .18 | .31 | .37 | .39 | .44 | .41 | ||||||
Net realized and unrealized gain (loss) | (.42) | 2.40 | 1.02 | 1.24 | (.02) | 1.62 | ||||||
Total from investment operations | (.24) | 2.71 | 1.39 | 1.63 | .42 | 2.03 | ||||||
Distributions from net investment income | (.22) | (.43) | (.34) | (.37) | (.43) C | (.42) C | ||||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | (.73) C | (.31) C | ||||||
Total distributions | (1.32) | (.92) | (1.04) | (1.02) | (1.16) | (.74) D | ||||||
Net asset value, end of period | $ | 16.46 | $ | 18.02 | $ | 16.23 | $ | 15.88 | $ | 15.27 | $ | 16.01 |
Total Return E,F | (1.80)% | 17.30% | 9.35% | 11.81% | 2.78% | 14.21% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .68% I | .68% | .70% | .71% | .71% | .73% | ||||||
Expenses net of fee waivers, if any | .67% I | .68% | .70% | .71% | .71% | .73% | ||||||
Expenses net of all reductions | .67% I | .68% | .70% | .71% | .71% | .73% | ||||||
Net investment income (loss) | 2.06% I | 1.74% | 2.49% | 2.57% | 2.91% | 2.69% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 3,401,247 | $ | 3,514,906 | $ | 2,751,272 | $ | 3,142,639 | $ | 2,903,986 | $ | 3,294,527 |
Portfolio turnover rate J | 27% I | 37% | 55% | 58% | 49% | 64% |
Fidelity Advisor® Strategic Dividend & Income® Fund Class I |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 17.96 | $ | 16.18 | $ | 15.84 | $ | 15.23 | $ | 15.97 | $ | 14.69 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .17 | .30 | .36 | .38 | .44 | .41 | ||||||
Net realized and unrealized gain (loss) | (.41) | 2.39 | 1.02 | 1.24 | (.02) | 1.61 | ||||||
Total from investment operations | (.24) | 2.69 | 1.38 | 1.62 | .42 | 2.02 | ||||||
Distributions from net investment income | (.22) | (.42) | (.34) | (.36) | (.42) C | (.42) C | ||||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | (.73) C | (.31) C | ||||||
Total distributions | (1.32) | (.91) | (1.04) | (1.01) | (1.16) D | (.74) D | ||||||
Net asset value, end of period | $ | 16.40 | $ | 17.96 | $ | 16.18 | $ | 15.84 | $ | 15.23 | $ | 15.97 |
Total Return E,F | (1.83)% | 17.25% | 9.28% | 11.82% | 2.76% | 14.17% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .71% I | .72% | .73% | .74% | .74% | .75% | ||||||
Expenses net of fee waivers, if any | .71% I | .72% | .73% | .74% | .74% | .75% | ||||||
Expenses net of all reductions | .71% I | .72% | .73% | .74% | .74% | .75% | ||||||
Net investment income (loss) | 2.03% I | 1.71% | 2.46% | 2.54% | 2.88% | 2.67% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 647,449 | $ | 647,384 | $ | 537,336 | $ | 545,366 | $ | 510,226 | $ | 658,324 |
Portfolio turnover rate J | 27% I | 37% | 55% | 58% | 49% | 64% |
Fidelity Advisor® Strategic Dividend & Income® Fund Class Z |
Six months ended (Unaudited) May 31, 2022 | Years ended November 30, 2021 | 2020 | 2019 | 2018 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 17.96 | $ | 16.18 | $ | 15.84 | $ | 15.24 | $ | 15.61 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .18 | .32 | .38 | .40 | .09 | |||||
Net realized and unrealized gain (loss) | (.41) | 2.39 | 1.01 | 1.23 | (.33) | |||||
Total from investment operations | (.23) | 2.71 | 1.39 | 1.63 | (.24) | |||||
Distributions from net investment income | (.23) | (.45) | (.36) | (.38) | (.13) | |||||
Distributions from net realized gain | (1.10) | (.49) | (.70) | (.65) | - | |||||
Total distributions | (1.33) | (.93) D | (1.05) D | (1.03) | (.13) | |||||
Net asset value, end of period | $ | 16.40 | $ | 17.96 | $ | 16.18 | $ | 15.84 | $ | 15.24 |
Total Return E,F | (1.77)% | 17.40% | 9.43% | 11.90% | (1.57)% | |||||
Ratios to Average Net Assets C,G,H | ||||||||||
Expenses before reductions | .59% I | .59% | .61% | .61% | .64% I | |||||
Expenses net of fee waivers, if any | .59% I | .59% | .61% | .61% | .64% I | |||||
Expenses net of all reductions | .59% I | .59% | .60% | .61% | .64% I | |||||
Net investment income (loss) | 2.15% I | 1.83% | 2.59% | 2.67% | 3.57% I | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 185,921 | $ | 179,880 | $ | 140,035 | $ | 127,236 | $ | 28,937 |
Portfolio turnover rate J | 27% I | 37% | 55% | 58% | 49% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Real Estate Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks above-average income and long-term capital growth by investing primarily in equity securities of issuers in the real estate industry. | Restricted Securities | Less than .005% |
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% |
Gross unrealized appreciation | $1,105,448,726 |
Gross unrealized depreciation | (230,032,335) |
Net unrealized appreciation (depreciation) | $875,416,391 |
Tax cost | $4,749,348,377 |
Purchases ($) | Sales ($) | |
Fidelity Strategic Dividend & Income Fund | 980,698,868 | 758,013,747 |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $1,107,239 | $44,290 |
Class M | .25% | .25% | 797,366 | 1,083 |
Class C | .75% | .25% | 1,105,516 | 107,857 |
$3,010,121 | $153,230 |
Retained by FDC | |
