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: | August 31 |
Date of reporting period: | February 28, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Investment Grade Bond Fund
Semi-Annual Report
February 28, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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.
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
As of February 28, 2022 * | ||
U.S. Government and U.S. Government Agency Obligations | 48.3% | |
AAA | 8.5% | |
AA | 1.1% | |
A | 8.2% | |
BBB | 26.1% | |
BB and Below | 6.6% | |
Not Rated | 2.4% | |
Short-Term Investments and Net Other Assets | (1.2)% |
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 February 28, 2022*,** | ||
Corporate Bonds | 37.7% | |
U.S. Government and U.S. Government Agency Obligations | 48.3% | |
Asset-Backed Securities | 7.0% | |
CMOs and Other Mortgage Related Securities | 6.6% | |
Municipal Bonds | 0.4% | |
Other Investments | 1.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | (1.2)% |
* Foreign investments - 13.5%
** Futures and Swaps - 0.5%
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 36.3% | |||
Principal Amount (000s) | Value (000s) | ||
COMMUNICATION SERVICES - 3.5% | |||
Diversified Telecommunication Services - 1.5% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | $1,806 | $1,675 | |
3.8% 12/1/57 | 17,133 | 16,074 | |
4.3% 2/15/30 | 34,036 | 37,054 | |
4.75% 5/15/46 | 24,566 | 27,238 | |
4.9% 6/15/42 | 4,363 | 4,822 | |
5.55% 8/15/41 | 7,917 | 9,420 | |
6.2% 3/15/40 | 1,454 | 1,773 | |
Verizon Communications, Inc.: | |||
2.987% 10/30/56 | 869 | 741 | |
4.329% 9/21/28 | 19,797 | 21,557 | |
4.5% 8/10/33 | 3,429 | 3,810 | |
4.862% 8/21/46 | 14,251 | 17,039 | |
5.012% 4/15/49 | 82 | 99 | |
141,302 | |||
Entertainment - 0.3% | |||
The Walt Disney Co.: | |||
2.2% 1/13/28 | 6,562 | 6,428 | |
2.65% 1/13/31 | 10,500 | 10,399 | |
4.7% 3/23/50 | 7,961 | 9,415 | |
26,242 | |||
Media - 1.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 25,400 | 23,525 | |
3.7% 4/1/51 | 15,400 | 12,920 | |
4.464% 7/23/22 | 3,780 | 3,808 | |
4.908% 7/23/25 | 2,932 | 3,108 | |
5.375% 5/1/47 | 22,326 | 23,560 | |
5.75% 4/1/48 | 11,014 | 12,175 | |
Comcast Corp.: | |||
3.75% 4/1/40 | 622 | 628 | |
4.65% 7/15/42 | 1,628 | 1,845 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,063 | 4,085 | |
4.65% 5/15/50 | 10,998 | 11,243 | |
Fox Corp.: | |||
5.476% 1/25/39 | 1,366 | 1,593 | |
5.576% 1/25/49 | 906 | 1,090 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 544 | 513 | |
5.5% 9/1/41 | 966 | 1,030 | |
5.875% 11/15/40 | 7,077 | 7,919 | |
6.55% 5/1/37 | 3,601 | 4,328 | |
6.75% 6/15/39 | 6,233 | 7,565 | |
7.3% 7/1/38 | 2,390 | 2,992 | |
123,927 | |||
Wireless Telecommunication Services - 0.3% | |||
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 6,800 | 7,060 | |
3.875% 4/15/30 | 20,000 | 20,682 | |
4.5% 4/15/50 | 2,885 | 3,008 | |
30,750 | |||
TOTAL COMMUNICATION SERVICES | 322,221 | ||
CONSUMER DISCRETIONARY - 2.0% | |||
Automobiles - 0.6% | |||
General Motors Co. 5.4% 10/2/23 | 11,588 | 12,174 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 5,526 | 5,625 | |
4% 1/15/25 | 15,000 | 15,524 | |
4.25% 5/15/23 | 858 | 883 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (a) | 6,678 | 6,702 | |
3.125% 5/12/23 (a) | 5,817 | 5,901 | |
3.35% 5/13/25 (a) | 9,370 | 9,570 | |
56,379 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Starbucks Corp. 1.3% 5/7/22 | 3,483 | 3,485 | |
Household Durables - 0.6% | |||
D.R. Horton, Inc.: | |||
1.3% 10/15/26 | 10,194 | 9,594 | |
2.6% 10/15/25 | 9,432 | 9,450 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 15,563 | 16,919 | |
5% 6/15/27 | 8,419 | 9,134 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 2,908 | 3,035 | |
4.875% 11/15/25 | 32 | 34 | |
4.875% 3/15/27 | 10,045 | 10,709 | |
58,875 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 3,090 | 2,776 | |
2.7% 2/9/41 | 16,100 | 12,941 | |
15,717 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 4,130 | 4,200 | |
Specialty Retail - 0.3% | |||
AutoNation, Inc. 4.75% 6/1/30 | 909 | 980 | |
AutoZone, Inc. 4% 4/15/30 | 21,631 | 22,986 | |
23,966 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Tapestry, Inc. 3.05% 3/15/32 | 20,094 | 19,117 | |
TOTAL CONSUMER DISCRETIONARY | 181,739 | ||
CONSUMER STAPLES - 3.0% | |||
Beverages - 1.1% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 4,168 | 4,613 | |
4.9% 2/1/46 | 9,089 | 10,166 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,200 | 8,567 | |
4.35% 6/1/40 | 3,930 | 4,191 | |
4.5% 6/1/50 | 9,000 | 9,903 | |
4.6% 6/1/60 | 7,261 | 7,936 | |
4.75% 1/23/29 | 18,172 | 20,172 | |
4.75% 4/15/58 | 3,562 | 3,937 | |
5.45% 1/23/39 | 3,537 | 4,214 | |
5.55% 1/23/49 | 8,082 | 10,007 | |
5.8% 1/23/59 (Reg. S) | 8,567 | 10,981 | |
Constellation Brands, Inc. 4.75% 11/15/24 | 2,399 | 2,550 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 712 | 728 | |
2.75% 3/19/30 | 6,600 | 6,613 | |
104,578 | |||
Food & Staples Retailing - 0.7% | |||
Sysco Corp.: | |||
3.3% 2/15/50 | 3,840 | 3,445 | |
6.6% 4/1/50 | 42,857 | 59,626 | |
63,071 | |||
Food Products - 1.2% | |||
General Mills, Inc. 2.875% 4/15/30 | 797 | 797 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (a) | 14,165 | 13,315 | |
3.625% 1/15/32 (a) | 1,330 | 1,207 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) | 4,810 | 5,063 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (a) | 14,250 | 12,576 | |
5.5% 1/15/30 (a) | 39,620 | 40,936 | |
6.5% 4/15/29 (a) | 1,260 | 1,337 | |
Kraft Heinz Foods Co.: | |||
3% 6/1/26 | 5,000 | 4,994 | |
3.875% 5/15/27 | 12,300 | 12,736 | |
4.375% 6/1/46 | 4,122 | 4,225 | |
5.2% 7/15/45 | 8,219 | 9,274 | |
7.125% 8/1/39 (a) | 5,618 | 7,635 | |
114,095 | |||
TOTAL CONSUMER STAPLES | 281,744 | ||
ENERGY - 2.7% | |||
Oil, Gas & Consumable Fuels - 2.7% | |||
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 538 | 571 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 1,968 | 1,990 | |
5.6% 4/1/44 | 1,707 | 1,869 | |
5.85% 5/21/43 (a)(b) | 2,821 | 2,624 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 2,296 | 2,355 | |
4.25% 12/1/26 | 923 | 984 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 2,274 | 2,311 | |
3.9% 5/15/24 (b) | 549 | 563 | |
4.2% 9/15/23 | 759 | 780 | |
4.25% 3/15/23 | 830 | 846 | |
4.5% 4/15/24 | 952 | 990 | |
4.95% 6/15/28 | 2,591 | 2,787 | |
5% 5/15/50 | 5,083 | 5,287 | |
5.25% 4/15/29 | 1,549 | 1,700 | |
5.4% 10/1/47 | 1,026 | 1,098 | |
5.8% 6/15/38 | 1,445 | 1,604 | |
6% 6/15/48 | 941 | 1,056 | |
6.25% 4/15/49 | 1,064 | 1,229 | |
Hess Corp.: | |||
4.3% 4/1/27 | 834 | 882 | |
5.6% 2/15/41 | 21,100 | 24,204 | |
7.125% 3/15/33 | 839 | 1,064 | |
7.3% 8/15/31 | 1,023 | 1,297 | |
7.875% 10/1/29 | 2,921 | 3,748 | |
MPLX LP: | |||
4.8% 2/15/29 | 816 | 894 | |
4.875% 12/1/24 | 1,247 | 1,321 | |
5.5% 2/15/49 | 2,450 | 2,795 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 1,621 | 1,613 | |
4.3% 8/15/39 | 236 | 223 | |
4.4% 8/15/49 | 236 | 224 | |
5.55% 3/15/26 | 3,038 | 3,265 | |
6.45% 9/15/36 | 2,750 | 3,238 | |
6.6% 3/15/46 | 3,032 | 3,623 | |
7.5% 5/1/31 | 3,937 | 4,774 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 2,000 | 2,008 | |
8.125% 9/15/30 | 3,357 | 4,308 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 2,610 | 2,427 | |
6.49% 1/23/27 | 1,757 | 1,804 | |
6.5% 3/13/27 | 5,805 | 5,959 | |
6.75% 9/21/47 | 14,189 | 11,683 | |
6.84% 1/23/30 | 5,979 | 5,969 | |
6.95% 1/28/60 | 4,247 | 3,506 | |
7.69% 1/23/50 | 70,161 | 62,794 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 1,242 | 1,226 | |
3.65% 6/1/22 | 2,386 | 2,386 | |
4.65% 10/15/25 | 26,960 | 28,545 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 9,286 | 10,018 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 9,960 | 10,125 | |
3.7% 1/15/23 | 510 | 517 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 764 | 774 | |
4.65% 7/1/26 | 1,129 | 1,170 | |
4.75% 8/15/28 | 781 | 808 | |
5.75% 2/1/50 | 7,720 | 7,855 | |
247,691 | |||
FINANCIALS - 16.7% | |||
Banks - 9.1% | |||
Bank of America Corp.: | |||
1.922% 10/24/31 (b) | 20,000 | 18,107 | |
2.299% 7/21/32 (b) | 25,000 | 23,191 | |
2.884% 10/22/30 (b) | 50,000 | 49,034 | |
3.3% 1/11/23 | 1,679 | 1,707 | |
3.419% 12/20/28 (b) | 3,280 | 3,353 | |
3.5% 4/19/26 | 3,838 | 3,975 | |
3.95% 4/21/25 | 32,873 | 34,089 | |
4% 1/22/25 | 16,960 | 17,608 | |
4.1% 7/24/23 | 900 | 930 | |
4.183% 11/25/27 | 4,363 | 4,584 | |
4.2% 8/26/24 | 5,249 | 5,465 | |
4.25% 10/22/26 | 23,937 | 25,274 | |
4.45% 3/3/26 | 11,356 | 12,100 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.984% 7/20/22 (a)(b)(c) | 4,861 | 4,871 | |
Barclays Bank PLC 1.7% 5/12/22 | 3,331 | 3,334 | |
Barclays PLC: | |||
2.852% 5/7/26 (b) | 9,444 | 9,441 | |
4.375% 1/12/26 | 2,821 | 2,972 | |
4.836% 5/9/28 | 3,683 | 3,890 | |
5.088% 6/20/30 (b) | 11,424 | 12,186 | |
5.2% 5/12/26 | 26,475 | 28,379 | |
BNP Paribas SA 2.219% 6/9/26 (a)(b) | 9,008 | 8,825 | |
BPCE SA 4.875% 4/1/26 (a) | 4,662 | 4,934 | |
Citigroup, Inc.: | |||
2.976% 11/5/30 (b) | 50,000 | 49,335 | |
4.075% 4/23/29 (b) | 16,389 | 17,244 | |
4.125% 7/25/28 | 4,363 | 4,587 | |
4.3% 11/20/26 | 1,115 | 1,186 | |
4.4% 6/10/25 | 11,914 | 12,500 | |
4.412% 3/31/31 (b) | 21,454 | 23,245 | |
4.45% 9/29/27 | 55,258 | 59,017 | |
4.6% 3/9/26 | 5,613 | 5,986 | |
5.3% 5/6/44 | 6,000 | 7,076 | |
5.5% 9/13/25 | 4,886 | 5,326 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 4,614 | 4,279 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 2,250 | 2,247 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (b) | 2,035 | 2,076 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 905 | 938 | |
4.95% 3/31/30 | 1,541 | 1,705 | |
5.25% 3/14/44 | 656 | 752 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 836 | 861 | |
5.71% 1/15/26 (a) | 37,209 | 39,221 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (b) | 5,034 | 4,895 | |
4.125% 12/15/26 | 9,713 | 10,332 | |
4.493% 3/24/31 (b) | 17,000 | 18,660 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (b) | 5,536 | 5,534 | |
4.8% 4/5/26 | 12,145 | 13,021 | |
5.125% 5/28/24 | 19,005 | 19,999 | |
6% 12/19/23 | 24,003 | 25,461 | |
6.1% 6/10/23 | 36,812 | 38,581 | |
6.125% 12/15/22 | 13,833 | 14,292 | |
NatWest Markets PLC 2.375% 5/21/23 (a) | 10,214 | 10,283 | |
Rabobank Nederland 4.375% 8/4/25 | 3,024 | 3,166 | |
Societe Generale: | |||
1.038% 6/18/25 (a)(b) | 50,000 | 48,111 | |
1.488% 12/14/26 (a)(b) | 13,930 | 13,021 | |
4.25% 4/14/25 (a) | 4,491 | 4,599 | |
Synchrony Bank 3% 6/15/22 | 2,516 | 2,527 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (b) | 4,928 | 4,912 | |
3.196% 6/17/27 (b) | 40,441 | 41,062 | |
4.3% 7/22/27 | 16,184 | 17,270 | |
4.478% 4/4/31 (b) | 15,500 | 16,919 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 3,103 | 3,204 | |
831,679 | |||
Capital Markets - 3.9% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 881 | 919 | |
Ares Capital Corp.: | |||
3.25% 7/15/25 | 42,008 | 41,602 | |
3.875% 1/15/26 | 16,340 | 16,566 | |
4.2% 6/10/24 | 7,281 | 7,521 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 9,092 | 9,047 | |
3.75% 3/26/25 | 6,137 | 6,294 | |
4.194% 4/1/31 (a)(b) | 30,399 | 31,571 | |
4.55% 4/17/26 | 1,859 | 1,963 | |
Deutsche Bank AG 4.5% 4/1/25 | 8,603 | 8,844 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 4,654 | 4,704 | |
3.729% 1/14/32 (b) | 8,509 | 8,031 | |
4.1% 1/13/26 | 5,262 | 5,451 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (b) | 12,267 | 11,371 | |
3.272% 9/29/25 (b) | 60,430 | 61,470 | |
3.5% 4/1/25 | 12,527 | 12,876 | |
4.25% 10/21/25 | 7,670 | 8,057 | |
6.75% 10/1/37 | 24,081 | 31,640 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 1,287 | 1,351 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 9,330 | 9,511 | |
3.622% 4/1/31 (b) | 35,865 | 37,077 | |
3.625% 1/20/27 | 10,480 | 10,918 | |
3.7% 10/23/24 | 3,002 | 3,103 | |
3.875% 4/29/24 | 2,765 | 2,859 | |
4.875% 11/1/22 | 6,287 | 6,430 | |
5% 11/24/25 | 13,117 | 14,177 | |
State Street Corp.: | |||
2.825% 3/30/23 (b) | 737 | 738 | |
2.901% 3/30/26 (b) | 691 | 702 | |
UBS Group AG 1.494% 8/10/27 (a)(b) | 7,599 | 7,167 | |
361,960 | |||
Consumer Finance - 2.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 39,436 | 38,273 | |
1.75% 1/30/26 | 10,220 | 9,683 | |
2.45% 10/29/26 | 5,268 | 5,082 | |
2.875% 8/14/24 | 5,100 | 5,104 | |
3% 10/29/28 | 5,518 | 5,315 | |
3.3% 1/30/32 | 5,903 | 5,604 | |
3.5% 5/26/22 | 185 | 186 | |
4.125% 7/3/23 | 2,684 | 2,744 | |
4.45% 4/3/26 | 2,472 | 2,581 | |
4.875% 1/16/24 | 3,901 | 4,049 | |
6.5% 7/15/25 | 4,349 | 4,791 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 3,119 | 3,080 | |
3.05% 6/5/23 | 11,466 | 11,602 | |
3.875% 5/21/24 | 7,111 | 7,318 | |
4.625% 3/30/25 | 2,237 | 2,351 | |
5.125% 9/30/24 | 2,258 | 2,393 | |
5.8% 5/1/25 | 19,772 | 21,397 | |
8% 11/1/31 | 3,172 | 4,178 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 15,715 | 16,274 | |
3.8% 1/31/28 | 6,614 | 6,887 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 1,184 | 1,229 | |
4.1% 2/9/27 | 8,206 | 8,606 | |
4.5% 1/30/26 | 3,562 | 3,791 | |
Ford Motor Credit Co. LLC: | |||
3.096% 5/4/23 | 12,100 | 12,191 | |
4.063% 11/1/24 | 18,137 | 18,404 | |
5.584% 3/18/24 | 4,908 | 5,104 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 1,278 | 1,285 | |
3.95% 12/1/27 | 5,215 | 5,372 | |
4.25% 8/15/24 | 7,369 | 7,637 | |
4.375% 3/19/24 | 5,520 | 5,708 | |
5.15% 3/19/29 | 7,283 | 7,918 | |
236,137 | |||
Diversified Financial Services - 0.4% | |||
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 6,803 | 7,058 | |
4.125% 6/15/26 | 3,253 | 3,438 | |
4.125% 5/15/29 | 12,222 | 12,925 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 425 | 435 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | 4,907 | 5,138 | |
Pine Street Trust I 4.572% 2/15/29 (a) | 4,516 | 4,859 | |
Pine Street Trust II 5.568% 2/15/49 (a) | 4,529 | 5,383 | |
39,236 | |||
Insurance - 0.7% | |||
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 11,366 | 11,188 | |
Liberty Mutual Group, Inc. 3.95% 5/15/60 (a) | 10,260 | 9,907 | |
Lincoln National Corp. 3.4% 1/15/31 | 9,415 | 9,569 | |
MetLife, Inc. 4.55% 3/23/30 | 19,500 | 21,882 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 1,657 | 1,934 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 1,988 | 2,035 | |
Prudential Financial, Inc. 3.935% 12/7/49 | 2,764 | 2,888 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 1,800 | 1,906 | |
Unum Group: | |||
4% 6/15/29 | 3,614 | 3,818 | |
5.75% 8/15/42 | 1,024 | 1,142 | |
66,269 | |||
TOTAL FINANCIALS | 1,535,281 | ||
HEALTH CARE - 2.7% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc. 3.2% 11/21/29 | 43,367 | 43,921 | |
Health Care Providers & Services - 0.8% | |||
Anthem, Inc. 3.3% 1/15/23 | 2,729 | 2,771 | |
Centene Corp.: | |||
2.45% 7/15/28 | 12,745 | 12,004 | |
2.625% 8/1/31 | 5,945 | 5,482 | |
3.375% 2/15/30 | 5,110 | 4,903 | |
4.25% 12/15/27 | 5,450 | 5,579 | |
4.625% 12/15/29 | 8,470 | 8,724 | |
Cigna Corp. 4.375% 10/15/28 | 4,187 | 4,538 | |
CVS Health Corp. 3.625% 4/1/27 | 1,944 | 2,037 | |
HCA Holdings, Inc. 4.75% 5/1/23 | 87 | 90 | |
Sabra Health Care LP 3.2% 12/1/31 | 12,177 | 11,325 | |
Toledo Hospital 5.325% 11/15/28 | 1,513 | 1,655 | |
Universal Health Services, Inc. 2.65% 10/15/30 (a) | 10,442 | 9,862 | |
68,970 | |||
Pharmaceuticals - 1.4% | |||
Bayer U.S. Finance II LLC: | |||
4.25% 12/15/25 (a) | 49,732 | 52,228 | |
4.375% 12/15/28 (a) | 58,400 | 62,266 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (b) | 2,148 | 2,212 | |
5.9% 8/28/28 (b) | 905 | 978 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,304 | 1,346 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 1,203 | 1,162 | |
2.7% 6/22/30 | 6,115 | 5,708 | |
3.85% 6/22/40 | 2,664 | 2,497 | |
4% 6/22/50 | 4,600 | 4,079 | |
Zoetis, Inc. 3.25% 2/1/23 | 764 | 771 | |
133,247 | |||
TOTAL HEALTH CARE | 246,138 | ||
INDUSTRIALS - 1.1% | |||
Aerospace & Defense - 0.4% | |||
BAE Systems PLC 3.4% 4/15/30 (a) | 2,547 | 2,600 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 4,840 | 5,258 | |
5.15% 5/1/30 | 14,840 | 16,391 | |
5.805% 5/1/50 | 4,840 | 5,750 | |
5.93% 5/1/60 | 4,840 | 5,747 | |
35,746 | |||
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 9,054 | 8,773 | |
2.25% 1/15/23 | 1,128 | 1,134 | |
3% 9/15/23 | 368 | 372 | |
3.375% 7/1/25 | 7,888 | 7,980 | |
3.75% 6/1/26 | 15,000 | 15,423 | |
4.25% 2/1/24 | 4,331 | 4,472 | |
4.25% 9/15/24 | 1,473 | 1,527 | |
39,681 | |||
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
3.25% 2/15/27 (a) | 7,484 | 7,344 | |
3.625% 5/1/22 (a) | 1,257 | 1,259 | |
3.95% 7/1/24 (a) | 5,580 | 5,709 | |
4.375% 5/1/26 (a) | 4,949 | 5,096 | |
5.25% 5/15/24 (a) | 3,116 | 3,256 | |
22,664 | |||
TOTAL INDUSTRIALS | 98,091 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 907 | 944 | |
5.85% 7/15/25 | 1,437 | 1,574 | |
6.02% 6/15/26 | 1,159 | 1,293 | |
6.1% 7/15/27 | 2,638 | 3,038 | |
6.2% 7/15/30 | 2,284 | 2,703 | |
9,552 | |||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (a) | 2,435 | 2,296 | |
2.45% 2/15/31 (a) | 20,716 | 19,137 | |
2.6% 2/15/33 (a) | 20,716 | 18,906 | |
3.5% 2/15/41 (a) | 16,728 | 15,424 | |
3.75% 2/15/51 (a) | 7,851 | 7,326 | |
63,089 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
2.5% 4/1/25 | 6,375 | 6,366 | |
2.8% 4/1/27 | 6,375 | 6,338 | |
2.95% 4/1/30 | 6,400 | 6,186 | |
3.6% 4/1/50 | 6,370 | 5,538 | |
3.85% 4/1/60 | 6,400 | 5,516 | |
29,944 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 2,004 | 2,033 | |
TOTAL INFORMATION TECHNOLOGY | 104,618 | ||
REAL ESTATE - 2.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 6,718 | 6,078 | |
4.9% 12/15/30 | 4,519 | 5,197 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 977 | 898 | |
3.375% 7/15/51 | 1,510 | 1,295 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 4,526 | 4,518 | |
4.5% 12/1/28 | 2,824 | 3,083 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 2,339 | 2,300 | |
2.75% 4/15/31 | 1,690 | 1,588 | |
Duke Realty LP 3.25% 6/30/26 | 372 | 383 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,129 | 1,118 | |
3.5% 8/1/26 | 1,176 | 1,218 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 6,288 | 6,833 | |
Kimco Realty Corp.: | |||
2.25% 12/1/31 | 9,524 | 8,790 | |
3.375% 10/15/22 | 288 | 290 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 8,142 | 8,373 | |
4.75% 9/15/30 | 13,258 | 14,280 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 2,571 | 2,451 | |
4.4% 6/15/24 | 599 | 619 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 7,298 | 6,703 | |
3.375% 2/1/31 | 4,780 | 4,522 | |
3.625% 10/1/29 | 5,204 | 5,111 | |
4.375% 8/1/23 | 635 | 651 | |
4.5% 1/15/25 | 1,271 | 1,324 | |
4.5% 4/1/27 | 452 | 477 | |
4.75% 1/15/28 | 7,132 | 7,470 | |
4.95% 4/1/24 | 557 | 582 | |
5.25% 1/15/26 | 2,371 | 2,537 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 1,917 | 1,781 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 1,146 | 1,111 | |
2.85% 12/15/32 | 1,410 | 1,371 | |
3.25% 1/15/31 | 1,277 | 1,295 | |
3.4% 1/15/28 | 1,957 | 2,015 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 405 | 415 | |
5% 12/15/23 | 312 | 324 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 1,897 | 1,832 | |
3.375% 12/1/27 | 3,864 | 3,983 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 967 | 991 | |
4.25% 2/1/26 | 1,683 | 1,749 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 2,849 | 2,689 | |
4.625% 3/15/29 | 1,396 | 1,501 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 16,206 | 15,299 | |
3% 1/15/30 | 6,770 | 6,698 | |
4% 3/1/28 | 1,358 | 1,443 | |
4.125% 1/15/26 | 630 | 667 | |
4.75% 11/15/30 | 10,898 | 12,174 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 2,457 | 2,385 | |
3.4% 6/1/31 | 8,887 | 8,718 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,045 | 1,102 | |
4% 2/1/25 | 2,162 | 2,257 | |
4.6% 4/1/24 | 3,364 | 3,510 | |
173,999 | |||
Real Estate Management & Development - 0.5% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,946 | 5,003 | |
3.95% 11/15/27 | 2,767 | 2,885 | |
4.1% 10/1/24 | 2,463 | 2,551 | |
4.55% 10/1/29 | 1,135 | 1,220 | |
CBRE Group, Inc.: | |||
2.5% 4/1/31 | 7,642 | 7,236 | |
4.875% 3/1/26 | 4,953 | 5,369 | |
Essex Portfolio LP 3.875% 5/1/24 | 1,215 | 1,255 | |
Mid-America Apartments LP 4% 11/15/25 | 522 | 548 | |
Post Apartment Homes LP 3.375% 12/1/22 | 158 | 159 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 2,169 | 2,049 | |
2.7% 7/15/31 | 5,600 | 5,268 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 5,725 | 5,207 | |
3.125% 9/1/26 | 1,660 | 1,653 | |
3.875% 7/15/27 | 6,943 | 7,177 | |
47,580 | |||
TOTAL REAL ESTATE | 221,579 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.2% | |||
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 2,932 | 2,892 | |
DPL, Inc. 4.35% 4/15/29 | 2,835 | 2,764 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (a) | 1,869 | 1,742 | |
2.775% 1/7/32 (a) | 5,941 | 5,592 | |
FirstEnergy Corp. 7.375% 11/15/31 | 3,623 | 4,536 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,240 | 1,269 | |
18,795 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (a) | 726 | 862 | |
Independent Power and Renewable Electricity Producers - 0.3% | |||
The AES Corp.: | |||
2.45% 1/15/31 | 3,092 | 2,862 | |
3.3% 7/15/25 (a) | 10,148 | 10,197 | |
3.95% 7/15/30 (a) | 8,852 | 9,031 | |
22,090 | |||
Multi-Utilities - 0.6% | |||
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 1,064 | 1,126 | |
4.05% 4/15/25 | 13,567 | 14,302 | |
Consolidated Edison Co. of New York, Inc. 3.95% 4/1/50 | 1,501 | 1,544 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 19,262 | 18,991 | |
3.49% 5/15/27 | 10,080 | 10,394 | |
5.95% 6/15/41 | 1,097 | 1,349 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 3,951 | 4,098 | |
5.625% 7/15/22 | 2,087 | 2,098 | |
Sempra Energy 6% 10/15/39 | 1,733 | 2,203 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (b)(c) | 1,164 | 931 | |
57,036 | |||
TOTAL UTILITIES | 98,783 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $3,335,173) | 3,337,885 | ||
U.S. Treasury Obligations - 32.6% | |||
U.S. Treasury Bonds 2.375% 5/15/51 | 763,529 | 796,123 | |
U.S. Treasury Notes: | |||
0.125% 8/31/22 | $450,000 | $448,699 | |
0.5% 5/31/27 | 446,600 | 418,373 | |
0.875% 11/15/30 | 290,970 | 268,795 | |
1.125% 2/15/31 (d) | 200,875 | 189,254 | |
1.25% 12/31/26 | 120,000 | 117,225 | |
1.25% 4/30/28 | 400,000 | 387,031 | |
1.25% 8/15/31 | 109,300 | 103,784 | |
1.5% 2/15/25 | 184,000 | 183,267 | |
1.5% 1/31/27 | 41,000 | 40,516 | |
3.125% 11/15/28 | 38,238 | 41,358 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $3,021,209) | 2,994,425 | ||
Asset-Backed Securities - 7.0% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (a) | $8,087 | $6,435 | |
Series 2019-1 Class A, 3.844% 5/15/39 (a) | 2,556 | 2,264 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (a) | 4,773 | 4,486 | |
Class B, 4.458% 10/16/39 (a) | 886 | 726 | |
Series 2021-1A Class A, 2.95% 11/16/41 (a) | 8,477 | 8,006 | |
Series 2021-2A Class A, 2.798% 1/15/47 (a) | 15,018 | 14,548 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 2,225 | 2,214 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.3713% 10/17/34 (a)(b)(c) | 5,465 | 5,419 | |
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)(c) | 14,203 | 13,989 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.394% 7/20/34 (a)(b)(c) | 6,507 | 6,458 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (a) | 2,387 | 2,217 | |
Class B, 4.335% 1/16/40 (a) | 473 | 339 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (a)(b)(c) | 4,806 | 4,791 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 1.2877% 4/25/34 (a)(b)(c) | 4,698 | 4,656 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3713% 7/15/34 (a)(b)(c) | 8,184 | 8,132 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, UNITED STATES 90 DAY AVERAGE S + 1.330% 1.5112% 1/15/35 (a)(b)(c) | 10,462 | 10,459 | |
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)(c) | 9,992 | 9,914 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4913% 4/17/33 (a)(b)(c) | 16,288 | 16,224 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/36 (a)(b)(c) | 5,474 | 5,450 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 1.2777% 4/25/34 (a)(b)(c) | 10,335 | 10,228 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.474% 1/20/32 (a)(b)(c) | 9,800 | 9,758 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5713% 1/17/33 (a)(b)(c) | 10,092 | 10,092 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (a)(b)(c) | 8,274 | 8,228 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 3,535 | 3,431 | |
Class AA, 2.487% 12/16/41 (a)(b) | 477 | 468 | |
Series 2021-1A Class A, 2.443% 7/15/46 (a) | 11,497 | 11,047 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (a)(b)(c) | 6,524 | 6,509 | |
Castlelake Aircraft Securitization Trust: | |||
Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (a) | 4,700 | 4,652 | |
Class B, 5.095% 4/15/39 (a) | 1,844 | 1,707 | |
Series 2021-1R Class A, 2.741% 8/15/41 (a) | 20,164 | 19,462 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (a) | 2,560 | 2,495 | |
Series 2021-1A: | |||
Class A, 3.474% 1/15/46 (a) | 2,752 | 2,746 | |
Class B, 6.656% 1/15/46 (a) | 1,446 | 1,501 | |
Cedar Funding Ltd. Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(c) | 6,612 | 6,569 | |
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)(c) | 5,100 | 5,046 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 1.304% 4/20/34 (a)(b)(c) | 8,665 | 8,542 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.424% 10/20/34 (a)(b)(c) | 8,292 | 8,236 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.454% 4/20/34 (a)(b)(c) | 9,800 | 9,751 | |
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)(c) | 12,900 | 12,843 | |
DB Master Finance LLC: | |||
Series 2017-1A Class A2II, 4.03% 11/20/47 (a) | 3,335 | 3,417 | |
Series 2019-1A: | |||
Class A23, 4.352% 5/20/49 (a) | 599 | 621 | |
Class A2II, 4.021% 5/20/49 (a) | 805 | 821 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(c) | 5,507 | 5,479 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4613% 1/18/32 (a)(b)(c) | 7,090 | 7,085 | |
Dryden Senior Loan Fund: | |||
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.4113% 1/16/32 (a)(b)(c) | 1,808 | 1,799 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4213% 4/17/33 (a)(b)(c) | 4,300 | 4,300 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/35 (a)(b)(c) | 7,281 | 7,240 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.2897% 2/20/35 (a)(b)(c) | 4,292 | 4,267 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 3,720 | 3,719 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 1/15/35 (a)(b)(c) | 9,611 | 9,561 | |
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)(c) | 2,050 | 2,042 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.358% 7/19/34 (a)(b)(c) | 5,916 | 5,862 | |
Class AR, 3 month U.S. LIBOR + 1.080% 1.5386% 11/16/34 (a)(b)(c) | 8,250 | 8,179 | |
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)(c) | 9,100 | 9,078 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2019-2 Class A, 3.06% 4/15/26 | 7,032 | 7,205 | |
Series 2019-3 Class A1, 2.23% 9/15/24 | 3,461 | 3,484 | |
Series 2019-4 Class A, 2.44% 9/15/26 | 1,010 | 1,018 | |
Series 2020-2 Class B, 1.32% 9/15/27 | 4,000 | 3,845 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class C, 1.48% 8/15/25 (a) | 4,912 | 4,876 | |
Series 2020-2 Class C, 1.31% 10/15/25 (a) | 6,000 | 5,922 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 1,775 | 1,693 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 2,635 | 2,560 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.2485% 10/22/34 (a)(b)(c) | 5,835 | 5,802 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4513% 1/15/33 (a)(b)(c) | 4,700 | 4,697 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1789% 1/22/28 (a)(b)(c) | 4,743 | 4,727 | |
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)(c) | 10,220 | 10,162 | |
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)(c) | 9,350 | 9,281 | |
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)(c) | 5,879 | 5,835 | |
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)(c) | 2,629 | 2,619 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.394% 10/20/34 (a)(b)(c) | 1,967 | 1,955 | |
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0413% 1/18/28 (a)(b)(c) | 6,157 | 6,148 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 1.274% 4/20/34 (a)(b)(c) | 8,363 | 8,264 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 1.251% 1/25/35 (a)(b)(c) | 6,892 | 6,832 | |
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)(c) | 8,900 | 8,899 | |
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (a) | 32,582 | 31,548 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/30 (a)(b)(c) | 6,552 | 6,516 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.384% 10/20/34 (a)(b)(c) | 3,230 | 3,207 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (a) | 3,123 | 3,168 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 6,065 | 6,040 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (a) | 6,479 | 6,500 | |
Class A2II, 4.008% 12/5/51 (a) | 5,790 | 5,691 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) | 9,198 | 8,967 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.374% 4/20/34 (a)(b)(c) | 11,224 | 11,167 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (a)(b)(c) | 10,760 | 10,757 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (a) | 14,515 | 13,912 | |
Class B, 4.335% 3/15/40(a) | 522 | 434 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 5,278 | 5,344 | |
1.884% 7/15/50 (a) | 3,008 | 2,940 | |
2.328% 7/15/52 (a) | 2,300 | 2,247 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.85% 4/23/35 (a)(b)(c)(e) | 5,480 | 5,477 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 1,079 | 1,075 | |
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)(c) | 10,365 | 10,263 | |
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)(c) | 7,800 | 7,728 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 5 | 5 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 11,315 | 11,062 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 6,895 | 6,687 | |
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)(c) | 491 | 363 | |
Treman Park CLO, Ltd. Series 2018-1A Class ARR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/28 (a)(b)(c) | 6,558 | 6,552 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.524% 7/20/32 (a)(b)(c) | 5,397 | 5,380 | |
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)(c) | 5,438 | 5,406 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(c) | 11,071 | 10,997 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 7/16/34 (a)(b)(c) | 5,466 | 5,431 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $652,340) | 644,196 | ||
Collateralized Mortgage Obligations - 0.1% | |||
Private Sponsor - 0.1% | |||
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 6,057 | 6,027 | |
CSMC Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c)(f) | 341 | 0 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (a)(b)(c) | 460 | 439 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 1 | 1 | |
Silverstone Master Issuer PLC floater Series 2018-1A Class 1A, 3 month U.S. LIBOR + 0.390% 0.6451% 1/21/70 (a)(b)(c) | 3,136 | 3,136 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $9,874) | 9,603 | ||
Commercial Mortgage Securities - 6.5% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2019-RLJ Class A, 1 month U.S. LIBOR + 1.050% 1.241% 4/15/36 (a)(b)(c) | 8,900 | 8,850 | |
Series 2022-DKLX: | |||
Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 5,821 | 5,771 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.65% 1/15/39 (a)(b)(c) | 1,099 | 1,088 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.25% 1/15/39 (a)(b)(c) | 785 | 777 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 3,676 | 3,657 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (a) | 825 | 809 | |
Class CNM, 3.7186% 11/5/32 (a)(b) | 341 | 329 | |
BANK sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 2,479 | 2,591 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 5,732 | 5,715 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 6,283 | 6,313 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.270% 1.4619% 12/25/33 (a)(b)(c) | 6 | 5 | |
Series 2005-3A: | |||
Class A2, 1 month U.S. LIBOR + 0.600% 0.7869% 11/25/35 (a)(b)(c) | 20 | 19 | |
Class M1, 1 month U.S. LIBOR + 0.660% 0.8469% 11/25/35 (a)(b)(c) | 10 | 9 | |
Class M2, 1 month U.S. LIBOR + 0.730% 0.9219% 11/25/35 (a)(b)(c) | 14 | 13 | |
Class M3, 1 month U.S. LIBOR + 0.760% 0.9519% 11/25/35 (a)(b)(c) | 13 | 12 | |
Class M4, 1 month U.S. LIBOR + 0.900% 1.0869% 11/25/35 (a)(b)(c) | 16 | 15 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 0.7719% 1/25/36 (a)(b)(c) | 50 | 48 | |
Class B1, 1 month U.S. LIBOR + 2.100% 2.2869% 1/25/36 (a)(b)(c) | 13 | 34 | |
Class M1, 1 month U.S. LIBOR + 0.670% 0.8619% 1/25/36 (a)(b)(c) | 16 | 16 | |
Class M2, 1 month U.S. LIBOR + 0.700% 0.8919% 1/25/36 (a)(b)(c) | 11 | 11 | |
Class M3, 1 month U.S. LIBOR + 0.750% 0.9369% 1/25/36 (a)(b)(c) | 17 | 16 | |
Class M4, 1 month U.S. LIBOR + 0.910% 1.1019% 1/25/36 (a)(b)(c) | 17 | 16 | |
Class M5, 1 month U.S. LIBOR + 0.970% 1.1619% 1/25/36 (a)(b)(c) | 17 | 15 | |
Class M6, 1 month U.S. LIBOR + 1.050% 1.2369% 1/25/36 (a)(b)(c) | 18 | 16 | |
Series 2006-1: | |||
Class A2, 1 month U.S. LIBOR + 0.540% 0.7269% 4/25/36 (a)(b)(c) | 16 | 15 | |
Class M1, 1 month U.S. LIBOR + 0.570% 0.7569% 4/25/36 (a)(b)(c) | 10 | 9 | |
Class M2, 1 month U.S. LIBOR + 0.600% 0.7869% 4/25/36 (a)(b)(c) | 10 | 9 | |
Class M3, 1 month U.S. LIBOR + 0.630% 0.8169% 4/25/36 (a)(b)(c) | 16 | 15 | |
Class M4, 1 month U.S. LIBOR + 0.780% 0.9669% 4/25/36 (a)(b)(c) | 9 | 8 | |
Class M5, 1 month U.S. LIBOR + 0.840% 1.0269% 4/25/36 (a)(b)(c) | 9 | 8 | |
Class M6, 1 month U.S. LIBOR + 0.960% 1.1469% 4/25/36 (a)(b)(c) | 10 | 9 | |
Series 2006-2A: | |||
Class M1, 1 month U.S. LIBOR + 0.460% 0.6519% 7/25/36 (a)(b)(c) | 15 | 13 | |
Class M2, 1 month U.S. LIBOR + 0.490% 0.6819% 7/25/36 (a)(b)(c) | 10 | 9 | |
Class M3, 1 month U.S. LIBOR + 0.520% 0.7119% 7/25/36 (a)(b)(c) | 16 | 15 | |
Class M4, 1 month U.S. LIBOR + 0.630% 0.8169% 7/25/36 (a)(b)(c) | 10 | 9 | |
Class M5, 1 month U.S. LIBOR + 0.700% 0.8919% 7/25/36 (a)(b)(c) | 13 | 12 | |
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 0.6169% 10/25/36 (a)(b)(c) | 10 | 42 | |
Series 2006-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.400% 0.5919% 12/25/36 (a)(b)(c) | 111 | 106 | |
Class M1, 1 month U.S. LIBOR + 0.430% 0.6219% 12/25/36 (a)(b)(c) | 17 | 15 | |
Class M2, 1 month U.S. LIBOR + 0.460% 0.6519% 12/25/36 (a)(b)(c) | 21 | 18 | |
Class M3, 1 month U.S. LIBOR + 0.510% 0.6969% 12/25/36 (a)(b)(c) | 11 | 10 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4569% 3/25/37 (a)(b)(c) | 28 | 27 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4569% 7/25/37 (a)(b)(c) | 84 | 80 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.5069% 7/25/37 (a)(b)(c) | 78 | 73 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (a)(b)(c) | 27 | 26 | |
Class M2, 1 month U.S. LIBOR + 0.410% 0.5969% 7/25/37 (a)(b)(c) | 32 | 28 | |
Class M3, 1 month U.S. LIBOR + 0.490% 0.6769% 7/25/37 (a)(b)(c) | 37 | 42 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4769% 7/25/37 (a)(b)(c) | 30 | 28 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4969% 7/25/37(a)(b)(c) | 16 | 15 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5269% 7/25/37 (a)(b)(c) | 17 | 16 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (a)(b)(c) | 27 | 25 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/37 (a)(b)(c) | 43 | 39 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7869% 7/25/37 (a)(b)(c) | 18 | 21 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 806 | 865 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,426 | 1,500 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 8,383 | 8,404 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 10,843 | 11,719 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.241% 11/15/28 (a)(b)(c) | 6,788 | 6,737 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2018-BIOA: | |||
Class E, 1 month U.S. LIBOR + 1.950% 2.1421% 3/15/37 (a)(b)(c) | 9,361 | 9,231 | |
Class F, 1 month U.S. LIBOR + 2.470% 2.6621% 3/15/37 (a)(b)(c) | 2,354 | 2,318 | |
Series 2020-FOX Class B, 1 month U.S. LIBOR + 1.350% 1.541% 11/15/32(a)(b)(c) | 4,973 | 4,935 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (a)(b)(c) | 11,302 | 11,047 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.0908% 10/15/36 (a)(b)(c) | 1,691 | 1,649 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.2906% 10/15/36 (a)(b)(c) | 2,263 | 2,195 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.4903% 10/15/36 (a)(b)(c) | 2,197 | 2,126 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.1395% 10/15/36 (a)(b)(c) | 7,638 | 7,389 | |
Series 2022-LP2: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 1.310% 1.3623% 2/15/39 (a)(b)(c) | 4,355 | 4,308 | |
Class C, CME TERM SOFR 1 MONTH + 1.560% 1.6117% 2/15/39 (a)(b)(c) | 4,355 | 4,309 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 1.960% 2.0108% 2/15/39 (a)(b)(c) | 4,355 | 4,308 | |
floater sequential payer Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.191% 11/15/32 (a)(b)(c) | 6,203 | 6,165 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2786% 9/15/37 (a)(b)(c) | 5,026 | 4,963 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.816% 9/15/37 (a)(b)(c) | 1,247 | 1,055 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.991% 11/15/35 (a)(b)(c) | 1,473 | 1,468 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.491% 4/15/34 (a)(b)(c) | 2,644 | 2,604 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 4/15/34 (a)(b)(c) | 1,748 | 1,717 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.091% 4/15/34 (a)(b)(c) | 1,835 | 1,796 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (a)(b)(c) | 2,274 | 2,254 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.441% 10/15/36 (a)(b)(c) | 2,859 | 2,832 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.641% 10/15/36 (a)(b)(c) | 4,049 | 4,009 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.991% 10/15/36 (a)(b)(c) | 5,690 | 5,626 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (a)(b)(c) | 5,741 | 5,676 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (a)(b)(c) | 11,071 | 11,023 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (a) | 19,353 | 18,723 | |
Class A2, 1.99% 7/15/60 (a) | 12,667 | 11,998 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 13,421 | 12,772 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (a) | 7,072 | 7,073 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 7,503 | 7,419 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.691% 6/15/34 (a)(b)(c) | 1,285 | 1,262 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.941% 6/15/34 (a)(b)(c) | 1,451 | 1,411 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 6,859 | 6,742 | |
Class B, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/36 (a)(b)(c) | 2,112 | 2,059 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.492% 8/15/36 (a)(b)(c) | 1,571 | 1,524 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.242% 8/15/36 (a)(b)(c) | 1,940 | 1,873 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,366 | 1,407 | |
Series 2020-SBX Class A, 1.67% 1/10/38 (a) | 22,582 | 21,815 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 2,011 | 2,069 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (a)(b)(c) | 11,788 | 11,693 | |
Class B, 1 month U.S. LIBOR + 1.230% 1.421% 5/15/36 (a)(b)(c) | 14,528 | 14,382 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (a)(b)(c) | 2,018 | 1,998 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 2,537 | 2,476 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 2,941 | 2,957 | |
Class B, 4.5349% 4/15/36 (a) | 861 | 856 | |
Class C, 4.782% 4/15/36 (a)(b) | 561 | 554 | |
Class D, 4.782% 4/15/36 (a)(b) | 1,122 | 1,083 | |
DBCCRE Mortgage Trust sequential payer Series 2014-ARCP Class A, 4.2382% 1/10/34 (a) | 15,370 | 15,684 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 15,449 | 15,130 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 5,107 | 5,057 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.572% 7/15/38 (a)(b)(c) | 2,908 | 2,873 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (a)(b)(c) | 2,144 | 2,118 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.442% 7/15/38 (a)(b)(c) | 4,325 | 4,269 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (a)(b)(c) | 6,605 | 6,534 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.341% 10/15/36 (a)(b)(c) | 1,021 | 1,007 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.741% 10/15/36 (a)(b)(c) | 841 | 829 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (a)(b) | 6,556 | 6,573 | |
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (a) | 25,800 | 24,374 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 654 | 663 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 1,823 | 1,837 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
sequential payer Series 2020-NNN Class AFX, 2.8123% 1/16/37 (a) | 31,484 | 31,216 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 1,309 | 1,313 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 1,177 | 1,182 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (a) | 2,821 | 2,880 | |
Class CFX, 4.9498% 7/5/33 (a) | 485 | 495 | |
Class DFX, 5.3503% 7/5/33 (a) | 955 | 971 | |
Class EFX, 5.5422% 7/5/33 (a) | 1,020 | 1,027 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 9,783 | 9,587 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.071% 3/15/38 (a)(b)(c) | 2,360 | 2,304 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.291% 3/15/38 (a)(b)(c) | 1,485 | 1,444 | |
Class D, 1 month U.S. LIBOR + 1.400% 1.591% 3/15/38 (a)(b)(c) | 2,066 | 2,002 | |
Class E, 1 month U.S. LIBOR + 1.750% 1.941% 3/15/38 (a)(b)(c) | 1,805 | 1,751 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 7,782 | 7,876 | |
Series 2012-C6 Class A/S, 3.476% 11/15/45 | 3,389 | 3,405 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 7,903 | 7,923 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 1,756 | 1,900 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (a)(b) | 1,142 | 1,123 | |
Class C, 3.1771% 11/10/36 (a)(b) | 1,096 | 1,064 | |
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 12/15/35 (a)(b)(c) | 22,356 | 22,101 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.9617% 12/15/37 (a)(b)(c) | 2,833 | 2,817 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5537% 12/15/37 (a)(b)(c) | 2,966 | 2,961 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 2.000% 2.05% 2/15/39 (a)(b)(c) | 2,586 | 2,574 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.650% 2.7% 2/15/39 (a)(b)(c) | 1,345 | 1,339 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 10,383 | 10,175 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.2709% 11/15/38 (a)(b)(c) | 5,947 | 5,828 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.5201% 11/15/38 (a)(b)(c) | 3,694 | 3,616 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.7693% 11/15/38 (a)(b)(c) | 2,427 | 2,375 | |
UBS Commercial Mortgage Trust Series 2012-C1 Class A/S, 4.171% 5/10/45 | 489 | 488 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) | 9,860 | 9,191 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (a) | 510 | 471 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater: | |||
Series 2016-C32 Class A3FL, 1 month U.S. LIBOR + 1.420% 1.5397% 1/15/59 (b)(c) | 24,912 | 24,710 | |
Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 5/15/31 (a)(b)(c) | 5,818 | 5,763 | |
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 8,381 | 8,506 | |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 2,524 | 2,572 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 2,411 | 2,406 | |
Series 2015-SG1 Class ASB, 3.556% 9/15/48 | 2,206 | 2,252 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 2,498 | 2,710 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2014-C24 Class A4, 3.343% 11/15/47 | 7,819 | 7,921 | |
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 4,134 | 4,158 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $611,009) | 596,606 | ||
Municipal Securities - 0.4% | |||
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 | 3,960 | 3,708 | |
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 1,515 | 1,555 | |
5.1% 6/1/33 | 13,950 | 15,390 | |
Series 2010-1, 6.63% 2/1/35 | 1,285 | 1,498 | |
Series 2010-3: | |||
6.725% 4/1/35 | 1,710 | 2,022 | |
7.35% 7/1/35 | 875 | 1,058 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 7,201 | 8,797 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $32,425) | 34,028 | ||
Foreign Government and Government Agency Obligations - 0.8% | |||
Indonesian Republic: | |||
3.85% 10/15/30 | $10,505 | $11,137 | |
4.2% 10/15/50 | 7,915 | 8,104 | |
4.45% 4/15/70 | 9,715 | 10,093 | |
Kingdom of Saudi Arabia 3.25% 11/17/51 (a) | 16,680 | 14,949 | |
Panamanian Republic: | |||
3.298% 1/19/33 | 18,095 | 17,263 | |
4.5% 1/19/63 | 11,915 | 11,188 | |
State of Qatar 3.4% 4/16/25 (a) | 4,105 | 4,255 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $78,307) | 76,989 | ||
Bank Notes - 0.1% | |||
Discover Bank 4.682% 8/9/28 (b) | 1,865 | 1,912 | |
KeyBank NA 6.95% 2/1/28 | 725 | 876 | |
Regions Bank 6.45% 6/26/37 | 2,685 | 3,511 | |
TOTAL BANK NOTES | |||
(Cost $5,109) | 6,299 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 15.0% | |||
Fidelity Mortgage Backed Securities Central Fund (g) | 11,672,759 | $1,239,764 | |
Fidelity Specialized High Income Central Fund (g) | 1,480,717 | 136,167 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $1,418,394) | 1,375,931 | ||
Principal Amount (000s) | Value (000s) | ||
Preferred Securities - 0.3% | |||
FINANCIALS - 0.3% | |||
Banks - 0.3% | |||
Bank of Nova Scotia: | |||
4.65% (b)(h) | 8,146 | 7,937 | |
4.9% (b)(h) | 11,200 | 11,515 | |
Barclays Bank PLC 7.625% 11/21/22 | 11,014 | 11,649 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $32,412) | 31,101 | ||
Shares | Value (000s) | ||
Money Market Funds - 2.4% | |||
Fidelity Cash Central Fund 0.07% (i) | 38,347,098 | 38,355 | |
Fidelity Securities Lending Cash Central Fund 0.07% (i)(j) | 181,271,323 | 181,289 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $219,643) | 219,644 | ||
TOTAL INVESTMENT IN SECURITIES - 101.5% | |||
(Cost $9,415,895) | 9,326,707 | ||
NET OTHER ASSETS (LIABILITIES) - (1.5)% | (140,525) | ||
NET ASSETS - 100% | $9,186,182 |
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
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 $1,711,641,000 or 18.6% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security is on loan at period end.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Level 3 security
(g) 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.
(h) Security is perpetual in nature with no stated maturity date.
(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(j) 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 (Amounts in thousands) | 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 0.07% | $113,256 | $926,619 | $1,001,520 | $35 | $-- | $-- | $38,355 | 0.1% |
Fidelity Mortgage Backed Securities Central Fund | 1,278,076 | 18,405 | -- | 18,411 | -- | (56,717) | 1,239,764 | 69.8% |
Fidelity Securities Lending Cash Central Fund 0.07% | 409,063 | 1,117,880 | 1,345,654 | 117 | -- | -- | 181,289 | 0.5% |
Fidelity Specialized High Income Central Fund | 141,222 | 7,774 | -- | 7,774 | -- | (12,829) | 136,167 | 39.0% |
Total | $1,941,617 | $2,070,678 | $2,347,174 | $26,337 | $-- | $(69,546) | $1,595,575 |
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 February 28, 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 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Corporate Bonds | $3,337,885 | $-- | $3,337,885 | $-- |
U.S. Government and Government Agency Obligations | 2,994,425 | -- | 2,994,425 | -- |
Asset-Backed Securities | 644,196 | -- | 644,196 | -- |
Collateralized Mortgage Obligations | 9,603 | -- | 9,603 | -- |
Commercial Mortgage Securities | 596,606 | -- | 596,606 | -- |
Municipal Securities | 34,028 | -- | 34,028 | -- |
Foreign Government and Government Agency Obligations | 76,989 | -- | 76,989 | -- |
Bank Notes | 6,299 | -- | 6,299 | -- |
Fixed-Income Funds | 1,375,931 | 1,375,931 | -- | -- |
Preferred Securities | 31,101 | -- | 31,101 | -- |
Money Market Funds | 219,644 | 219,644 | -- | -- |
Total Investments in Securities: | $9,326,707 | $1,595,575 | $7,731,132 | $-- |
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 | 86.5% |
Cayman Islands | 5.4% |
United Kingdom | 2.0% |
Mexico | 1.1% |
Ireland | 1.0% |
France | 1.0% |
Others (Individually Less Than 1%) | 3.0% |
100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2022 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $179,717) — See accompanying schedule: Unaffiliated issuers (cost $7,777,858) | $7,731,132 | |
Fidelity Central Funds (cost $1,638,037) | 1,595,575 | |
Total Investment in Securities (cost $9,415,895) | $9,326,707 | |
Receivable for fund shares sold | 26,922 | |
Interest receivable | 46,972 | |
Distributions receivable from Fidelity Central Funds | 23 | |
Receivable from investment adviser for expense reductions | 79 | |
Other receivables | 401 | |
Total assets | 9,401,104 | |
Liabilities | ||
Payable to custodian bank | $7 | |
Payable for investments purchased | ||
Delayed delivery | 5,477 | |
Payable for fund shares redeemed | 22,096 | |
Distributions payable | 2,290 | |
Accrued management fee | 2,305 | |
Distribution and service plan fees payable | 71 | |
Other affiliated payables | 1,206 | |
Other payables and accrued expenses | 181 | |
Collateral on securities loaned | 181,289 | |
Total liabilities | 214,922 | |
Net Assets | $9,186,182 | |
Net Assets consist of: | ||
Paid in capital | $9,445,455 | |
Total accumulated earnings (loss) | (259,273) | |
Net Assets | $9,186,182 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($192,093 ÷ 23,769 shares)(a) | $8.08 | |
Maximum offering price per share (100/96.00 of $8.08) | $8.42 | |
Class M: | ||
Net Asset Value and redemption price per share ($30,361 ÷ 3,755 shares)(a) | $8.09 | |
Maximum offering price per share (100/96.00 of $8.09) | $8.43 | |
Class C: | ||
Net Asset Value and offering price per share ($28,251 ÷ 3,491 shares)(a) | $8.09 | |
Investment Grade Bond: | ||
Net Asset Value, offering price and redemption price per share ($6,154,507 ÷ 760,924 shares) | $8.09 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($1,379,448 ÷ 170,361 shares) | $8.10 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($1,401,522 ÷ 172,963 shares) | $8.10 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | |
Investment Income | ||
Dividends | $747 | |
Interest | 93,977 | |
Income from Fidelity Central Funds (including $117 from security lending) | 11,897 | |
Total income | 106,621 | |
Expenses | ||
Management fee | $14,642 | |
Transfer agent fees | 4,995 | |
Distribution and service plan fees | 454 | |
Fund wide operations fee | 2,626 | |
Independent trustees' fees and expenses | 17 | |
Total expenses before reductions | 22,734 | |
Expense reductions | (291) | |
Total expenses after reductions | 22,443 | |
Net investment income (loss) | 84,178 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 497 | |
Capital gain distributions from Fidelity Central Funds | 14,440 | |
Total net realized gain (loss) | 14,937 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (414,856) | |
Fidelity Central Funds | (69,546) | |
Total change in net unrealized appreciation (depreciation) | (484,402) | |
Net gain (loss) | (469,465) | |
Net increase (decrease) in net assets resulting from operations | $(385,287) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $84,178 | $151,659 |
Net realized gain (loss) | 14,937 | (156,026) |
Change in net unrealized appreciation (depreciation) | (484,402) | 102,701 |
Net increase (decrease) in net assets resulting from operations | (385,287) | 98,334 |
Distributions to shareholders | (85,338) | (428,007) |
Share transactions - net increase (decrease) | (377,928) | 1,131,046 |
Total increase (decrease) in net assets | (848,553) | 801,373 |
Net Assets | ||
Beginning of period | 10,034,735 | 9,233,362 |
End of period | $9,186,182 | $10,034,735 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Investment Grade Bond Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.48 | $8.76 | $8.25 | $7.71 | $7.97 | $8.03 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .058 | .105 | .158 | .199 | .178 | .151 |
Net realized and unrealized gain (loss) | (.399) | (.031) | .518 | .565 | (.277) | (.071) |
Total from investment operations | (.341) | .074 | .676 | .764 | (.099) | .080 |
Distributions from net investment income | (.055) | (.101) | (.166) | (.224) | (.161) | (.140) |
Distributions from net realized gain | (.004) | (.253) | – | – | – | – |
Total distributions | (.059) | (.354) | (.166) | (.224) | (.161) | (.140) |
Net asset value, end of period | $8.08 | $8.48 | $8.76 | $8.25 | $7.71 | $7.97 |
Total ReturnC,D,E | (4.03)% | .89% | 8.30% | 10.11% | (1.25)% | 1.03% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .76%H | .75% | .76% | .77% | .77% | .77% |
Expenses net of fee waivers, if any | .76%H | .75% | .76% | .77% | .77% | .77% |
Expenses net of all reductions | .76%H | .75% | .76% | .77% | .77% | .77% |
Net investment income (loss) | 1.42%H | 1.24% | 1.88% | 2.55% | 2.29% | 1.91% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $192 | $209 | $168 | $72 | $88 | $74 |
Portfolio turnover rateI | 21%H | 40% | 118%J | 59%J | 56%J | 57% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Investment Grade Bond Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.48 | $8.77 | $8.26 | $7.72 | $7.98 | $8.04 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .059 | .106 | .158 | .199 | .178 | .148 |
Net realized and unrealized gain (loss) | (.389) | (.041) | .519 | .564 | (.279) | (.070) |
Total from investment operations | (.330) | .065 | .677 | .763 | (.101) | .078 |
Distributions from net investment income | (.056) | (.102) | (.167) | (.223) | (.159) | (.138) |
Distributions from net realized gain | (.004) | (.253) | – | – | – | – |
Total distributions | (.060) | (.355) | (.167) | (.223) | (.159) | (.138) |
Net asset value, end of period | $8.09 | $8.48 | $8.77 | $8.26 | $7.72 | $7.98 |
Total ReturnC,D,E | (3.91)% | .78% | 8.30% | 10.09% | (1.26)% | 1.01% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .75%H | .74% | .75% | .77% | .79% | .80% |
Expenses net of fee waivers, if any | .75%H | .74% | .75% | .77% | .79% | .80% |
Expenses net of all reductions | .75%H | .74% | .75% | .77% | .79% | .80% |
Net investment income (loss) | 1.42%H | 1.25% | 1.88% | 2.54% | 2.28% | 1.88% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $30 | $34 | $36 | $22 | $20 | $22 |
Portfolio turnover rateI | 21%H | 40% | 118%J | 59%J | 56%J | 57% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Investment Grade Bond Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.49 | $8.77 | $8.26 | $7.72 | $7.99 | $8.05 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .027 | .040 | .093 | .140 | .119 | .090 |
Net realized and unrealized gain (loss) | (.400) | (.031) | .518 | .564 | (.288) | (.070) |
Total from investment operations | (.373) | .009 | .611 | .704 | (.169) | .020 |
Distributions from net investment income | (.023) | (.036) | (.101) | (.164) | (.101) | (.080) |
Distributions from net realized gain | (.004) | (.253) | – | – | – | – |
Total distributions | (.027) | (.289) | (.101) | (.164) | (.101) | (.080) |
Net asset value, end of period | $8.09 | $8.49 | $8.77 | $8.26 | $7.72 | $7.99 |
Total ReturnC,D,E | (4.40)% | .12% | 7.46% | 9.26% | (2.12)% | .27% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | 1.53%H | 1.52% | 1.53% | 1.54% | 1.54% | 1.54% |
Expenses net of fee waivers, if any | 1.53%H | 1.52% | 1.53% | 1.54% | 1.54% | 1.54% |
Expenses net of all reductions | 1.53%H | 1.52% | 1.53% | 1.54% | 1.54% | 1.54% |
Net investment income (loss) | .64%H | .47% | 1.10% | 1.78% | 1.53% | 1.14% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $28 | $35 | $37 | $16 | $22 | $24 |
Portfolio turnover rateI | 21%H | 40% | 118%J | 59%J | 56%J | 57% |
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 Total returns do not include the effect of the contingent deferred sales charge.
F 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.
G 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.
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.
Fidelity Investment Grade Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.48 | $8.77 | $8.26 | $7.72 | $7.98 | $8.04 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .071 | .131 | .184 | .225 | .203 | .176 |
Net realized and unrealized gain (loss) | (.389) | (.041) | .518 | .564 | (.277) | (.070) |
Total from investment operations | (.318) | .090 | .702 | .789 | (.074) | .106 |
Distributions from net investment income | (.068) | (.127) | (.192) | (.249) | (.186) | (.166) |
Distributions from net realized gain | (.004) | (.253) | – | – | – | – |
Total distributions | (.072) | (.380) | (.192) | (.249) | (.186) | (.166) |
Net asset value, end of period | $8.09 | $8.48 | $8.77 | $8.26 | $7.72 | $7.98 |
Total ReturnC,D | (3.77)% | 1.07% | 8.63% | 10.45% | (.93)% | 1.36% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.72%G | 1.54% | 2.19% | 2.87% | 2.61% | 2.23% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $6,155 | $6,910 | $6,527 | $7,638 | $11,730 | $9,742 |
Portfolio turnover rateH | 21%G | 40% | 118%I | 59%I | 56%I | 57% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Investment Grade Bond Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.49 | $8.78 | $8.27 | $7.73 | $7.99 | $8.05 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .069 | .127 | .183 | .221 | .199 | .172 |
Net realized and unrealized gain (loss) | (.389) | (.041) | .517 | .564 | (.277) | (.070) |
Total from investment operations | (.320) | .086 | .700 | .785 | (.078) | .102 |
Distributions from net investment income | (.066) | (.123) | (.190) | (.245) | (.182) | (.162) |
Distributions from net realized gain | (.004) | (.253) | – | – | – | – |
Total distributions | (.070) | (.376) | (.190) | (.245) | (.182) | (.162) |
Net asset value, end of period | $8.10 | $8.49 | $8.78 | $8.27 | $7.73 | $7.99 |
Total ReturnC,D | (3.78)% | 1.03% | 8.58% | 10.38% | (.98)% | 1.31% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .50%G | .49% | .49% | .50% | .50% | .50% |
Expenses net of fee waivers, if any | .50%G | .49% | .49% | .50% | .50% | .50% |
Expenses net of all reductions | .50%G | .49% | .49% | .50% | .50% | .50% |
Net investment income (loss) | 1.68%G | 1.50% | 2.15% | 2.82% | 2.56% | 2.19% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $1,379 | $1,548 | $1,324 | $1,452 | $1,059 | $857 |
Portfolio turnover rateH | 21%G | 40% | 118%I | 59%I | 56%I | 57% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Investment Grade Bond Fund Class Z
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||
2022 | 2021 | 2020 | 2019 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $8.50 | $8.78 | $8.27 | $7.68 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .075 | .138 | .193 | .197 |
Net realized and unrealized gain (loss) | (.399) | (.030) | .517 | .629 |
Total from investment operations | (.324) | .108 | .710 | .826 |
Distributions from net investment income | (.072) | (.135) | (.200) | (.236) |
Distributions from net realized gain | (.004) | (.253) | – | – |
Total distributions | (.076) | (.388) | (.200) | (.236) |
Net asset value, end of period | $8.10 | $8.50 | $8.78 | $8.27 |
Total ReturnD,E | (3.83)% | 1.28% | 8.71% | 10.97% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .40%H | .40% | .40% | .40%H |
Expenses net of fee waivers, if any | .36%H | .36% | .36% | .36%H |
Expenses net of all reductions | .36%H | .36% | .36% | .36%H |
Net investment income (loss) | 1.82%H | 1.63% | 2.28% | 2.83%H |
Supplemental Data | ||||
Net assets, end of period (in millions) | $1,402 | $1,298 | $1,142 | $74 |
Portfolio turnover rateI | 21%H | 40% | 118%J | 59%J |
A For the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
(Amounts in thousands except percentages)
1. Organization.
Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Investment Grade Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
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 Mortgage Backed Securities Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Restricted Securities Swaps | Less than .005% |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | 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% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the investing fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission 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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, preferred 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 and commercial 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. 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 February 28, 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. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity Investment Grade Bond Fund | $181 |
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 declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, market discount, deferred Trustee compensation 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 | $131,882 |
Gross unrealized depreciation | (216,634) |
Net unrealized appreciation (depreciation) | $(84,752) |
Tax cost | $9,411,459 |
The Fund elected to defer to its next fiscal year approximately $179,076 of capital losses recognized during the period November 1,2020 to August 31, 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.
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. 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 Fund | 546,259 | 479,271 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.
In addition, under the expense contract, the investment adviser pays class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $255 | $22 |
Class M | -% | .25% | 41 | –(a) |
Class C | .75% | .25% | 158 | 34 |
$454 | $56 |
(a) In the amount of less than five hundred dollars.
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $18 |
Class M | 1 |
Class C | –(a) |
$19 |
(a) In the amount of less than five hundred dollars.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond and Class Z. FIIOC receives an asset-based fee of Investment Grade Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Class A | $156 | .15 |
Class M | 24 | .15 |
Class C | 27 | .17 |
Investment Grade Bond | 3,359 | .10 |
Class I | 1,088 | .14 |
Class Z | 341 | .05 |
$4,995 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fees were equivalent to the following annualized rate expressed as a percentage of average net assets:
Fidelity Investment Grade Bond Fund | .05% |
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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
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 Fund | $12 | $– | $– |
8. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2022. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Class Z | .36% | $290 |
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. During the period, custodian credits reduced the Fund's expenses by $1.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Investment Grade Bond Fund | ||
Distributions to shareholders | ||
Class A | $1,457 | $7,658 |
Class M | 234 | 1,489 |
Class C | 104 | 1,342 |
Investment Grade Bond | 58,159 | 298,348 |
Class I | 12,924 | 64,543 |
Class Z | 12,460 | 54,627 |
Total | $85,338 | $428,007 |
10. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2022 | Year ended August 31, 2021 | Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Investment Grade Bond Fund | ||||
Class A | ||||
Shares sold | 3,162 | 13,709 | $26,358 | $116,439 |
Reinvestment of distributions | 169 | 869 | 1,404 | 7,378 |
Shares redeemed | (4,266) | (9,026) | (35,376) | (76,186) |
Net increase (decrease) | (935) | 5,552 | $(7,614) | $47,631 |
Class M | ||||
Shares sold | 203 | 1,728 | $1,686 | $14,698 |
Reinvestment of distributions | 27 | 171 | 225 | 1,458 |
Shares redeemed | (515) | (1,932) | (4,269) | (16,338) |
Net increase (decrease) | (285) | (33) | $(2,358) | $(182) |
Class C | ||||
Shares sold | 181 | 2,421 | $1,508 | $20,700 |
Reinvestment of distributions | 12 | 149 | 96 | 1,266 |
Shares redeemed | (798) | (2,710) | (6,644) | (22,924) |
Net increase (decrease) | (605) | (140) | $(5,040) | $(958) |
Investment Grade Bond | ||||
Shares sold | 127,738 | 390,858 | $1,060,046 | $3,323,918 |
Reinvestment of distributions | 5,913 | 31,555 | 49,144 | 268,282 |
Shares redeemed | (187,137) | (352,341) | (1,544,096) | (2,977,013) |
Net increase (decrease) | (53,486) | 70,072 | $(434,906) | $615,187 |
Class I | ||||
Shares sold | 41,637 | 121,162 | $347,228 | $1,031,337 |
Reinvestment of distributions | 1,408 | 6,936 | 11,719 | 59,019 |
Shares redeemed | (54,953) | (96,638) | (454,956) | (815,701) |
Net increase (decrease) | (11,908) | 31,460 | $(96,009) | $274,655 |
Class Z | ||||
Shares sold | 51,656 | 94,346 | $429,040 | $801,379 |
Reinvestment of distributions | 639 | 2,865 | 5,314 | 24,414 |
Shares redeemed | (32,094) | (74,494) | (266,355) | (631,080) |
Net increase (decrease) | 20,201 | 22,717 | $167,999 | $194,713 |
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
12. 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.
13. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Investment Grade Bond Fund | ||||
Class A | .76% | |||
Actual | $1,000.00 | $959.70 | $3.69 | |
Hypothetical-C | $1,000.00 | $1,021.03 | $3.81 | |
Class M | .75% | |||
Actual | $1,000.00 | $960.90 | $3.65 | |
Hypothetical-C | $1,000.00 | $1,021.08 | $3.76 | |
Class C | 1.53% | |||
Actual | $1,000.00 | $956.00 | $7.42 | |
Hypothetical-C | $1,000.00 | $1,017.21 | $7.65 | |
Investment Grade Bond | .45% | |||
Actual | $1,000.00 | $962.30 | $2.19 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .50% | |||
Actual | $1,000.00 | $962.20 | $2.43 | |
Hypothetical-C | $1,000.00 | $1,022.32 | $2.51 | |
Class Z | .36% | |||
Actual | $1,000.00 | $961.70 | $1.75 | |
Hypothetical-C | $1,000.00 | $1,023.01 | $1.81 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Investment Grade Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio of a representative class (the retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
IGB-SANN-0422
1.538655.124
Fidelity® Intermediate Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
As of February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 41.2% | |
AAA | 11.0% | |
AA | 1.3% | |
A | 12.9% | |
BBB | 24.5% | |
BB and Below | 3.5% | |
Not Rated | 4.5% | |
Short-Term Investments and Net Other Assets | 1.1% |
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 February 28, 2022*,** | ||
Corporate Bonds | 37.5% | |
U.S. Government and U.S. Government Agency Obligations | 41.2% | |
Asset-Backed Securities | 8.2% | |
CMOs and Other Mortgage Related Securities | 11.4% | |
Municipal Bonds | 0.1% | |
Other Investments | 0.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.1% |
* Foreign investments - 14.4%
** Futures and Swaps - 3.9%
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 37.5% | |||
Principal Amount (000s) | Value (000s) | ||
COMMUNICATION SERVICES - 1.5% | |||
Diversified Telecommunication Services - 0.7% | |||
AT&T, Inc. 1.65% 2/1/28 | $6,534 | $6,160 | |
NTT Finance Corp.: | |||
1.162% 4/3/26 (a) | 7,525 | 7,154 | |
1.591% 4/3/28 (a) | 10,400 | 9,792 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 2,837 | 2,740 | |
2.355% 3/15/32 (a) | 2,543 | 2,375 | |
28,221 | |||
Entertainment - 0.0% | |||
The Walt Disney Co. 3% 9/15/22 | 2,241 | 2,265 | |
Media - 0.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 6,000 | 6,044 | |
4.908% 7/23/25 | 4,820 | 5,109 | |
Comcast Corp. 3.95% 10/15/25 | 3,064 | 3,232 | |
Discovery Communications LLC 3.625% 5/15/30 | 1,652 | 1,661 | |
16,046 | |||
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S.A., Inc.: | |||
2.4% 3/15/29 (a) | 3,504 | 3,335 | |
2.625% 4/15/26 | 8,500 | 8,306 | |
3.5% 4/15/25 | 4,200 | 4,318 | |
15,959 | |||
TOTAL COMMUNICATION SERVICES | 62,491 | ||
CONSUMER DISCRETIONARY - 2.0% | |||
Automobiles - 1.3% | |||
General Motors Financial Co., Inc.: | |||
1.05% 3/8/24 | 2,011 | 1,959 | |
1.25% 1/8/26 | 12,329 | 11,633 | |
2.35% 2/26/27 | 4,100 | 3,974 | |
3.25% 1/5/23 | 5,500 | 5,573 | |
4.15% 6/19/23 | 6,023 | 6,176 | |
4.35% 4/9/25 | 6,000 | 6,276 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 11/24/25 (a) | 12,290 | 11,711 | |
2.9% 5/13/22 (a) | 2,713 | 2,723 | |
3.125% 5/12/23 (a) | 2,363 | 2,397 | |
52,422 | |||
Household Durables - 0.1% | |||
Toll Brothers Finance Corp. 4.875% 11/15/25 | 4,400 | 4,669 | |
Multiline Retail - 0.3% | |||
Dollar Tree, Inc. 4% 5/15/25 | 12,200 | 12,715 | |
Specialty Retail - 0.3% | |||
AutoZone, Inc. 3.625% 4/15/25 | 541 | 560 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 560 | 600 | |
Ross Stores, Inc. 0.875% 4/15/26 | 8,093 | 7,654 | |
The Home Depot, Inc. 2.5% 4/15/27 | 357 | 360 | |
9,174 | |||
TOTAL CONSUMER DISCRETIONARY | 78,980 | ||
CONSUMER STAPLES - 2.2% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Worldwide, Inc. 3.5% 6/1/30 | 6,900 | 7,209 | |
Molson Coors Beverage Co. 3% 7/15/26 | 5,500 | 5,593 | |
12,802 | |||
Food & Staples Retailing - 0.2% | |||
7-Eleven, Inc.: | |||
0.95% 2/10/26 (a) | 2,312 | 2,177 | |
1.3% 2/10/28 (a) | 2,890 | 2,633 | |
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (a) | 2,725 | 2,680 | |
7,490 | |||
Food Products - 0.9% | |||
General Mills, Inc. 3.7% 10/17/23 | 5,017 | 5,164 | |
JBS Finance Luxembourg SARL 2.5% 1/15/27 (a) | 5,755 | 5,410 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) | 9,400 | 9,894 | |
JBS U.S.A. Lux SA / JBS Food Co. 3% 2/2/29 (a) | 5,000 | 4,720 | |
JDE Peet's BV 1.375% 1/15/27 (a) | 10,197 | 9,470 | |
34,658 | |||
Tobacco - 0.8% | |||
Altria Group, Inc.: | |||
2.35% 5/6/25 | 1,004 | 1,001 | |
4.8% 2/14/29 | 1,885 | 2,036 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 3,000 | 3,036 | |
4.7% 4/2/27 | 6,324 | 6,717 | |
BAT International Finance PLC 1.668% 3/25/26 | 7,400 | 7,028 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 8,300 | 8,392 | |
3.75% 7/21/22 (a) | 4,789 | 4,809 | |
33,019 | |||
TOTAL CONSUMER STAPLES | 87,969 | ||
ENERGY - 2.9% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 2.061% 12/15/26 | 1,901 | 1,856 | |
Oil, Gas & Consumable Fuels - 2.9% | |||
Canadian Natural Resources Ltd. 3.9% 2/1/25 | 3,400 | 3,529 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 3,530 | 3,570 | |
5.375% 7/15/25 | 6,000 | 6,355 | |
Eastern Gas Transmission & Storage, Inc. 3% 11/15/29 (a) | 5,500 | 5,427 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 6,000 | 6,027 | |
3.6% 2/1/23 | 3,281 | 3,316 | |
4.2% 9/15/23 | 1,661 | 1,708 | |
4.5% 4/15/24 | 8,136 | 8,459 | |
4.95% 6/15/28 | 5,000 | 5,377 | |
5.875% 1/15/24 | 6,034 | 6,377 | |
Equinor ASA 1.75% 1/22/26 | 1,103 | 1,082 | |
Hess Corp. 4.3% 4/1/27 | 5,500 | 5,815 | |
Hess Midstream Partners LP 5.625% 2/15/26 (a) | 8,000 | 8,200 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 3,022 | 3,077 | |
MPLX LP: | |||
1.75% 3/1/26 | 3,400 | 3,259 | |
3.375% 3/15/23 | 5,069 | 5,149 | |
4% 2/15/25 | 500 | 520 | |
4.5% 7/15/23 | 990 | 1,016 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 6,142 | 6,150 | |
3.5% 8/15/29 | 907 | 902 | |
Ovintiv Exploration, Inc. 5.625% 7/1/24 | 1,986 | 2,123 | |
Petroleos Mexicanos 6.7% 2/16/32 (a) | 4,742 | 4,552 | |
Phillips 66 Co. 0.9% 2/15/24 | 6,300 | 6,189 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.65% 6/1/22 | 5,156 | 5,156 | |
3.85% 10/15/23 | 2,649 | 2,705 | |
Southeast Supply Header LLC 4.25% 6/15/24 (a) | 3,066 | 3,035 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 1,003 | 1,017 | |
4.3% 3/4/24 | 2,490 | 2,582 | |
4.55% 6/24/24 | 2,547 | 2,667 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 2,073 | 2,065 | |
117,406 | |||
TOTAL ENERGY | 119,262 | ||
FINANCIALS - 18.8% | |||
Banks - 10.2% | |||
Banco Santander SA 1.722% 9/14/27 (b) | 4,800 | 4,539 | |
Bank of America Corp.: | |||
1.197% 10/24/26 (b) | 17,500 | 16,548 | |
1.319% 6/19/26 (b) | 5,700 | 5,446 | |
2.592% 4/29/31 (b) | 7,000 | 6,692 | |
3.864% 7/23/24 (b) | 5,000 | 5,113 | |
3.974% 2/7/30 (b) | 6,800 | 7,122 | |
4.2% 8/26/24 | 8,640 | 8,996 | |
4.25% 10/22/26 | 5,912 | 6,242 | |
4.45% 3/3/26 | 3,485 | 3,713 | |
Bank of Montreal 1.85% 5/1/25 | 7,000 | 6,917 | |
Bank of Nova Scotia 4.5% 12/16/25 | 6,400 | 6,820 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 3,941 | 3,841 | |
2.279% 11/24/27 (b) | 10,090 | 9,733 | |
2.852% 5/7/26 (b) | 6,852 | 6,849 | |
3.932% 5/7/25 (b) | 9,030 | 9,286 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (a)(b)(c) | 5,577 | 5,243 | |
2.219% 6/9/26 (a)(b) | 3,479 | 3,408 | |
BPCE SA 2.045% 10/19/27 (a)(b) | 6,785 | 6,507 | |
Capital One Bank NA 2.28% 1/28/26 (b) | 5,690 | 5,638 | |
Citigroup, Inc.: | |||
3.106% 4/8/26 (b) | 6,600 | 6,686 | |
4.6% 3/9/26 | 4,328 | 4,616 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (a) | 1,271 | 1,293 | |
Commonwealth Bank of Australia 2.688% 3/11/31 (a) | 8,832 | 8,241 | |
Danske Bank A/S 3.875% 9/12/23 (a) | 3,000 | 3,072 | |
DNB Bank ASA: | |||
1.535% 5/25/27 (a)(b) | 4,294 | 4,100 | |
1.605% 3/30/28 (a)(b) | 9,302 | 8,758 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (b) | 755 | 770 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (b) | 2,500 | 2,416 | |
1.645% 4/18/26 (b) | 12,503 | 12,053 | |
2.251% 11/22/27 (b) | 9,820 | 9,466 | |
ING Groep NV 1.726% 4/1/27 (b) | 3,626 | 3,465 | |
Intesa Sanpaolo SpA: | |||
3.375% 1/12/23 (a) | 4,600 | 4,647 | |
5.71% 1/15/26 (a) | 4,940 | 5,207 | |
JPMorgan Chase & Co.: | |||
1.045% 11/19/26 (b) | 5,840 | 5,491 | |
1.47% 9/22/27 (b) | 9,890 | 9,334 | |
2.069% 6/1/29 (b) | 7,500 | 7,101 | |
2.083% 4/22/26 (b) | 7,100 | 6,994 | |
2.947% 2/24/28 (b) | 9,092 | 9,144 | |
2.956% 5/13/31 (b) | 2,045 | 1,989 | |
3.797% 7/23/24 (b) | 4,840 | 4,956 | |
3.875% 9/10/24 | 5,168 | 5,359 | |
4.125% 12/15/26 | 5,070 | 5,393 | |
Lloyds Banking Group PLC 2.438% 2/5/26 (b) | 2,666 | 2,647 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.412% 7/17/25 | 5,800 | 5,597 | |
1.538% 7/20/27 (b) | 9,500 | 9,012 | |
1.64% 10/13/27 (b) | 12,210 | 11,590 | |
2.193% 2/25/25 | 7,140 | 7,082 | |
NatWest Group PLC: | |||
1.642% 6/14/27 (b) | 3,500 | 3,325 | |
2.359% 5/22/24 (b) | 4,143 | 4,153 | |
3.073% 5/22/28 (b) | 3,500 | 3,499 | |
4.519% 6/25/24 (b) | 6,878 | 7,086 | |
5.125% 5/28/24 | 10,130 | 10,660 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,093 | 3,098 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (b) | 2,991 | 2,905 | |
Societe Generale: | |||
1.488% 12/14/26 (a)(b) | 5,547 | 5,185 | |
1.792% 6/9/27 (a)(b) | 6,264 | 5,857 | |
2.625% 10/16/24 (a) | 1,265 | 1,260 | |
4.25% 4/14/25 (a) | 3,044 | 3,117 | |
4.75% 11/24/25 (a) | 7,291 | 7,601 | |
Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26 | 9,800 | 9,261 | |
SVB Financial Group: | |||
2.1% 5/15/28 | 9,444 | 9,043 | |
3.125% 6/5/30 | 2,952 | 2,968 | |
Synovus Financial Corp. 3.125% 11/1/22 | 6,476 | 6,515 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (b) | 8,510 | 8,406 | |
2.188% 4/30/26 (b) | 4,200 | 4,145 | |
3.75% 1/24/24 | 5,350 | 5,516 | |
4.3% 7/22/27 | 9,780 | 10,436 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 1,798 | 1,856 | |
411,024 | |||
Capital Markets - 2.7% | |||
Ares Capital Corp. 3.25% 7/15/25 | 9,000 | 8,913 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (a)(b) | 8,990 | 8,332 | |
2.593% 9/11/25 (a)(b) | 5,000 | 4,975 | |
4.207% 6/12/24 (a)(b) | 13,500 | 13,835 | |
Deutsche Bank AG 4.5% 4/1/25 | 6,931 | 7,125 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 2,698 | 2,615 | |
1.447% 4/1/25 (b) | 5,904 | 5,764 | |
2.129% 11/24/26 (b) | 9,820 | 9,455 | |
2.222% 9/18/24 (b) | 6,721 | 6,705 | |
2.311% 11/16/27 (b) | 7,288 | 6,964 | |
Goldman Sachs Group, Inc. 2.64% 2/24/28 (b) | 8,456 | 8,333 | |
Moody's Corp. 3.75% 3/24/25 | 3,976 | 4,149 | |
Morgan Stanley: | |||
0.79% 5/30/25 (b) | 2,500 | 2,411 | |
2.188% 4/28/26 (b) | 5,500 | 5,429 | |
3.737% 4/24/24 (b) | 5,698 | 5,804 | |
3.875% 1/27/26 | 4,600 | 4,800 | |
State Street Corp. 2.901% 3/30/26 (b) | 303 | 308 | |
UBS Group AG 1.008% 7/30/24 (a)(b) | 4,158 | 4,099 | |
110,016 | |||
Consumer Finance - 3.0% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.75% 1/30/26 | 5,334 | 5,054 | |
2.45% 10/29/26 | 2,122 | 2,047 | |
3% 10/29/28 | 2,223 | 2,141 | |
3.3% 1/23/23 | 5,800 | 5,870 | |
3.5% 5/26/22 | 1,109 | 1,114 | |
4.125% 7/3/23 | 7,092 | 7,250 | |
6.5% 7/15/25 | 1,668 | 1,838 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 977 | 965 | |
2.2% 11/2/28 | 4,539 | 4,243 | |
3.05% 6/5/23 | 4,300 | 4,351 | |
4.625% 3/30/25 | 3,000 | 3,153 | |
5.125% 9/30/24 | 9,801 | 10,386 | |
5.75% 11/20/25 | 2,039 | 2,171 | |
Capital One Financial Corp.: | |||
1.878% 11/2/27 (b) | 17,200 | 16,481 | |
2.359% 7/29/32 (b) | 10,000 | 8,925 | |
3.2% 2/5/25 | 3,500 | 3,573 | |
3.9% 1/29/24 | 4,480 | 4,623 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 196 | 199 | |
4.5% 1/30/26 | 2,428 | 2,584 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 4,000 | 3,880 | |
4.14% 2/15/23 | 6,500 | 6,573 | |
4.25% 9/20/22 | 4,080 | 4,118 | |
4.375% 8/6/23 | 8,000 | 8,120 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 5,000 | 5,182 | |
4.375% 3/19/24 | 6,708 | 6,936 | |
121,777 | |||
Diversified Financial Services - 1.1% | |||
Athene Global Funding: | |||
0.95% 1/8/24 (a) | 6,757 | 6,604 | |
1.73% 10/2/26 (a) | 14,427 | 13,724 | |
2.646% 10/4/31 (a) | 9,900 | 9,277 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 2,929 | 3,040 | |
4.125% 6/15/26 | 1,347 | 1,424 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 10,800 | 11,561 | |
45,630 | |||
Insurance - 1.8% | |||
AFLAC, Inc. 3.6% 4/1/30 | 1,122 | 1,191 | |
AIA Group Ltd.: | |||
3.375% 4/7/30 (a) | 3,479 | 3,612 | |
3.9% 4/6/28 (a) | 8,500 | 9,053 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 5,600 | 5,625 | |
4.2% 4/1/28 | 7,000 | 7,588 | |
Aon PLC 3.875% 12/15/25 | 6,215 | 6,490 | |
Empower Finance 2020 LP 1.357% 9/17/27 (a) | 4,273 | 3,997 | |
Equitable Financial Life Global Funding: | |||
1.3% 7/12/26 (a) | 5,000 | 4,755 | |