Class A | $136,582 |
Class M | 11,367 |
Class C A | 2,380 |
$150,329 |
Amount | % of Class-Level Average Net Assets A | |
Class A | $737,648 | .17 |
Class M | 258,308 | .16 |
Class C | 191,047 | .17 |
Strategic Dividend and Income | 2,250,185 | .13 |
Class I | 536,381 | .16 |
Class Z | 36,988 | .04 |
$4,010,557 |
% of Average Net Assets | |
Fidelity Strategic Dividend & Income Fund | .02 |
Amount | |
Fidelity Strategic Dividend & Income Fund | $10,777 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Strategic Dividend & Income Fund | 26,026,156 | 25,688,625 | 2,436,107 |
Amount ($) | |
Fidelity Strategic Dividend & Income Fund | 3,670 |
Amount | |
Fidelity Strategic Dividend & Income Fund | $4,806 |
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 Strategic Dividend & Income Fund | $987 | $- | $- |
Six months ended May 31, 2022 | Year ended November 30, 2021 | |
Fidelity Strategic Dividend & Income Fund | ||
Distributions to shareholders | ||
Class A | $63,412,476 | $36,924,105 |
Class M | 22,656,642 | 14,220,423 |
Class C | 15,786,393 | 12,339,310 |
Strategic Dividend and Income | 258,008,227 | 160,701,519 |
Class I | 47,693,699 | 30,899,061 |
Class Z | 13,350,971 | 8,395,099 |
Total | $420,908,408 | $263,479,517 |
Shares | Shares | Dollars | Dollars | |
Six months ended May 31, 2022 | Year ended November 30, 2021 | Six months ended May 31, 2022 | Year ended November 30, 2021 | |
Fidelity Strategic Dividend & Income Fund | ||||
Class A | ||||
Shares sold | 5,183,646 | 12,094,516 | $88,067,115 | $211,168,381 |
Reinvestment of distributions | 3,489,587 | 2,175,763 | 61,236,572 | 35,493,239 |
Shares redeemed | (3,922,818) | (7,077,296) | (66,468,389) | (122,413,647) |
Net increase (decrease) | 4,750,415 | 7,192,983 | $82,835,298 | $124,247,973 |
Class M | ||||
Shares sold | 1,754,164 | 2,907,559 | $29,764,765 | $50,354,886 |
Reinvestment of distributions | 1,284,160 | 869,852 | 22,524,978 | 14,122,294 |
Shares redeemed | (1,657,482) | (3,156,422) | (28,126,661) | (54,446,328) |
Net increase (decrease) | 1,380,842 | 620,989 | $24,163,082 | $10,030,852 |
Class C | ||||
Shares sold | 824,662 | 1,911,204 | $13,893,112 | $33,138,920 |
Reinvestment of distributions | 891,740 | 761,629 | 15,601,467 | 12,208,454 |
Shares redeemed | (2,345,099) | (6,938,071) | (39,699,057) | (120,230,092) |
Net increase (decrease) | (628,697) | (4,265,238) | $(10,204,478) | $(74,882,718) |
Strategic Dividend and Income | ||||
Shares sold | 15,176,270 | 42,398,046 | $260,497,666 | $737,672,154 |
Reinvestment of distributions | 13,039,951 | 8,716,987 | 230,634,818 | 143,602,730 |
Shares redeemed | (16,581,500) | (25,566,443) | (283,931,159) | (447,911,652) |
Net increase (decrease) | 11,634,721 | 25,548,590 | $207,201,325 | $433,363,232 |
Class I | ||||
Shares sold | 5,554,580 | 8,676,062 | $94,015,317 | $151,884,997 |
Reinvestment of distributions | 2,517,628 | 1,754,934 | 44,377,461 | 28,772,710 |
Shares redeemed | (4,632,482) | (7,596,025) | (78,615,463) | (132,845,815) |
Net increase (decrease) | 3,439,726 | 2,834,971 | $59,777,315 | $47,811,892 |
Class Z | ||||
Shares sold | 1,784,864 | 3,184,821 | $30,275,621 | $55,551,851 |
Reinvestment of distributions | 630,631 | 438,623 | 11,115,222 | 7,199,222 |
Shares redeemed | (1,092,583) | (2,262,859) | (18,757,321) | (39,293,742) |
Net increase (decrease) | 1,322,912 | 1,360,585 | $22,633,522 | $23,457,331 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022). |
Annualized Expense Ratio- A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period- C December 1, 2021 to May 31, 2022 | |||||||
Fidelity® Strategic Dividend & Income® Fund | ||||||||||
Class A | .96% | |||||||||
Actual | $ 1,000 | $ 979.90 | $ 4.74 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.14 | $ 4.84 | |||||||
Class M | 1.21% | |||||||||
Actual | $ 1,000 | $ 979.20 | $ 5.97 | |||||||
Hypothetical- B | $ 1,000 | $ 1,018.90 | $ 6.09 | |||||||
Class C | 1.72% | |||||||||
Actual | $ 1,000 | $ 976.40 | $ 8.48 | |||||||
Hypothetical- B | $ 1,000 | $ 1,016.36 | $ 8.65 | |||||||
Strategic Dividend & Income® Fund | .67% | |||||||||
Actual | $ 1,000 | $ 982.00 | $ 3.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.59 | $ 3.38 | |||||||
Class I | .71% | |||||||||
Actual | $ 1,000 | $ 981.70 | $ 3.51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.39 | $ 3.58 | |||||||
Class Z | .59% | |||||||||
Actual | $ 1,000 | $ 982.30 | $ 2.92 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.99 | $ 2.97 | |||||||
- 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
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 Salem Street Trust’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 Salem Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the 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 Salem Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | July 21, 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: | July 21, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | July 21, 2022 |