1.7% 11/12/26 (a) | 6,372 | 6,092 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 4,523 | 4,452 | |
Marsh & McLennan Companies, Inc. 3.875% 3/15/24 | 2,420 | 2,504 | |
Principal Financial Group, Inc. 3.7% 5/15/29 | 2,684 | 2,857 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a) | 4,303 | 5,020 | |
Unum Group 4% 3/15/24 | 3,330 | 3,448 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,500 | 5,862 | |
72,546 | |||
TOTAL FINANCIALS | 760,993 | ||
HEALTH CARE - 1.4% | |||
Health Care Equipment & Supplies - 0.1% | |||
Alcon Finance Corp. 2.75% 9/23/26 (a) | 4,099 | 4,116 | |
Health Care Providers & Services - 0.8% | |||
Anthem, Inc. 3.35% 12/1/24 | 4,000 | 4,113 | |
Centene Corp. 2.45% 7/15/28 | 4,185 | 3,942 | |
Cigna Corp. 4.375% 10/15/28 | 10,724 | 11,623 | |
Humana, Inc. 1.35% 2/3/27 | 6,000 | 5,657 | |
Sabra Health Care LP 3.2% 12/1/31 | 3,969 | 3,691 | |
UnitedHealth Group, Inc. 2.75% 2/15/23 | 684 | 691 | |
29,717 | |||
Pharmaceuticals - 0.5% | |||
Bristol-Myers Squibb Co. 2.9% 7/26/24 | 6,730 | 6,887 | |
Elanco Animal Health, Inc. 5.272% 8/28/23 (b) | 641 | 660 | |
Mylan NV 4.55% 4/15/28 | 9,726 | 10,366 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 443 | 428 | |
2.7% 6/22/30 | 3,449 | 3,220 | |
21,561 | |||
TOTAL HEALTH CARE | 55,394 | ||
INDUSTRIALS - 2.8% | |||
Aerospace & Defense - 0.9% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 2,162 | 2,241 | |
BAE Systems PLC 3.4% 4/15/30 (a) | 12,082 | 12,334 | |
The Boeing Co.: | |||
1.167% 2/4/23 | 5,757 | 5,734 | |
2.7% 2/1/27 | 5,000 | 4,936 | |
5.04% 5/1/27 | 4,200 | 4,563 | |
5.15% 5/1/30 | 4,200 | 4,639 | |
34,447 | |||
Airlines - 0.5% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 4,689 | 4,353 | |
Delta Air Lines, Inc.: | |||
2.9% 10/28/24 | 5,500 | 5,430 | |
3.8% 4/19/23 | 2,800 | 2,821 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 3,524 | 3,365 | |
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27 | 3,877 | 3,906 | |
19,875 | |||
Building Products - 0.2% | |||
Carrier Global Corp. 2.493% 2/15/27 | 6,761 | 6,726 | |
Industrial Conglomerates - 0.1% | |||
Roper Technologies, Inc. 2% 6/30/30 | 5,730 | 5,217 | |
Machinery - 0.4% | |||
Daimler Trucks Finance North America LLC 2% 12/14/26 (a) | 11,537 | 11,131 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 5,190 | 5,151 | |
16,282 | |||
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 2,749 | 2,664 | |
0.8% 8/18/24 | 4,123 | 3,963 | |
2.2% 1/15/27 | 3,852 | 3,694 | |
4.25% 2/1/24 | 2,956 | 3,052 | |
13,373 | |||
Transportation Infrastructure - 0.4% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (a) | 7,120 | 7,056 | |
3.25% 2/15/27 (a) | 2,791 | 2,739 | |
3.625% 5/1/22 (a) | 787 | 788 | |
3.95% 7/1/24 (a) | 3,046 | 3,116 | |
4.375% 5/1/26 (a) | 1,023 | 1,053 | |
5.5% 1/15/26 (a) | 1,836 | 1,955 | |
16,707 | |||
TOTAL INDUSTRIALS | 112,627 | ||
INFORMATION TECHNOLOGY - 0.8% | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 3.2% 4/1/24 | 1,056 | 1,079 | |
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 800 | 833 | |
1,912 | |||
IT Services - 0.2% | |||
The Western Union Co.: | |||
2.85% 1/10/25 | 1,255 | 1,271 | |
4.25% 6/9/23 | 5,500 | 5,644 | |
6,915 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Broadcom, Inc. 1.95% 2/15/28 (a) | 5,000 | 4,714 | |
Micron Technology, Inc. 4.185% 2/15/27 | 6,550 | 6,917 | |
11,631 | |||
Software - 0.3% | |||
Oracle Corp. 1.65% 3/25/26 | 3,122 | 2,991 | |
VMware, Inc.: | |||
1% 8/15/24 | 6,111 | 5,934 | |
1.4% 8/15/26 | 2,683 | 2,543 | |
11,468 | |||
TOTAL INFORMATION TECHNOLOGY | 31,926 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.5% | |||
International Flavors & Fragrances, Inc.: | |||
1.23% 10/1/25 (a) | 1,000 | 953 | |
1.832% 10/15/27 (a) | 5,000 | 4,727 | |
LYB International Finance III LLC 1.25% 10/1/25 | 4,817 | 4,601 | |
The Mosaic Co.: | |||
3.25% 11/15/22 | 1,917 | 1,941 | |
4.25% 11/15/23 | 5,095 | 5,268 | |
17,490 | |||
Construction Materials - 0.2% | |||
CRH America Finance, Inc. 3.95% 4/4/28 (a) | 8,500 | 9,030 | |
TOTAL MATERIALS | 26,520 | ||
REAL ESTATE - 2.1% | |||
Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
Boston Properties, Inc. 3.2% 1/15/25 | 3,000 | 3,066 | |
Corporate Office Properties LP 2% 1/15/29 | 3,626 | 3,357 | |
Federal Realty Investment Trust 3.95% 1/15/24 | 7,000 | 7,204 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 6,361 | 6,913 | |
Kite Realty Group Trust 4% 3/15/25 | 2,399 | 2,467 | |
LXP Industrial Trust (REIT) 4.4% 6/15/24 | 1,190 | 1,229 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 629 | 645 | |
4.5% 1/15/25 | 1,111 | 1,157 | |
4.5% 4/1/27 | 12,798 | 13,509 | |
4.95% 4/1/24 | 1,104 | 1,153 | |
5.25% 1/15/26 | 3,160 | 3,381 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 752 | 699 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 1,358 | 1,392 | |
4.25% 2/1/26 | 2,246 | 2,334 | |
Spirit Realty LP 2.1% 3/15/28 | 4,730 | 4,453 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 5,000 | 4,720 | |
2.65% 1/15/25 | 3,986 | 4,005 | |
3% 1/15/30 | 2,083 | 2,061 | |
3.5% 4/15/24 | 2,379 | 2,440 | |
4% 3/1/28 | 1,168 | 1,241 | |
Vornado Realty LP 2.15% 6/1/26 | 936 | 909 | |
Welltower, Inc. 3.625% 3/15/24 | 2,553 | 2,622 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 633 | 667 | |
4.6% 4/1/24 | 5,173 | 5,397 | |
77,021 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,400 | 4,450 | |
4.1% 10/1/24 | 377 | 391 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,352 | 1,364 | |
Sun Communities Operating LP 2.3% 11/1/28 | 857 | 810 | |
7,015 | |||
TOTAL REAL ESTATE | 84,036 | ||
UTILITIES - 2.3% | |||
Electric Utilities - 1.2% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 6,000 | 6,238 | |
Cleveland Electric Illuminating Co. 3.5% 4/1/28 (a) | 6,000 | 6,100 | |
Edison International 2.95% 3/15/23 | 1,206 | 1,213 | |
Eversource Energy 2.8% 5/1/23 | 4,679 | 4,721 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 578 | 543 | |
2.05% 3/1/25 | 3,242 | 3,153 | |
Florida Power & Light Co. 2.85% 4/1/25 | 1,499 | 1,531 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,226 | 1,255 | |
ITC Holdings Corp. 2.7% 11/15/22 | 3,739 | 3,770 | |
Pacific Gas & Electric Co. 3.25% 2/16/24 | 12,000 | 12,079 | |
Vistra Operations Co. LLC 5% 7/31/27 (a) | 9,250 | 9,319 | |
49,922 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
The AES Corp.: | |||
1.375% 1/15/26 | 8,000 | 7,603 | |
3.3% 7/15/25 (a) | 6,074 | 6,103 | |
3.95% 7/15/30 (a) | 6,551 | 6,683 | |
20,389 | |||
Multi-Utilities - 0.6% | |||
Berkshire Hathaway Energy Co.: | |||
3.25% 4/15/28 | 6,000 | 6,237 | |
3.7% 7/15/30 | 467 | 494 | |
4.05% 4/15/25 | 5,500 | 5,798 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,404 | 2,271 | |
2.95% 9/1/29 | 4,000 | 3,944 | |
Puget Energy, Inc. 3.65% 5/15/25 | 3,000 | 3,102 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (b)(c) | 3,383 | 2,706 | |
24,552 | |||
TOTAL UTILITIES | 94,863 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,533,151) | 1,515,061 | ||
U.S. Treasury Obligations - 40.2% | |||
U.S. Treasury Notes: | |||
0.25% 7/31/25 | $231,821 | $220,755 | |
0.375% 7/15/24 (d) | 166,470 | 161,912 | |
0.625% 7/31/26 | 41,654 | 39,666 | |
0.75% 11/15/24 | 82,554 | 80,651 | |
0.75% 3/31/26 | 72,435 | 69,620 | |
1.125% 8/31/28 | 352,389 | 337,245 | |
1.25% 9/30/28 | 26,718 | 25,756 | |
1.25% 8/15/31 | 20,000 | 18,991 | |
1.375% 10/31/28 | 14,401 | 13,987 | |
1.375% 12/31/28 | 35,000 | 33,983 | |
1.375% 11/15/31 | 252,509 | 242,053 | |
1.5% 1/31/27 | 41,127 | 40,642 | |
1.625% 9/30/26 | 79,554 | 79,113 | |
1.875% 2/28/27 | 20,000 | 20,133 | |
2.125% 5/15/25 (e) | 15,773 | 15,992 | |
3.125% 11/15/28 | 206,543 | 223,397 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $1,664,733) | 1,623,896 | ||
U.S. Government Agency - Mortgage Securities - 0.9% | |||
Fannie Mae - 0.8% | |||
2.5% 10/1/31 to 1/1/33 | 5,213 | 5,280 | |
3% 11/1/32 to 12/1/32 | 17,989 | 18,477 | |
3.5% 9/1/34 to 10/1/34 | 6,299 | 6,550 | |
4.5% 3/1/39 to 8/1/39 | 1,498 | 1,606 | |
5.5% 11/1/34 to 6/1/36 | 1,370 | 1,510 | |
6.5% 7/1/32 to 8/1/36 | 869 | 985 | |
7% 8/1/25 to 2/1/32 | 4 | 4 | |
7.5% 11/1/22 to 8/1/29 | 22 | 24 | |
TOTAL FANNIE MAE | 34,436 | ||
Freddie Mac - 0.1% | |||
5.5% 3/1/34 to 7/1/35 | 2,339 | 2,582 | |
7.5% 7/1/27 to 1/1/33 | 8 | 8 | |
TOTAL FREDDIE MAC | 2,590 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 1/15/28 to 11/15/32 | 765 | 856 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $37,479) | 37,882 | ||
Asset-Backed Securities - 8.2% | |||
AASET Trust: | |||
Series 2019-1 Class A, 3.844% 5/15/39 (a) | $1,547 | $1,370 | |
Series 2019-2 Class A, 3.376% 10/16/39 (a) | 2,545 | 2,392 | |
Series 2021-1A Class A, 2.95% 11/16/41 (a) | 3,433 | 3,242 | |
Series 2021-2A Class A, 2.798% 1/15/47 (a) | 6,136 | 5,944 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | 3,166 | 3,158 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (a)(b)(c) | 9,560 | 9,503 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 8,700 | 8,656 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (a)(b)(c) | 11,691 | 11,688 | |
Ajax Mortgage Loan Trust: | |||
Series 2021-B Class A, 2.239% 6/25/66 (a)(b) | 3,148 | 3,074 | |
Series 2021-C Class A, 2.115% 1/25/61 (a) | 2,866 | 2,835 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (a) | 1,097 | 1,019 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (a)(b)(c) | 8,301 | 8,295 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 1.3119% 2/25/35 (b)(c) | 515 | 515 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (a) | 4,453 | 4,279 | |
Castlelake Aircraft Securitization Trust: | |||
Series 2019-1A Class A, 3.967% 4/15/39 (a) | 2,242 | 2,219 | |
Series 2021-1R Class A, 2.741% 8/15/41 (a) | 7,422 | 7,163 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (a) | 11,214 | 11,191 | |
Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (a)(b)(c) | 9,727 | 9,667 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (a)(b)(c) | 9,724 | 9,629 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 71 | 71 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (a) | 11,870 | 11,477 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 810 | 808 | |
Series 2020-2 Class A3, 0.57% 10/23/23 (a) | 3,587 | 3,570 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 355 | 356 | |
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (a) | 7,558 | 7,670 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 8,325 | 8,322 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (a) | 2,767 | 2,723 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 1,254 | 1,219 | |
John Deere Owner Trust Series 2019-B Class A4, 2.32% 5/15/26 | 3,098 | 3,127 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 2,336 | 2,348 | |
Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/31 (a)(b)(c) | 7,153 | 7,113 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (a)(b)(c) | 6,784 | 6,754 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) | 580 | 588 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (a) | 3,800 | 3,813 | |
Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, 1 month U.S. LIBOR + 5.250% 5.4369% 8/25/34 (b)(c)(f) | 186 | 186 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 3/10/22 (a)(b)(c) | 7,331 | 7,306 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (a)(b)(c) | 9,400 | 9,321 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (a)(b)(c) | 6,988 | 6,975 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (a)(b)(c) | 10,217 | 10,215 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (b)(c) | 315 | 315 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (a)(b) | 1,658 | 1,628 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (a)(b) | 5,813 | 5,534 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (a) | 5,036 | 4,827 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 2,861 | 2,897 | |
1.631% 5/15/51 (a) | 15,000 | 14,430 | |
1.884% 7/15/50 (a) | 1,073 | 1,049 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 7,183 | 7,157 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (a)(b)(c) | 10,048 | 9,989 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (a)(b)(c) | 9,061 | 9,009 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (a)(b)(c) | 11,039 | 10,968 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 145 | 143 | |
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (a) | 2,018 | 1,991 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 2,911 | 2,824 | |
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)(c) | 1,745 | 1,292 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 176 | 175 | |
Series 2021-3 Class A, 0.83% 7/20/31 (a) | 5,236 | 5,187 | |
Series 2021-4 Class A, 0.84% 9/20/31 (a) | 7,609 | 7,494 | |
Series 2021-5 Class A, 1.31% 11/20/31 (a) | 10,033 | 9,915 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (a) | 1,719 | 1,696 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (a) | 6,282 | 6,163 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (a)(b) | 8,373 | 8,372 | |
Verizon Master Trust Series 2021-1 Class B, 0.69% 5/20/27 | 9,197 | 8,913 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (a)(b)(c) | 9,100 | 9,068 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $334,396) | 330,837 | ||
Collateralized Mortgage Obligations - 3.3% | |||
Private Sponsor - 3.2% | |||
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (a) | 7,716 | 7,544 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (a) | 3,975 | 3,975 | |
BRAVO Residential Funding Trust sequential payer: | |||
Series 2020-RPL2 Class A1, 2% 5/25/59 (a) | 3,439 | 3,404 | |
Series 2022-RPL1 Class A1, 2.75% 9/25/61 (a) | 13,925 | 14,119 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (a)(b) | 3,324 | 3,299 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 1,843 | 1,832 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 2,453 | 2,440 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (a) | 3,080 | 3,048 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (a) | 1,195 | 1,190 | |
CSMC Trust sequential payer: | |||
Series 2020-RPL4 Class A1, 2% 1/25/60 (a) | 981 | 973 | |
Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (a) | 11,305 | 11,002 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (a)(b) | 10,610 | 10,610 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (a) | 4,679 | 4,582 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69(a)(b) | 6,036 | 6,059 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (a)(b) | 8,589 | 8,471 | |
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 9/10/22 (a)(b)(c) | 10,000 | 9,988 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 1,667 | 1,701 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (a) | 1,430 | 1,462 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) | 2,705 | 2,647 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (a) | 244 | 244 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (a)(b) | 7,847 | 7,801 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (a)(b) | 7,730 | 7,526 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (a) | 6,115 | 6,009 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (a) | 1,245 | 1,216 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (a) | 5,533 | 5,547 | |
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (a) | 5,695 | 5,631 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 2 | 2 | |
TOTAL PRIVATE SPONSOR | 132,322 | ||
U.S. Government Agency - 0.1% | |||
Fannie Mae Series 2013-16 Class GP, 3% 3/25/33 | 2,553 | 2,595 | |
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34 | 396 | 420 | |
TOTAL U.S. GOVERNMENT AGENCY | 3,015 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $136,823) | 135,337 | ||
Commercial Mortgage Securities - 8.2% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 2,450 | 2,429 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 1,776 | 1,767 | |
BANK: | |||
sequential payer: | |||
Series 2018-BN14 Class ASB, 4.185% 9/15/60 | 6,500 | 6,920 | |
Series 2018-BN15 Class ASB, 4.285% 11/15/61 | 4,000 | 4,266 | |
Series 2021-BN33 Class XA, 1.0613% 5/15/64 (b)(g) | 19,011 | 1,404 | |
Barclays Commercial Mortgage Securities LLC sequential payer Series 2019-C5 Class ASB, 2.99% 11/15/52 | 5,500 | 5,592 | |
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 0.99% 6/15/38 (a)(b)(c) | 12,200 | 12,020 | |
Benchmark Mortgage Trust: | |||
Series 2018-B7 Class A2, 4.377% 5/15/53 | 3,245 | 3,326 | |
Series 2019-B12 Class XA, 1.0615% 8/15/52 (b)(g) | 25,398 | 1,399 | |
Series 2019-B14 Class XA, 0.7822% 12/15/62 (b)(g) | 24,864 | 1,044 | |
Series 2020-B17 Class XA, 1.418% 3/15/53 (b)(g) | 49,071 | 3,854 | |
Series 2020-B19 Class XA, 1.775% 9/15/53 (b)(g) | 32,494 | 3,226 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.241% 11/15/28 (a)(b)(c) | 770 | 764 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (a)(b)(c) | 4,820 | 4,727 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (a)(b)(c) | 4,534 | 4,432 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (a)(b)(c) | 3,600 | 3,524 | |
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (a)(b)(c) | 6,222 | 6,160 | |
floater sequential payer Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.191% 11/15/32 (a)(b)(c) | 1,867 | 1,855 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (a)(b)(c) | 4,495 | 4,447 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (a)(b)(c) | 4,208 | 4,113 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8911% 1/15/34 (a)(b)(c) | 1,592 | 1,553 | |
Series 2021-SOAR Class A, 0.861% 6/15/38 (a)(b) | 4,072 | 3,980 | |
floater, sequential payer Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (a)(b)(c) | 4,129 | 4,111 | |
CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50 | 2,500 | 2,548 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (a) | 6,456 | 6,246 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 4,640 | 4,416 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (a)(b)(c) | 1,328 | 1,311 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 4,225 | 4,178 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 2,645 | 2,600 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 5,119 | 5,142 | |
Series 2014-GC23 Class A3, 3.356% 7/10/47 | 2,919 | 2,949 | |
Series 2016-GC37 Class AAB, 3.098% 4/10/49 | 827 | 841 | |
COMM Mortgage Trust: | |||
sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) | 1,527 | 1,543 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 7,664 | 7,884 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 1,027 | 1,029 | |
Credit Suisse Mortgage Trust: | |||
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 1,463 | 1,428 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (a) | 1,869 | 1,879 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 19-C15 Class A2, 3.4505% 3/15/52 | 3,393 | 3,425 | |
Series 2020-C19 Class ASB, 2.5501% 3/15/53 | 18,998 | 19,007 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 6,258 | 6,129 | |
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 1,978 | 1,959 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (a)(b)(c) | 2,616 | 2,588 | |
sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 1,091 | 1,107 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (a)(b) | 6,039 | 6,054 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 4,640 | 4,667 | |
Series 2013-GC13 Class A/S, 4.0643% 7/10/46 (a)(b) | 13,365 | 13,648 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 13,383 | 13,786 | |
Series 2015-GC30 Class A/S, 3.777% 5/10/50 | 653 | 667 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2014-C22 Class A4, 3.8012% 9/15/47 | 4,345 | 4,473 | |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | 15,686 | 16,112 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 8,844 | 8,858 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (a)(b)(c) | 2,160 | 2,138 | |
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 2,059 | 2,071 | |
Series 2013-C10 Class A5, 3.1425% 12/15/47 | 2,434 | 2,452 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 4,102 | 4,221 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 1,021 | 1,025 | |
Series 2018-AON Class D, 4.6132% 7/5/31 (a)(b) | 5,354 | 5,430 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (a) | 3,141 | 3,207 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 3,450 | 3,381 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (a)(b)(c) | 2,106 | 2,061 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2013-C11 Class A4, 4.1509% 8/15/46 (b) | 1,650 | 1,677 | |
Series 2014-C17 Class ASB, 3.477% 8/15/47 | 2,355 | 2,388 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 3,880 | 3,890 | |
Series 2021-L6 Class XA, 1.2365% 6/15/54 (b)(g) | 6,763 | 544 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (a)(b)(c) | 9,890 | 9,503 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 4,211 | 4,127 | |
UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2018-C8 Class ASB, 3.903% 2/15/51 | 4,290 | 4,482 | |
Series 2019-C17 Class ASB, 2.8655% 10/15/52 | 11,900 | 12,092 | |
Series 2017-C7 Class XA, 1.0116% 12/15/50 (b)(g) | 90,103 | 3,989 | |
UBS-Barclays Commercial Mortgage Trust Series 2012-C2 Class ASEC, 4.179% 5/10/63 (a) | 3,400 | 3,420 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) | 2,027 | 1,889 | |
Series 2020-LAB Class X, 0.4294% 10/10/42 (a)(b)(g) | 91,771 | 2,935 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2017-C41 Class ASB, 3.39% 11/15/50 | 500 | 514 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 3,355 | 3,430 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2012-C9 Class A3, 2.87% 11/15/45 | 2,758 | 2,764 | |
Series 2013-C11 Class ASB, 2.63% 3/15/45 | 1,504 | 1,511 | |
Series 2013-C12 Class A4, 3.198% 3/15/48 | 3,753 | 3,778 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 10,000 | 10,277 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $341,363) | 332,583 | ||
Municipal Securities - 0.1% | |||
New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 1,515 | 1,548 | |
New York Urban Dev. Corp. Rev. Series 2017 B, 2.67% 3/15/23 | 3,815 | 3,867 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $5,329) | 5,415 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
United Mexican States: | |||
3.25% 4/16/30 | 3,615 | 3,512 | |
3.5% 2/12/34 | 3,000 | 2,811 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $6,583) | 6,323 | ||
Bank Notes - 0.3% | |||
First Citizens Bank & Trust Co. 2.969% 9/27/25 (b) | 6,740 | 6,810 | |
Truist Bank 2.75% 5/1/23 | 4,300 | 4,350 | |
TOTAL BANK NOTES | |||
(Cost $11,038) | 11,160 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 0.0% | |||
Fidelity Specialized High Income Central Fund(h) | |||
(Cost $44) | 439 | 40 | |
Money Market Funds - 1.0% | |||
Fidelity Cash Central Fund 0.07% (i) | 15,592,491 | 15,596 | |
Fidelity Securities Lending Cash Central Fund 0.07% (i)(j) | 23,056,774 | 23,059 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $38,655) | 38,655 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $4,109,594) | 4,037,189 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 4,295 | ||
NET ASSETS - 100% | $4,041,484 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 328 | June 2022 | $70,594 | $225 | $225 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 732 | June 2022 | 86,582 | 542 | 542 |
TOTAL FUTURES CONTRACTS | $767 |
The notional amount of futures purchased as a percentage of Net Assets is 3.8%
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 $983,309,000 or 24.3% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security is on loan at period end.
(e) 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 $1,109,000.
(f) Level 3 security
(g) 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.
(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) 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.
(j) 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 (Amounts in thousands) | 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 0.07% | $77,318 | $712,603 | $774,325 | $13 | $-- | $-- | $15,596 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 974,901 | 951,842 | 37 | -- | -- | 23,059 | 0.1% |
Fidelity Specialized High Income Central Fund | 42 | 3 | -- | 2 | -- | (5) | 40 | 0.0% |
Total | $77,360 | $1,687,507 | $1,726,167 | $52 | $-- | $(5) | $38,695 |
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 February 28, 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 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Corporate Bonds | $1,515,061 | $-- | $1,515,061 | $-- |
U.S. Government and Government Agency Obligations | 1,623,896 | -- | 1,623,896 | -- |
U.S. Government Agency - Mortgage Securities | 37,882 | -- | 37,882 | -- |
Asset-Backed Securities | 330,837 | -- | 330,651 | 186 |
Collateralized Mortgage Obligations | 135,337 | -- | 135,337 | -- |
Commercial Mortgage Securities | 332,583 | -- | 332,583 | -- |
Municipal Securities | 5,415 | -- | 5,415 | -- |
Foreign Government and Government Agency Obligations | 6,323 | -- | 6,323 | -- |
Bank Notes | 11,160 | -- | 11,160 | -- |
Fixed-Income Funds | 40 | 40 | -- | -- |
Money Market Funds | 38,655 | 38,655 | -- | -- |
Total Investments in Securities: | $4,037,189 | $38,695 | $3,998,308 | $186 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $767 | $767 | $-- | $-- |
Total Assets | $767 | $767 | $-- | $-- |
Total Derivative Instruments: | $767 | $767 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 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 | |
(Amounts in thousands) | ||
Interest Rate Risk | ||
Futures Contracts(a) | $767 | $0 |
Total Interest Rate Risk | 767 | 0 |
Total Value of Derivatives | $767 | $0 |
(a) 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).
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 | 85.6% |
Cayman Islands | 4.1% |
United Kingdom | 3.3% |
Japan | 1.4% |
Others (Individually Less Than 1%) | 5.6% |
100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | February 28, 2022 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $22,664) — See accompanying schedule: Unaffiliated issuers (cost $4,070,895) | $3,998,494 | |
Fidelity Central Funds (cost $38,699) | 38,695 | |
Total Investment in Securities (cost $4,109,594) | $4,037,189 | |
Receivable for investments sold | 85,295 | |
Receivable for fund shares sold | 2,074 | |
Interest receivable | 17,743 | |
Distributions receivable from Fidelity Central Funds | 3 | |
Receivable for daily variation margin on futures contracts | 848 | |
Other receivables | 42 | |
Total assets | 4,143,194 | |
Liabilities | ||
Payable to custodian bank | $37 | |
Payable for investments purchased | 73,099 | |
Payable for fund shares redeemed | 3,325 | |
Distributions payable | 311 | |
Accrued management fee | 997 | |
Other affiliated payables | 516 | |
Other payables and accrued expenses | 366 | |
Collateral on securities loaned | 23,059 | |
Total liabilities | 101,710 | |
Net Assets | $4,041,484 | |
Net Assets consist of: | ||
Paid in capital | $4,111,103 | |
Total accumulated earnings (loss) | (69,619) | |
Net Assets | $4,041,484 | |
Net Asset Value, offering price and redemption price per share ($4,041,484 ÷ 375,486 shares) | $10.76 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | |
Investment Income | ||
Interest | $38,101 | |
Income from Fidelity Central Funds (including $37 from security lending) | 51 | |
Total income | 38,152 | |
Expenses | ||
Management fee | $5,985 | |
Transfer agent fees | 2,019 | |
Fund wide operations fee | 1,074 | |
Independent trustees' fees and expenses | 6 | |
Total expenses before reductions | 9,084 | |
Total expenses after reductions | 9,084 | |
Net investment income (loss) | 29,068 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 4,082 | |
Futures contracts | (2,348) | |
Capital gain distributions from Fidelity Central Funds | 1 | |
Total net realized gain (loss) | 1,735 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (167,822) | |
Fidelity Central Funds | (5) | |
Futures contracts | 746 | |
Total change in net unrealized appreciation (depreciation) | (167,081) | |
Net gain (loss) | (165,346) | |
Net increase (decrease) in net assets resulting from operations | $(136,278) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $29,068 | $59,537 |
Net realized gain (loss) | 1,735 | 18,401 |
Change in net unrealized appreciation (depreciation) | (167,081) | (48,562) |
Net increase (decrease) in net assets resulting from operations | (136,278) | 29,376 |
Distributions to shareholders | (39,520) | (119,135) |
Share transactions | ||
Proceeds from sales of shares | 692,222 | 1,822,393 |
Reinvestment of distributions | 36,622 | 110,502 |
Cost of shares redeemed | (425,989) | (886,904) |
Net increase (decrease) in net assets resulting from share transactions | 302,855 | 1,045,991 |
Total increase (decrease) in net assets | 127,057 | 956,232 |
Net Assets | ||
Beginning of period | 3,914,427 | 2,958,195 |
End of period | $4,041,484 | $3,914,427 |
Other Information | ||
Shares | ||
Sold | 62,794 | 161,538 |
Issued in reinvestment of distributions | 3,324 | 9,760 |
Redeemed | (38,792) | (78,528) |
Net increase (decrease) | 27,326 | 92,770 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Intermediate Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.24 | $11.58 | $11.16 | $10.58 | $10.95 | $11.07 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .079 | .199 | .267 | .292 | .263 | .261 |
Net realized and unrealized gain (loss) | (.451) | (.102) | .413 | .560 | (.380) | (.142) |
Total from investment operations | (.372) | .097 | .680 | .852 | (.117) | .119 |
Distributions from net investment income | (.085) | (.196) | (.260) | (.272) | (.253) | (.239) |
Distributions from net realized gain | (.023) | (.241) | – | – | – | – |
Total distributions | (.108) | (.437) | (.260) | (.272) | (.253) | (.239) |
Net asset value, end of period | $10.76 | $11.24 | $11.58 | $11.16 | $10.58 | $10.95 |
Total ReturnC,D | (3.33)% | .86% | 6.18% | 8.18% | (1.07)% | 1.11% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.45%G | 1.76% | 2.37% | 2.72% | 2.46% | 2.40% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $4,041 | $3,914 | $2,958 | $2,717 | $2,719 | $3,065 |
Portfolio turnover rateH | 72%G | 102% | 99% | 34% | 49% | 59% |
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 Annualized
H 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 February 28, 2022
(Amounts in thousands except percentages)
1. Organization.
Fidelity Intermediate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Specialized High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | 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% |
(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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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. 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.
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 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 February 28, 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity Intermediate Bond Fund | $42 |
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, market discount, deferred Trustee compensation and losses deferred due to wash sales and futures contracts.
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 | $29,471 |
Gross unrealized depreciation | (99,119) |
Net unrealized appreciation (depreciation) | $(69,648) |
Tax cost | $4,107,604 |
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. 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 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 risk:
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. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
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.
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.
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 Intermediate Bond Fund | 650,880 | 278,603 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fees were equivalent to the following annualized rate expressed as a percentage of average net assets:
Fidelity Intermediate Bond Fund | .05% |
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. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. 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 Intermediate Bond Fund | $4 | $– | $– |
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity Core Income Fund | |
Fidelity Intermediate Bond Fund | 23% |
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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Intermediate Bond Fund | .45% | |||
Actual | $1,000.00 | $966.70 | $2.19 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Intermediate Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
IBF-SANN-0422
1.538685.124
Fidelity® Short-Term Bond Fund
Semi-Annual Report
February 28, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 27.0% | |
AAA | 18.6% | |
AA | 2.3% | |
A | 21.9% | |
BBB | 21.9% | |
BB and Below | 1.0% | |
Not Rated | 4.9% | |
Short-Term Investments and Net Other Assets | 2.4% |
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 February 28, 2022* | ||
Corporate Bonds | 45.4% | |
U.S. Government and U.S. Government Agency Obligations | 27.0% | |
Asset-Backed Securities | 14.8% | |
CMOs and Other Mortgage Related Securities | 10.0% | |
Other Investments | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.4% |
* Foreign investments - 18.8%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 45.4% | |||
Principal Amount (000s) | Value (000s) | ||
COMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 1.0% | |||
AT&T, Inc. 0.9% 3/25/24 | $10,610 | $10,427 | |
NTT Finance Corp.: | |||
0.373% 3/3/23 (a) | 8,340 | 8,251 | |
0.583% 3/1/24 (a) | 3,469 | 3,369 | |
Verizon Communications, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (b)(c) | 5,170 | 5,183 | |
0.75% 3/22/24 | 3,860 | 3,778 | |
31,008 | |||
Media - 0.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 10,981 | 11,061 | |
Wireless Telecommunication Services - 0.3% | |||
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 7,030 | 7,227 | |
TOTAL COMMUNICATION SERVICES | 49,296 | ||
CONSUMER DISCRETIONARY - 2.2% | |||
Automobiles - 1.9% | |||
BMW U.S. Capital LLC 3.45% 4/12/23 (a) | 12,171 | 12,397 | |
Daimler Finance North America LLC 0.75% 3/1/24 (a) | 8,516 | 8,296 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) | 10,000 | 10,094 | |
1.05% 3/8/24 | 1,943 | 1,893 | |
1.25% 1/8/26 | 6,779 | 6,397 | |
Volkswagen Group of America Finance LLC: | |||
0.875% 11/22/23 (a) | 8,525 | 8,348 | |
2.9% 5/13/22 (a) | 3,439 | 3,452 | |
3.125% 5/12/23 (a) | 5,897 | 5,982 | |
56,859 | |||
Distributors - 0.2% | |||
Genuine Parts Co. 1.75% 2/1/25 | 4,784 | 4,703 | |
Textiles, Apparel & Luxury Goods - 0.1% | |||
VF Corp. 2.05% 4/23/22 | 4,690 | 4,698 | |
TOTAL CONSUMER DISCRETIONARY | 66,260 | ||
CONSUMER STAPLES - 2.5% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 10,000 | 9,752 | |
Food & Staples Retailing - 0.4% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (a) | 1,562 | 1,549 | |
0.8% 2/10/24 (a) | 1,912 | 1,866 | |
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (a) | 7,661 | 7,373 | |
10,788 | |||
Food Products - 0.4% | |||
Conagra Brands, Inc. 0.5% 8/11/23 | 5,758 | 5,644 | |
JDE Peet's BV 0.8% 9/24/24 (a) | 6,779 | 6,493 | |
12,137 | |||
Tobacco - 1.4% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,269 | 1,265 | |
BAT Capital Corp. 3.222% 8/15/24 | 6,714 | 6,794 | |
BAT International Finance PLC 1.668% 3/25/26 | 6,714 | 6,376 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 7,381 | 7,463 | |
3.75% 7/21/22 (a) | 6,086 | 6,111 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 5,988 | 5,967 | |
2.875% 5/1/24 | 6,658 | 6,788 | |
40,764 | |||
TOTAL CONSUMER STAPLES | 73,441 | ||
ENERGY - 3.4% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 1.231% 12/15/23 | 1,575 | 1,559 | |
Oil, Gas & Consumable Fuels - 3.3% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 4,512 | 4,431 | |
Chevron Corp. 1.141% 5/11/23 | 6,298 | 6,275 | |
ConocoPhillips Co. 2.4% 3/7/25 (d) | 2,991 | 2,994 | |
Enbridge, Inc.: | |||
0.55% 10/4/23 | 10,000 | 9,788 | |
2.15% 2/16/24 | 1,167 | 1,169 | |
2.5% 2/14/25 | 1,218 | 1,222 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 3,816 | 3,856 | |
4.2% 9/15/23 | 1,944 | 1,999 | |
4.25% 3/15/23 | 5,208 | 5,308 | |
Equinor ASA 1.75% 1/22/26 | 1,409 | 1,382 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 3,732 | 3,800 | |
Kinder Morgan, Inc. 3.15% 1/15/23 | 6,421 | 6,495 | |
MPLX LP: | |||
1.75% 3/1/26 | 10,071 | 9,652 | |
4.5% 7/15/23 | 1,148 | 1,179 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 2,755 | 2,758 | |
Phillips 66 Co.: | |||
0.9% 2/15/24 | 8,080 | 7,938 | |
3.7% 4/6/23 | 5,512 | 5,631 | |
3.85% 4/9/25 | 8,057 | 8,373 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 6,522 | 6,438 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 6,302 | 6,302 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 2,561 | 2,551 | |
99,541 | |||
TOTAL ENERGY | 101,100 | ||
FINANCIALS - 25.0% | |||
Banks - 13.5% | |||
Bank of America Corp.: | |||
0.81% 10/24/24 (b) | 7,030 | 6,861 | |
0.976% 4/22/25 (b) | 8,000 | 7,753 | |
1.843% 2/4/25 (b) | 10,000 | 9,903 | |
3.004% 12/20/23 (b) | 8,790 | 8,868 | |
Bank of Nova Scotia 0.8% 6/15/23 | 11,078 | 10,953 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 4,487 | 4,373 | |
2.852% 5/7/26 (b) | 4,878 | 4,876 | |
4.338% 5/16/24 (b) | 7,085 | 7,281 | |
BNP Paribas SA 3.5% 3/1/23 (a) | 15,640 | 15,890 | |
BPCE SA 1.625% 1/14/25 (a) | 9,500 | 9,324 | |
Canadian Imperial Bank of Commerce: | |||
0.45% 6/22/23 | 7,225 | 7,102 | |
0.95% 6/23/23 | 16,765 | 16,590 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (b) | 4,488 | 4,359 | |
2.014% 1/25/26 (b) | 8,000 | 7,874 | |
3.106% 4/8/26 (b) | 6,714 | 6,802 | |
Danske Bank A/S 3.875% 9/12/23 (a) | 7,592 | 7,773 | |
DNB Bank ASA 0.856% 9/30/25 (a)(b) | 10,000 | 9,669 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (b) | 8,400 | 8,119 | |
1.162% 11/22/24 (b) | 8,100 | 7,923 | |
1.645% 4/18/26 (b) | 6,806 | 6,561 | |
3.95% 5/18/24 (b) | 5,000 | 5,111 | |
Intesa Sanpaolo SpA: | |||
3.125% 7/14/22 (a) | 5,000 | 5,026 | |
3.25% 9/23/24 (a) | 10,000 | 10,109 | |
JPMorgan Chase & Co.: | |||
0.824% 6/1/25 (b) | 6,568 | 6,355 | |
1.514% 6/1/24 (b) | 13,972 | 13,918 | |
Lloyds Banking Group PLC 0.695% 5/11/24 (b) | 5,464 | 5,378 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
0.848% 9/15/24 (b) | 8,059 | 7,910 | |
0.953% 7/19/25 (b) | 7,000 | 6,760 | |
0.962% 10/11/25 (b) | 8,775 | 8,451 | |
2.193% 2/25/25 | 9,124 | 9,050 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (b) | 4,265 | 4,178 | |
2.651% 5/22/26 (b) | 6,307 | 6,308 | |
National Bank of Canada 0.55% 11/15/24 (b) | 3,356 | 3,274 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (b) | 5,310 | 5,322 | |
3.875% 9/12/23 | 14,202 | 14,545 | |
NatWest Markets PLC 0.8% 8/12/24 (a) | 4,320 | 4,142 | |
PNC Bank NA 2.5% 8/27/24 | 6,217 | 6,279 | |
Rabobank Nederland 3.95% 11/9/22 | 6,339 | 6,456 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,950 | 3,957 | |
Royal Bank of Canada: | |||
1.6% 4/17/23 | 6,714 | 6,721 | |
2.55% 7/16/24 | 8,572 | 8,664 | |
Santander Holdings U.S.A., Inc. 3.5% 6/7/24 | 7,230 | 7,370 | |
Societe Generale: | |||
2.226% 1/21/26 (a)(b) | 10,000 | 9,768 | |
2.625% 10/16/24 (a) | 1,249 | 1,244 | |
3.875% 3/28/24 (a) | 4,871 | 4,995 | |
Sumitomo Mitsui Financial Group, Inc. 0.508% 1/12/24 | 804 | 784 | |
Svenska Handelsbanken AB 0.625% 6/30/23 (a) | 10,340 | 10,212 | |
Synovus Financial Corp. 3.125% 11/1/22 | 9,230 | 9,286 | |
The Toronto-Dominion Bank 0.75% 6/12/23 | 16,785 | 16,608 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (b) | 8,218 | 8,189 | |
2.164% 2/11/26 (b) | 20,142 | 19,897 | |
405,121 | |||
Capital Markets - 5.5% | |||
Credit Suisse AG: | |||
0.495% 2/2/24 | 8,000 | 7,746 | |
0.52% 8/9/23 | 7,000 | 6,870 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 2,427 | 2,353 | |
0.962% 11/8/23 | 5,352 | 5,253 | |
1.447% 4/1/25 (b) | 5,743 | 5,607 | |
2.129% 11/24/26 (b) | 5,000 | 4,814 | |
2.222% 9/18/24 (b) | 20,476 | 20,427 | |
Goldman Sachs Group, Inc.: | |||
0.523% 3/8/23 | 6,650 | 6,603 | |
0.627% 11/17/23 (b) | 7,000 | 6,942 | |
0.657% 9/10/24 (b) | 10,000 | 9,763 | |
1.757% 1/24/25 (b) | 10,000 | 9,888 | |
2.905% 7/24/23 (b) | 6,572 | 6,606 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 6,998 | 6,914 | |
Morgan Stanley: | |||
0.529% 1/25/24 (b) | 7,459 | 7,372 | |
0.731% 4/5/24 (b) | 7,335 | 7,234 | |
0.79% 5/30/25 (b) | 8,500 | 8,196 | |
3.737% 4/24/24 (b) | 12,548 | 12,782 | |
4% 7/23/25 | 6,714 | 7,032 | |
UBS AG London Branch: | |||
0.375% 6/1/23 (a) | 7,843 | 7,725 | |
1.375% 1/13/25 (a) | 5,623 | 5,498 | |
UBS Group AG 1.008% 7/30/24 (a)(b) | 8,398 | 8,278 | |
163,903 | |||
Consumer Finance - 3.0% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (b)(c) | 7,000 | 6,981 | |
1.15% 10/29/23 | 7,000 | 6,838 | |
1.65% 10/29/24 | 7,750 | 7,521 | |
1.75% 1/30/26 | 5,724 | 5,423 | |
4.125% 7/3/23 | 2,487 | 2,543 | |
4.875% 1/16/24 | 2,014 | 2,090 | |
Ally Financial, Inc.: | |||
3.05% 6/5/23 | 5,730 | 5,798 | |
5.125% 9/30/24 | 6,284 | 6,659 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (b) | 6,500 | 6,402 | |
2.6% 5/11/23 | 4,486 | 4,524 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 6,821 | 6,864 | |
4.14% 2/15/23 | 3,615 | 3,656 | |
Hyundai Capital America 1% 9/17/24 (a) | 7,995 | 7,688 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 9,435 | 9,778 | |
4.375% 3/19/24 | 8,076 | 8,351 | |
91,116 | |||
Diversified Financial Services - 1.3% | |||
Athene Global Funding: | |||
0.95% 1/8/24 (a) | 7,220 | 7,056 | |
1% 4/16/24 (a) | 7,000 | 6,816 | |
1.716% 1/7/25 (a) | 6,500 | 6,341 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 408 | 417 | |
GA Global Funding Trust 1.25% 12/8/23 (a) | 8,200 | 8,050 | |
Jackson Financial, Inc. 1.125% 11/22/23 (a) | 8,613 | 8,473 | |
USAA Capital Corp. 1.5% 5/1/23 (a) | 1,377 | 1,375 | |
38,528 | |||
Insurance - 1.7% | |||
American International Group, Inc. 2.5% 6/30/25 | 6,714 | 6,744 | |
Equitable Financial Life Global Funding: | |||
0.5% 11/17/23 (a) | 10,000 | 9,789 | |
1.1% 11/12/24 (a) | 8,150 | 7,876 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (a) | 3,527 | 3,351 | |
Metropolitan Life Global Funding I 0.9% 6/8/23 (a) | 5,675 | 5,631 | |
Pacific Life Global Funding II 1.2% 6/24/25 (a) | 5,535 | 5,345 | |
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (a)(b)(c) | 3,616 | 3,623 | |
Protective Life Global Funding 0.502% 4/12/23 (a) | 8,500 | 8,393 | |
50,752 | |||
TOTAL FINANCIALS | 749,420 | ||
HEALTH CARE - 2.8% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
2.3% 11/21/22 | 8,775 | 8,829 | |
2.9% 11/6/22 | 5,000 | 5,050 | |
13,879 | |||
Health Care Providers & Services - 1.1% | |||
Anthem, Inc.: | |||
0.45% 3/15/23 | 9,394 | 9,294 | |
3.125% 5/15/22 | 7,314 | 7,348 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 1,965 | 1,915 | |
3.05% 11/30/22 | 5,040 | 5,103 | |
Humana, Inc. 0.65% 8/3/23 | 8,872 | 8,733 | |
32,393 | |||
Life Sciences Tools & Services - 0.5% | |||
PerkinElmer, Inc. 0.85% 9/15/24 | 8,310 | 8,017 | |
Thermo Fisher Scientific, Inc. 1.215% 10/18/24 | 8,500 | 8,302 | |
16,319 | |||
Pharmaceuticals - 0.7% | |||
AstraZeneca Finance LLC 0.7% 5/28/24 | 6,275 | 6,108 | |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 6,748 | 7,087 | |
Mylan NV 3.125% 1/15/23 (a) | 6,478 | 6,542 | |
19,737 | |||
TOTAL HEALTH CARE | 82,328 | ||
INDUSTRIALS - 2.2% | |||
Aerospace & Defense - 0.5% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 5,877 | 5,853 | |
1.95% 2/1/24 | 3,500 | 3,486 | |
4.875% 5/1/25 | 4,713 | 5,010 | |
14,349 | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. 2.9% 10/28/24 | 7,598 | 7,502 | |
Commercial Services & Supplies - 0.3% | |||
Republic Services, Inc. 0.875% 11/15/25 | 10,000 | 9,431 | |
Industrial Conglomerates - 0.2% | |||
Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (a) | 5,142 | 5,027 | |
Machinery - 0.1% | |||
Daimler Trucks Finance North America LLC 1.625% 12/13/24 (a) | 2,657 | 2,606 | |
Road & Rail - 0.4% | |||
Canadian Pacific Railway Co. 1.35% 12/2/24 | 12,296 | 11,996 | |
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 2,930 | 2,839 | |
0.8% 8/18/24 | 3,717 | 3,573 | |
International Lease Finance Corp. 5.875% 8/15/22 | 7,230 | 7,370 | |
13,782 | |||
Transportation Infrastructure - 0.0% | |||
Avolon Holdings Funding Ltd. 3.625% 5/1/22 (a) | 972 | 974 | |
TOTAL INDUSTRIALS | 65,667 | ||
INFORMATION TECHNOLOGY - 1.4% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 2,804 | 2,919 | |
IT Services - 0.4% | |||
PayPal Holdings, Inc. 1.35% 6/1/23 | 3,364 | 3,353 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 1,585 | 1,605 | |
4.25% 6/9/23 | 6,025 | 6,182 | |
11,140 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (b)(c) | 4,150 | 4,149 | |
Microchip Technology, Inc. 0.983% 9/1/24 (a) | 4,231 | 4,071 | |
8,220 | |||
Software - 0.4% | |||
VMware, Inc.: | |||
0.6% 8/15/23 | 8,000 | 7,855 | |
1% 8/15/24 | 5,608 | 5,446 | |
13,301 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Apple, Inc. 0.75% 5/11/23 | 7,175 | 7,128 | |
TOTAL INFORMATION TECHNOLOGY | 42,708 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.3% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (a) | 4,034 | 4,106 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 1,266 | 1,262 | |
The Mosaic Co. 3.25% 11/15/22 | 2,280 | 2,308 | |
Westlake Corp. 0.875% 8/15/24 | 2,556 | 2,478 | |
10,154 | |||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
American Tower Corp. 1.3% 9/15/25 | 2,980 | 2,852 | |
Crown Castle International Corp. 1.35% 7/15/25 | 700 | 672 | |
Welltower, Inc. 3.625% 3/15/24 | 3,276 | 3,365 | |
6,889 | |||
UTILITIES - 3.7% | |||
Electric Utilities - 2.3% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 6,835 | 6,831 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (b)(c) | 6,139 | 6,125 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (b)(c) | 10,000 | 9,985 | |
Exelon Corp. 3.497% 6/1/22 (b) | 6,360 | 6,380 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 747 | 702 | |
2.05% 3/1/25 | 4,143 | 4,029 | |
Florida Power & Light Co. 2.85% 4/1/25 | 1,893 | 1,933 | |
ITC Holdings Corp. 2.7% 11/15/22 | 4,592 | 4,630 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (b)(c) | 10,375 | 10,364 | |
0.65% 3/1/23 | 6,780 | 6,715 | |
PPL Electric Utilities Corp. 3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 3,666 | 3,656 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (b)(c) | 6,389 | 6,384 | |
0.6% 2/26/24 | 3,086 | 2,993 | |
70,727 | |||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (b)(c) | 5,299 | 5,294 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (b)(c) | 4,082 | 4,082 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 1,475 | 1,476 | |
ONE Gas, Inc. 0.85% 3/11/23 | 10,000 | 9,916 | |
20,768 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP 0.833% 6/15/24 | 3,897 | 3,758 | |
Multi-Utilities - 0.6% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 5,926 | 5,927 | |
DTE Energy Co. 2.25% 11/1/22 | 8,094 | 8,142 | |
NiSource, Inc. 0.95% 8/15/25 | 2,976 | 2,812 | |
16,881 | |||
TOTAL UTILITIES | 112,134 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,375,975) | 1,359,397 | ||
U.S. Treasury Obligations - 25.9% | |||
U.S. Treasury Notes: | |||
0.25% 5/15/24 (e) | $350,936 | $341,189 | |
0.25% 7/31/25 (e) | 127,140 | 121,071 | |
0.375% 8/15/24 (f) | 50,000 | 48,563 | |
0.375% 4/30/25 | 140,699 | 135,099 | |
2.375% 8/15/24 | 128,943 | 131,411 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $797,300) | 777,333 | ||
U.S. Government Agency - Mortgage Securities - 0.5% | |||
Fannie Mae - 0.3% | |||
4.5% 3/1/39 to 9/1/49 | 7,479 | 8,020 | |
5.5% 11/1/34 | 1,443 | 1,590 | |
7.5% 11/1/31 | 0 | 0 | |
TOTAL FANNIE MAE | 9,610 | ||
Freddie Mac - 0.2% | |||
3% 2/1/34 | 4,759 | 4,893 | |
8.5% 5/1/26 to 7/1/28 | 25 | 27 | |
TOTAL FREDDIE MAC | 4,920 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 1/15/25 to 8/15/32 | 176 | 195 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $14,739) | 14,725 | ||
Asset-Backed Securities - 14.8% | |||
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | $1,058 | $1,055 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (a)(b)(c) | 8,770 | 8,717 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 8,883 | 8,838 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (a)(b)(c) | 5,000 | 4,999 | |
Ajax Mortgage Loan Trust Series 2021-B Class A, 2.239% 6/25/66 (a)(b) | 3,112 | 3,038 | |
American Express Credit Account Master Trust Series 2021-1 Class A, 0.9% 11/15/26 | 9,780 | 9,567 | |
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26 | 7,993 | 7,850 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (a)(b)(c) | 7,663 | 7,658 | |
Bank of America Credit Card Master Trust: | |||
Series 2020-A1 Class A1, 0.34% 5/15/26 | 9,973 | 9,740 | |
Series 2021-A1 Class A1, 0.44% 9/15/26 | 9,066 | 8,814 | |
Capital One Multi-Asset Execution Trust Series 2021-A3 Class A3, 1.04% 11/15/26 | 9,890 | 9,678 | |
CarMax Auto Owner Trust: | |||
Series 2018-4 Class A3, 3.36% 9/15/23 | 633 | 636 | |
Series 2020-4 Class A3, 0.5% 8/15/25 | 5,144 | 5,082 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 5,009 | 4,908 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A3, 0.49% 3/10/26 | 7,076 | 6,982 | |
Series 2021-P3 Class A3, 0.7% 11/10/26 | 6,606 | 6,441 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(c) | 2,196 | 2,182 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (a)(b)(c) | 9,276 | 9,219 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (a)(b)(c) | 8,450 | 8,368 | |
Chesapeake Funding II LLC Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 1,323 | 1,327 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 600 | 601 | |
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/34 (b)(c) | 143 | 141 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 1,042 | 1,040 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (a) | 924 | 924 | |
Class A3, 0.57% 10/23/23 (a) | 3,903 | 3,885 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 3,229 | 3,187 | |
Discover Card Execution Note Trust: | |||
Series 2021-A1 Class A1, 0.58% 9/15/26 | 9,839 | 9,534 | |
Series 2022-A1 Class A1, 1.96% 2/16/27 | 4,911 | 4,922 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 458 | 458 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) | 6,065 | 6,003 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (a) | 4,662 | 4,589 | |
Drive Auto Receivables Trust Series 2021-2 Class A2, 0.36% 5/15/24 | 4,790 | 4,781 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 8,070 | 8,067 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 4,683 | 4,697 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 5,782 | 5,725 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 2,571 | 2,536 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (a) | 7,441 | 7,282 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A Class A3, 0.3% 10/15/24 | 2,959 | 2,954 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 2,168 | 2,167 | |
Ford Credit Auto Owner Trust Series 2019-A Class A3, 2.78% 9/15/23 | 358 | 359 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 12,164 | 11,963 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 6,015 | 5,936 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 3,218 | 3,167 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 6,742 | 6,638 | |
Hyundai Auto Receivables Trust Series 2020-C Class A3, 0.38% 5/15/25 | 6,571 | 6,488 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 2,892 | 2,907 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (a)(b)(c) | 6,559 | 6,530 | |
Marlette Funding Trust: | |||
Series 2021-2A Class A, 0.51% 9/15/31 (a) | 3,053 | 3,040 | |
Series 2021-3A Class A, 0.65% 12/15/31 (a) | 3,071 | 3,048 | |
Series 2022-1A Class A, 1.36% 4/15/32 (a) | 6,109 | 6,104 | |
Mercedes-Benz Auto Lease Trust Series 2019-B Class A3, 2% 10/17/22 | 416 | 417 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (a) | 4,853 | 4,870 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 3/10/22 (a)(b)(c) | 7,078 | 7,053 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (a)(b)(c) | 8,390 | 8,320 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (a) | 8,012 | 7,788 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (a)(b)(c) | 6,733 | 6,721 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (a)(b)(c) | 7,710 | 7,708 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (b)(c) | 241 | 241 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (a)(b) | 1,375 | 1,350 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (a)(b) | 5,138 | 4,892 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (a) | 5,530 | 5,477 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (a) | 7,455 | 7,352 | |
Series 2021-A Class A3, 0.51% 7/22/24 (a) | 4,381 | 4,318 | |
Securitized Term Auto Receivables Trust Series 2019-1A Class A3, 2.986% 2/27/23 (a) | 107 | 107 | |
SLM Student Loan Trust Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7528% 12/15/25 (a)(b)(c) | 2,312 | 2,310 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 6,342 | 6,319 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (a)(b)(c) | 8,047 | 8,000 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (a)(b)(c) | 8,844 | 8,794 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (a)(b)(c) | 9,268 | 9,209 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 177 | 175 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (a) | 3,853 | 3,837 | |
Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (a) | 6,423 | 6,289 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (a) | 4,906 | 4,795 | |
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)(c) | 261 | 193 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 181 | 180 | |
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 2,889 | 2,869 | |
Series 2021-3 Class A, 0.83% 7/20/31 (a) | 4,810 | 4,765 | |
Series 2021-4 Class A, 0.84% 9/20/31 (a) | 6,395 | 6,298 | |
Series 2021-5 Class A, 1.31% 11/20/31 (a) | 7,273 | 7,188 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (a) | 1,821 | 1,796 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (a) | 6,116 | 6,000 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (a)(b) | 7,528 | 7,527 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 6,240 | 6,064 | |
Series 2021-2 Class A, 0.99% 4/20/28 | 8,190 | 8,010 | |
Volkswagen Auto Lease Trust Series 2019-A Class A3, 1.99% 11/21/22 | 465 | 465 | |
Volvo Financial Equipment LLC Series 2019-1A Class A3, 3% 3/15/23 (a) | 11 | 11 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (a)(b)(c) | 9,231 | 9,198 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (a)(b)(c) | 5,960 | 5,951 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24 | 4,281 | 4,244 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $446,748) | 441,873 | ||
Collateralized Mortgage Obligations - 4.0% | |||
Private Sponsor - 3.5% | |||
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (a) | 5,996 | 5,863 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 1,704 | 1,680 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (a)(b) | 2,605 | 2,585 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 1,897 | 1,885 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 2,074 | 2,063 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (a) | 2,403 | 2,378 | |
CSMC Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (a) | 7,783 | 7,574 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (a)(b) | 7,500 | 7,500 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (a) | 3,647 | 3,572 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.9476% 8/25/60 (a)(b)(c) | 396 | 396 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 7,482 | 7,511 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (a)(b) | 6,879 | 6,785 | |
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 9/10/22 (a)(b)(c) | 11,000 | 10,986 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) | 2,359 | 2,308 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (a) | 3,325 | 3,319 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (a)(b) | 6,192 | 6,156 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (a)(b) | 6,490 | 6,319 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (a) | 5,351 | 5,258 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (a) | 1,134 | 1,107 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (a) | 4,148 | 4,158 | |
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (a) | 4,561 | 4,510 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 2 | 2 | |
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.42% 1/21/70 (a)(b)(c) | 12,000 | 11,980 | |
TOTAL PRIVATE SPONSOR | 105,895 | ||
U.S. Government Agency - 0.5% | |||
Fannie Mae: | |||
floater Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 0.4869% 5/25/45 (b)(c) | 3,569 | 3,580 | |
sequential payer Series 2001-40 Class Z, 6% 8/25/31 | 67 | 71 | |
Series 2016-27: | |||
Class HK, 3% 1/25/41 | 3,573 | 3,656 | |
Class KG, 3% 1/25/40 | 1,637 | 1,675 | |
Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 0.5369% 7/25/46 (b)(c) | 4,222 | 4,246 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-4433 Class DE, 2% 8/15/32 | 141 | 142 | |
Series 2015-4437 Class DE, 2% 10/15/32 | 187 | 187 | |
Series 3949 Class MK, 4.5% 10/15/34 | 400 | 425 | |
TOTAL U.S. GOVERNMENT AGENCY | 13,982 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $120,906) | 119,877 | ||
Commercial Mortgage Securities - 6.6% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 1,838 | 1,822 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 2,246 | 2,234 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54 | 6,506 | 6,371 | |
Series 2018-B7 Class A1, 3.436% 5/15/53 | 1,443 | 1,457 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (a)(b)(c) | 4,272 | 4,189 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (a)(b)(c) | 3,704 | 3,621 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (a)(b)(c) | 3,400 | 3,328 | |
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (a)(b)(c) | 4,668 | 4,621 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (a)(b)(c) | 3,607 | 3,569 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (a)(b)(c) | 3,376 | 3,300 | |
floater sequential payer Series 2021-SOAR Class A, 0.861% 6/15/38 (a)(b) | 3,633 | 3,551 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (a)(b)(c) | 4,300 | 4,251 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (a)(b)(c) | 6,855 | 6,825 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (a) | 7,620 | 7,372 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 4,452 | 4,237 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (a)(b)(c) | 1,678 | 1,657 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 6,210 | 6,140 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 2,429 | 2,387 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 3,636 | 3,653 | |
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 998 | 1,014 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 2,733 | 2,780 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class ASB, 3.452% 7/15/47 | 4,184 | 4,238 | |
Series 2020-SBX Class A, 1.67% 1/10/38 (a) | 6,921 | 6,686 | |
Series 2012-CR4 Class ASB, 2.436% 10/15/45 | 1,436 | 1,439 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 657 | 659 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (a)(b)(c) | 8,023 | 7,959 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 1,077 | 1,051 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (a)(b)(c) | 7,508 | 7,320 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 5,020 | 4,916 | |
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 1,748 | 1,731 | |
Freddie Mac Series K720 Class A2, 2.716% 6/25/22 | 1,490 | 1,493 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (a)(b)(c) | 2,194 | 2,171 | |
sequential payer Series 2012-GCJ7 Class A/S, 4.085% 5/10/45 | 837 | 837 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (a)(b) | 6,556 | 6,573 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 5,550 | 5,582 | |
Series 2017-GS8 Class A1, 2.222% 11/10/50 | 1,530 | 1,533 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 2,944 | 2,949 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (a) | 8,295 | 8,335 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (a)(b)(c) | 2,788 | 2,760 | |
sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 327 | 328 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) | 1,723 | 1,730 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 4,539 | 4,552 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 3,949 | 3,966 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 3,374 | 3,306 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (a)(b)(c) | 1,937 | 1,896 | |
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,718 | 1,739 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 4,896 | 4,908 | |
Series 2019-H7 Class A1, 2.327% 7/15/52 | 2,493 | 2,495 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (a)(b)(c) | 8,280 | 7,956 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 3,363 | 3,296 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (a)(b)(c) | 4,540 | 4,523 | |
sequential payer Series 2013-C6 Class ASB, 2.7877% 4/10/46 | 890 | 894 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 3,664 | 3,742 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 4,291 | 4,386 | |
WF-RBS Commercial Mortgage Trust sequential payer: | |||
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 148 | 149 | |
Series 2013-C14 Class ASB, 2.977% 6/15/46 | 1,207 | 1,216 | |
Series 2014-C20 Class ASB, 3.638% 5/15/47 | 895 | 909 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $202,376) | 198,602 | ||
Bank Notes - 0.4% | |||
First Republic Bank 1.912% 2/12/24 (b) | 3,385 | 3,379 | |
Truist Bank 1.25% 3/9/23 | 8,057 | 8,044 | |
TOTAL BANK NOTES | |||
(Cost $11,440) | 11,423 | ||
Commercial Paper - 2.0% | |||
Enel Finance America LLC yankee: | |||
0.37% 7/11/22 | $10,000 | $9,966 | |
0.4% 9/27/22 | 8,000 | 7,945 | |
General Motors Financial Co., Inc.: | |||
0.38% 3/21/22 | 4,500 | 4,499 | |
0.4% 3/28/22 | 7,000 | 6,997 | |
0.43% 3/7/22 | 4,500 | 4,500 | |
0.45% 3/22/22 | 10,000 | 9,997 | |
HSBC U.S.A., Inc. 0.33% 10/4/22 | 5,000 | 4,967 | |
Sempra Energy 1% 5/23/22 | 8,000 | 7,985 | |
Viatris, Inc. 0.68% 4/26/22 | 3,000 | 2,996 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $59,930) | 59,852 | ||
Shares | Value (000s) | ||
Money Market Funds - 0.9% | |||
Fidelity Cash Central Fund 0.07% (g) | 8,019,796 | $8,021 | |
Fidelity Securities Lending Cash Central Fund 0.07% (g)(h) | 18,984,079 | 18,986 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $27,007) | 27,007 | ||
TOTAL INVESTMENT IN SECURITIES - 100.5% | |||
(Cost $3,056,421) | 3,010,089 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (13,854) | ||
NET ASSETS - 100% | $2,996,235 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 262 | June 2022 | $56,389 | $180 | $180 |
The notional amount of futures purchased as a percentage of Net Assets is 1.9%
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Amounts shown as 0 in the Schedule of Investments may represent less than 1 share.
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 $871,997,000 or 29.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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 $264,000.
(f) Security or a portion of the security is on loan at period end.
(g) 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.
(h) 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 (Amounts in thousands) | 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 0.07% | $16,749 | $527,730 | $536,458 | $9 | $-- | $-- | $8,021 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 106,959 | 87,973 | 13 | -- | -- | 18,986 | 0.1% |
Total | $16,749 | $634,689 | $624,431 | $22 | $-- | $-- | $27,007 |
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 February 28, 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 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Corporate Bonds | $1,359,397 | $-- | $1,359,397 | $-- |
U.S. Government and Government Agency Obligations | 777,333 | -- | 777,333 | -- |
U.S. Government Agency - Mortgage Securities | 14,725 | -- | 14,725 | -- |
Asset-Backed Securities | 441,873 | -- | 441,873 | -- |
Collateralized Mortgage Obligations | 119,877 | -- | 119,877 | -- |
Commercial Mortgage Securities | 198,602 | -- | 198,602 | -- |
Bank Notes | 11,423 | -- | 11,423 | -- |
Commercial Paper | 59,852 | -- | 59,852 | -- |
Money Market Funds | 27,007 | 27,007 | -- | -- |
Total Investments in Securities: | $3,010,089 | $27,007 | $2,983,082 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $180 | $180 | $-- | $-- |
Total Assets | $180 | $180 | $-- | $-- |
Total Derivative Instruments: | $180 | $180 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 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 | |
(Amounts in thousands) | ||
Interest Rate Risk | ||
Futures Contracts(a) | $180 | $0 |
Total Interest Rate Risk | 180 | 0 |
Total Value of Derivatives | $180 | $0 |
(a) 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).
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 | 81.2% |
United Kingdom | 4.5% |
Cayman Islands | 4.2% |
Canada | 3.3% |
Japan | 1.8% |
France | 1.3% |
Ireland | 1.1% |
Others (Individually Less Than 1%) | 2.6% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2022 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $18,659) — See accompanying schedule: Unaffiliated issuers (cost $3,029,414) | $2,983,082 | |
Fidelity Central Funds (cost $27,007) | 27,007 | |
Total Investment in Securities (cost $3,056,421) | $3,010,089 | |
Receivable for investments sold | 58,992 | |
Receivable for fund shares sold | 1,647 | |
Interest receivable | 7,917 | |
Distributions receivable from Fidelity Central Funds | 5 | |
Receivable for daily variation margin on futures contracts | 184 | |
Receivable from investment adviser for expense reductions | 8 | |
Other receivables | 66 | |
Total assets | 3,078,908 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $57,141 | |
Delayed delivery | 2,987 | |
Payable for fund shares redeemed | 2,114 | |
Distributions payable | 203 | |
Accrued management fee | 746 | |
Distribution and service plan fees payable | 61 | |
Other affiliated payables | 403 | |
Other payables and accrued expenses | 32 | |
Collateral on securities loaned | 18,986 | |
Total liabilities | 82,673 | |
Net Assets | $2,996,235 | |
Net Assets consist of: | ||
Paid in capital | $3,042,046 | |
Total accumulated earnings (loss) | (45,811) | |
Net Assets | $2,996,235 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($226,854 ÷ 26,690 shares)(a) | $8.50 | |
Maximum offering price per share (100/98.50 of $8.50) | $8.63 | |
Class M: | ||
Net Asset Value and redemption price per share ($62,000 ÷ 7,294 shares)(a) | $8.50 | |
Maximum offering price per share (100/98.50 of $8.50) | $8.63 | |
Class C: | ||
Net Asset Value and offering price per share ($29,807 ÷ 3,519 shares)(a) | $8.47 | |
Short-Term Bond: | ||
Net Asset Value, offering price and redemption price per share ($2,295,532 ÷ 270,193 shares) | $8.50 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($240,623 ÷ 28,309 shares) | $8.50 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($141,419 ÷ 16,648 shares) | $8.49 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | |
Investment Income | ||
Interest | $18,225 | |
Income from Fidelity Central Funds (including $13 from security lending) | 22 | |
Total income | 18,247 | |
Expenses | ||
Management fee | $4,720 | |
Transfer agent fees | 1,697 | |
Distribution and service plan fees | 375 | |
Fund wide operations fee | 847 | |
Independent trustees' fees and expenses | 5 | |
Total expenses before reductions | 7,644 | |
Expense reductions | (34) | |
Total expenses after reductions | 7,610 | |
Net investment income (loss) | 10,637 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,041 | |
Futures contracts | (965) | |
Total net realized gain (loss) | 76 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (74,362) | |
Futures contracts | 168 | |
Total change in net unrealized appreciation (depreciation) | (74,194) | |
Net gain (loss) | (74,118) | |
Net increase (decrease) in net assets resulting from operations | $(63,481) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $10,637 | $38,161 |
Net realized gain (loss) | 76 | 58,169 |
Change in net unrealized appreciation (depreciation) | (74,194) | (84,170) |
Net increase (decrease) in net assets resulting from operations | (63,481) | 12,160 |
Distributions to shareholders | (21,632) | (80,730) |
Share transactions - net increase (decrease) | (244,654) | (1,772,035) |
Total increase (decrease) in net assets | (329,767) | (1,840,605) |
Net Assets | ||
Beginning of period | 3,326,002 | 5,166,607 |
End of period | $2,996,235 | $3,326,002 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Short-Term Bond Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 | $8.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .021 | .082 | .153 | .178 | .123 | .082 |
Net realized and unrealized gain (loss) | (.201) | (.065) | .168 | .171 | (.114) | (.011) |
Total from investment operations | (.180) | .017 | .321 | .349 | .009 | .071 |
Distributions from net investment income | (.024) | (.118) | (.151) | (.159) | (.119) | (.081) |
Distributions from net realized gain | (.026) | (.059) | – | – | – | – |
Total distributions | (.050) | (.177) | (.151) | (.159) | (.119) | (.081) |
Net asset value, end of period | $8.50 | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 |
Total ReturnC,D,E | (2.07)% | .20% | 3.73% | 4.13% | .12% | .83% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .65%H | .65% | .65% | .65% | .65% | .65% |
Expenses net of fee waivers, if any | .65%H | .65% | .65% | .65% | .65% | .65% |
Expenses net of all reductions | .65%H | .65% | .65% | .65% | .65% | .65% |
Net investment income (loss) | .50%H | .93% | 1.75% | 2.08% | 1.43% | .94% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $227 | $234 | $222 | $175 | $143 | $170 |
Portfolio turnover rateI | 46%H | 64%J | 67%J | 46% | 56% | 56% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Short-Term Bond Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 | $8.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .021 | .082 | .152 | .177 | .122 | .081 |
Net realized and unrealized gain (loss) | (.201) | (.065) | .169 | .171 | (.114) | (.011) |
Total from investment operations | (.180) | .017 | .321 | .348 | .008 | .070 |
Distributions from net investment income | (.024) | (.118) | (.151) | (.158) | (.118) | (.080) |
Distributions from net realized gain | (.026) | (.059) | – | – | – | – |
Total distributions | (.050) | (.177) | (.151) | (.158) | (.118) | (.080) |
Net asset value, end of period | $8.50 | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 |
Total ReturnC,D,E | (2.07)% | .19% | 3.72% | 4.12% | .10% | .81% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .66%H | .65% | .66% | .67% | .67% | .66% |
Expenses net of fee waivers, if any | .66%H | .65% | .66% | .67% | .67% | .66% |
Expenses net of all reductions | .66%H | .65% | .66% | .67% | .66% | .66% |
Net investment income (loss) | .50%H | .93% | 1.74% | 2.06% | 1.42% | .93% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $62 | $67 | $73 | $71 | $70 | $81 |
Portfolio turnover rateI | 46%H | 64%J | 67%J | 46% | 56% | 56% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Short-Term Bond Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.72 | $8.88 | $8.72 | $8.52 | $8.64 | $8.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | (.016) | .007 | .078 | .104 | .049 | .007 |
Net realized and unrealized gain (loss) | (.204) | (.058) | .158 | .181 | (.123) | (.006) |
Total from investment operations | (.220) | (.051) | .236 | .285 | (.074) | .001 |
Distributions from net investment income | (.004) | (.050) | (.076) | (.085) | (.046) | (.011) |
Distributions from net realized gain | (.026) | (.059) | – | – | – | – |
Total distributions | (.030) | (.109) | (.076) | (.085) | (.046) | (.011) |
Net asset value, end of period | $8.47 | $8.72 | $8.88 | $8.72 | $8.52 | $8.64 |
Total ReturnC,D,E | (2.53)% | (.58)% | 2.73% | 3.36% | (.86)% | .02% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | 1.52%H | 1.51% | 1.51% | 1.51% | 1.51% | 1.52% |
Expenses net of fee waivers, if any | 1.52%H | 1.51% | 1.51% | 1.51% | 1.51% | 1.52% |
Expenses net of all reductions | 1.52%H | 1.51% | 1.51% | 1.51% | 1.51% | 1.51% |
Net investment income (loss) | (.36)%H | .08% | .89% | 1.20% | .57% | .08% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $30 | $33 | $43 | $33 | $52 | $69 |
Portfolio turnover rateI | 46%H | 64%J | 67%J | 46% | 56% | 56% |
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 Total returns do not include the effect of the contingent deferred sales charge.
F 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.
G 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.
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.
Fidelity Short-Term Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.73 | $8.88 | $8.72 | $8.52 | $8.64 | $8.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .030 | .100 | .171 | .195 | .140 | .099 |
Net realized and unrealized gain (loss) | (.201) | (.055) | .158 | .181 | (.123) | (.011) |
Total from investment operations | (.171) | .045 | .329 | .376 | .017 | .088 |
Distributions from net investment income | (.033) | (.136) | (.169) | (.176) | (.137) | (.098) |
Distributions from net realized gain | (.026) | (.059) | – | – | – | – |
Total distributions | (.059) | (.195) | (.169) | (.176) | (.137) | (.098) |
Net asset value, end of period | $8.50 | $8.73 | $8.88 | $8.72 | $8.52 | $8.64 |
Total ReturnC,D | (1.97)% | .51% | 3.82% | 4.47% | .20% | 1.03% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | .70%G | 1.13% | 1.95% | 2.28% | 1.64% | 1.15% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $2,296 | $2,568 | $4,420 | $5,017 | $4,617 | $5,423 |
Portfolio turnover rateH | 46%G | 64%I | 67%I | 46% | 56% | 56% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Short-Term Bond Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 | $8.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .028 | .095 | .166 | .191 | .135 | .094 |
Net realized and unrealized gain (loss) | (.201) | (.065) | .168 | .171 | (.113) | (.010) |
Total from investment operations | (.173) | .030 | .334 | .362 | .022 | .084 |
Distributions from net investment income | (.031) | (.131) | (.164) | (.172) | (.132) | (.094) |
Distributions from net realized gain | (.026) | (.059) | – | – | – | – |
Total distributions | (.057) | (.190) | (.164) | (.172) | (.132) | (.094) |
Net asset value, end of period | $8.50 | $8.73 | $8.89 | $8.72 | $8.53 | $8.64 |
Total ReturnC,D | (1.99)% | .34% | 3.88% | 4.29% | .26% | .97% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .50%G | .50% | .50% | .51% | .51% | .51% |
Expenses net of fee waivers, if any | .50%G | .50% | .50% | .51% | .51% | .51% |
Expenses net of all reductions | .50%G | .50% | .50% | .51% | .51% | .51% |
Net investment income (loss) | .65%G | 1.08% | 1.89% | 2.22% | 1.58% | 1.09% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $241 | $269 | $291 | $334 | $367 | $425 |
Portfolio turnover rateH | 46%G | 64%I | 67%I | 46% | 56% | 56% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Short-Term Bond Fund Class Z
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||
2022 | 2021 | 2020 | 2019 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $8.73 | $8.88 | $8.72 | $8.51 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .034 | .107 | .178 | .190 |
Net realized and unrealized gain (loss) | (.211) | (.055) | .159 | .189 |
Total from investment operations | (.177) | .052 | .337 | .379 |
Distributions from net investment income | (.037) | (.143) | (.177) | (.169) |
Distributions from net realized gain | (.026) | (.059) | – | – |
Total distributions | (.063) | (.202) | (.177) | (.169) |
Net asset value, end of period | $8.49 | $8.73 | $8.88 | $8.72 |
Total ReturnD,E | (2.04)% | .60% | 3.91% | 4.50% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .40%H | .40% | .40% | .40%H |
Expenses net of fee waivers, if any | .36%H | .36% | .36% | .36%H |
Expenses net of all reductions | .36%H | .36% | .36% | .36%H |
Net investment income (loss) | .79%H | 1.22% | 2.04% | 2.43%H |
Supplemental Data | ||||
Net assets, end of period (in millions) | $141 | $155 | $118 | $116 |
Portfolio turnover rateI | 46%H | 64%J | 67%J | 46% |
A For the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
(Amounts in thousands except percentages)
1. Organization.
Fidelity Short-Term Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Short-Term Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, U.S. government and government agency obligations and commercial paper 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. 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.
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 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 February 28, 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity Short-Term Bond Fund | $33 |
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 declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, market discount, redemptions in kind, deferred Trustee compensation 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 | $5,340 |
Gross unrealized depreciation | (50,566) |
Net unrealized appreciation (depreciation) | $(45,226) |
Tax cost | $3,055,495 |
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.
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. 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 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 risk:
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. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
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.
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.
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 Short-Term Bond Fund | 535,293 | 738,258 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .15% | $173 | $26 |
Class M | -% | .15% | 48 | 1 |
Class C | .75% | .25% | 154 | 17 |
$375 | $44 |
Sales Load. FDC may receive a front-end sales charge of up to 1.50% for selling Class A and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive a contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $33 |
Class M | 2 |
Class C(a) | –(b) |
$35 |
(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
(b) Amount represents less than five hundred dollars..
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Short-Term Bond and Class Z. FIIOC receives an asset-based fee of Short-Term Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Class A | $169 | .15 |
Class M | 49 | .15 |
Class C | 24 | .16 |
Short-Term Bond | 1,222 | .10 |
Class I | 194 | .15 |
Class Z | 39 | .05 |
$1,697 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fees were equivalent to the following annualized rate expressed as a percentage of average net assets:
Fidelity Short-Term Bond Fund | .05% |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Prior Fiscal Year Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below; along with realized gain or loss on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | Participating classes | |
Fidelity Short-Term Bond Fund | 179,602 | 31,279 | 1,585,887 | Short-Term Bond |
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. 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 Short-Term Bond Fund | $1 | $– | $– |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2022. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Class Z | .36% | $34 |
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Short-Term Bond Fund | ||
Distributions to shareholders | ||
Class A | $1,346 | $4,730 |
Class M | 377 | 1,451 |
Class C | 117 | 593 |
Short-Term Bond | 16,904 | 64,521 |
Class I | 1,713 | 6,419 |
Class Z | 1,175 | 3,016 |
Total | $21,632 | $80,730 |
11. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2022 | Year ended August 31, 2021 | Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Short-Term Bond Fund | ||||
Class A | ||||
Shares sold | 10,370 | 21,318 | $89,386 | $187,232 |
Reinvestment of distributions | 147 | 497 | 1,271 | 4,372 |
Shares redeemed | (10,636) | (19,965) | (91,730) | (175,183) |
Net increase (decrease) | (119) | 1,850 | $(1,073) | $16,421 |
Class M | ||||
Shares sold | 698 | 1,964 | $6,025 | $17,250 |
Reinvestment of distributions | 42 | 158 | 362 | 1,394 |
Shares redeemed | (1,093) | (2,691) | (9,432) | (23,615) |
Net increase (decrease) | (353) | (569) | $(3,045) | $(4,971) |
Class C | ||||
Shares sold | 972 | 3,037 | $8,363 | $26,740 |
Reinvestment of distributions | 13 | 65 | 113 | 575 |
Shares redeemed | (1,260) | (4,172) | (10,850) | (36,575) |
Net increase (decrease) | (275) | (1,070) | $(2,374) | $(9,260) |
Short-Term Bond | ||||
Shares sold | 19,422 | 122,473 | $166,904 | $1,073,926 |
Reinvestment of distributions | 1,699 | 6,408 | 14,684 | 56,377 |
Shares redeemed | (45,229) | (332,008) | (389,219) | (2,927,024) |
Net increase (decrease) | (24,108) | (203,127) | $(207,631) | $(1,796,721) |
Class I | ||||
Shares sold | 6,100 | 24,796 | $52,638 | $217,926 |
Reinvestment of distributions | 185 | 672 | 1,597 | 5,914 |
Shares redeemed | (8,739) | (27,388) | (75,324) | (240,315) |
Net increase (decrease) | (2,454) | (1,920) | $(21,089) | $(16,475) |
Class Z | ||||
Shares sold | 4,199 | 8,846 | $36,306 | $77,587 |
Reinvestment of distributions | 101 | 253 | 874 | 2,221 |
Shares redeemed | (5,416) | (4,660) | (46,622) | (40,837) |
Net increase (decrease) | (1,116) | 4,439 | $(9,442) | $38,971 |
12. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
13. 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.
14. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Short-Term Bond Fund | ||||
Class A | .65% | |||
Actual | $1,000.00 | $979.30 | $3.19 | |
Hypothetical-C | $1,000.00 | $1,021.57 | $3.26 | |
Class M | .66% | |||
Actual | $1,000.00 | $979.30 | $3.24 | |
Hypothetical-C | $1,000.00 | $1,021.52 | $3.31 | |
Class C | 1.52% | |||
Actual | $1,000.00 | $974.70 | $7.44 | |
Hypothetical-C | $1,000.00 | $1,017.26 | $7.60 | |
Short-Term Bond | .45% | |||
Actual | $1,000.00 | $980.30 | $2.21 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .50% | |||
Actual | $1,000.00 | $980.10 | $2.45 | |
Hypothetical-C | $1,000.00 | $1,022.32 | $2.51 | |
Class Z | .36% | |||
Actual | $1,000.00 | $979.60 | $1.77 | |
Hypothetical-C | $1,000.00 | $1,023.01 | $1.81 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Short-Term Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio of a representative class (the retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
STP-SANN-0422
1.538290.124
Fidelity® U.S. Bond Index Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 70.4% | |
AAA | 4.0% | |
AA | 2.4% | |
A | 10.9% | |
BBB | 12.4% | |
BB and Below | 0.2% | |
Short-Term Investments and Net Other Assets* | (0.3)% |
* Short-Term Investments and Net Other Assets (Liabilities) 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.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 25.1% | |
U.S. Government and U.S. Government Agency Obligations | 70.4% | |
Asset-Backed Securities | 0.3% | |
CMOs and Other Mortgage Related Securities | 1.0% | |
Municipal Bonds | 0.7% | |
Other Investments | 2.8% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (0.3)% |
* Foreign investments – 6.8%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 25.1% | |||
Principal Amount (000s) | Value (000s) | ||
COMMUNICATION SERVICES - 2.1% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | $8,500 | $8,013 | |
2.25% 2/1/32 | 14,000 | 12,920 | |
2.75% 6/1/31 | 15,250 | 14,842 | |
2.95% 7/15/26 | 6,575 | 6,657 | |
3.3% 2/1/52 | 14,500 | 12,877 | |
3.5% 6/1/41 | 7,820 | 7,436 | |
3.5% 9/15/53 | 25,912 | 23,694 | |
3.55% 6/1/24 | 2,465 | 2,534 | |
3.55% 9/15/55 | 56,348 | 51,096 | |
3.6% 7/15/25 | 5,210 | 5,403 | |
3.65% 6/1/51 | 12,000 | 11,320 | |
3.65% 9/15/59 | 32,266 | 29,271 | |
3.8% 2/15/27 | 7,396 | 7,799 | |
4.125% 2/17/26 | 22,450 | 23,913 | |
4.35% 6/15/45 | 5,260 | 5,451 | |
4.5% 3/9/48 | 6,726 | 7,203 | |
4.65% 6/1/44 | 6,467 | 6,838 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 12,910 | 18,205 | |
Orange SA 5.5% 2/6/44 | 2,465 | 3,064 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 11,012 | 11,636 | |
4.895% 3/6/48 | 3,000 | 3,152 | |
5.213% 3/8/47 | 5,383 | 5,852 | |
5.52% 3/1/49 | 2,700 | 3,065 | |
7.045% 6/20/36 | 2,136 | 2,775 | |
Verizon Communications, Inc.: | |||
1.5% 9/18/30 | 3,300 | 2,915 | |
1.68% 10/30/30 | 2,757 | 2,477 | |
2.355% 3/15/32 (b) | 48,178 | 44,986 | |
2.55% 3/21/31 | 43,360 | 41,622 | |
2.987% 10/30/56 | 71,711 | 61,143 | |
3.55% 3/22/51 | 8,960 | 8,678 | |
4.125% 3/16/27 | 5,753 | 6,111 | |
4.272% 1/15/36 | 19,951 | 21,738 | |
4.329% 9/21/28 | 12,570 | 13,687 | |
4.4% 11/1/34 | 3,102 | 3,420 | |
4.75% 11/1/41 | 822 | 920 | |
5.012% 4/15/49 | 944 | 1,142 | |
5.012% 8/21/54 | 10,319 | 12,300 | |
506,155 | |||
Entertainment - 0.1% | |||
The Walt Disney Co.: | |||
2% 9/1/29 | 8,583 | 8,193 | |
2.65% 1/13/31 | 13,050 | 12,924 | |
2.75% 9/1/49 | 8,574 | 7,490 | |
3.5% 5/13/40 | 5,610 | 5,589 | |
3.6% 1/13/51 | 5,590 | 5,656 | |
3.7% 10/15/25 | 5,753 | 5,998 | |
3.8% 5/13/60 | 5,610 | 5,787 | |
4.7% 3/23/50 | 4,000 | 4,730 | |
5.4% 10/1/43 | 3,184 | 3,977 | |
6.15% 3/1/37 | 3,250 | 4,254 | |
6.15% 2/15/41 | 8,628 | 11,563 | |
76,161 | |||
Interactive Media & Services - 0.1% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 6,100 | 5,781 | |
1.1% 8/15/30 | 12,100 | 10,922 | |
1.998% 8/15/26 | 1,890 | 1,892 | |
2.05% 8/15/50 | 12,100 | 9,764 | |
Baidu, Inc. 3.425% 4/7/30 | 10,000 | 10,120 | |
38,479 | |||
Media - 0.7% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.5% 6/1/41 | 27,682 | 23,920 | |
3.7% 4/1/51 | 7,270 | 6,099 | |
4.2% 3/15/28 | 9,039 | 9,426 | |
4.908% 7/23/25 | 6,557 | 6,951 | |
5.05% 3/30/29 | 5,000 | 5,435 | |
5.125% 7/1/49 | 10,155 | 10,336 | |
5.375% 5/1/47 | 4,690 | 4,949 | |
5.75% 4/1/48 | 4,297 | 4,750 | |
6.384% 10/23/35 | 11,053 | 13,211 | |
6.484% 10/23/45 | 3,854 | 4,605 | |
Comcast Corp.: | |||
1.5% 2/15/31 | 11,700 | 10,400 | |
1.95% 1/15/31 | 2,100 | 1,934 | |
2.35% 1/15/27 | 19,558 | 19,405 | |
2.45% 8/15/52 | 11,700 | 9,427 | |
2.65% 2/1/30 | 6,480 | 6,347 | |
2.8% 1/15/51 | 6,700 | 5,593 | |
2.887% 11/1/51 (b) | 15,309 | 13,280 | |
2.937% 11/1/56 (b) | 57,662 | 48,533 | |
2.987% 11/1/63 (b) | 9,051 | 7,536 | |
3.15% 3/1/26 | 4,109 | 4,235 | |
3.3% 2/1/27 | 9,788 | 10,108 | |
3.375% 8/15/25 | 11,258 | 11,607 | |
3.4% 4/1/30 | 6,000 | 6,189 | |
3.45% 2/1/50 | 6,100 | 5,691 | |
3.7% 4/15/24 | 8,522 | 8,829 | |
3.75% 4/1/40 | 4,804 | 4,851 | |
3.969% 11/1/47 | 4,274 | 4,345 | |
4% 3/1/48 | 9,861 | 10,094 | |
4.15% 10/15/28 | 15,490 | 16,790 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 1,922 | 1,942 | |
3.625% 5/15/30 | 9,840 | 9,894 | |
4% 9/15/55 | 9,397 | 8,539 | |
4.65% 5/15/50 | 9,840 | 10,059 | |
5.2% 9/20/47 | 6,903 | 7,378 | |
Fox Corp.: | |||
4.03% 1/25/24 | 3,863 | 4,003 | |
4.709% 1/25/29 | 8,530 | 9,310 | |
5.476% 1/25/39 | 3,131 | 3,650 | |
5.576% 1/25/49 | 7,653 | 9,208 | |
Paramount Global: | |||
3.375% 2/15/28 | 8,670 | 8,802 | |
4% 1/15/26 | 4,931 | 5,142 | |
4.2% 6/1/29 | 7,390 | 7,695 | |
4.375% 3/15/43 | 2,165 | 2,160 | |
4.6% 1/15/45 | 5,999 | 6,039 | |
4.95% 1/15/31 | 13,640 | 15,005 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 9,039 | 8,516 | |
7.3% 7/1/38 | 3,287 | 4,114 | |
TWDC Enterprises 18 Corp.: | |||
1.85% 7/30/26 | 4,199 | 4,120 | |
3% 7/30/46 | 3,698 | 3,366 | |
3.15% 9/17/25 | 7,782 | 8,001 | |
4.125% 6/1/44 | 4,684 | 5,027 | |
436,846 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV: | |||
3.625% 4/22/29 | 6,897 | 7,113 | |
6.125% 11/15/37 | 6,874 | 8,688 | |
Rogers Communications, Inc.: | |||
2.9% 11/15/26 | 2,055 | 2,079 | |
3.625% 12/15/25 | 1,644 | 1,707 | |
3.7% 11/15/49 | 5,000 | 4,470 | |
4.1% 10/1/23 | 3,965 | 4,068 | |
5.45% 10/1/43 | 4,746 | 5,397 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 12,340 | 11,737 | |
3.3% 2/15/51 | 12,340 | 10,760 | |
3.5% 4/15/25 | 7,220 | 7,422 | |
3.75% 4/15/27 | 6,920 | 7,185 | |
3.875% 4/15/30 | 6,920 | 7,156 | |
4.375% 4/15/40 | 6,920 | 7,157 | |
4.5% 4/15/50 | 11,920 | 12,427 | |
Vodafone Group PLC: | |||
4.375% 5/30/28 | 21,035 | 22,753 | |
5.125% 6/19/59 | 5,400 | 6,156 | |
5.25% 5/30/48 | 19,643 | 22,516 | |
148,791 | |||
TOTAL COMMUNICATION SERVICES | 1,206,432 | ||
CONSUMER DISCRETIONARY - 1.3% | |||
Automobiles - 0.3% | |||
American Honda Finance Corp.: | |||
1.2% 7/8/25 | 9,626 | 9,326 | |
2.3% 9/9/26 | 4,109 | 4,108 | |
3.55% 1/12/24 | 20,052 | 20,680 | |
General Motors Co.: | |||
5% 10/1/28 | 5,652 | 6,173 | |
5.2% 4/1/45 | 3,509 | 3,800 | |
5.95% 4/1/49 | 5,200 | 6,214 | |
6.6% 4/1/36 | 4,799 | 5,955 | |
6.75% 4/1/46 | 5,880 | 7,436 | |
6.8% 10/1/27 | 10,900 | 12,834 | |
General Motors Financial Co., Inc.: | |||
3.25% 1/5/23 | 5,916 | 5,995 | |
3.85% 1/5/28 | 5,753 | 5,943 | |
4% 1/15/25 | 5,071 | 5,248 | |
4% 10/6/26 | 3,024 | 3,151 | |
4.3% 7/13/25 | 10,190 | 10,616 | |
4.35% 1/17/27 | 6,575 | 6,910 | |
5.65% 1/17/29 | 17,583 | 19,766 | |
Toyota Motor Corp.: | |||
0.681% 3/25/24 | 22,770 | 22,203 | |
2.358% 7/2/24 | 5,100 | 5,136 | |
2.362% 3/25/31 | 11,000 | 10,776 | |
172,270 | |||
Diversified Consumer Services - 0.1% | |||
American University 3.672% 4/1/49 | 1,969 | 2,115 | |
Duke University 2.832% 10/1/55 | 3,842 | 3,515 | |
George Washington University: | |||
4.126% 9/15/48 | 5,767 | 6,510 | |
4.3% 9/15/44 | 1,644 | 1,894 | |
Ingersoll-Rand Global Holding Co. Ltd.: | |||
3.75% 8/21/28 | 3,821 | 3,977 | |
4.3% 2/21/48 | 4,084 | 4,370 | |
Massachusetts Institute of Technology: | |||
2.989% 7/1/50 | 3,850 | 3,826 | |
3.885% 7/1/2116 | 2,326 | 2,481 | |
3.959% 7/1/38 | 3,883 | 4,367 | |
Northwestern University: | |||
3.662% 12/1/57 | 4,550 | 5,076 | |
4.643% 12/1/44 | 2,753 | 3,356 | |
President and Fellows of Harvard College: | |||
3.3% 7/15/56 | 3,985 | 4,061 | |
3.619% 10/1/37 | 822 | 899 | |
Rice University 3.774% 5/15/55 | 1,560 | 1,782 | |
Trustees of Princeton Univ. 5.7% 3/1/39 | 822 | 1,102 | |
University Notre Dame du Lac 3.438% 2/15/45 | 2,737 | 2,853 | |
University of Chicago 3% 10/1/52 | 5,200 | 5,054 | |
University of Southern California: | |||
2.945% 10/1/51 | 9,410 | 8,906 | |
5.25% 10/1/2111 | 1,644 | 2,256 | |
68,400 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Expedia, Inc. 3.25% 2/15/30 | 7,100 | 7,003 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 4,955 | 5,098 | |
3.5% 7/1/27 | 7,880 | 8,256 | |
3.6% 7/1/30 | 5,880 | 6,168 | |
3.625% 9/1/49 | 10,170 | 9,986 | |
3.7% 1/30/26 | 13,863 | 14,595 | |
4.2% 4/1/50 | 4,930 | 5,270 | |
4.45% 3/1/47 | 4,667 | 5,116 | |
4.875% 12/9/45 | 4,462 | 5,059 | |
6.3% 3/1/38 | 5,789 | 7,560 | |
Metropolitan Museum of Art 3.4% 7/1/45 | 2,465 | 2,657 | |
Starbucks Corp.: | |||
2% 3/12/27 | 9,830 | 9,614 | |
2.45% 6/15/26 | 8,218 | 8,246 | |
3.5% 11/15/50 | 3,400 | 3,184 | |
3.8% 8/15/25 | 5,711 | 5,982 | |
3.85% 10/1/23 | 1,540 | 1,584 | |
4% 11/15/28 | 5,753 | 6,163 | |
4.5% 11/15/48 | 3,863 | 4,188 | |
115,729 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 17,140 | 15,400 | |
3.15% 2/9/51 | 17,665 | 14,307 | |
Amazon.com, Inc.: | |||
0.8% 6/3/25 | 9,060 | 8,738 | |
1% 5/12/26 | 5,263 | 5,068 | |
1.5% 6/3/30 | 16,000 | 14,813 | |
2.1% 5/12/31 | 5,432 | 5,229 | |
2.4% 2/22/23 | 13,025 | 13,157 | |
2.5% 6/3/50 | 5,260 | 4,541 | |
2.8% 8/22/24 | 5,325 | 5,445 | |
3.1% 5/12/51 | 5,432 | 5,251 | |
3.15% 8/22/27 | 8,596 | 8,983 | |
3.875% 8/22/37 | 9,029 | 9,887 | |
4.05% 8/22/47 | 15,634 | 17,417 | |
4.25% 8/22/57 | 7,457 | 8,625 | |
4.8% 12/5/34 | 4,931 | 5,935 | |
142,796 | |||
Multiline Retail - 0.1% | |||
Dollar Tree, Inc. 4% 5/15/25 | 6,575 | 6,853 | |
Kohl's Corp.: | |||
4.25% 7/17/25 | 3,000 | 3,086 | |
9.5% 5/15/25 | 1,300 | 1,488 | |
Macy's Retail Holdings LLC: | |||
2.875% 2/15/23 | 1,165 | 1,164 | |
4.3% 2/15/43 | 3,904 | 3,182 | |
Nordstrom, Inc.: | |||
4% 3/15/27 | 3,706 | 3,539 | |
5% 1/15/44 | 1,644 | 1,447 | |
Target Corp.: | |||
3.9% 11/15/47 | 12,141 | 13,291 | |
4% 7/1/42 | 5,753 | 6,379 | |
40,429 | |||
Specialty Retail - 0.3% | |||
AutoZone, Inc.: | |||
3.125% 7/15/23 | 3,143 | 3,192 | |
3.25% 4/15/25 | 3,287 | 3,388 | |
3.625% 4/15/25 | 9,520 | 9,850 | |
3.75% 6/1/27 | 4,770 | 5,031 | |
4% 4/15/30 | 9,850 | 10,467 | |
Lowe's Companies, Inc.: | |||
1.3% 4/15/28 | 6,600 | 6,087 | |
1.7% 10/15/30 | 10,000 | 8,997 | |
3.65% 4/5/29 | 8,801 | 9,222 | |
3.7% 4/15/46 | 2,876 | 2,801 | |
4.05% 5/3/47 | 9,450 | 9,699 | |
4.5% 4/15/30 | 9,950 | 10,975 | |
O'Reilly Automotive, Inc. 3.85% 6/15/23 | 2,321 | 2,372 | |
The Home Depot, Inc.: | |||
2.375% 3/15/51 | 5,387 | 4,432 | |
2.5% 4/15/27 | 9,970 | 10,066 | |
2.8% 9/14/27 | 4,109 | 4,193 | |
2.95% 6/15/29 | 17,190 | 17,580 | |
3% 4/1/26 | 8,242 | 8,540 | |
3.125% 12/15/49 | 5,500 | 5,183 | |
3.3% 4/15/40 | 5,000 | 5,002 | |
3.75% 2/15/24 | 5,527 | 5,724 | |
3.9% 12/6/28 | 4,733 | 5,112 | |
3.9% 6/15/47 | 7,048 | 7,483 | |
4.2% 4/1/43 | 1,294 | 1,430 | |
4.25% 4/1/46 | 2,696 | 2,972 | |
4.5% 12/6/48 | 6,139 | 7,118 | |
4.875% 2/15/44 | 2,362 | 2,825 | |
5.875% 12/16/36 | 8,546 | 11,291 | |
181,032 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 5,140 | 5,207 | |
2.85% 3/27/30 | 4,940 | 5,021 | |
3.25% 3/27/40 | 10,000 | 10,013 | |
3.375% 11/1/46 | 3,698 | 3,750 | |
3.375% 3/27/50 | 4,940 | 5,042 | |
29,033 | |||
TOTAL CONSUMER DISCRETIONARY | 749,689 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.6% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.625% 2/1/44 | 4,725 | 5,158 | |
4.7% 2/1/36 | 4,002 | 4,430 | |
4.9% 2/1/46 | 14,940 | 16,711 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.439% 10/6/48 | 6,076 | 6,501 | |
4.6% 4/15/48 | 15,408 | 16,892 | |
5.55% 1/23/49 | 34,888 | 43,199 | |
5.8% 1/23/59 (Reg. S) | 11,463 | 14,693 | |
8.2% 1/15/39 | 2,301 | 3,514 | |
Constellation Brands, Inc.: | |||
3.5% 5/9/27 | 8,218 | 8,523 | |
3.7% 12/6/26 | 6,204 | 6,472 | |
5.25% 11/15/48 | 5,950 | 6,923 | |
Diageo Capital PLC: | |||
1.375% 9/29/25 | 11,400 | 11,025 | |
2% 4/29/30 | 12,200 | 11,503 | |
2.125% 4/29/32 | 11,000 | 10,323 | |
Dr. Pepper Snapple Group, Inc.: | |||
3.8% 5/1/50 | 2,600 | 2,558 | |
4.057% 5/25/23 | 6,198 | 6,362 | |
4.985% 5/25/38 | 5,916 | 6,718 | |
5.085% 5/25/48 | 8,000 | 9,335 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 14,299 | 14,542 | |
4.2% 7/15/46 | 10,872 | 10,809 | |
PepsiCo, Inc.: | |||
1.4% 2/25/31 | 12,880 | 11,597 | |
1.625% 5/1/30 | 35,483 | 33,093 | |
2.25% 5/2/22 | 9,861 | 9,874 | |
2.375% 10/6/26 | 5,547 | 5,596 | |
3% 10/15/27 | 14,965 | 15,452 | |
3.6% 8/13/42 | 2,465 | 2,539 | |
3.875% 3/19/60 | 5,000 | 5,579 | |
4.25% 10/22/44 | 4,931 | 5,521 | |
4.45% 4/14/46 | 4,766 | 5,634 | |
The Coca-Cola Co.: | |||
1.375% 3/15/31 | 10,000 | 8,989 | |
1.45% 6/1/27 | 6,880 | 6,594 | |
1.65% 6/1/30 | 6,890 | 6,381 | |
2.5% 6/1/40 | 6,890 | 6,245 | |
2.5% 3/15/51 | 5,000 | 4,284 | |
2.6% 6/1/50 | 6,890 | 6,044 | |
2.75% 6/1/60 | 6,890 | 6,012 | |
355,625 | |||
Food & Staples Retailing - 0.3% | |||
Costco Wholesale Corp.: | |||
1.375% 6/20/27 | 14,480 | 13,918 | |
2.75% 5/18/24 | 4,931 | 5,032 | |
Kroger Co.: | |||
1.7% 1/15/31 | 4,360 | 3,946 | |
2.65% 10/15/26 | 2,342 | 2,363 | |
3.5% 2/1/26 | 3,287 | 3,419 | |
3.95% 1/15/50 | 3,000 | 3,080 | |
5.15% 8/1/43 | 2,240 | 2,611 | |
5.4% 1/15/49 | 5,349 | 6,648 | |
Sysco Corp.: | |||
3.3% 7/15/26 | 2,696 | 2,774 | |
3.3% 2/15/50 | 11,600 | 10,407 | |
3.75% 10/1/25 | 4,684 | 4,891 | |
6.6% 4/1/40 | 8,100 | 10,831 | |
Walgreens Boots Alliance, Inc.: | |||
3.2% 4/15/30 | 10,310 | 10,416 | |
3.45% 6/1/26 | 4,109 | 4,261 | |
4.65% 6/1/46 | 4,520 | 4,879 | |
Walmart, Inc.: | |||
2.95% 9/24/49 | 5,200 | 4,928 | |
3.3% 4/22/24 | 15,613 | 16,119 | |
3.4% 6/26/23 | 7,692 | 7,887 | |
3.7% 6/26/28 | 10,108 | 10,889 | |
4.05% 6/29/48 | 14,931 | 16,911 | |
4.3% 4/22/44 | 4,931 | 5,645 | |
5.625% 4/1/40 | 1,644 | 2,188 | |
5.625% 4/15/41 | 3,780 | 5,064 | |
6.5% 8/15/37 | 6,800 | 9,775 | |
168,882 | |||
Food Products - 0.2% | |||
Campbell Soup Co.: | |||
2.5% 8/2/22 | 3,904 | 3,922 | |
4.8% 3/15/48 | 11,504 | 12,928 | |
Conagra Brands, Inc.: | |||
3.2% 1/25/23 | 3,778 | 3,821 | |
4.3% 5/1/24 | 7,372 | 7,648 | |
4.85% 11/1/28 | 11,201 | 12,330 | |
5.3% 11/1/38 | 4,072 | 4,673 | |
5.4% 11/1/48 | 7,376 | 8,924 | |
General Mills, Inc.: | |||
2.875% 4/15/30 | 5,977 | 5,975 | |
3% 2/1/51 | 5,022 | 4,554 | |
3.7% 10/17/23 | 11,463 | 11,798 | |
4.2% 4/17/28 | 14,134 | 15,231 | |
Kellogg Co.: | |||
3.25% 4/1/26 | 3,057 | 3,137 | |
4.3% 5/15/28 | 4,931 | 5,372 | |
Tyson Foods, Inc.: | |||
3.95% 8/15/24 | 6,225 | 6,475 | |
4% 3/1/26 | 6,056 | 6,344 | |
4.35% 3/1/29 | 7,396 | 8,007 | |
5.1% 9/28/48 | 7,664 | 9,203 | |
Unilever Capital Corp.: | |||
1.375% 9/14/30 | 15,085 | 13,466 | |
2% 7/28/26 | 1,716 | 1,696 | |
3.1% 7/30/25 | 2,383 | 2,455 | |
147,959 | |||
Household Products - 0.2% | |||
Colgate-Palmolive Co. 3.25% 3/15/24 | 8,218 | 8,487 | |
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 17,353 | 16,281 | |
2.4% 3/1/22 | 4,274 | 4,274 | |
2.4% 6/1/23 | 6,575 | 6,643 | |
3.1% 3/26/30 | 3,462 | 3,580 | |
3.2% 7/30/46 | 2,055 | 1,998 | |
3.95% 11/1/28 | 7,000 | 7,605 | |
Procter & Gamble Co.: | |||
1% 4/23/26 | 9,450 | 9,084 | |
1.95% 4/23/31 | 15,000 | 14,422 | |
2.85% 8/11/27 | 3,698 | 3,802 | |
3% 3/25/30 | 8,140 | 8,482 | |
3.1% 8/15/23 | 8,218 | 8,407 | |
93,065 | |||
Personal Products - 0.0% | |||
Estee Lauder Companies, Inc. 1.95% 3/15/31 | 14,000 | 13,175 | |
Tobacco - 0.3% | |||
Altria Group, Inc.: | |||
3.8% 2/14/24 | 3,821 | 3,932 | |
3.875% 9/16/46 | 8,218 | 7,062 | |
4.25% 8/9/42 | 8,036 | 7,337 | |
4.8% 2/14/29 | 10,905 | 11,781 | |
5.8% 2/14/39 | 7,684 | 8,424 | |
5.95% 2/14/49 | 8,546 | 9,493 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 8,464 | 8,565 | |
3.557% 8/15/27 | 17,397 | 17,509 | |
4.39% 8/15/37 | 8,920 | 8,549 | |
4.54% 8/15/47 | 13,757 | 12,701 | |
4.758% 9/6/49 | 10,000 | 9,465 | |
Philip Morris International, Inc.: | |||
2.125% 5/10/23 | 2,547 | 2,561 | |
2.75% 2/25/26 | 3,082 | 3,108 | |
3.6% 11/15/23 | 3,017 | 3,111 | |
3.875% 8/21/42 | 3,965 | 3,846 | |
4.125% 3/4/43 | 8,218 | 8,232 | |
4.875% 11/15/43 | 4,931 | 5,444 | |
6.375% 5/16/38 | 1,192 | 1,539 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 5,801 | 6,066 | |
4.85% 9/15/23 | 1,479 | 1,540 | |
5.85% 8/15/45 | 3,484 | 3,770 | |
7.25% 6/15/37 | 5,933 | 7,294 | |
151,329 | |||
TOTAL CONSUMER STAPLES | 930,035 | ||
ENERGY - 1.9% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co.: | |||
4.08% 12/15/47 | 19,765 | 19,981 | |
5.125% 9/15/40 | 1,644 | 1,861 | |
Halliburton Co.: | |||
2.92% 3/1/30 | 7,920 | 7,785 | |
3.8% 11/15/25 | 210 | 220 | |
5% 11/15/45 | 6,196 | 6,890 | |
7.45% 9/15/39 | 1,233 | 1,684 | |
38,421 | |||
Oil, Gas & Consumable Fuels - 1.8% | |||
Apache Corp. 5.1% 9/1/40 | 2,465 | 2,465 | |
Boardwalk Pipelines LP 4.95% 12/15/24 | 3,904 | 4,119 | |
BP Capital Markets PLC: | |||
2.5% 11/6/22 | 2,465 | 2,484 | |
3.279% 9/19/27 | 10,470 | 10,765 | |
Canadian Natural Resources Ltd.: | |||
2.95% 1/15/23 | 9,580 | 9,678 | |
3.9% 2/1/25 | 1,540 | 1,599 | |
4.95% 6/1/47 | 5,259 | 5,930 | |
5.85% 2/1/35 | 9,900 | 11,645 | |
6.25% 3/15/38 | 5,629 | 6,889 | |
Cenovus Energy, Inc.: | |||
2.65% 1/15/32 | 5,860 | 5,444 | |
4.25% 4/15/27 | 7,807 | 8,256 | |
5.4% 6/15/47 | 7,724 | 8,691 | |
6.75% 11/15/39 | 1,644 | 2,060 | |
Chevron Corp.: | |||
1.141% 5/11/23 | 6,420 | 6,397 | |
1.554% 5/11/25 | 6,120 | 6,028 | |
1.995% 5/11/27 | 5,120 | 5,044 | |
2.236% 5/11/30 | 6,120 | 5,959 | |
2.895% 3/3/24 | 19,336 | 19,734 | |
2.954% 5/16/26 | 9,039 | 9,336 | |
2.978% 5/11/40 | 5,120 | 4,910 | |
3.078% 5/11/50 | 6,120 | 5,891 | |
Chevron U.S.A., Inc.: | |||
4.2% 10/15/49 | 3,600 | 4,054 | |
4.95% 8/15/47 | 11,341 | 13,607 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 2,732 | 2,897 | |
ConocoPhillips Co.: | |||
4.95% 3/15/26 | 20,174 | 22,109 | |
5.95% 3/15/46 | 4,931 | 6,681 | |
6.5% 2/1/39 | 6,187 | 8,600 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 3,102 | 3,137 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 13,676 | 15,241 | |
5.6% 7/15/41 | 2,362 | 2,761 | |
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 (b) | 10,000 | 9,775 | |
Enbridge, Inc.: | |||
3.5% 6/10/24 | 2,321 | 2,371 | |
5.5% 12/1/46 | 11,908 | 14,615 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 7,026 | 7,100 | |
3.75% 5/15/30 | 13,750 | 13,972 | |
3.9% 7/15/26 | 6,180 | 6,401 | |
4.95% 6/15/28 | 7,749 | 8,334 | |
5% 5/15/50 | 14,560 | 15,144 | |
5.15% 3/15/45 | 6,575 | 6,700 | |
5.3% 4/1/44 | 4,766 | 4,920 | |
5.4% 10/1/47 | 4,520 | 4,837 | |
5.8% 6/15/38 | 7,200 | 7,990 | |
6% 6/15/48 | 16,127 | 18,094 | |
6.25% 4/15/49 | 2,395 | 2,766 | |
Enterprise Products Operating LP: | |||
3.3% 2/15/53 | 3,130 | 2,743 | |
3.7% 2/15/26 | 1,454 | 1,518 | |
3.95% 2/15/27 | 21,267 | 22,414 | |
4.2% 1/31/50 | 4,890 | 4,914 | |
4.25% 2/15/48 | 16,386 | 16,621 | |
4.8% 2/1/49 | 6,035 | 6,576 | |
4.85% 8/15/42 | 2,055 | 2,229 | |
4.85% 3/15/44 | 4,109 | 4,480 | |
4.9% 5/15/46 | 3,517 | 3,869 | |
5.7% 2/15/42 | 1,644 | 1,955 | |
7.55% 4/15/38 | 1,644 | 2,230 | |
EOG Resources, Inc. 4.15% 1/15/26 | 4,602 | 4,908 | |
Equinor ASA: | |||
2.375% 5/22/30 | 9,460 | 9,214 | |
3.125% 4/6/30 | 8,200 | 8,384 | |
3.625% 9/10/28 | 9,927 | 10,486 | |
3.7% 3/1/24 | 2,999 | 3,102 | |
3.7% 4/6/50 | 13,119 | 13,637 | |
5.1% 8/17/40 | 1,644 | 1,989 | |
Exxon Mobil Corp.: | |||
1.571% 4/15/23 | 30,000 | 30,061 | |
2.726% 3/1/23 | 8,218 | 8,309 | |
3.043% 3/1/26 | 6,846 | 7,082 | |
3.452% 4/15/51 | 3,430 | 3,390 | |
3.482% 3/19/30 | 20,000 | 21,119 | |
3.567% 3/6/45 | 5,464 | 5,499 | |
Hess Corp.: | |||
3.5% 7/15/24 | 3,123 | 3,195 | |
5.6% 2/15/41 | 2,794 | 3,205 | |
5.8% 4/1/47 | 3,500 | 4,188 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 10,025 | 10,135 | |
3.5% 9/1/23 | 1,644 | 1,674 | |
3.95% 9/1/22 | 5,753 | 5,788 | |
4.25% 9/1/24 | 12,326 | 12,814 | |
4.7% 11/1/42 | 3,123 | 3,199 | |
5% 3/1/43 | 822 | 873 | |
5.5% 3/1/44 | 5,750 | 6,463 | |
5.625% 9/1/41 | 822 | 925 | |
6.55% 9/15/40 | 2,465 | 3,034 | |
Kinder Morgan, Inc.: | |||
4.3% 3/1/28 | 8,192 | 8,729 | |
5.2% 3/1/48 | 7,215 | 7,976 | |
5.3% 12/1/34 | 7,026 | 7,878 | |
5.55% 6/1/45 | 8,000 | 9,181 | |
Magellan Midstream Partners LP: | |||
4.25% 9/15/46 | 4,520 | 4,478 | |
5% 3/1/26 | 2,465 | 2,676 | |
Marathon Oil Corp. 5.2% 6/1/45 | 4,109 | 4,517 | |
Marathon Petroleum Corp.: | |||
4.5% 4/1/48 | 4,790 | 4,876 | |
4.7% 5/1/25 | 18,000 | 19,117 | |
6.5% 3/1/41 | 822 | 1,039 | |
MPLX LP: | |||
4.125% 3/1/27 | 7,765 | 8,166 | |
4.7% 4/15/48 | 16,024 | 16,556 | |
4.8% 2/15/29 | 7,552 | 8,274 | |
5.2% 3/1/47 | 5,029 | 5,539 | |
5.5% 2/15/49 | 7,130 | 8,134 | |
ONEOK Partners LP 3.375% 10/1/22 | 4,109 | 4,137 | |
ONEOK, Inc.: | |||
4.45% 9/1/49 | 4,800 | 4,708 | |
4.95% 7/13/47 | 4,807 | 5,058 | |
5.2% 7/15/48 | 2,482 | 2,705 | |
Ovintiv, Inc. 6.5% 2/1/38 | 7,299 | 8,649 | |
Phillips 66 Co.: | |||
4.875% 11/15/44 | 822 | 935 | |
5.875% 5/1/42 | 7,807 | 9,847 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.6% 11/1/24 | 5,916 | 6,054 | |
4.65% 10/15/25 | 10,066 | 10,658 | |
4.9% 2/15/45 | 1,561 | 1,504 | |
6.65% 1/15/37 | 2,297 | 2,703 | |
Shell International Finance BV: | |||
2% 11/7/24 | 8,100 | 8,119 | |
2.375% 11/7/29 | 27,200 | 26,497 | |
3.125% 11/7/49 | 11,500 | 10,574 | |
3.25% 5/11/25 | 11,637 | 12,071 | |
3.5% 11/13/23 | 5,753 | 5,924 | |
3.875% 11/13/28 | 7,000 | 7,491 | |
4% 5/10/46 | 3,287 | 3,485 | |
4.375% 5/11/45 | 10,930 | 12,108 | |
6.375% 12/15/38 | 3,452 | 4,696 | |
Spectra Energy Partners LP: | |||
3.375% 10/15/26 | 13,403 | 13,786 | |
4.75% 3/15/24 | 3,965 | 4,144 | |
Suncor Energy, Inc.: | |||
4% 11/15/47 | 4,109 | 4,140 | |
6.8% 5/15/38 | 6,940 | 9,083 | |
6.85% 6/1/39 | 1,644 | 2,176 | |
The Williams Companies, Inc.: | |||
3.35% 8/15/22 | 2,301 | 2,312 | |
3.75% 6/15/27 | 19,197 | 20,011 | |
3.9% 1/15/25 | 2,897 | 3,008 | |
4.55% 6/24/24 | 4,663 | 4,882 | |
4.85% 3/1/48 | 6,928 | 7,511 | |
5.75% 6/24/44 | 1,561 | 1,832 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,561 | 1,577 | |
3.127% 5/29/50 | 2,930 | 2,708 | |
3.455% 2/19/29 | 17,537 | 18,276 | |
3.461% 7/12/49 | 5,360 | 5,203 | |
3.75% 4/10/24 | 1,644 | 1,706 | |
TransCanada PipeLines Ltd.: | |||
2.5% 8/1/22 | 4,109 | 4,128 | |
4.75% 5/15/38 | 8,622 | 9,459 | |
4.875% 1/15/26 | 4,109 | 4,443 | |
4.875% 5/15/48 | 4,043 | 4,596 | |
5.1% 3/15/49 | 2,874 | 3,370 | |
6.1% 6/1/40 | 5,505 | 6,943 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 4,800 | 4,835 | |
3.95% 5/15/50 | 4,800 | 4,749 | |
4.45% 8/1/42 | 6,369 | 6,703 | |
4.6% 3/15/48 | 3,287 | 3,543 | |
Valero Energy Corp.: | |||
2.85% 4/15/25 | 13,579 | 13,678 | |
4% 4/1/29 | 7,664 | 8,007 | |
6.625% 6/15/37 | 4,454 | 5,719 | |
1,045,239 | |||
TOTAL ENERGY | 1,083,660 | ||
FINANCIALS - 8.3% | |||
Banks - 4.6% | |||
Australia and New Zealand Banking Group Ltd. 3.7% 11/16/25 | 5,696 | 6,007 | |
Banco Santander SA: | |||
1.849% 3/25/26 | 13,400 | 12,851 | |
2.958% 3/25/31 | 14,800 | 14,215 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (a)(c) | 20,750 | 20,392 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 1.53% 12/6/25 (a)(c) | 40,500 | 39,343 | |
1.658% 3/11/27 (a) | 15,940 | 15,268 | |
1.734% 7/22/27 (a) | 15,677 | 14,965 | |
2.087% 6/14/29 (a) | 4,700 | 4,444 | |
2.299% 7/21/32 (a) | 8,040 | 7,458 | |
2.651% 3/11/32 (a) | 15,180 | 14,516 | |
2.676% 6/19/41 (a) | 10,200 | 8,956 | |
2.687% 4/22/32 (a) | 7,361 | 7,079 | |
2.831% 10/24/51 (a) | 8,260 | 7,224 | |
2.972% 7/21/52 (a) | 8,040 | 7,148 | |
3.004% 12/20/23 (a) | 8,707 | 8,784 | |
3.194% 7/23/30 (a) | 39,496 | 39,482 | |
3.248% 10/21/27 | 3,082 | 3,152 | |
3.366% 1/23/26 (a) | 21,711 | 22,121 | |
3.419% 12/20/28 (a) | 24,895 | 25,451 | |
3.593% 7/21/28 (a) | 9,122 | 9,420 | |
3.705% 4/24/28 (a) | 7,232 | 7,491 | |
3.864% 7/23/24 (a) | 19,969 | 20,420 | |
3.97% 3/5/29 (a) | 18,000 | 18,816 | |
3.974% 2/7/30 (a) | 11,619 | 12,169 | |
4% 4/1/24 | 3,997 | 4,147 | |
4% 1/22/25 | 4,931 | 5,120 | |
4.083% 3/20/51 (a) | 5,200 | 5,579 | |
4.1% 7/24/23 | 5,753 | 5,943 | |
4.183% 11/25/27 | 4,232 | 4,446 | |
4.2% 8/26/24 | 6,985 | 7,273 | |
4.25% 10/22/26 | 3,287 | 3,471 | |
4.271% 7/23/29 (a) | 14,800 | 15,765 | |
4.33% 3/15/50 (a) | 10,757 | 11,936 | |
4.443% 1/20/48 (a) | 12,532 | 13,981 | |
4.45% 3/3/26 | 10,683 | 11,383 | |
5% 1/21/44 | 4,412 | 5,161 | |
6.11% 1/29/37 | 5,815 | 7,236 | |
7.75% 5/14/38 | 3,431 | 4,963 | |
Bank of Montreal: | |||
3.3% 2/5/24 | 13,320 | 13,641 | |
3.803% 12/15/32 (a) | 9,580 | 9,831 | |
Bank of Nova Scotia: | |||
3.4% 2/11/24 | 33,229 | 34,072 | |
4.5% 12/16/25 | 13,050 | 13,906 | |
Barclays PLC: | |||
2.279% 11/24/27 (a) | 15,000 | 14,470 | |
2.852% 5/7/26 (a) | 11,000 | 10,996 | |
2.894% 11/24/32 (a) | 15,600 | 14,781 | |
3.932% 5/7/25 (a) | 13,028 | 13,398 | |
4.337% 1/10/28 | 4,602 | 4,849 | |
4.375% 1/12/26 | 4,289 | 4,519 | |
4.836% 5/9/28 | 7,889 | 8,332 | |
4.95% 1/10/47 | 13,280 | 14,981 | |
5.25% 8/17/45 | 4,602 | 5,394 | |
BB&T Corp.: | |||
2.75% 4/1/22 | 7,289 | 7,289 | |
3.75% 12/6/23 | 14,460 | 14,907 | |
BPCE SA 4% 4/15/24 | 1,716 | 1,777 | |
Capital One Bank NA 3.375% 2/15/23 | 2,079 | 2,111 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.020% 4.044% 6/1/24 (a)(c) | 16,435 | 16,858 | |
3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (a)(c) | 18,944 | 19,466 | |
1.122% 1/28/27 (a) | 14,600 | 13,748 | |
2.561% 5/1/32 (a) | 12,400 | 11,768 | |
2.75% 4/25/22 | 11,989 | 12,006 | |
3.106% 4/8/26 (a) | 25,600 | 25,935 | |
3.668% 7/24/28 (a) | 6,229 | 6,446 | |
3.7% 1/12/26 | 9,146 | 9,559 | |
3.887% 1/10/28 (a) | 3,698 | 3,862 | |
3.98% 3/20/30 (a) | 29,252 | 30,772 | |
4.125% 7/25/28 | 12,688 | 13,338 | |
4.4% 6/10/25 | 3,287 | 3,449 | |
4.412% 3/31/31 (a) | 8,000 | 8,668 | |
4.6% 3/9/26 | 4,931 | 5,259 | |
4.65% 7/23/48 | 11,650 | 13,618 | |
4.75% 5/18/46 | 6,467 | 7,223 | |
5.3% 5/6/44 | 1,644 | 1,939 | |
5.5% 9/13/25 | 4,109 | 4,479 | |
5.875% 1/30/42 | 1,377 | 1,773 | |
8.125% 7/15/39 | 6,575 | 10,286 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 1,554 | 1,441 | |
Comerica, Inc. 3.8% 7/22/26 | 2,999 | 3,149 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 10,296 | 10,429 | |
Discover Bank 4.2% 8/8/23 | 5,753 | 5,921 | |
Export-Import Bank of Korea: | |||
0.625% 2/9/26 | 21,550 | 20,320 | |
1.125% 12/29/26 | 3,300 | 3,141 | |
2.375% 6/25/24 | 3,000 | 3,036 | |
2.875% 1/21/25 | 6,245 | 6,382 | |
5% 4/11/22 | 5,071 | 5,090 | |
Fifth Third Bancorp: | |||
2.55% 5/5/27 | 12,200 | 12,189 | |
2.6% 6/15/22 | 6,146 | 6,166 | |
8.25% 3/1/38 | 1,708 | 2,570 | |
HSBC Holdings PLC: | |||
2.013% 9/22/28 (a) | 40,050 | 37,578 | |
2.099% 6/4/26 (a) | 15,000 | 14,624 | |
3.803% 3/11/25 (a) | 26,696 | 27,344 | |
3.9% 5/25/26 | 9,039 | 9,390 | |
4.25% 3/14/24 | 5,200 | 5,387 | |
4.25% 8/18/25 | 4,602 | 4,781 | |
4.292% 9/12/26 (a) | 38,247 | 39,896 | |
4.375% 11/23/26 | 23,584 | 24,877 | |
4.95% 3/31/30 | 11,926 | 13,192 | |
5.25% 3/14/44 | 3,946 | 4,523 | |
6.5% 9/15/37 | 8,628 | 10,990 | |
6.8% 6/1/38 | 5,000 | 6,510 | |
HSBC U.S.A., Inc. 3.5% 6/23/24 | 5,753 | 5,923 | |
ING Groep NV: | |||
1.726% 4/1/27 (a) | 7,576 | 7,240 | |
2.727% 4/1/32 (a) | 7,660 | 7,316 | |
Japan Bank International Cooperation: | |||
0.625% 5/22/23 | 23,300 | 23,091 | |
1.25% 1/21/31 | 32,152 | 29,895 | |
1.875% 7/21/26 | 3,260 | 3,256 | |
2.125% 2/10/25 | 1,716 | 1,730 | |
2.25% 11/4/26 | 4,486 | 4,538 | |
2.375% 11/16/22 | 9,438 | 9,522 | |
2.375% 4/20/26 | 10,730 | 10,883 | |
2.75% 1/21/26 | 2,720 | 2,796 | |
2.875% 6/1/27 | 6,246 | 6,499 | |
3.25% 7/20/28 | 7,396 | 7,934 | |
3.375% 10/31/23 | 26,700 | 27,503 | |
JPMorgan Chase & Co.: | |||
0.768% 8/9/25 (a) | 37,200 | 35,756 | |
1.47% 9/22/27 (a) | 24,600 | 23,217 | |
1.953% 2/4/32 (a) | 13,200 | 12,032 | |
2.083% 4/22/26 (a) | 30,280 | 29,827 | |
2.522% 4/22/31 (a) | 9,850 | 9,422 | |
2.545% 11/8/32 (a) | 19,230 | 18,372 | |
2.776% 4/25/23 (a) | 4,109 | 4,116 | |
2.95% 10/1/26 | 20,733 | 21,097 | |
2.956% 5/13/31 (a) | 10,250 | 9,967 | |
3.109% 4/22/51 (a) | 12,250 | 11,312 | |
3.22% 3/1/25 (a) | 14,331 | 14,573 | |
3.25% 9/23/22 | 3,287 | 3,327 | |
3.3% 4/1/26 | 7,396 | 7,620 | |
3.375% 5/1/23 | 1,561 | 1,590 | |
3.509% 1/23/29 (a) | 26,000 | 26,673 | |
3.54% 5/1/28 (a) | 13,970 | 14,446 | |
3.559% 4/23/24 (a) | 8,218 | 8,372 | |
3.797% 7/23/24 (a) | 11,382 | 11,654 | |
3.875% 9/10/24 | 26,892 | 27,888 | |
3.882% 7/24/38 (a) | 3,698 | 3,899 | |
3.9% 7/15/25 | 17,750 | 18,566 | |
3.96% 1/29/27 (a) | 10,000 | 10,462 | |
3.964% 11/15/48 (a) | 7,724 | 8,159 | |
4.005% 4/23/29 (a) | 16,874 | 17,771 | |
4.125% 12/15/26 | 4,828 | 5,136 | |
4.203% 7/23/29 (a) | 35,899 | 38,184 | |
4.452% 12/5/29 (a) | 10,040 | 10,855 | |
4.85% 2/1/44 | 4,109 | 4,853 | |
4.95% 6/1/45 | 7,843 | 9,396 | |
5.5% 10/15/40 | 4,684 | 5,794 | |
5.6% 7/15/41 | 1,233 | 1,559 | |
5.625% 8/16/43 | 4,109 | 5,149 | |
KeyBank NA 3.4% 5/20/26 | 4,289 | 4,421 | |
Korea Development Bank: | |||
0.4% 6/19/24 | 9,000 | 8,742 | |
1.625% 1/19/31 | 11,000 | 10,274 | |
Lloyds Banking Group PLC: | |||
4.344% 1/9/48 | 12,326 | 12,466 | |
4.582% 12/10/25 | 9,580 | 10,067 | |
4.65% 3/24/26 | 7,067 | 7,453 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.538% 7/20/27 (a) | 9,250 | 8,775 | |
2.309% 7/20/32 (a) | 9,000 | 8,352 | |
2.801% 7/18/24 | 6,706 | 6,794 | |
3.195% 7/18/29 | 11,687 | 11,788 | |
3.455% 3/2/23 | 15,071 | 15,346 | |
3.751% 7/18/39 | 6,514 | 6,827 | |
3.85% 3/1/26 | 538 | 564 | |
3.961% 3/2/28 | 18,079 | 19,086 | |
Mizuho Financial Group, Inc.: | |||
1.554% 7/9/27 (a) | 9,500 | 8,987 | |
2.226% 5/25/26 (a) | 11,200 | 11,053 | |
2.26% 7/9/32 (a) | 9,400 | 8,667 | |
2.591% 5/25/31 (a) | 13,600 | 13,017 | |
3.549% 3/5/23 | 9,861 | 10,061 | |
National Australia Bank Ltd. 2.5% 5/22/22 | 8,218 | 8,251 | |
NatWest Group PLC: | |||
3 month U.S. LIBOR + 1.750% 4.892% 5/18/29 (a)(c) | 7,000 | 7,625 | |
3.498% 5/15/23 (a) | 8,411 | 8,439 | |
3.754% 11/1/29 (a) | 10,600 | 10,722 | |
3.875% 9/12/23 | 3,260 | 3,339 | |
4.445% 5/8/30 (a) | 5,748 | 6,137 | |
4.8% 4/5/26 | 10,724 | 11,498 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 8,959 | 8,511 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 10,353 | 9,911 | |
2.2% 11/1/24 | 5,540 | 5,562 | |
2.6% 7/23/26 | 20,000 | 20,277 | |
3.5% 1/23/24 | 14,370 | 14,792 | |
3.9% 4/29/24 | 4,643 | 4,830 | |
Rabobank Nederland: | |||
3.75% 7/21/26 | 15,819 | 16,310 | |
4.375% 8/4/25 | 5,147 | 5,389 | |
5.25% 5/24/41 | 2,465 | 3,185 | |
Rabobank Nederland New York Branch: | |||
2.75% 1/10/23 | 13,970 | 14,145 | |
3.375% 5/21/25 | 3,217 | 3,339 | |
Royal Bank of Canada: | |||
1.2% 4/27/26 | 9,230 | 8,767 | |
2.05% 1/21/27 | 17,000 | 16,671 | |
4.65% 1/27/26 | 10,675 | 11,496 | |
Santander Holdings U.S.A., Inc. 3.4% 1/18/23 | 8,973 | 9,106 | |
Sumitomo Mitsui Banking Corp. 3.4% 7/11/24 | 4,911 | 5,051 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 11,700 | 11,292 | |
2.142% 9/23/30 | 11,400 | 10,392 | |
2.174% 1/14/27 | 23,400 | 22,840 | |
2.348% 1/15/25 | 7,400 | 7,374 | |
2.75% 1/15/30 | 7,000 | 6,862 | |
2.778% 10/18/22 | 6,204 | 6,269 | |
2.784% 7/12/22 | 8,620 | 8,675 | |
3.05% 1/14/42 | 12,000 | 11,337 | |
3.102% 1/17/23 | 31,345 | 31,783 | |
3.936% 10/16/23 | 12,886 | 13,297 | |
Synchrony Bank 3% 6/15/22 | 5,753 | 5,777 | |
The Toronto-Dominion Bank: | |||
2.65% 6/12/24 | 19,100 | 19,330 | |
3.25% 3/11/24 | 25,000 | 25,670 | |
3.5% 7/19/23 | 8,218 | 8,432 | |
Truist Financial Corp. 1.267% 3/2/27 (a) | 26,941 | 25,773 | |
U.S. Bancorp: | |||
1.375% 7/22/30 | 10,000 | 8,943 | |
3% 7/30/29 | 8,900 | 8,985 | |
3.1% 4/27/26 | 7,396 | 7,597 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (a) | 30,500 | 30,129 | |
2.188% 4/30/26 (a) | 24,150 | 23,831 | |
2.406% 10/30/25 (a) | 41,860 | 41,725 | |
2.572% 2/11/31 (a) | 19,310 | 18,517 | |
3% 10/23/26 | 16,706 | 16,915 | |
3.068% 4/30/41 (a) | 14,600 | 13,562 | |
3.3% 9/9/24 | 3,800 | 3,895 | |
3.35% 3/2/33 (a) | 4,700 | 4,760 | |
3.55% 9/29/25 | 3,484 | 3,604 | |
3.75% 1/24/24 | 35,240 | 36,330 | |
3.9% 5/1/45 | 3,911 | 4,056 | |
4.1% 6/3/26 | 2,650 | 2,798 | |
4.4% 6/14/46 | 5,868 | 6,285 | |
4.48% 1/16/24 | 3,135 | 3,278 | |
4.75% 12/7/46 | 13,148 | 14,756 | |
4.9% 11/17/45 | 7,928 | 8,994 | |
5.013% 4/4/51 (a) | 4,980 | 6,132 | |
5.375% 11/2/43 | 5,520 | 6,620 | |
5.606% 1/15/44 | 9,352 | 11,429 | |
Westpac Banking Corp.: | |||
2.5% 6/28/22 | 20,897 | 21,010 | |
2.85% 5/13/26 | 3,904 | 4,005 | |
3.3% 2/26/24 | 26,696 | 27,462 | |
4.11% 7/24/34 (a) | 10,000 | 10,325 | |
4.421% 7/24/39 | 4,790 | 5,149 | |
Zions Bancorp NA 4.5% 6/13/23 | 171 | 176 | |
2,683,842 | |||
Capital Markets - 1.6% | |||
Affiliated Managers Group, Inc. 3.5% 8/1/25 | 3,904 | 4,039 | |
Ares Capital Corp.: | |||
2.15% 7/15/26 | 16,646 | 15,704 | |
3.25% 7/15/25 | 5,200 | 5,150 | |
Bank of New York Mellon Corp.: | |||
1.8% 7/28/31 | 17,193 | 15,788 | |
2.8% 5/4/26 | 4,626 | 4,728 | |
2.95% 1/29/23 | 12,326 | 12,483 | |
BlackRock, Inc. 3.5% 3/18/24 | 2,383 | 2,468 | |
Brookfield Finance, Inc. 2.724% 4/15/31 | 20,678 | 19,775 | |
Charles Schwab Corp.: | |||
0.75% 3/18/24 | 23,014 | 22,531 | |
2% 3/20/28 | 17,350 | 16,840 | |
CME Group, Inc. 5.3% 9/15/43 | 5,100 | 6,491 | |
Credit Suisse AG 3.625% 9/9/24 | 8,156 | 8,416 | |
Credit Suisse Group AG: | |||
3.8% 6/9/23 | 16,435 | 16,798 | |
4.55% 4/17/26 | 6,985 | 7,376 | |
4.875% 5/15/45 | 9,289 | 10,149 | |
Deutsche Bank AG: | |||
4.1% 1/13/26 | 9,900 | 10,325 | |
4.5% 4/1/25 | 2,573 | 2,645 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (a) | 5,120 | 4,892 | |
3.3% 11/16/22 | 7,560 | 7,641 | |
3.7% 5/30/24 | 8,054 | 8,261 | |
3.95% 2/27/23 | 14,178 | 14,401 | |
4.1% 1/13/26 | 17,914 | 18,557 | |
Eaton Vance Corp. 3.625% 6/15/23 | 2,321 | 2,372 | |
Franklin Resources, Inc. 2.85% 3/30/25 | 3,123 | 3,189 | |
GE Capital Funding LLC 4.4% 5/15/30 | 5,000 | 5,390 | |
Goldman Sachs Group, Inc.: | |||
0.855% 2/12/26 (a) | 14,110 | 13,478 | |
1.093% 12/9/26 (a) | 34,300 | 32,265 | |
2.383% 7/21/32 (a) | 23,220 | 21,524 | |
2.6% 2/7/30 | 10,000 | 9,598 | |
2.615% 4/22/32 (a) | 25,410 | 24,024 | |
3.2% 2/23/23 | 19,041 | 19,274 | |
3.272% 9/29/25 (a) | 5,000 | 5,086 | |
3.5% 1/23/25 | 42,909 | 44,096 | |
3.625% 1/22/23 | 7,396 | 7,519 | |
3.625% 2/20/24 | 8,628 | 8,854 | |
3.691% 6/5/28 (a) | 14,600 | 15,114 | |
3.75% 2/25/26 | 4,782 | 4,976 | |
3.85% 7/8/24 | 3,123 | 3,229 | |
3.85% 1/26/27 | 24,850 | 25,887 | |
4% 3/3/24 | 5,000 | 5,177 | |
4.25% 10/21/25 | 4,109 | 4,316 | |
4.411% 4/23/39 (a) | 3,900 | 4,199 | |
4.75% 10/21/45 | 12,967 | 14,744 | |
5.95% 1/15/27 | 12,326 | 13,893 | |
6.75% 10/1/37 | 16,810 | 22,087 | |
Intercontinental Exchange, Inc.: | |||
0.7% 6/15/23 | 3,400 | 3,359 | |
1.85% 9/15/32 | 9,300 | 8,276 | |
2.65% 9/15/40 | 9,300 | 8,229 | |
3.75% 12/1/25 | 4,725 | 4,961 | |
3.75% 9/21/28 | 7,667 | 8,099 | |
4% 10/15/23 | 3,082 | 3,186 | |
4.25% 9/21/48 | 8,680 | 9,454 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. 4.15% 1/23/30 | 11,600 | 12,176 | |
Moody's Corp. 4.875% 12/17/48 | 8,517 | 9,907 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 1.430% 4.457% 4/22/39 (a)(c) | 6,212 | 6,747 | |
1.164% 10/21/25 (a) | 11,700 | 11,289 | |
1.512% 7/20/27 (a) | 8,080 | 7,655 | |
1.593% 5/4/27 (a) | 11,790 | 11,213 | |
2.188% 4/28/26 (a) | 20,150 | 19,889 | |
2.239% 7/21/32 (a) | 7,650 | 7,043 | |
2.72% 7/22/25 (a) | 15,600 | 15,682 | |
2.75% 5/19/22 | 9,861 | 9,900 | |
3.125% 1/23/23 | 50,292 | 51,010 | |
3.125% 7/27/26 | 4,602 | 4,691 | |
3.217% 4/22/42 (a) | 14,940 | 14,261 | |
3.591% 7/22/28 (a) | 6,985 | 7,212 | |
3.7% 10/23/24 | 4,931 | 5,097 | |
3.75% 2/25/23 | 5,568 | 5,674 | |
3.772% 1/24/29 (a) | 10,090 | 10,474 | |
3.875% 4/29/24 | 12,064 | 12,473 | |
3.875% 1/27/26 | 4,315 | 4,502 | |
3.95% 4/23/27 | 28,092 | 29,707 | |
3.971% 7/22/38 (a) | 5,136 | 5,379 | |
4.3% 1/27/45 | 1,644 | 1,787 | |
4.375% 1/22/47 | 9,122 | 10,076 | |
5.597% 3/24/51 (a) | 10,650 | 14,193 | |
6.375% 7/24/42 | 2,383 | 3,250 | |
7.25% 4/1/32 | 822 | 1,109 | |
Nomura Holdings, Inc. 3.103% 1/16/30 | 19,788 | 19,521 | |
Northern Trust Corp. 1.95% 5/1/30 | 17,750 | 16,877 | |
State Street Corp.: | |||
1.684% 11/18/27 (a) | 16,417 | 15,905 | |
2.65% 5/19/26 | 6,204 | 6,336 | |
942,348 | |||
Consumer Finance - 0.9% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 18,900 | 18,342 | |
2.45% 10/29/26 | 11,150 | 10,757 | |
2.875% 8/14/24 | 11,783 | 11,792 | |
3% 10/29/28 | 6,000 | 5,779 | |
3.4% 10/29/33 | 6,100 | 5,760 | |
3.5% 5/26/22 | 7,765 | 7,797 | |
3.65% 7/21/27 | 3,698 | 3,758 | |
3.85% 10/29/41 | 6,100 | 5,653 | |
3.875% 1/23/28 | 12,902 | 13,107 | |
4.45% 10/1/25 | 8,094 | 8,406 | |
4.625% 7/1/22 | 7,765 | 7,852 | |
4.875% 1/16/24 | 7,026 | 7,292 | |
Ally Financial, Inc.: | |||
2.2% 11/2/28 | 9,900 | 9,255 | |
3.05% 6/5/23 | 5,150 | 5,211 | |
5.8% 5/1/25 | 15,300 | 16,557 | |
American Express Co.: | |||
2.5% 8/1/22 | 10,321 | 10,374 | |
2.5% 7/30/24 | 31,910 | 32,363 | |
4.05% 12/3/42 | 5,732 | 6,284 | |
Capital One Financial Corp.: | |||
3.2% 1/30/23 | 11,439 | 11,599 | |
3.3% 10/30/24 | 11,942 | 12,225 | |
3.75% 7/28/26 | 8,013 | 8,283 | |
3.75% 3/9/27 | 29,065 | 30,356 | |
3.8% 1/31/28 | 10,683 | 11,123 | |
3.9% 1/29/24 | 14,020 | 14,466 | |
Discover Financial Services: | |||
4.5% 1/30/26 | 15,464 | 16,457 | |
5.2% 4/27/22 | 822 | 827 | |
Ford Motor Credit Co. LLC: | |||
4.25% 9/20/22 | 1,544 | 1,558 | |
4.375% 8/6/23 | 3,431 | 3,482 | |
GE Capital International Funding Co.: | |||
3.373% 11/15/25 | 23,667 | 24,383 | |
4.418% 11/15/35 | 26,211 | 29,466 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 8,596 | 8,733 | |
2.65% 6/10/26 | 4,109 | 4,191 | |
2.7% 1/6/23 | 8,218 | 8,315 | |
2.8% 1/27/23 | 4,109 | 4,159 | |
2.8% 3/6/23 | 2,671 | 2,708 | |
2.8% 9/8/27 | 5,753 | 5,896 | |
3.45% 3/7/29 | 16,435 | 17,376 | |
Synchrony Financial: | |||
3.7% 8/4/26 | 3,881 | 3,964 | |
4.375% 3/19/24 | 9,249 | 9,564 | |
5.15% 3/19/29 | 22,382 | 24,335 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 15,000 | 14,779 | |
1.15% 8/13/27 | 17,300 | 16,234 | |
2.7% 1/11/23 | 8,218 | 8,318 | |
3.35% 1/8/24 | 11,496 | 11,811 | |
490,947 | |||
Diversified Financial Services - 0.6% | |||
AB Svensk Exportkredit: | |||
0.25% 9/29/23 | 13,980 | 13,719 | |
2.375% 3/9/22 | 4,602 | 4,604 | |
Berkshire Hathaway Finance Corp.: | |||
1.45% 10/15/30 | 7,850 | 7,166 | |
2.85% 10/15/50 | 11,000 | 9,649 | |
4.2% 8/15/48 | 9,754 | 10,791 | |
5.75% 1/15/40 | 4,109 | 5,398 | |
Berkshire Hathaway, Inc.: | |||
3.125% 3/15/26 | 9,450 | 9,802 | |
4.5% 2/11/43 | 1,644 | 1,878 | |
Blackstone Private Credit Fund 2.7% 1/15/25 (b) | 13,100 | 12,781 | |
BP Capital Markets America, Inc.: | |||
3% 2/24/50 | 11,500 | 9,827 | |
3.017% 1/16/27 | 7,807 | 7,953 | |
Brixmor Operating Partnership LP: | |||
3.9% 3/15/27 | 4,635 | 4,823 | |
4.05% 7/1/30 | 5,036 | 5,225 | |
4.125% 6/15/26 | 6,204 | 6,556 | |
4.125% 5/15/29 | 5,548 | 5,867 | |
DH Europe Finance II SARL: | |||
2.2% 11/15/24 | 6,790 | 6,793 | |
2.6% 11/15/29 | 7,940 | 7,748 | |
3.4% 11/15/49 | 8,600 | 8,428 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 6,744 | 7,219 | |
Japan International Cooperation Agency 1.75% 4/28/31 | 8,184 | 7,862 | |
KfW: | |||
0.25% 10/19/23 | 12,100 | 11,875 | |
0.375% 7/18/25 | 14,150 | 13,502 | |
0.625% 1/22/26 | 44,100 | 42,099 | |
2% 10/4/22 | 20,692 | 20,828 | |
2% 5/2/25 | 3,143 | 3,169 | |
2.125% 3/7/22 | 6,724 | 6,726 | |
2.125% 1/17/23 | 9,861 | 9,950 | |
2.375% 12/29/22 | 27,223 | 27,524 | |
2.5% 11/20/24 | 8,567 | 8,758 | |
2.625% 2/28/24 | 16,765 | 17,132 | |
2.875% 4/3/28 | 12,622 | 13,308 | |
Landwirtschaftliche Rentenbank: | |||
1.75% 7/27/26 | 6,985 | 6,964 | |
2.5% 11/15/27 | 7,264 | 7,469 | |
Voya Financial, Inc.: | |||
3.65% 6/15/26 | 12,975 | 13,662 | |
5.7% 7/15/43 | 3,082 | 3,833 | |
360,888 | |||
Insurance - 0.6% | |||
ACE INA Holdings, Inc.: | |||
1.375% 9/15/30 | 22,150 | 19,824 | |
3.35% 5/3/26 | 3,468 | 3,602 | |
4.35% 11/3/45 | 3,287 | 3,754 | |
AFLAC, Inc.: | |||
3.6% 4/1/30 | 5,000 | 5,307 | |
3.625% 11/15/24 | 5,000 | 5,200 | |
4% 10/15/46 | 3,107 | 3,315 | |
Allstate Corp.: | |||
3.28% 12/15/26 | 3,879 | 4,026 | |
4.2% 12/15/46 | 6,212 | 6,852 | |
American International Group, Inc.: | |||
3.75% 7/10/25 | 2,342 | 2,436 | |
3.875% 1/15/35 | 2,219 | 2,325 | |
3.9% 4/1/26 | 3,098 | 3,261 | |
4.2% 4/1/28 | 15,243 | 16,522 | |
4.375% 6/30/50 | 4,700 | 5,194 | |
4.5% 7/16/44 | 7,293 | 8,091 | |
4.7% 7/10/35 | 4,766 | 5,373 | |
4.75% 4/1/48 | 8,077 | 9,313 | |
Aon PLC: | |||
3.5% 6/14/24 | 6,681 | 6,854 | |
4% 11/27/23 | 2,465 | 2,542 | |
4.6% 6/14/44 | 1,315 | 1,445 | |
4.75% 5/15/45 | 4,832 | 5,373 | |
Athene Holding Ltd. 3.5% 1/15/31 | 5,600 | 5,561 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 14,500 | 12,963 | |
3.967% 11/15/46 | 2,055 | 2,265 | |
Brighthouse Financial, Inc. 4.7% 6/22/47 | 7,807 | 7,801 | |
Fairfax Financial Holdings Ltd. 4.625% 4/29/30 | 5,300 | 5,696 | |
Hartford Financial Services Group, Inc.: | |||
2.8% 8/19/29 | 5,844 | 5,793 | |
3.6% 8/19/49 | 6,993 | 6,831 | |
4.4% 3/15/48 | 7,979 | 8,867 | |
Lincoln National Corp.: | |||
3.625% 12/12/26 | 4,931 | 5,168 | |
4.35% 3/1/48 | 2,500 | 2,701 | |
4.375% 6/15/50 | 5,000 | 5,461 | |
Markel Corp. 3.35% 9/17/29 | 5,000 | 5,141 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,561 | 1,607 | |
3.875% 3/15/24 | 7,807 | 8,078 | |
4.05% 10/15/23 | 5,568 | 5,734 | |
4.2% 3/1/48 | 4,002 | 4,356 | |
4.35% 1/30/47 | 2,301 | 2,555 | |
4.375% 3/15/29 | 6,327 | 6,901 | |
4.9% 3/15/49 | 7,643 | 9,147 | |
MetLife, Inc.: | |||
4.125% 8/13/42 | 5,130 | 5,475 | |
4.55% 3/23/30 | 9,300 | 10,436 | |
4.6% 5/13/46 | 1,644 | 1,934 | |
4.721% 12/15/44 (a) | 4,109 | 4,763 | |
5.875% 2/6/41 | 2,059 | 2,670 | |
Principal Financial Group, Inc. 4.3% 11/15/46 | 6,575 | 7,311 | |
Progressive Corp.: | |||
2.45% 1/15/27 | 3,895 | 3,933 | |
4.2% 3/15/48 | 4,550 | 5,066 | |
Prudential Financial, Inc.: | |||
3.878% 3/27/28 | 3,419 | 3,655 | |
3.905% 12/7/47 | 452 | 471 | |
3.935% 12/7/49 | 8,809 | 9,204 | |
4.35% 2/25/50 | 10,267 | 11,480 | |
4.418% 3/27/48 | 5,218 | 5,847 | |
5.125% 3/1/52 (a) | 3,450 | 3,497 | |
5.7% 12/14/36 | 312 | 397 | |
The Chubb Corp. 6.5% 5/15/38 | 2,884 | 3,999 | |
The Travelers Companies, Inc.: | |||
4.1% 3/4/49 | 5,000 | 5,500 | |
4.3% 8/25/45 | 1,199 | 1,347 | |
6.25% 6/15/37 | 6,862 | 9,117 | |
329,337 | |||
TOTAL FINANCIALS | 4,807,362 | ||
HEALTH CARE - 2.7% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 12,700 | 12,821 | |
2.9% 11/6/22 | 4,684 | 4,730 | |
2.95% 11/21/26 | 9,300 | 9,468 | |
3.2% 11/21/29 | 15,900 | 16,103 | |
3.25% 10/1/22 | 2,465 | 2,481 | |
3.6% 5/14/25 | 7,396 | 7,639 | |
3.8% 3/15/25 | 7,248 | 7,537 | |
4.05% 11/21/39 | 9,300 | 9,762 | |
4.25% 11/14/28 | 6,812 | 7,355 | |
4.25% 11/21/49 | 15,400 | 16,375 | |
4.3% 5/14/36 | 5,144 | 5,633 | |
4.4% 11/6/42 | 3,924 | 4,231 | |
4.45% 5/14/46 | 5,753 | 6,198 | |
4.55% 3/15/35 | 5,464 | 6,018 | |
4.7% 5/14/45 | 10,828 | 12,002 | |
4.75% 3/15/45 | 5,202 | 5,770 | |
4.875% 11/14/48 | 4,790 | 5,502 | |
Amgen, Inc.: | |||
1.65% 8/15/28 | 15,950 | 14,956 | |
1.9% 2/21/25 | 6,700 | 6,680 | |
2.6% 8/19/26 | 8,628 | 8,698 | |
2.8% 8/15/41 | 16,300 | 14,380 | |
3.125% 5/1/25 | 1,644 | 1,685 | |
3.375% 2/21/50 | 9,200 | 8,434 | |
4.4% 5/1/45 | 8,160 | 8,670 | |
4.663% 6/15/51 | 10,250 | 11,473 | |
Gilead Sciences, Inc.: | |||
1.65% 10/1/30 | 12,340 | 11,181 | |
2.8% 10/1/50 | 12,240 | 10,350 | |
3.65% 3/1/26 | 5,078 | 5,295 | |
4.15% 3/1/47 | 10,223 | 10,714 | |
4.75% 3/1/46 | 9,039 | 10,239 | |
262,380 | |||
Health Care Equipment & Supplies - 0.3% | |||
Abbott Laboratories: | |||
3.75% 11/30/26 | 5,730 | 6,113 | |
4.75% 11/30/36 | 3,698 | 4,379 | |
4.9% 11/30/46 | 8,546 | 10,552 | |
Baxter International, Inc.: | |||
1.915% 2/1/27 (b) | 12,130 | 11,760 | |
2.539% 2/1/32 (b) | 13,360 | 12,834 | |
Becton, Dickinson & Co.: | |||
2.823% 5/20/30 | 7,230 | 7,104 | |
3.363% 6/6/24 | 3,724 | 3,815 | |
3.7% 6/6/27 | 22,809 | 23,909 | |
4.685% 12/15/44 | 8,928 | 9,965 | |
Boston Scientific Corp.: | |||
3.45% 3/1/24 | 17,841 | 18,292 | |
4% 3/1/29 | 8,875 | 9,417 | |
4.7% 3/1/49 | 14,323 | 16,275 | |
Medtronic Global Holdings SCA 3.35% 4/1/27 | 12,039 | 12,563 | |
Medtronic, Inc. 4.625% 3/15/45 | 10,621 | 12,443 | |
Stryker Corp.: | |||
1.95% 6/15/30 | 7,650 | 7,082 | |
2.9% 6/15/50 | 7,650 | 6,761 | |
Zimmer Biomet Holdings, Inc. 3.55% 4/1/25 | 9,352 | 9,617 | |
182,881 | |||
Health Care Providers & Services - 1.1% | |||
Aetna, Inc.: | |||
2.8% 6/15/23 | 12,326 | 12,489 | |
3.875% 8/15/47 | 4,300 | 4,318 | |
4.125% 11/15/42 | 9,324 | 9,559 | |
Allina Health System, Inc. 3.887% 4/15/49 | 5,451 | 5,821 | |
Anthem, Inc.: | |||
3.125% 5/15/50 | 7,000 | 6,353 | |
3.3% 1/15/23 | 1,644 | 1,669 | |
3.65% 12/1/27 | 28,541 | 29,927 | |
4.375% 12/1/47 | 8,598 | 9,447 | |
4.55% 3/1/48 | 3,870 | 4,353 | |
4.625% 5/15/42 | 2,136 | 2,384 | |
4.65% 1/15/43 | 1,644 | 1,844 | |
Banner Health: | |||
2.907% 1/1/42 | 1,350 | 1,258 | |
2.913% 1/1/51 | 11,300 | 10,264 | |
Baptist Healthcare System Obli 3.54% 8/15/50 | 11,025 | 11,112 | |
Bon Secours Mercy Health, Inc. 2.095% 6/1/31 | 7,554 | 7,035 | |
Cardinal Health, Inc. 4.368% 6/15/47 | 11,414 | 11,690 | |
Children's Hospital Medical Center 4.268% 5/15/44 | 2,728 | 3,093 | |
Children's Hospital of Philadelphia 2.704% 7/1/50 | 8,309 | 7,314 | |
Cigna Corp.: | |||
3% 7/15/23 | 8,218 | 8,340 | |
3.75% 7/15/23 | 5,542 | 5,685 | |
4.125% 11/15/25 | 8,099 | 8,534 | |
4.375% 10/15/28 | 21,818 | 23,648 | |
4.5% 2/25/26 | 9,582 | 10,256 | |
4.8% 8/15/38 | 19,369 | 21,578 | |
4.8% 7/15/46 | 6,245 | 6,970 | |
4.9% 12/15/48 | 6,997 | 7,948 | |
6.125% 11/15/41 | 2,465 | 3,186 | |
CommonSpirit Health: | |||
3.91% 10/1/50 | 12,725 | 12,890 | |
4.35% 11/1/42 | 1,644 | 1,733 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 12,450 | 10,868 | |
2.875% 6/1/26 | 6,164 | 6,238 | |
3% 8/15/26 | 13,607 | 13,848 | |
3.25% 8/15/29 | 14,445 | 14,695 | |
3.875% 7/20/25 | 3,829 | 4,003 | |
4.1% 3/25/25 | 3,385 | 3,545 | |
4.3% 3/25/28 | 19,640 | 21,202 | |
4.875% 7/20/35 | 2,547 | 2,931 | |
5.05% 3/25/48 | 22,516 | 26,291 | |
5.125% 7/20/45 | 7,239 | 8,381 | |
5.3% 12/5/43 | 3,609 | 4,294 | |
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49 | 8,760 | 9,017 | |
HCA Holdings, Inc. 5.25% 6/15/49 | 14,240 | 16,198 | |
Humana, Inc.: | |||
1.35% 2/3/27 | 10,385 | 9,792 | |
2.15% 2/3/32 | 10,410 | 9,565 | |
3.125% 8/15/29 | 6,680 | 6,714 | |
4.95% 10/1/44 | 2,055 | 2,388 | |
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50 | 9,396 | 10,033 | |
Kaiser Foundation Hospitals: | |||
3.266% 11/1/49 | 7,510 | 7,286 | |
4.15% 5/1/47 | 5,384 | 5,996 | |
4.875% 4/1/42 | 1,479 | 1,825 | |
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55 | 2,465 | 2,893 | |
MidMichigan Health 3.409% 6/1/50 | 3,859 | 3,754 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 2,876 | 3,210 | |
4.063% 8/1/56 | 2,161 | 2,483 | |
Novant Health, Inc. 3.168% 11/1/51 | 6,815 | 6,554 | |
NYU Hospitals Center 4.784% 7/1/44 | 6,245 | 7,280 | |
Orlando Health Obligated Group 3.327% 10/1/50 | 6,224 | 6,093 | |
Partners Healthcare System, Inc. 4.117% 7/1/55 | 2,876 | 3,353 | |
Piedmont Healthcare, Inc. 2.719% 1/1/42 | 1,250 | 1,115 | |
Providence St. Joseph Health Obligated Group 2.7% 10/1/51 | 2,210 | 1,881 | |
Sutter Health 3.361% 8/15/50 | 15,100 | 14,406 | |
Trinity Health Corp. 2.632% 12/1/40 | 3,633 | 3,304 | |
UnitedHealth Group, Inc.: | |||
1.15% 5/15/26 | 3,264 | 3,125 | |
1.25% 1/15/26 | 6,470 | 6,256 | |
2% 5/15/30 | 3,000 | 2,835 | |
2.3% 5/15/31 | 2,754 | 2,653 | |
2.375% 8/15/24 | 8,104 | 8,212 | |
2.9% 5/15/50 | 6,490 | 5,941 | |
3.25% 5/15/51 | 3,150 | 3,059 | |
3.375% 4/15/27 | 4,437 | 4,657 | |
3.5% 6/15/23 | 7,314 | 7,494 | |
3.7% 8/15/49 | 8,622 | 8,927 | |
3.75% 7/15/25 | 2,876 | 3,014 | |
3.75% 10/15/47 | 7,856 | 8,107 | |
3.85% 6/15/28 | 9,540 | 10,224 | |
3.875% 12/15/28 | 12,319 | 13,260 | |
3.875% 8/15/59 | 10,302 | 10,859 | |
4.2% 1/15/47 | 2,958 | 3,274 | |
4.375% 3/15/42 | 9,697 | 10,818 | |
4.75% 7/15/45 | 1,373 | 1,627 | |
West Virginia University Health System Obligated Group 3.129% 6/1/50 | 5,110 | 4,676 | |
621,152 | |||
Life Sciences Tools & Services - 0.0% | |||
Danaher Corp. 4.375% 9/15/45 | 1,948 | 2,178 | |
PerkinElmer, Inc.: | |||
0.85% 9/15/24 | 4,630 | 4,467 | |
2.25% 9/15/31 | 5,710 | 5,223 | |
Thermo Fisher Scientific, Inc.: | |||
2.6% 10/1/29 | 13,412 | 13,213 | |
5.3% 2/1/44 | 4,782 | 6,036 | |
31,117 | |||
Pharmaceuticals - 0.8% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 7,450 | 7,140 | |
2.25% 5/28/31 | 7,250 | 6,965 | |
AstraZeneca PLC: | |||
4.375% 11/16/45 | 6,196 | 7,062 | |
4.375% 8/17/48 | 10,164 | 11,633 | |
6.45% 9/15/37 | 2,671 | 3,625 | |
Bayer U.S. Finance II LLC: | |||
2.85% 4/15/25 (b) | 3,143 | 3,141 | |
3.95% 4/15/45 (b) | 1,142 | 1,079 | |
Bristol-Myers Squibb Co.: | |||
2.9% 7/26/24 | 9,355 | 9,573 | |
3.2% 6/15/26 | 3,353 | 3,492 | |
3.25% 8/1/42 | 2,301 | 2,234 | |
3.4% 7/26/29 | 15,088 | 15,882 | |
3.875% 8/15/25 | 9,500 | 10,025 | |
4.125% 6/15/39 | 2,347 | 2,572 | |
4.25% 10/26/49 | 9,963 | 11,142 | |
4.35% 11/15/47 | 5,500 | 6,254 | |
4.55% 2/20/48 | 15,000 | 17,401 | |
5% 8/15/45 | 4,300 | 5,263 | |
Eli Lilly & Co. 2.25% 5/15/50 | 17,730 | 14,778 | |
GlaxoSmithKline Capital PLC 3% 6/1/24 | 9,580 | 9,776 | |
GlaxoSmithKline Capital, Inc. 6.375% 5/15/38 | 5,932 | 8,105 | |
Johnson & Johnson: | |||
0.55% 9/1/25 | 6,630 | 6,320 | |
1.3% 9/1/30 | 6,630 | 6,046 | |
2.1% 9/1/40 | 6,630 | 5,678 | |
2.45% 3/1/26 | 4,593 | 4,677 | |
2.45% 9/1/60 | 6,630 | 5,524 | |
3.4% 1/15/38 | 7,667 | 7,948 | |
3.5% 1/15/48 | 4,931 | 5,131 | |
3.625% 3/3/37 | 3,287 | 3,549 | |
4.5% 12/5/43 | 5,444 | 6,370 | |
4.85% 5/15/41 | 3,500 | 4,218 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 1,644 | 1,651 | |
2.45% 6/24/50 | 4,570 | 3,907 | |
2.9% 3/7/24 | 9,436 | 9,651 | |
3.6% 9/15/42 | 1,644 | 1,694 | |
3.7% 2/10/45 | 5,259 | 5,479 | |
3.9% 3/7/39 | 10,000 | 10,898 | |
Mylan NV 5.2% 4/15/48 | 2,465 | 2,654 | |
Novartis Capital Corp.: | |||
1.75% 2/14/25 | 7,700 | 7,652 | |
2.4% 5/17/22 | 9,533 | 9,554 | |
2.4% 9/21/22 | 3,082 | 3,104 | |
2.75% 8/14/50 | 11,300 | 10,287 | |
3% 11/20/25 | 8,604 | 8,865 | |
3.1% 5/17/27 | 4,841 | 5,009 | |
3.7% 9/21/42 | 2,321 | 2,457 | |
4% 11/20/45 | 4,306 | 4,742 | |
Perrigo Finance PLC: | |||
4.375% 3/15/26 | 2,659 | 2,666 | |
4.9% 12/15/44 | 1,946 | 1,804 | |
Pfizer, Inc.: | |||
2.7% 5/28/50 | 3,720 | 3,362 | |
2.95% 3/15/24 | 3,863 | 3,955 | |
3% 12/15/26 | 5,505 | 5,705 | |
3.2% 9/15/23 | 10,452 | 10,720 | |
3.45% 3/15/29 | 6,846 | 7,209 | |
3.9% 3/15/39 | 5,177 | 5,614 | |
4% 12/15/36 | 7,807 | 8,587 | |
4.125% 12/15/46 | 2,703 | 3,047 | |
4.2% 9/15/48 | 6,410 | 7,309 | |
4.4% 5/15/44 | 3,443 | 3,961 | |
7.2% 3/15/39 | 4,437 | 6,597 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.875% 9/23/23 | 7,765 | 7,865 | |
3.2% 9/23/26 | 32,197 | 33,047 | |
Utah Acquisition Sub, Inc.: | |||
3.95% 6/15/26 | 2,326 | 2,402 | |
5.25% 6/15/46 | 2,712 | 2,871 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 7,500 | 7,001 | |
4% 6/22/50 | 7,500 | 6,651 | |
Zoetis, Inc.: | |||
3.25% 2/1/23 | 4,109 | 4,149 | |
3.95% 9/12/47 | 1,644 | 1,777 | |
4.7% 2/1/43 | 1,068 | 1,230 | |
437,736 | |||
TOTAL HEALTH CARE | 1,535,266 | ||
INDUSTRIALS - 1.8% | |||
Aerospace & Defense - 0.5% | |||
General Dynamics Corp.: | |||
3.375% 5/15/23 | 7,807 | 7,970 | |
3.75% 5/15/28 | 7,724 | 8,165 | |
4.25% 4/1/50 | 4,000 | 4,592 | |
Lockheed Martin Corp.: | |||
3.55% 1/15/26 | 6,245 | 6,578 | |
4.09% 9/15/52 | 12,494 | 13,654 | |
Northrop Grumman Corp.: | |||
3.25% 1/15/28 | 6,903 | 7,053 | |
3.85% 4/15/45 | 1,540 | 1,576 | |
4.03% 10/15/47 | 15,474 | 16,319 | |
4.75% 6/1/43 | 3,287 | 3,783 | |
Raytheon Technologies Corp.: | |||
1.9% 9/1/31 | 9,900 | 9,016 | |
3.15% 12/15/24 | 7,314 | 7,476 | |
3.65% 8/16/23 | 544 | 558 | |
3.75% 11/1/46 | 6,134 | 6,199 | |
4.05% 5/4/47 | 1,915 | 2,015 | |
4.125% 11/16/28 | 12,088 | 13,061 | |
4.35% 4/15/47 | 5,424 | 5,959 | |
4.45% 11/16/38 | 4,360 | 4,857 | |
4.5% 6/1/42 | 6,065 | 6,783 | |
4.625% 11/16/48 | 10,853 | 12,537 | |
4.875% 10/15/40 | 822 | 948 | |
5.7% 4/15/40 | 1,644 | 2,085 | |
The Boeing Co.: | �� | ||
2.125% 3/1/22 | 3,089 | 3,089 | |
2.5% 3/1/25 | 3,780 | 3,785 | |
2.7% 2/1/27 | 6,514 | 6,431 | |
2.8% 3/1/23 | 4,060 | 4,103 | |
2.95% 2/1/30 | 8,334 | 7,978 | |
3.625% 3/1/48 | 3,287 | 2,916 | |
3.65% 3/1/47 | 2,268 | 2,003 | |
3.75% 2/1/50 | 12,700 | 11,801 | |
4.875% 5/1/25 | 14,370 | 15,277 | |
5.15% 5/1/30 | 10,000 | 11,045 | |
5.705% 5/1/40 | 32,630 | 38,010 | |
5.805% 5/1/50 | 14,760 | 17,535 | |
6.875% 3/15/39 | 2,712 | 3,445 | |
268,602 | |||
Air Freight & Logistics - 0.1% | |||
FedEx Corp.: | |||
3.1% 8/5/29 | 5,200 | 5,279 | |
3.9% 2/1/35 | 4,848 | 5,056 | |
4.05% 2/15/48 | 3,000 | 3,061 | |
4.4% 1/15/47 | 6,575 | 6,946 | |
4.55% 4/1/46 | 1,233 | 1,342 | |
4.95% 10/17/48 | 6,489 | 7,400 | |
5.25% 5/15/50 | 3,500 | 4,198 | |
United Parcel Service, Inc.: | |||
2.4% 11/15/26 | 6,164 | 6,216 | |
3.4% 11/15/46 | 2,177 | 2,225 | |
3.75% 11/15/47 | 5,078 | 5,488 | |
4.25% 3/15/49 | 3,300 | 3,844 | |
4.45% 4/1/30 | 5,000 | 5,647 | |
5.3% 4/1/50 | 4,830 | 6,486 | |
6.2% 1/15/38 | 2,055 | 2,782 | |
65,970 | |||
Airlines - 0.1% | |||
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36 | 6,820 | 6,562 | |
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24 | 553 | 554 | |
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 4,900 | 4,823 | |
Southwest Airlines Co. 5.125% 6/15/27 | 5,000 | 5,543 | |
United Airlines 2015-1 Class AA pass-thru trust 3.45% 6/1/29 | 426 | 435 | |
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30 | 9,810 | 9,927 | |
United Airlines, Inc. equipment trust certificate Series 2012-2B 4% 4/29/26 | 2,322 | 2,364 | |
30,208 | |||
Building Products - 0.1% | |||
Carrier Global Corp.: | |||
2.242% 2/15/25 | 10,400 | 10,371 | |
2.493% 2/15/27 | 7,350 | 7,312 | |
2.722% 2/15/30 | 12,800 | 12,448 | |
3.377% 4/5/40 | 5,130 | 4,822 | |
3.577% 4/5/50 | 11,600 | 11,032 | |
Masco Corp.: | |||
2% 2/15/31 | 7,638 | 6,924 | |
3.125% 2/15/51 | 3,864 | 3,360 | |
Owens Corning 3.95% 8/15/29 | 5,600 | 5,846 | |
62,115 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc.: | |||
1.45% 2/15/31 | 18,400 | 16,291 | |
2.9% 7/1/26 | 3,468 | 3,517 | |
3.2% 3/15/25 | 9,266 | 9,478 | |
3.95% 5/15/28 | 8,628 | 9,165 | |
Waste Management, Inc.: | |||
2.4% 5/15/23 | 4,355 | 4,385 | |
2.9% 9/15/22 | 5,485 | 5,514 | |
4.15% 7/15/49 | 10,538 | 11,765 | |
60,115 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp.: | |||
2.75% 11/2/22 | 4,705 | 4,751 | |
4% 11/2/32 | 1,561 | 1,704 | |
4.15% 11/2/42 | 1,561 | 1,676 | |
8,131 | |||
Industrial Conglomerates - 0.2% | |||
3M Co.: | |||
2% 6/26/22 | 3,287 | 3,298 | |
2% 2/14/25 | 5,200 | 5,181 | |
2.375% 8/26/29 | 9,127 | 8,918 | |
2.65% 4/15/25 | 3,738 | 3,797 | |
2.875% 10/15/27 | 3,287 | 3,377 | |
3.05% 4/15/30 | 3,013 | 3,084 | |
3.125% 9/19/46 | 2,268 | 2,138 | |
3.25% 8/26/49 | 7,032 | 6,706 | |
3.7% 4/15/50 | 3,719 | 3,817 | |
General Electric Co.: | |||
3.45% 5/1/27 | 3,850 | 3,957 | |
3.625% 5/1/30 | 9,820 | 9,851 | |
6.875% 1/10/39 | 123 | 169 | |
Honeywell International, Inc.: | |||
1.35% 6/1/25 | 8,400 | 8,222 | |
1.95% 6/1/30 | 9,100 | 8,577 | |
2.5% 11/1/26 | 5,884 | 5,957 | |
2.8% 6/1/50 | 8,450 | 7,989 | |
3.812% 11/21/47 | 1,151 | 1,266 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 4,900 | 4,883 | |
1% 9/15/25 | 7,700 | 7,324 | |
1.4% 9/15/27 | 7,500 | 6,996 | |
1.75% 2/15/31 | 7,500 | 6,631 | |
2% 6/30/30 | 14,800 | 13,476 | |
3.8% 12/15/26 | 6,985 | 7,347 | |
132,961 | |||
Machinery - 0.2% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 11,450 | 11,249 | |
1.1% 9/14/27 | 11,810 | 11,086 | |
2.4% 6/6/22 | 8,218 | 8,253 | |
2.4% 8/9/26 | 2,342 | 2,366 | |
2.85% 6/1/22 | 3,287 | 3,303 | |
3.45% 5/15/23 | 11,504 | 11,792 | |
Caterpillar, Inc.: | |||
3.25% 9/19/49 | 13,670 | 13,453 | |
3.803% 8/15/42 | 2,055 | 2,186 | |
5.3% 9/15/35 | 5,753 | 7,156 | |
Cummins, Inc. 1.5% 9/1/30 | 5,000 | 4,488 | |
Deere & Co.: | |||
2.875% 9/7/49 | 9,910 | 9,092 | |
5.375% 10/16/29 | 822 | 979 | |
Ingersoll-Rand Luxembourg Finance SA: | |||
3.8% 3/21/29 | 11,793 | 12,366 | |
4.65% 11/1/44 | 4,931 | 5,578 | |
Otis Worldwide Corp.: | |||
2.565% 2/15/30 | 11,000 | 10,633 | |
3.362% 2/15/50 | 8,370 | 7,800 | |
Parker Hannifin Corp.: | |||
3.25% 3/1/27 | 4,643 | 4,806 | |
4% 6/14/49 | 4,890 | 5,135 | |
4.1% 3/1/47 | 4,651 | 4,910 | |
136,631 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.35% 5/15/26 | 5,753 | 5,950 | |
Road & Rail - 0.4% | |||
Burlington Northern Santa Fe LLC: | |||
3% 3/15/23 | 2,301 | 2,331 | |
3.05% 2/15/51 | 3,620 | 3,356 | |
3.25% 6/15/27 | 6,164 | 6,475 | |
3.55% 2/15/50 | 5,000 | 5,017 | |
3.9% 8/1/46 | 3,813 | 4,015 | |
4.05% 6/15/48 | 13,835 | 15,017 | |
4.125% 6/15/47 | 2,342 | 2,603 | |
4.15% 4/1/45 | 1,397 | 1,519 | |
4.375% 9/1/42 | 3,698 | 4,142 | |
4.55% 9/1/44 | 2,465 | 2,817 | |
4.9% 4/1/44 | 3,287 | 3,962 | |
Canadian National Railway Co.: | |||
2.45% 5/1/50 | 13,710 | 11,439 | |
3.2% 8/2/46 | 2,712 | 2,606 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 9,300 | 9,020 | |
2.45% 12/2/31 | 9,600 | 9,213 | |
3.1% 12/2/51 | 9,730 | 8,821 | |
CSX Corp.: | |||
3.25% 6/1/27 | 4,109 | 4,256 | |
3.4% 8/1/24 | 3,800 | 3,916 | |
3.8% 11/1/46 | 4,701 | 4,778 | |
3.95% 5/1/50 | 2,938 | 3,083 | |
4.1% 3/15/44 | 5,568 | 5,901 | |
4.5% 3/15/49 | 11,341 | 12,788 | |
4.75% 11/15/48 | 4,758 | 5,548 | |
Norfolk Southern Corp.: | |||
3% 4/1/22 | 6,164 | 6,173 | |
3.65% 8/1/25 | 9,861 | 10,278 | |
3.8% 8/1/28 | 7,701 | 8,150 | |
3.95% 10/1/42 | 1,561 | 1,630 | |
4.05% 8/15/52 | 7,096 | 7,530 | |
4.65% 1/15/46 | 2,678 | 3,051 | |
Union Pacific Corp.: | |||
2.15% 2/5/27 | 7,400 | 7,299 | |
2.75% 3/1/26 | 5,473 | 5,556 | |
2.891% 4/6/36 | 7,544 | 7,297 | |
3% 4/15/27 | 4,109 | 4,226 | |
3.25% 2/5/50 | 11,090 | 10,649 | |
3.35% 8/15/46 | 3,879 | 3,752 | |
3.6% 9/15/37 | 2,712 | 2,785 | |
3.799% 10/1/51 | 2,301 | 2,392 | |
3.839% 3/20/60 | 11,556 | 11,871 | |
225,262 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.625% 7/1/22 | 7,741 | 7,760 | |
2.75% 1/15/23 | 8,218 | 8,286 | |
3.125% 12/1/30 | 10,000 | 9,639 | |
3.625% 12/1/27 | 7,855 | 7,950 | |
4.25% 2/1/24 | 10,816 | 11,168 | |
44,803 | |||
TOTAL INDUSTRIALS | 1,040,748 | ||
INFORMATION TECHNOLOGY - 2.2% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
2.2% 9/20/23 | 6,171 | 6,216 | |
2.5% 9/20/26 | 4,109 | 4,199 | |
3.5% 6/15/25 | 3,509 | 3,677 | |
5.9% 2/15/39 | 10,203 | 13,479 | |
27,571 | |||
Electronic Equipment & Components - 0.2% | |||
Corning, Inc.: | |||
3.9% 11/15/49 | 5,000 | 5,037 | |
4.75% 3/15/42 | 4,109 | 4,731 | |
Dell International LLC/EMC Corp.: | |||
4% 7/15/24 | 9,450 | 9,805 | |
4.9% 10/1/26 | 7,765 | 8,411 | |
5.3% 10/1/29 | 20,684 | 23,067 | |
6.02% 6/15/26 | 13,263 | 14,800 | |
8.1% 7/15/36 | 8,590 | 11,895 | |
8.35% 7/15/46 | 9,871 | 14,969 | |
Tyco Electronics Group SA: | |||
3.45% 8/1/24 | 2,999 | 3,075 | |
7.125% 10/1/37 | 2,034 | 2,909 | |
98,699 | |||
IT Services - 0.5% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 11,800 | 11,537 | |
Fidelity National Information Services, Inc.: | |||
1.15% 3/1/26 | 17,522 | 16,543 | |
2.25% 3/1/31 | 14,550 | 13,248 | |
Fiserv, Inc.: | |||
3.5% 7/1/29 | 9,101 | 9,222 | |
4.4% 7/1/49 | 15,118 | 16,115 | |
Global Payments, Inc. 1.2% 3/1/26 | 24,275 | 22,913 | |
IBM Corp.: | |||
1.95% 5/15/30 | 11,485 | 10,785 | |
2.95% 5/15/50 | 11,385 | 10,206 | |
3% 5/15/24 | 9,867 | 10,092 | |
3.5% 5/15/29 | 13,939 | 14,611 | |
3.625% 2/12/24 | 8,218 | 8,520 | |
4.25% 5/15/49 | 8,909 | 9,763 | |
4.7% 2/19/46 | 4,068 | 4,747 | |
MasterCard, Inc.: | |||
3.3% 3/26/27 | 5,942 | 6,242 | |
3.35% 3/26/30 | 8,268 | 8,660 | |
3.8% 11/21/46 | 3,123 | 3,340 | |
3.85% 3/26/50 | 14,640 | 15,913 | |
PayPal Holdings, Inc.: | |||
1.65% 6/1/25 | 11,230 | 11,004 | |
2.3% 6/1/30 | 13,000 | 12,383 | |
The Western Union Co. 2.85% 1/10/25 | 9,000 | 9,112 | |
Visa, Inc.: | |||
1.1% 2/15/31 | 16,800 | 14,886 | |
1.9% 4/15/27 | 11,780 | 11,611 | |
2.05% 4/15/30 | 15,270 | 14,788 | |
2.7% 4/15/40 | 9,800 | 9,215 | |
2.75% 9/15/27 | 9,795 | 10,035 | |
3.15% 12/14/25 | 7,404 | 7,672 | |
4.3% 12/14/45 | 5,457 | 6,316 | |
299,479 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Analog Devices, Inc. 2.8% 10/1/41 | 9,920 | 9,144 | |
Applied Materials, Inc. 4.35% 4/1/47 | 10,617 | 12,212 | |
Broadcom Corp./Broadcom Cayman LP: | |||
3.5% 1/15/28 | 5,753 | 5,874 | |
3.875% 1/15/27 | 3,148 | 3,278 | |
Broadcom, Inc.: | |||
2.45% 2/15/31 (b) | 17,810 | 16,452 | |
3.459% 9/15/26 | 10,373 | 10,679 | |
3.469% 4/15/34 (b) | 3,508 | 3,386 | |
3.75% 2/15/51 (b) | 17,810 | 16,619 | |
4.3% 11/15/32 | 10,300 | 10,852 | |
4.75% 4/15/29 | 14,053 | 15,271 | |
Intel Corp.: | |||
2% 8/12/31 | 7,370 | 6,852 | |
2.35% 5/11/22 | 13,970 | 13,999 | |
2.45% 11/15/29 | 8,500 | 8,300 | |
3.05% 8/12/51 | 7,370 | 6,693 | |
3.25% 11/15/49 | 8,600 | 8,056 | |
3.734% 12/8/47 | 2,684 | 2,706 | |
3.9% 3/25/30 | 9,360 | 10,074 | |
4.1% 5/19/46 | 5,753 | 6,126 | |
4.1% 5/11/47 | 1,972 | 2,101 | |
4.75% 3/25/50 | 9,840 | 11,504 | |
Lam Research Corp. 2.875% 6/15/50 | 12,050 | 10,748 | |
Micron Technology, Inc. 4.663% 2/15/30 | 6,800 | 7,309 | |
NVIDIA Corp.: | |||
2% 6/15/31 | 20,879 | 19,634 | |
2.85% 4/1/30 | 8,900 | 9,010 | |
3.5% 4/1/50 | 4,950 | 5,098 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.65% 2/15/32 (b) | 18,250 | 17,175 | |
Qualcomm, Inc.: | |||
2.6% 1/30/23 | 6,164 | 6,238 | |
4.3% 5/20/47 | 8,300 | 9,372 | |
Texas Instruments, Inc. 4.15% 5/15/48 | 5,717 | 6,488 | |
271,250 | |||
Software - 0.5% | |||
Microsoft Corp.: | |||
2.525% 6/1/50 | 33,263 | 29,516 | |
2.675% 6/1/60 | 5,518 | 4,864 | |
2.7% 2/12/25 | 14,114 | 14,517 | |
2.875% 2/6/24 | 9,580 | 9,809 | |
2.921% 3/17/52 | 38,196 | 36,470 | |
3.041% 3/17/62 | 3,391 | 3,236 | |
3.45% 8/8/36 | 2,387 | 2,560 | |
3.625% 12/15/23 | 21,489 | 22,331 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 9,423 | 9,027 | |
2.5% 5/15/22 | 7,889 | 7,897 | |
2.5% 4/1/25 | 8,860 | 8,848 | |
2.625% 2/15/23 | 8,218 | 8,272 | |
2.65% 7/15/26 | 7,396 | 7,345 | |
2.875% 3/25/31 | 10,630 | 10,146 | |
2.95% 5/15/25 | 4,109 | 4,140 | |
2.95% 4/1/30 | 11,770 | 11,376 | |
3.25% 11/15/27 | 14,053 | 14,213 | |
3.4% 7/8/24 | 3,883 | 3,972 | |
3.6% 4/1/50 | 12,810 | 11,136 | |
3.85% 7/15/36 | 8,325 | 8,001 | |
3.85% 4/1/60 | 14,890 | 12,833 | |
3.95% 3/25/51 | 10,940 | 10,021 | |
4% 7/15/46 | 8,054 | 7,402 | |
4% 11/15/47 | 14,379 | 13,123 | |
4.125% 5/15/45 | 2,465 | 2,292 | |
4.3% 7/8/34 | 3,184 | 3,288 | |
5.375% 7/15/40 | 10,272 | 11,304 | |
VMware, Inc. 1.4% 8/15/26 | 21,046 | 19,947 | |
307,886 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Apple, Inc.: | |||
0.55% 8/20/25 | 14,600 | 13,899 | |
0.7% 2/8/26 | 11,310 | 10,815 | |
1.25% 8/20/30 | 13,550 | 12,208 | |
1.7% 8/5/31 | 8,158 | 7,562 | |
2.1% 9/12/22 | 6,985 | 7,026 | |
2.3% 5/11/22 | 6,575 | 6,590 | |
2.375% 2/8/41 | 11,760 | 10,474 | |
2.4% 1/13/23 | 24,653 | 24,882 | |
2.45% 8/4/26 | 16,928 | 17,185 | |
2.55% 8/20/60 | 5,340 | 4,425 | |
2.65% 5/11/50 | 4,300 | 3,815 | |
2.7% 5/13/22 | 5,464 | 5,485 | |
2.85% 8/5/61 | 8,159 | 7,249 | |
2.9% 9/12/27 | 11,546 | 11,912 | |
2.95% 9/11/49 | 21,980 | 20,491 | |
3% 11/13/27 | 8,218 | 8,543 | |
3.2% 5/13/25 | 8,620 | 8,932 | |
3.2% 5/11/27 | 13,457 | 14,077 | |
3.75% 9/12/47 | 5,000 | 5,327 | |
3.75% 11/13/47 | 5,732 | 6,124 | |
3.85% 5/4/43 | 10,683 | 11,487 | |
4.25% 2/9/47 | 2,055 | 2,345 | |
4.375% 5/13/45 | 3,854 | 4,406 | |
4.5% 2/23/36 | 7,609 | 8,945 | |
4.65% 2/23/46 | 4,643 | 5,633 | |
Hewlett Packard Enterprise Co.: | |||
4.9% 10/15/25 (a) | 8,013 | 8,596 | |
6.2% 10/15/35 (a) | 3,197 | 3,823 | |
6.35% 10/15/45 (a) | 1,545 | 1,842 | |
HP, Inc.: | |||
2.2% 6/17/25 | 11,650 | 11,575 | |
6% 9/15/41 | 1,233 | 1,473 | |
267,146 | |||
TOTAL INFORMATION TECHNOLOGY | 1,272,031 | ||
MATERIALS - 0.6% | |||
Chemicals - 0.5% | |||
Air Products & Chemicals, Inc.: | |||
1.5% 10/15/25 | 4,950 | 4,847 | |
2.05% 5/15/30 | 5,400 | 5,163 | |
2.7% 5/15/40 | 4,650 | 4,234 | |
2.8% 5/15/50 | 5,530 | 4,955 | |
DuPont de Nemours, Inc.: | |||
4.205% 11/15/23 | 11,669 | 12,086 | |
4.725% 11/15/28 | 14,089 | 15,590 | |
5.319% 11/15/38 | 8,750 | 10,402 | |
Eastman Chemical Co. 4.65% 10/15/44 | 2,465 | 2,696 | |
Ecolab, Inc.: | |||
1.3% 1/30/31 | 6,575 | 5,849 | |
2.7% 11/1/26 | 5,424 | 5,517 | |
2.75% 8/18/55 | 9,071 | 7,842 | |
Linde, Inc./Connecticut: | |||
2.2% 8/15/22 | 1,644 | 1,648 | |
3.2% 1/30/26 | 5,210 | 5,412 | |
3.55% 11/7/42 | 1,644 | 1,736 | |
LYB International Finance BV: | |||
4% 7/15/23 | 2,620 | 2,695 | |
4.875% 3/15/44 | 4,807 | 5,284 | |
LYB International Finance II BV 3.5% 3/2/27 | 20,109 | 20,895 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 7,620 | 7,132 | |
3.625% 4/1/51 | 7,620 | 7,196 | |
LyondellBasell Industries NV 4.625% 2/26/55 | 3,073 | 3,225 | |
Nutrien Ltd.: | |||
4% 12/15/26 | 9,368 | 9,974 | |
4.2% 4/1/29 | 4,251 | 4,592 | |
5% 4/1/49 | 7,399 | 8,930 | |
5.25% 1/15/45 | 2,876 | 3,470 | |
5.625% 12/1/40 | 1,479 | 1,832 | |
Sherwin-Williams Co.: | |||
2.75% 6/1/22 | 190 | 190 | |
3.45% 6/1/27 | 18,217 | 18,951 | |
3.8% 8/15/49 | 3,020 | 3,034 | |
4.5% 6/1/47 | 7,010 | 7,689 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 7,100 | 6,620 | |
3.6% 11/15/50 | 7,300 | 6,981 | |
3.625% 5/15/26 | 6,083 | 6,350 | |
4.375% 11/15/42 | 4,006 | 4,284 | |
4.8% 11/30/28 | 7,026 | 7,824 | |
4.8% 5/15/49 | 6,323 | 7,149 | |
9.4% 5/15/39 | 2,465 | 4,141 | |
The Mosaic Co.: | |||
4.05% 11/15/27 | 4,733 | 5,003 | |
4.25% 11/15/23 | 8,947 | 9,250 | |
5.625% 11/15/43 | 3,082 | 3,809 | |
Westlake Corp. 5% 8/15/46 | 1,644 | 1,866 | |
256,343 | |||
Containers & Packaging - 0.0% | |||
International Paper Co.: | |||
4.4% 8/15/47 | 7,146 | 7,775 | |
5.15% 5/15/46 | 1,488 | 1,791 | |
9,566 | |||
Metals & Mining - 0.1% | |||
Barrick Gold Corp. 5.25% 4/1/42 | 3,698 | 4,332 | |
BHP Billiton Financial (U.S.A.) Ltd. 5% 9/30/43 | 2,465 | 2,974 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 5,900 | 5,513 | |
2.8% 10/1/29 | 2,800 | 2,715 | |
5.45% 6/9/44 | 5,269 | 6,412 | |
Nucor Corp.: | |||
2.979% 12/15/55 | 3,287 | 2,828 | |
4% 8/1/23 | 2,465 | 2,530 | |
Rio Tinto Finance (U.S.A.) Ltd. 7.125% 7/15/28 | 1,644 | 2,053 | |
Southern Copper Corp.: | |||
3.875% 4/23/25 | 3,016 | 3,095 | |
5.25% 11/8/42 | 4,746 | 5,448 | |
7.5% 7/27/35 | 5,000 | 6,601 | |
Vale Overseas Ltd. 3.75% 7/8/30 | 20,000 | 19,640 | |
Vale SA 5.625% 9/11/42 | 5,424 | 5,934 | |
70,075 | |||
Paper & Forest Products - 0.0% | |||
Suzano Austria GmbH: | |||
2.5% 9/15/28 | 12,342 | 11,228 | |
6% 1/15/29 | 9,900 | 10,808 | |
22,036 | |||
TOTAL MATERIALS | 358,020 | ||
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 7,625 | 6,898 | |
3% 5/18/51 | 5,775 | 5,064 | |
4.85% 4/15/49 | 9,470 | 11,068 | |
American Tower Corp.: | |||
1.3% 9/15/25 | 7,470 | 7,150 | |
2.1% 6/15/30 | 12,610 | 11,418 | |
3.1% 6/15/50 | 4,610 | 3,865 | |
3.55% 7/15/27 | 7,026 | 7,213 | |
3.7% 10/15/49 | 5,000 | 4,628 | |
AvalonBay Communities, Inc. 2.3% 3/1/30 | 5,000 | 4,855 | |
Boston Properties, Inc.: | |||
2.75% 10/1/26 | 5,753 | 5,770 | |
3.125% 9/1/23 | 1,561 | 1,585 | |
3.25% 1/30/31 | 15,700 | 15,672 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 22,201 | 21,297 | |
2.25% 1/15/31 | 5,970 | 5,380 | |
3.25% 1/15/51 | 5,400 | 4,633 | |
Duke Realty LP 1.75% 2/1/31 | 24,190 | 21,780 | |
ERP Operating LP: | |||
1.85% 8/1/31 | 15,000 | 13,905 | |
3% 4/15/23 | 1,540 | 1,559 | |
3.25% 8/1/27 | 10,670 | 11,040 | |
Healthpeak Properties, Inc.: | |||
3% 1/15/30 | 10,280 | 10,231 | |
3.4% 2/1/25 | 400 | 412 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 8,500 | 8,034 | |
3.5% 4/15/23 | 3,123 | 3,166 | |
3.8% 4/1/27 | 3,287 | 3,453 | |
4.125% 12/1/46 | 8,218 | 8,500 | |
4.45% 9/1/47 | 4,256 | 4,635 | |
National Retail Properties, Inc. 3% 4/15/52 | 7,000 | 5,831 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 1,354 | 1,389 | |
4.5% 1/15/25 | 6,582 | 6,855 | |
4.5% 4/1/27 | 7,807 | 8,241 | |
Prologis LP: | |||
1.625% 3/15/31 | 9,750 | 8,865 | |
2.125% 4/15/27 | 9,830 | 9,669 | |
3.25% 10/1/26 | 3,829 | 3,981 | |
Simon Property Group LP: | |||
2.2% 2/1/31 | 21,900 | 20,486 | |
3.25% 9/13/49 | 9,580 | 8,803 | |
3.375% 12/1/27 | 16,398 | 16,905 | |
UDR, Inc. 2.1% 6/15/33 | 13,375 | 11,822 | |
Ventas Realty LP: | |||
3.25% 10/15/26 | 2,876 | 2,943 | |
3.5% 2/1/25 | 3,287 | 3,386 | |
3.85% 4/1/27 | 7,807 | 8,224 | |
4% 3/1/28 | 17,796 | 18,913 | |
4.125% 1/15/26 | 1,192 | 1,262 | |
4.375% 2/1/45 | 2,465 | 2,603 | |
4.875% 4/15/49 | 2,340 | 2,693 | |
Welltower, Inc. 4.95% 9/1/48 | 8,218 | 9,751 | |
Weyerhaeuser Co. 4% 4/15/30 | 9,500 | 10,098 | |
365,931 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP 3.95% 2/15/23 | 3,123 | 3,159 | |
CBRE Group, Inc. 4.875% 3/1/26 | 4,684 | 5,078 | |
Digital Realty Trust LP 3.7% 8/15/27 | 6,575 | 6,877 | |
Essex Portfolio LP 4% 3/1/29 | 5,000 | 5,326 | |
Mid-America Apartments LP 3.95% 3/15/29 | 5,700 | 6,100 | |
Tanger Properties LP 3.875% 7/15/27 | 5,095 | 5,267 | |
31,807 | |||
TOTAL REAL ESTATE | 397,738 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.4% | |||
AEP Texas, Inc. 3.8% 10/1/47 | 3,500 | 3,392 | |
AEP Transmission Co. LLC 2.75% 8/15/51 | 5,900 | 5,036 | |
Alabama Power Co.: | |||
1.45% 9/15/30 | 15,000 | 13,442 | |
3.7% 12/1/47 | 4,841 | 4,907 | |
3.75% 3/1/45 | 822 | 817 | |
4.15% 8/15/44 | 3,821 | 4,051 | |
4.3% 7/15/48 | 4,832 | 5,233 | |
5.2% 6/1/41 | 3,164 | 3,713 | |
American Electric Power Co., Inc.: | |||
2.95% 12/15/22 | 3,287 | 3,316 | |
3.25% 3/1/50 | 2,580 | 2,258 | |
4.3% 12/1/28 | 14,373 | 15,424 | |
Appalachian Power Co.: | |||
4.45% 6/1/45 | 4,931 | 5,190 | |
4.5% 3/1/49 | 7,510 | 8,091 | |
Baltimore Gas & Electric Co.: | |||
2.9% 6/15/50 | 6,580 | 5,931 | |
3.35% 7/1/23 | 2,342 | 2,383 | |
3.5% 8/15/46 | 2,055 | 2,039 | |
CenterPoint Energy Houston Electric LLC: | |||
3.35% 4/1/51 | 9,390 | 9,046 | |
3.55% 8/1/42 | 1,561 | 1,562 | |
4.25% 2/1/49 | 2,139 | 2,359 | |
Cincinnati Gas & Electric Co. 4.3% 2/1/49 | 22,306 | 24,231 | |
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 4,651 | 4,835 | |
Commonwealth Edison Co.: | |||
3.1% 11/1/24 | 8,218 | 8,400 | |
3.2% 11/15/49 | 14,000 | 13,188 | |
3.65% 6/15/46 | 2,350 | 2,403 | |
3.7% 3/1/45 | 2,547 | 2,582 | |
3.75% 8/15/47 | 5,054 | 5,152 | |
4% 3/1/48 | 5,613 | 5,987 | |
4% 3/1/49 | 4,926 | 5,257 | |
DTE Electric Co.: | |||
2.65% 6/15/22 | 6,575 | 6,581 | |
3.95% 3/1/49 | 3,000 | 3,181 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 4,931 | 5,093 | |
3.2% 8/15/49 | 6,564 | 6,185 | |
3.75% 6/1/45 | 1,644 | 1,649 | |
3.875% 3/15/46 | 3,204 | 3,304 | |
4% 9/30/42 | 3,082 | 3,216 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 5,400 | 5,131 | |
2.65% 9/1/26 | 10,971 | 11,023 | |
3.75% 4/15/24 | 4,931 | 5,087 | |
3.75% 9/1/46 | 7,503 | 7,168 | |
3.95% 10/15/23 | 2,008 | 2,061 | |
4.2% 6/15/49 | 7,780 | 7,957 | |
4.8% 12/15/45 | 2,292 | 2,524 | |
Duke Energy Florida LLC 3.4% 10/1/46 | 2,055 | 1,976 | |
Duke Energy Progress LLC: | |||
2.8% 5/15/22 | 3,574 | 3,581 | |
4.15% 12/1/44 | 1,479 | 1,561 | |
4.375% 3/30/44 | 1,644 | 1,787 | |
Edison International 2.95% 3/15/23 | 6,730 | 6,768 | |
Entergy Corp.: | |||
0.9% 9/15/25 | 13,900 | 13,158 | |
2.95% 9/1/26 | 3,863 | 3,907 | |
3.75% 6/15/50 | 3,400 | 3,284 | |
4% 7/15/22 | 5,457 | 5,488 | |
Entergy Louisiana LLC 4.2% 9/1/48 | 2,613 | 2,847 | |
Entergy, Inc.: | |||
3.55% 9/30/49 | 3,322 | 3,188 | |
4% 3/30/29 | 14,525 | 15,457 | |
Eversource Energy: | |||
2.55% 3/15/31 | 13,175 | 12,567 | |
2.9% 10/1/24 | 7,026 | 7,123 | |
3.35% 3/15/26 | 5,432 | 5,578 | |
3.45% 1/15/50 | 3,670 | 3,439 | |
Exelon Corp.: | |||
3.95% 6/15/25 | 16,151 | 16,800 | |
5.1% 6/15/45 | 904 | 1,043 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 10,314 | 9,695 | |
2.25% 9/1/30 | 11,100 | 10,162 | |
3.4% 3/1/50 | 3,000 | 2,575 | |
4.4% 7/15/27 | 6,985 | 7,234 | |
5.35% 7/15/47 | 3,861 | 4,080 | |
Florida Power & Light Co.: | |||
3.125% 12/1/25 | 4,191 | 4,316 | |
3.15% 10/1/49 | 5,748 | 5,479 | |
3.25% 6/1/24 | 3,883 | 3,997 | |
4.05% 10/1/44 | 4,453 | 4,780 | |
4.125% 6/1/48 | 10,108 | 11,114 | |
Indiana Michigan Power Co.: | |||
3.2% 3/15/23 | 2,280 | 2,308 | |
3.25% 5/1/51 | 4,000 | 3,682 | |
Interstate Power and Light Co. 2.3% 6/1/30 | 11,432 | 10,971 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.875% 1/15/27 | 14,200 | 13,736 | |
2.44% 1/15/32 | 14,100 | 13,192 | |
Northern States Power Co.: | |||
2.6% 6/1/51 | 10,800 | 9,242 | |
2.9% 3/1/50 | 9,810 | 8,891 | |
3.4% 8/15/42 | 1,644 | 1,617 | |
4.125% 5/15/44 | 3,698 | 4,004 | |
NSTAR Electric Co. 3.2% 5/15/27 | 6,286 | 6,494 | |
Oncor Electric Delivery Co. LLC: | |||
0.55% 10/1/25 | 26,307 | 24,657 | |
3.1% 9/15/49 | 15,729 | 14,548 | |
3.8% 9/30/47 | 8,000 | 8,262 | |
Pacific Gas & Electric Co.: | |||
3.15% 1/1/26 | 12,000 | 11,933 | |
3.45% 7/1/25 | 5,000 | 5,048 | |
3.5% 6/15/25 | 10,000 | 10,112 | |
4.2% 6/1/41 | 25,000 | 22,675 | |
4.55% 7/1/30 | 10,000 | 10,272 | |
4.75% 2/15/44 | 1,000 | 957 | |
PacifiCorp: | |||
3.6% 4/1/24 | 3,287 | 3,394 | |
4.125% 1/15/49 | 11,061 | 11,586 | |
4.15% 2/15/50 | 3,000 | 3,167 | |
6% 1/15/39 | 5,089 | 6,449 | |
Potomac Electric Power Co. 6.5% 11/15/37 | 3,128 | 4,249 | |
PPL Capital Funding, Inc. 3.1% 5/15/26 | 6,575 | 6,695 | |
PPL Electric Utilities Corp.: | |||
3% 10/1/49 | 10,921 | 10,078 | |
4.15% 10/1/45 | 2,876 | 3,110 | |
Progress Energy, Inc. 6% 12/1/39 | 4,274 | 5,274 | |
Public Service Co. of Colorado: | |||
2.9% 5/15/25 | 9,039 | 9,212 | |
3.8% 6/15/47 | 3,805 | 3,916 | |
Public Service Electric & Gas Co.: | |||
2.45% 1/15/30 | 8,350 | 8,143 | |
3.15% 1/1/50 | 9,450 | 8,903 | |
3.65% 9/1/42 | 2,321 | 2,350 | |
4% 6/1/44 | 4,109 | 4,254 | |
Puget Sound Energy, Inc. 4.3% 5/20/45 | 5,268 | 5,715 | |
Southern California Edison Co.: | |||
2.25% 6/1/30 | 7,446 | 6,990 | |
2.95% 2/1/51 | 16,500 | 13,927 | |
4% 4/1/47 | 8,218 | 8,114 | |
Southern Co.: | |||
3.25% 7/1/26 | 9,039 | 9,269 | |
4.4% 7/1/46 | 6,015 | 6,302 | |
Tampa Electric Co.: | |||
4.45% 6/15/49 | 9,627 | 11,061 | |
6.15% 5/15/37 | 5,144 | 6,550 | |
Union Electric Co. 3.9% 9/15/42 | 3,041 | 3,169 | |
Virginia Electric & Power Co.: | |||
3.1% 5/15/25 | 3,287 | 3,365 | |
3.3% 12/1/49 | 6,000 | 5,741 | |
3.45% 2/15/24 | 2,260 | 2,325 | |
3.8% 4/1/28 | 12,253 | 13,019 | |
3.8% 9/15/47 | 6,747 | 6,977 | |
4.2% 5/15/45 | 8,672 | 9,381 | |
4.45% 2/15/44 | 2,260 | 2,510 | |
4.6% 12/1/48 | 5,818 | 6,661 | |
6% 5/15/37 | 1,644 | 2,117 | |
Wisconsin Electric Power Co. 4.25% 6/1/44 | 3,863 | 4,196 | |
Xcel Energy, Inc. 3.35% 12/1/26 | 2,465 | 2,546 | |
816,685 | |||
Gas Utilities - 0.1% | |||
Dominion Gas Holdings LLC 2.5% 11/15/24 | 9,120 | 9,127 | |
Southern California Gas Co. 2.6% 6/15/26 | 10,872 | 10,991 | |
Southern Co. Gas Capital Corp. 3.95% 10/1/46 | 11,111 | 11,066 | |
31,184 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Emera U.S. Finance LP 4.75% 6/15/46 | 4,281 | 4,518 | |
Multi-Utilities - 0.4% | |||
Ameren Illinois Co. 4.5% 3/15/49 | 6,200 | 7,131 | |
Berkshire Hathaway Energy Co.: | |||
3.25% 4/15/28 | 8,218 | 8,543 | |
3.7% 7/15/30 | 8,229 | 8,705 | |
3.8% 7/15/48 | 8,218 | 8,261 | |
4.25% 10/15/50 | 7,096 | 7,651 | |
4.5% 2/1/45 | 5,464 | 6,019 | |
5.15% 11/15/43 | 6,356 | 7,378 | |
CenterPoint Energy, Inc. 3.7% 9/1/49 | 5,000 | 4,833 | |
CMS Energy Corp. 4.875% 3/1/44 | 4,109 | 4,679 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.875% 6/15/47 | 2,350 | 2,346 | |
4.45% 3/15/44 | 6,575 | 7,060 | |
4.5% 5/15/58 | 7,790 | 8,431 | |
4.65% 12/1/48 | 8,604 | 9,598 | |
5.5% 12/1/39 | 2,055 | 2,458 | |
Consumers Energy Co.: | |||
2.65% 8/15/52 | 10,300 | 8,848 | |
3.5% 8/1/51 | 3,000 | 3,000 | |
Delmarva Power & Light Co. 4% 6/1/42 | 3,287 | 3,304 | |
Dominion Energy, Inc.: | |||
3.375% 4/1/30 | 18,940 | 19,299 | |
3.9% 10/1/25 | 10,601 | 11,057 | |
4.9% 8/1/41 | 1,644 | 1,843 | |
DTE Energy Co.: | |||
2.85% 10/1/26 | 4,931 | 4,978 | |
3.8% 3/15/27 | 11,102 | 11,455 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 11,200 | 10,581 | |
1.7% 2/15/31 | 13,300 | 11,640 | |
3.49% 5/15/27 | 6,286 | 6,482 | |
3.95% 3/30/48 | 8,218 | 8,057 | |
4.375% 5/15/47 | 3,928 | 4,107 | |
4.8% 2/15/44 | 4,520 | 4,902 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 6,632 | 6,859 | |
4.1% 6/15/30 | 11,800 | 12,239 | |
San Diego Gas & Electric Co. 4.5% 8/15/40 | 822 | 923 | |
Sempra Energy: | |||
3.25% 6/15/27 | 5,013 | 5,122 | |
3.8% 2/1/38 | 6,970 | 7,050 | |
4% 2/1/48 | 18,112 | 18,195 | |
6% 10/15/39 | 822 | 1,045 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (a)(c) | 3,475 | 2,780 | |
256,859 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp.: | |||
3.45% 6/1/29 | 5,000 | 5,160 | |
6.593% 10/15/37 | 5,352 | 7,227 | |
12,387 | |||
TOTAL UTILITIES | 1,121,633 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $14,512,183) | 14,502,614 | ||
U.S. Government and Government Agency Obligations - 41.6% | |||
U.S. Government Agency Obligations - 1.1% | |||
Fannie Mae: | |||
0.375% 8/25/25 | $29,402 | $28,034 | |
0.5% 6/17/25 | 33,060 | 31,734 | |
0.625% 4/22/25 | 35,077 | 33,936 | |
0.75% 10/8/27 | 17,425 | 16,375 | |
0.875% 8/5/30 | 41,779 | 37,863 | |
1.625% 10/15/24 | 18,450 | 18,447 | |
1.75% 7/2/24 | 23,719 | 23,794 | |
1.875% 4/5/22 | 26,500 | 26,542 | |
1.875% 9/24/26 | 10,971 | 11,018 | |
2% 10/5/22 | 30,299 | 30,507 | |
2.125% 4/24/26 | 3,287 | 3,331 | |
2.375% 1/19/23 | 24,595 | 24,874 | |
2.625% 9/6/24 | 3,287 | 3,370 | |
2.875% 9/12/23 | 6,327 | 6,469 | |
6.625% 11/15/30 | 10,000 | 13,553 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 7,415 | 7,067 | |
0.5% 4/14/25 | 45,945 | 44,260 | |
1.5% 8/15/24 | 4,070 | 4,064 | |
2% 9/9/22 | 31,225 | 31,425 | |
2.5% 2/13/24 | 4,090 | 4,172 | |
3.25% 11/16/28 | 19,480 | 21,050 | |
5.5% 7/15/36 | 1,230 | 1,700 | |
Freddie Mac: | |||
0.25% 8/24/23 | 17,300 | 17,032 | |
0.25% 12/4/23 | 43,813 | 42,916 | |
0.375% 7/21/25 | 21,696 | 20,738 | |
0.375% 9/23/25 | 24,513 | 23,339 | |
2.75% 6/19/23 | 19,899 | 20,280 | |
6.25% 7/15/32 | 6,327 | 8,738 | |
6.75% 3/15/31 | 21,366 | 29,453 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 28,340 | 27,468 | |
4.25% 9/15/65 | 6,100 | 8,063 | |
5.25% 9/15/39 | 16,435 | 22,044 | |
5.375% 4/1/56 | 4,434 | 6,947 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 650,603 | ||
U.S. Treasury Obligations - 40.5% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 327,540 | 272,396 | |
1.125% 8/15/40 | 181,393 | 150,287 | |
1.25% 5/15/50 | 71,328 | 56,901 | |
1.375% 11/15/40 | 190,369 | 164,610 | |
1.375% 8/15/50 | 90,524 | 74,523 | |
1.625% 11/15/50 | 170,932 | 149,766 | |
1.75% 8/15/41 | 79,300 | 72,683 | |
1.875% 2/15/41 | 62,644 | 58,890 | |
1.875% 2/15/51 | 182,353 | 169,759 | |
1.875% 11/15/51 | 111,287 | 103,827 | |
2% 11/15/41 | 53,417 | 51,138 | |
2% 2/15/50 | 18,197 | 17,426 | |
2% 8/15/51 | 237,095 | 227,426 | |
2.25% 5/15/41 | 145,003 | 144,544 | |
2.25% 8/15/46 | 52,585 | 52,032 | |
2.25% 8/15/49 | 15,817 | 15,949 | |
2.25% 2/15/52 | 64,782 | 65,997 | |
2.375% 11/15/49 | 193,269 | 200,396 | |
2.375% 5/15/51 | 127,529 | 132,974 | |
2.5% 2/15/45 | 83,732 | 86,444 | |
2.5% 2/15/46 | 115,398 | 119,505 | |
2.5% 5/15/46 | 114,170 | 118,237 | |
2.75% 11/15/42 | 1,103 | 1,187 | |
2.75% 8/15/47 | 81,353 | 89,050 | |
2.75% 11/15/47 | 28,613 | 31,369 | |
2.875% 5/15/43 | 92,428 | 101,331 | |
2.875% 8/15/45 | 95,790 | 105,668 | |
2.875% 11/15/46 | 101,020 | 112,108 | |
3% 11/15/44 | 79,671 | 89,408 | |
3% 5/15/45 | 183,190 | 205,917 | |
3% 11/15/45 | 16,876 | 19,034 | |
3% 2/15/47 | 108,431 | 123,154 | |
3% 5/15/47 | 38,686 | 44,056 | |
3% 2/15/48 | 37,708 | 43,380 | |
3% 2/15/49 | 9,368 | 10,872 | |
3.125% 2/15/43 | 64,871 | 73,859 | |
3.125% 8/15/44 | 101,180 | 115,701 | |
3.125% 5/15/48 | 10,632 | 12,531 | |
3.375% 5/15/44 | 152,619 | 181,175 | |
3.375% 11/15/48 | 19,591 | 24,191 | |
3.625% 8/15/43 | 67,582 | 82,851 | |
3.625% 2/15/44 | 42,956 | 52,772 | |
3.75% 11/15/43 | 47,297 | 59,094 | |
3.875% 8/15/40 | 55,027 | 69,101 | |
4.25% 5/15/39 | 6,605 | 8,682 | |
4.25% 11/15/40 | 667 | 876 | |
4.375% 2/15/38 | 21,678 | 28,745 | |
4.375% 11/15/39 | 82 | 110 | |
4.375% 5/15/40 | 6,574 | 8,786 | |
4.375% 5/15/41 | 24,139 | 32,300 | |
4.5% 2/15/36 | 20,970 | 27,749 | |
4.5% 5/15/38 | 34,598 | 46,526 | |
4.5% 8/15/39 | 19,503 | 26,424 | |
4.625% 2/15/40 | 17,668 | 24,258 | |
4.75% 2/15/37 | 66,242 | 90,438 | |
4.75% 2/15/41 | 9,929 | 13,861 | |
5% 5/15/37 (d) | 107,383 | 150,341 | |
5.375% 2/15/31 | 43,940 | 56,959 | |
6.25% 5/15/30 | 50,255 | 67,291 | |
U.S. Treasury Notes: | |||
0.125% 4/30/22 | 120 | 120 | |
0.125% 6/30/22 | 130 | 130 | |
0.125% 7/31/22 | 70 | 70 | |
0.125% 8/31/22 | 80 | 80 | |
0.125% 9/30/22 | 83 | 83 | |
0.125% 10/31/22 | 82 | 82 | |
0.125% 11/30/22 | 1,116 | 1,109 | |
0.125% 12/31/22 | 306 | 304 | |
0.125% 3/31/23 | 50,192 | 49,637 | |
0.125% 4/30/23 | 1 | 1 | |
0.125% 5/31/23 | 53,045 | 52,318 | |
0.125% 6/30/23 | 204,932 | 201,866 | |
0.125% 7/31/23 | 408,416 | 401,699 | |
0.125% 8/31/23 | 472,037 | 463,684 | |
0.125% 1/15/24 | 260,532 | 254,131 | |
0.25% 9/30/23 (e) | 188,653 | 185,388 | |
0.25% 5/31/25 | 53,134 | 50,735 | |
0.25% 6/30/25 | 301,763 | 287,677 | |
0.25% 7/31/25 | 285,011 | 271,406 | |
0.25% 9/30/25 | 180,643 | 171,456 | |
0.25% 10/31/25 | 188,150 | 178,338 | |
0.375% 10/31/23 | 377,254 | 370,829 | |
0.375% 11/30/25 | 364,697 | 346,890 | |
0.375% 12/31/25 | 250,657 | 238,202 | |
0.375% 1/31/26 | 13 | 12 | |
0.375% 7/31/27 | 260,622 | 241,961 | |
0.375% 9/30/27 | 87,079 | 80,589 | |
0.5% 11/30/23 | 258,541 | 254,410 | |
0.5% 3/31/25 | 445,287 | 429,893 | |
0.5% 2/28/26 | 141,262 | 134,524 | |
0.5% 10/31/27 | 366,804 | 341,400 | |
0.625% 10/15/24 | 203,600 | 198,526 | |
0.625% 7/31/26 | 191,003 | 181,886 | |
0.625% 11/30/27 | 38,449 | 35,990 | |
0.625% 12/31/27 | 158,815 | 148,548 | |
0.625% 5/15/30 | 400,783 | 364,212 | |
0.625% 8/15/30 | 61,025 | 55,302 | |
0.75% 12/31/23 | 352,373 | 347,968 | |
0.75% 11/15/24 | 275,700 | 269,346 | |
0.75% 4/30/26 | 154,015 | 147,866 | |
0.75% 5/31/26 | 105,954 | 101,633 | |
0.75% 8/31/26 | 311,687 | 298,270 | |
0.875% 1/31/24 (e) | 249,703 | 247,001 | |
0.875% 6/30/26 | 77,111 | 74,313 | |
0.875% 9/30/26 | 329,300 | 316,578 | |
0.875% 11/15/30 | 489,317 | 452,026 | |
1.125% 10/31/26 | 129,900 | 126,226 | |
1.125% 2/28/27 | 168,691 | 163,663 | |
1.125% 2/29/28 | 271,073 | 260,802 | |
1.125% 8/31/28 | 66,455 | 63,600 | |
1.125% 2/15/31 | 33,000 | 31,091 | |
1.25% 7/31/23 | 61,057 | 61,028 | |
1.25% 8/31/24 | 75,639 | 75,030 | |
1.25% 5/31/28 | 80,900 | 78,217 | |
1.25% 6/30/28 | 385,132 | 371,983 | |
1.25% 8/15/31 | 539,598 | 512,365 | |
1.375% 10/15/22 | 44 | 44 | |
1.375% 6/30/23 | 53,472 | 53,556 | |
1.375% 8/31/23 | 6,520 | 6,523 | |
1.375% 9/30/23 | 35,710 | 35,722 | |
1.375% 1/31/25 | 247,844 | 246,063 | |
1.375% 8/31/26 | 48,197 | 47,418 | |
1.375% 10/31/28 | 177,800 | 172,695 | |
1.375% 12/31/28 | 110,100 | 106,900 | |
1.375% 11/15/31 (d) | 107,203 | 102,764 | |
1.5% 8/15/22 | 4 | 4 | |
1.5% 1/15/23 | 20 | 20 | |
1.5% 3/31/23 | 464 | 466 | |
1.5% 9/30/24 | 68,947 | 68,775 | |
1.5% 10/31/24 | 228,411 | 227,778 | |
1.5% 11/30/24 | 97,696 | 97,379 | |
1.5% 8/15/26 | 217,512 | 215,201 | |
1.5% 1/31/27 | 308,632 | 304,991 | |
1.5% 11/30/28 | 43,341 | 42,434 | |
1.5% 2/15/30 | 748,978 | 731,599 | |
1.625% 8/31/22 | 94 | 94 | |
1.625% 4/30/23 | 33,943 | 34,110 | |
1.625% 5/31/23 | 42,756 | 42,970 | |
1.625% 10/31/23 | 77,386 | 77,679 | |
1.625% 2/15/26 | 0 | 0 | |
1.625% 5/15/26 | 4,610 | 4,587 | |
1.625% 11/30/26 | 47,365 | 47,099 | |
1.625% 8/15/29 | 43,137 | 42,595 | |
1.625% 5/15/31 | 194,747 | 191,362 | |
1.75% 3/31/22 | 0 | 0 | |
1.75% 5/31/22 | 15 | 15 | |
1.75% 6/15/22 | 2 | 2 | |
1.75% 6/30/22 | 34 | 34 | |
1.75% 7/15/22 | 92 | 92 | |
1.75% 9/30/22 | 59 | 59 | |
1.75% 1/31/23 | 170 | 171 | |
1.75% 6/30/24 | 55,355 | 55,614 | |
1.75% 7/31/24 | 185,784 | 186,641 | |
1.75% 12/31/24 | 348,812 | 350,079 | |
1.75% 12/31/26 | 60,299 | 60,297 | |
1.75% 11/15/29 | 15,116 | 15,067 | |
1.875% 3/31/22 | 1 | 1 | |
1.875% 5/31/22 | 4,077 | 4,091 | |
1.875% 7/31/22 | 1 | 1 | |
1.875% 8/31/22 | 52 | 53 | |
1.875% 9/30/22 | 419 | 422 | |
1.875% 10/31/22 | 16 | 16 | |
1.875% 6/30/26 | 27,426 | 27,575 | |
1.875% 2/15/32 | 135,769 | 136,342 | |
2% 7/31/22 | 94 | 95 | |
2% 11/30/22 | 38 | 39 | |
2% 4/30/24 | 48,065 | 48,555 | |
2% 5/31/24 | 81,133 | 81,973 | |
2% 6/30/24 | 80,393 | 81,238 | |
2% 2/15/25 | 2,987 | 3,018 | |
2% 8/15/25 | 29,699 | 29,990 | |
2% 11/15/26 | 38,758 | 39,190 | |
2.125% 5/15/22 | 76 | 76 | |
2.125% 6/30/22 | 3 | 3 | |
2.125% 12/31/22 | 0 | 0 | |
2.125% 11/30/23 | 95,579 | 96,737 | |
2.125% 2/29/24 | 43,241 | 43,794 | |
2.125% 3/31/24 | 337,874 | 342,190 | |
2.125% 7/31/24 | 10,259 | 10,398 | |
2.125% 9/30/24 | 73,836 | 74,828 | |
2.125% 11/30/24 | 45,312 | 45,923 | |
2.125% 5/15/25 | 47,954 | 48,621 | |
2.25% 4/15/22 | 91 | 91 | |
2.25% 12/31/23 | 2,408 | 2,443 | |
2.25% 1/31/24 | 62,471 | 63,412 | |
2.25% 4/30/24 | 149,766 | 152,095 | |
2.25% 10/31/24 | 110,059 | 111,916 | |
2.25% 11/15/24 | 70,614 | 71,817 | |
2.25% 12/31/24 | 33,502 | 34,089 | |
2.25% 11/15/25 | 87,313 | 88,973 | |
2.25% 2/15/27 | 188,386 | 192,831 | |
2.25% 8/15/27 | 547,221 | 560,752 | |
2.25% 11/15/27 | 249,265 | 255,399 | |
2.375% 3/15/22 | 21 | 21 | |
2.375% 1/31/23 | 87 | 88 | |
2.375% 2/29/24 | 99,996 | 101,758 | |
2.375% 8/15/24 | 13,227 | 13,480 | |
2.375% 5/15/29 | 47,853 | 49,642 | |
2.5% 3/31/23 | 0 | 0 | |
2.5% 8/15/23 | 79,851 | 81,233 | |
2.5% 1/31/24 | 102,699 | 104,713 | |
2.5% 5/15/24 | 8,238 | 8,410 | |
2.5% 1/31/25 | 122,879 | 125,908 | |
2.5% 2/28/26 | 74,840 | 77,027 | |
2.625% 6/30/23 | 51,308 | 52,224 | |
2.625% 12/31/23 | 25,383 | 25,929 | |
2.625% 3/31/25 | 13,181 | 13,567 | |
2.625% 12/31/25 | 110,580 | 114,286 | |
2.625% 2/15/29 | 58,684 | 61,760 | |
2.75% 4/30/23 | 51,399 | 52,312 | |
2.75% 5/31/23 | 30,214 | 30,785 | |
2.75% 8/31/23 | 150,219 | 153,364 | |
2.75% 11/15/23 | 59,020 | 60,359 | |
2.75% 2/15/24 | 111,439 | 114,217 | |
2.75% 2/28/25 | 17,306 | 17,861 | |
2.75% 6/30/25 | 16,978 | 17,561 | |
2.75% 2/15/28 | 106,183 | 111,902 | |
2.875% 9/30/23 (e) | 224,937 | 230,270 | |
2.875% 10/31/23 | 156,060 | 159,815 | |
2.875% 11/30/23 | 62,529 | 64,105 | |
2.875% 4/30/25 | 55,513 | 57,566 | |
2.875% 5/31/25 | 99,228 | 102,930 | |
2.875% 5/15/28 | 144,444 | 153,404 | |
2.875% 8/15/28 | 236,234 | 251,359 | |
3% 10/31/25 | 23,647 | 24,717 | |
3.125% 11/15/28 | 20,556 | 22,233 | |
TOTAL U.S. TREASURY OBLIGATIONS | 23,402,051 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $24,341,828) | 24,052,654 | ||
U.S. Government Agency - Mortgage Securities - 27.8% | |||
Fannie Mae - 12.6% | |||
12 month U.S. LIBOR + 1.510% 1.788% 11/1/34 (a)(c) | 1,890 | 1,967 | |
12 month U.S. LIBOR + 1.640% 1.992% 4/1/41 (a)(c) | 388 | 407 | |
12 month U.S. LIBOR + 1.880% 2.149% 11/1/34 (a)(c) | 155 | 162 | |
1.5% 12/1/35 to 11/1/51 | 482,629 | 458,972 | |
2% 5/1/23 to 3/1/52 | 2,438,576 | 2,364,143 | |
2.5% 7/1/26 to 3/1/52 | 1,471,129 | 1,463,362 | |
3% 3/1/26 to 3/1/52 | 1,163,806 | 1,188,227 | |
3.5% 4/1/22 to 8/1/50 | 714,854 | 745,337 | |
4% 5/1/24 to 1/1/52 | 593,361 | 624,686 | |
4% 11/1/41 | 9 | 10 | |
4.5% to 4.5% 7/1/22 to 12/1/50 | 236,940 | 252,587 | |
5% 3/1/23 to 1/1/51 | 113,370 | 123,405 | |
5.5% 7/1/23 to 6/1/49 | 45,176 | 50,264 | |
6% to 6% 2/1/23 to 7/1/41 | 13,013 | 14,739 | |
6.5% 7/1/24 to 6/1/40 | 4,923 | 5,676 | |
TOTAL FANNIE MAE | 7,293,944 | ||
Freddie Mac - 8.8% | |||
12 month U.S. LIBOR + 1.940% 2.202% 9/1/37 (a)(c) | 184 | 194 | |
U.S. TREASURY 1 YEAR INDEX + 1.710% 1.835% 3/1/36 (a)(c) | 1,576 | 1,651 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.338% 12/1/35 (a)(c) | 755 | 794 | |
U.S. TREASURY 1 YEAR INDEX + 2.250% 2.375% 3/1/35 (a)(c) | 325 | 340 | |
1.5% 3/1/36 to 12/1/51 | 506,718 | 481,328 | |
2% 6/1/23 to 2/1/52 | 1,831,872 | 1,768,196 | |
2% 9/1/35 | 9,311 | 9,264 | |
2% 10/1/35 | 60,019 | 59,720 | |
2.5% 2/1/27 to 3/1/52 | 1,369,032 | 1,359,430 | |
3% 10/1/26 to 1/1/52 | 533,653 | 544,755 | |
3% 8/1/47 | 170 | 174 | |
3.5% 9/1/25 to 1/1/52 | 410,460 | 427,864 | |
3.5% 8/1/47 | 306 | 319 | |
3.5% 9/1/47 | 160 | 167 | |
3.5% 9/1/47 | 8,499 | 8,883 | |
3.5% 10/1/48 | 297 | 308 | |
4% 9/1/24 to 1/1/52 | 203,533 | 214,413 | |
4.5% 5/1/23 to 9/1/50 | 113,701 | 121,126 | |
5% 4/1/23 to 6/1/50 | 31,412 | 34,191 | |
5.5% 5/1/23 to 6/1/49 | 18,301 | 20,227 | |
6% 4/1/32 to 8/1/37 | 444 | 495 | |
6.5% 8/1/36 to 12/1/37 | 93 | 107 | |
TOTAL FREDDIE MAC | 5,053,946 | ||
Freddie Mac Multi-family Structured pass-thru certificates - 0.0% | |||
2.5% 12/1/31 | 52 | 53 | |
2.5% 12/1/31 | 4 | 4 | |
2.5% 1/1/32 | 43 | 44 | |
2.5% 2/1/32 | 72 | 73 | |
TOTAL FREDDIE MAC MULTI-FAMILY STRUCTURED PASS-THRU CERTIFICATES | 174 | ||
Ginnie Mae - 5.7% | |||
3.5% 10/15/40 to 6/20/51 | 494,737 | 516,431 | |
4% 1/15/25 to 3/20/51 | 241,397 | 253,791 | |
5% 1/20/39 to 4/20/49 | 43,933 | 47,796 | |
1.5% 10/20/43 to 12/20/51 | 12,544 | 11,768 | |
1.5% 3/1/52 (f) | 400 | 375 | |
2% 10/20/50 to 1/20/52 | 831,315 | 813,769 | |
2% 3/1/52 (f) | 650 | 635 | |
2% 3/1/52 (f) | 650 | 635 | |
2% 3/1/52 (f) | 2,400 | 2,346 | |
2% 3/1/52 (f) | 2,550 | 2,492 | |
2.5% 10/20/42 to 2/20/52 | 812,297 | 813,357 | |
2.5% 3/1/52 (f) | 10,950 | 10,942 | |
2.5% 3/1/52 (f) | 54,700 | 54,661 | |
3% 4/15/42 to 7/20/51 | 634,777 | 650,612 | |
4.5% to 4.5% 3/20/33 to 5/20/51 | 113,489 | 121,020 | |
5.5% 10/20/32 to 6/20/49 | 10,027 | 11,039 | |
6% to 6% 5/20/34 to 12/15/40 | 3,674 | 4,133 | |
6.5% 8/20/36 to 1/15/39 | 676 | 771 | |
TOTAL GINNIE MAE | 3,316,573 | ||
Uniform Mortgage Backed Securities - 0.7% | |||
2% 3/1/37 (f) | 52,400 | 51,999 | |
2% 3/1/52 (f) | 136,700 | 131,052 | |
2.5% 3/1/52 (f) | 12,750 | 12,577 | |
2.5% 3/1/52 (f) | 203,400 | 200,635 | |
3.5% 3/1/52 (f) | 1,900 | 1,957 | |
3.5% 3/1/52 (f) | 1,450 | 1,493 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 399,713 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $16,499,095) | 16,064,350 | ||
Asset-Backed Securities - 0.3% | |||
Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/28 | $8,480 | $8,351 | |
CarMax Auto Owner Trust: | |||
Series 2018-3 Class A3, 3.13% 6/15/23 | 171 | 171 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 28,930 | 28,344 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 7,663 | 7,714 | |
Citibank Credit Card Issuance Trust: | |||
Series 2013-A9 Class A9, 3.72% 9/8/25 | 3,841 | 3,963 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 7,807 | 7,923 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 13,250 | 14,690 | |
Discover Card Execution Note Trust: | |||
Series 2017-A4 Class A4, 2.53% 10/15/26 | 1,544 | 1,569 | |
Series 2018-A1 Class A1, 3.03% 8/15/25 | 15,778 | 16,036 | |
Ford Credit Auto Lease Trust Series 2021-A Class A3, 0.26% 2/15/24 | 28,930 | 28,776 | |
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A, 3.17% 3/15/25 | 15,654 | 15,761 | |
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25 | 22,077 | 21,808 | |
Mercedes-Benz Auto Lease Trust Series 2021-A Class A3, 0.25% 1/16/24 | 28,930 | 28,711 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $185,887) | 183,817 | ||
Commercial Mortgage Securities - 2.0% | |||
BANK sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 19,758 | 20,277 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 13,860 | 13,627 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 34,420 | 31,723 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 17,000 | 16,120 | |
BBCMS Mortgage Trust sequential payer Series 2021-C11 Class A5, 2.322% 9/15/54 | 21,650 | 20,606 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2020-B19 Class A5, 1.85% 9/15/53 | 14,050 | 12,977 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 21,000 | 20,427 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 21,765 | 22,070 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 19,271 | 20,600 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2014-GC25 Class A4, 3.635% 10/10/47 | 24,758 | 25,389 | |
Series 2015-GC29 Class A4, 3.192% 4/10/48 | 9,350 | 9,489 | |
Series 2015-P1 Class A5, 3.717% 9/15/48 | 4,820 | 4,981 | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | 15,252 | 15,585 | |
Series 2016-P4: | |||
Class A4, 2.902% 7/10/49 | 17,668 | 17,833 | |
Class AAB, 2.779% 7/10/49 | 8,960 | 9,040 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR13 Class A3, 3.928% 11/10/46 | 26,333 | 26,747 | |
Series 2013-CR7 Class A4, 3.213% 3/10/46 | 9,507 | 9,593 | |
Series 2014-LC15 Class A4, 4.006% 4/10/47 | 8,801 | 9,040 | |
Series 2013-CR6 Class A4, 3.101% 3/10/46 | 15,421 | 15,485 | |
Series 2015-CR22 Class A5, 3.309% 3/10/48 | 15,963 | 16,312 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C3 Class A4, 3.7182% 8/15/48 | 10,325 | 10,635 | |
Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 15,495 | 15,343 | |
Class A5, 3.0161% 9/15/52 | 15,495 | 15,600 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-K104 Class A2, 2.253% 1/25/30 | 61,560 | 61,564 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 52,330 | 48,771 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 26,700 | 24,980 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 12,680 | 11,912 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 17,800 | 16,750 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 6,900 | 6,635 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 9,820 | 9,622 | |
Series 2021-K130 Class A2, 1.723% 6/25/31 | 8,450 | 8,012 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 23,110 | 22,597 | |
Series K034 Class A2, 3.531% 7/25/23 | 7,396 | 7,570 | |
Series K057 Class A2, 2.57% 7/25/26 | 13,112 | 13,386 | |
Series K080 Class A2, 3.926% 7/25/28 | 13,633 | 14,996 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 21,990 | 22,382 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 23,430 | 22,151 | |
Series K-1510 Class A2, 3.718% 1/25/31 | 12,204 | 13,483 | |
Series K020 Class A2, 2.373% 5/25/22 | 4,239 | 4,241 | |
Series K036 Class A2, 3.527% 10/25/23 | 7,375 | 7,568 | |
Series K046 Class A2, 3.205% 3/25/25 | 27,365 | 28,352 | |
Series K047 Class A2, 3.329% 5/25/25 | 3,172 | 3,302 | |
Series K053 Class A2, 2.995% 12/25/25 | 5,844 | 6,044 | |
Series K056 Class A2, 2.525% 5/25/26 | 17,052 | 17,378 | |
Series K062 Class A1, 3.032% 9/25/26 | 10,819 | 11,058 | |
Series K064 Class A2, 3.224% 3/25/27 | 14,175 | 14,884 | |
Series K068 Class A2, 3.244% 8/25/27 | 19,564 | 20,618 | |
Series K079 Class A2, 3.926% 6/25/28 | 6,394 | 7,022 | |
Series K094 Class A2, 2.903% 6/25/29 | 42,266 | 44,083 | |
Series K730 Class A2, 3.59% 1/25/25 | 31,786 | 32,968 | |
GS Mortgage Securities Trust sequential payer: | |||
Series 2013-GC10 Class A4, 2.681% 2/10/46 | 6,090 | 6,122 | |
Series 2014-GC26 Class A4, 3.364% 11/10/47 | 17,007 | 17,239 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 37,340 | 37,194 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2013-C12 Class A5, 3.6637% 7/15/45 | 16,444 | 16,693 | |
Series 2014-C21 Class A5, 3.7748% 8/15/47 | 27,734 | 28,534 | |
Series 2014-C23 Class A5, 3.9342% 9/15/47 | 7,848 | 8,111 | |
Series 2014-C24 Class A5, 3.6385% 11/15/47 | 21,419 | 21,981 | |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | 7,396 | 7,597 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C2 Class ASB, 2.9542% 6/15/49 | 12,289 | 12,456 | |
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47 | 10,729 | 10,774 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C13 Class A4, 3.9936% 1/15/46 (a) | 6,252 | 6,373 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2013-C11 Class A4, 4.1509% 8/15/46 (a) | 15,525 | 15,780 | |
Series 2015-C27 Class ASB, 3.557% 12/15/47 | 2,850 | 2,913 | |
Series 2016-C28 Class ASB, 3.288% 1/15/49 | 4,701 | 4,789 | |
Series 2015-C20 Class A4, 3.249% 2/15/48 | 12,100 | 12,356 | |
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53 | 14,620 | 14,422 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C52 Class A5, 2.892% 8/15/52 | 26,608 | 26,554 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 1,900 | 1,933 | |
Series 2020-C55 Class A5, 2.725% 2/15/53 | 13,158 | 12,987 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 16,065 | 17,428 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2013-C14 Class A4, 3.073% 6/15/46 | 6,738 | 6,790 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 11,874 | 12,203 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,203,744) | 1,183,057 | ||
Municipal Securities - 0.7% | |||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | 7,990 | 14,115 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $3,880 | $5,900 | |
Series 2010 S1, 7.043% 4/1/50 | 5,830 | 9,512 | |
California Gen. Oblig.: | |||
Series 2009, 7.55% 4/1/39 | 20,340 | 31,992 | |
Series 2010, 7.6% 11/1/40 | 10,660 | 17,060 | |
Series 2018, 3.5% 4/1/28 | 10,590 | 11,279 | |
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52 | 6,985 | 6,520 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40 | 7,500 | 10,862 | |
Commonwealth Fing. Auth. Rev. Series 2016 A, 4.144% 6/1/38 | 6,305 | 7,114 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48 | 13,000 | 11,832 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2019 A, 3.144% 11/1/45 | 1,915 | 1,902 | |
Series 2021 C, 2.843% 11/1/46 | 12,000 | 11,397 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B: | |||
2.746% 6/1/34 | 5,200 | 5,083 | |
3.293% 6/1/42 | 2,520 | 2,471 | |
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46 | 3,055 | 2,956 | |
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 22,495 | 24,817 | |
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45 | 6,245 | 7,789 | |
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49 | 7,765 | 12,337 | |
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39 | 4,095 | 5,317 | |
Massachusetts Gen. Oblig. Series F, 3.277% 6/1/46 | 3,880 | 3,972 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41 | 4,600 | 4,478 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47 | 7,050 | 6,926 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000 | 1,222 | |
New Jersey Tpk. Auth. Tpk. Rev. Series 2009 E, 7.414% 1/1/40 | 3,863 | 5,978 | |
New Jersey Trans. Trust Fund Auth. Series B: | |||
4.081% 6/15/39 | 11,770 | 12,365 | |
4.131% 6/15/42 | 11,770 | 12,158 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 7,415 | 10,471 | |
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37 | 8,815 | 11,048 | |
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39 | 5,065 | 6,724 | |
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34 | 16,750 | 15,890 | |
Port Auth. of New York & New Jersey: | |||
Series 180, 4.96% 8/1/46 | 4,255 | 5,268 | |
Series 2010 164, 5.647% 11/1/40 | 4,280 | 5,543 | |
Series 225, 3.175% 7/15/60 | 19,000 | 17,710 | |
Port of Morrow Transmission Facilities Rev. (Bonneville Coorporation Proj.) Series 2016 1, 2.987% 9/1/36 | 4,650 | 4,638 | |
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40 | 5,190 | 6,976 | |
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41 | 9,296 | 12,034 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series N: | |||
3.006% 5/15/50 | 10,825 | 10,553 | |
3.256% 5/15/60 | 11,000 | 11,221 | |
Univ. of California Revs.: | |||
Series 2009 R, 5.77% 5/15/43 | 825 | 1,079 | |
Series 2015 AP, 3.931% 5/15/45 | 3,075 | 3,294 | |
Univ. of Virginia Gen. Rev.: | |||
(Multi-Year Cap. Proj. Fing. Prog.) Series 2017 C, 4.179% 9/1/2117 | 3,905 | 4,824 | |
Series 2021 B, 2.584% 11/1/51 | 1,950 | 1,754 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $355,198) | 376,381 | ||
Foreign Government and Government Agency Obligations - 1.4% | |||
Alberta Province: | |||
1% 5/20/25 | $29,000 | $28,219 | |
3.3% 3/15/28 | 8,204 | 8,743 | |
British Columbia Province 2.25% 6/2/26 | 19,598 | 19,865 | |
Canadian Government 2% 11/15/22 | 3,885 | 3,912 | |
Chilean Republic: | |||
2.55% 7/27/33 | 25,600 | 23,296 | |
3.125% 1/21/26 | 1,000 | 1,024 | |
3.24% 2/6/28 | 9,533 | 9,669 | |
3.625% 10/30/42 | 10,743 | 10,205 | |
3.86% 6/21/47 | 4,931 | 4,790 | |
Export Development Canada: | |||
2.625% 2/21/24 | 9,580 | 9,785 | |
2.75% 3/15/23 | 37,520 | 38,059 | |
Hungarian Republic: | |||
5.75% 11/22/23 | 15,530 | 16,368 | |
7.625% 3/29/41 | 5,992 | 8,661 | |
Indonesian Republic: | |||
2.85% 2/14/30 | 28,800 | 28,445 | |
3.5% 2/14/50 | 22,000 | 20,340 | |
Israeli State: | |||
3.25% 1/17/28 | 11,825 | 12,387 | |
3.375% 1/15/50 | 24,374 | 23,794 | |
4% 6/30/22 | 5,753 | 5,811 | |
Italian Republic: | |||
2.375% 10/17/24 | 5,000 | 5,020 | |
2.875% 10/17/29 | 22,000 | 21,611 | |
4% 10/17/49 | 4,800 | 4,797 | |
6.875% 9/27/23 | 4,931 | 5,309 | |
Jordanian Kingdom 3% 6/30/25 | 2,059 | 2,125 | |
Manitoba Province: | |||
2.1% 9/6/22 | 1,561 | 1,569 | |
2.125% 5/4/22 | 3,287 | 3,296 | |
3.05% 5/14/24 | 1,233 | 1,269 | |
Ontario Province: | |||
0.625% 1/21/26 | 2,100 | 1,994 | |
1.125% 10/7/30 | 19,710 | 18,083 | |
2.25% 5/18/22 | 4,782 | 4,801 | |
2.3% 6/15/26 | 11,728 | 11,874 | |
2.5% 4/27/26 | 4,109 | 4,197 | |
3.05% 1/29/24 | 9,580 | 9,836 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 15,489 | 15,201 | |
3.75% 3/16/25 | 3,260 | 3,351 | |
4% 9/22/24 | 1,648 | 1,703 | |
4.3% 4/29/53 | 4,663 | 4,370 | |
4.5% 4/16/50 | 10,588 | 10,286 | |
4.5% 4/1/56 | 16,400 | 15,706 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 20,640 | 17,677 | |
2.392% 1/23/26 | 4,000 | 3,908 | |
2.78% 12/1/60 | 3,400 | 2,587 | |
2.844% 6/20/30 | 13,427 | 12,880 | |
3.55% 3/10/51 | 15,500 | 14,055 | |
4.125% 8/25/27 | 11,881 | 12,511 | |
6.55% 3/14/37 | 2,527 | 3,199 | |
7.35% 7/21/25 | 4,000 | 4,588 | |
Philippine Republic: | |||
1.648% 6/10/31 | 15,000 | 13,220 | |
2.65% 12/10/45 | 18,900 | 15,382 | |
3% 2/1/28 | 15,613 | 15,751 | |
3.95% 1/20/40 | 13,130 | 12,951 | |
4.2% 1/21/24 | 4,087 | 4,195 | |
6.375% 10/23/34 | 8,526 | 10,872 | |
Polish Government: | |||
3.25% 4/6/26 | 5,424 | 5,592 | |
4% 1/22/24 | 29,736 | 30,653 | |
5% 3/23/22 | 11,915 | 11,917 | |
Quebec Province: | |||
1.5% 2/11/25 | 23,700 | 23,535 | |
2.5% 4/20/26 | 9,651 | 9,865 | |
2.75% 4/12/27 | 10,504 | 10,899 | |
2.875% 10/16/24 | 1,705 | 1,756 | |
United Mexican States: | |||
3.25% 4/16/30 | 10,971 | 10,658 | |
3.5% 2/12/34 | 33,404 | 31,300 | |
4.28% 8/14/41 | 36,000 | 33,696 | |
4.35% 1/15/47 | 11,842 | 10,966 | |
4.5% 1/31/50 | 7,600 | 7,163 | |
4.6% 1/23/46 | 4,766 | 4,575 | |
4.6% 2/10/48 | 14,422 | 13,759 | |
4.75% 3/8/44 | 7,970 | 7,854 | |
5.55% 1/21/45 | 3,218 | 3,511 | |
6.05% 1/11/40 | 3,944 | 4,494 | |
Uruguay Republic: | |||
4.125% 11/20/45 | 3,903 | 4,241 | |
4.375% 10/27/27 | 1,000 | 1,082 | |
4.375% 1/23/31 | 13,021 | 14,334 | |
4.975% 4/20/55 | 9,640 | 11,374 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $858,321) | 816,771 | ||
Supranational Obligations - 1.2% | |||
African Development Bank 0.875% 7/22/26 | 12,560 | 12,060 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 33,075 | 31,475 | |
0.5% 2/4/26 | 18,300 | 17,370 | |
0.75% 10/8/30 | 16,000 | 14,553 | |
1.5% 10/18/24 | 18,500 | 18,433 | |
1.75% 9/13/22 | 11,728 | 11,780 | |
2% 4/24/26 | 5,177 | 5,206 | |
2.5% 11/2/27 | 5,505 | 5,683 | |
2.625% 1/30/24 | 12,358 | 12,622 | |
2.625% 1/12/27 | 5,342 | 5,534 | |
2.75% 3/17/23 | 24,073 | 24,465 | |
2.75% 1/19/28 | 30,926 | 32,405 | |
Corporacion Andina de Fomento 4.375% 6/15/22 | 11,587 | 11,674 | |
European Bank for Reconstruction & Development 2.125% 3/7/22 | 3,854 | 3,855 | |
European Investment Bank: | |||
0.75% 9/23/30 | 22,850 | 20,761 | |
0.875% 5/17/30 | 5,482 | 5,049 | |
1.25% 2/14/31 | 9,917 | 9,379 | |
1.375% 5/15/23 | 20,000 | 20,031 | |
1.875% 2/10/25 | 2,465 | 2,480 | |
2% 12/15/22 | 11,642 | 11,728 | |
2.25% 3/15/22 | 13,066 | 13,075 | |
2.25% 8/15/22 | 1,545 | 1,555 | |
2.25% 6/24/24 | 18,585 | 18,827 | |
2.375% 6/15/22 | 11,504 | 11,561 | |
2.375% 5/24/27 | 3,287 | 3,380 | |
2.5% 3/15/23 | 17,257 | 17,484 | |
2.5% 10/15/24 | 4,705 | 4,807 | |
2.875% 8/15/23 | 8,702 | 8,887 | |
3.125% 12/14/23 | 11,341 | 11,677 | |
3.25% 1/29/24 | 1,644 | 1,699 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 18,195 | 17,509 | |
0.875% 4/20/26 | 41,600 | 39,937 | |
1.75% 4/14/22 | 1,540 | 1,543 | |
1.75% 9/14/22 | 5,054 | 5,078 | |
1.75% 3/14/25 | 15,140 | 15,156 | |
2% 6/2/26 | 3,287 | 3,306 | |
2.125% 1/15/25 | 1,504 | 1,523 | |
2.25% 6/18/29 | 15,711 | 16,040 | |
2.375% 7/7/27 | 5,530 | 5,666 | |
2.5% 1/18/23 | 5,719 | 5,793 | |
3% 10/4/23 | 2,938 | 3,012 | |
4.375% 1/24/44 | 7,165 | 9,448 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 21,500 | 20,506 | |
0.5% 10/28/25 | 27,127 | 25,871 | |
0.75% 8/26/30 | 13,600 | 12,357 | |
0.875% 5/14/30 | 16,633 | 15,306 | |
1.25% 2/10/31 | 14,900 | 14,070 | |
1.5% 8/28/24 | 16,286 | 16,243 | |
1.625% 1/15/25 | 14,615 | 14,595 | |
1.75% 4/19/23 | 5,505 | 5,538 | |
1.875% 10/7/22 | 13,970 | 14,058 | |
1.875% 6/19/23 | 11,208 | 11,292 | |
1.875% 10/27/26 | 3,911 | 3,921 | |
2.5% 3/19/24 | 3,123 | 3,183 | |
2.5% 11/25/24 | 4,684 | 4,789 | |
2.5% 7/29/25 | 3,114 | 3,189 | |
7.625% 1/19/23 | 22,512 | 23,797 | |
International Finance Corp.: | |||
0.75% 8/27/30 | 9,070 | 8,284 | |
2.875% 7/31/23 | 3,540 | 3,615 | |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $705,922) | 694,120 | ||
Bank Notes - 0.2% | |||
Bank of America NA 6% 10/15/36 | 2,075 | 2,629 | |
Citibank NA 3.65% 1/23/24 | 20,544 | 21,238 | |
Citizens Bank NA: | |||
2.25% 4/28/25 | $10,750 | $10,715 | |
2.65% 5/26/22 | 16,747 | 16,795 | |
3.75% 2/18/26 | 11,093 | 11,646 | |
Discover Bank 3.45% 7/27/26 | 10,477 | 10,789 | |
Truist Bank: | |||
3.3% 5/15/26 | 6,245 | 6,455 | |
3.8% 10/30/26 | 2,573 | 2,710 | |
U.S. Bank NA, Cincinnati 3.4% 7/24/23 | 8,218 | 8,406 | |
TOTAL BANK NOTES | |||
(Cost $88,945) | 91,383 | ||
Shares | Value (000s) | ||
Money Market Funds - 1.0% | |||
Fidelity Cash Central Fund 0.07% (g) | 201,072,644 | $201,113 | |
Fidelity Securities Lending Cash Central Fund 0.07% (g)(h) | 349,119,501 | 349,154 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $550,267) | 550,267 | ||
TOTAL INVESTMENT IN SECURITIES - 101.3% | |||
(Cost $59,301,390) | 58,515,414 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (764,730) | ||
NET ASSETS - 100% | $57,750,684 |
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(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 $219,337,000 or 0.4% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 $270,000.
(e) Security or a portion of the security is on loan at period end.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) 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.
(h) 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 (Amounts in thousands) | 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 0.07% | $1,553,450 | $5,585,335 | $6,937,672 | $171 | $-- | $-- | $201,113 | 0.4% |
Fidelity Securities Lending Cash Central Fund 0.07% | 180,694 | 2,708,227 | 2,539,767 | 163 | -- | -- | 349,154 | 0.9% |
Total | $1,734,144 | $8,293,562 | $9,477,439 | $334 | $-- | $-- | $550,267 |
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 February 28, 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 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Corporate Bonds | $14,502,614 | $-- | $14,502,614 | $-- |
U.S. Government and Government Agency Obligations | 24,052,654 | -- | 24,052,654 | -- |
U.S. Government Agency - Mortgage Securities | 16,064,350 | -- | 16,064,350 | -- |
Asset-Backed Securities | 183,817 | -- | 183,817 | -- |
Commercial Mortgage Securities | 1,183,057 | -- | 1,183,057 | -- |
Municipal Securities | 376,381 | -- | 376,381 | -- |
Foreign Government and Government Agency Obligations | 816,771 | -- | 816,771 | -- |
Supranational Obligations | 694,120 | -- | 694,120 | -- |
Bank Notes | 91,383 | -- | 91,383 | -- |
Money Market Funds | 550,267 | 550,267 | -- | -- |
Total Investments in Securities: | $58,515,414 | $550,267 | $57,965,147 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | February 28, 2022 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $340,708) — See accompanying schedule: Unaffiliated issuers (cost $58,751,123) | $57,965,147 | |
Fidelity Central Funds (cost $550,267) | 550,267 | |
Total Investment in Securities (cost $59,301,390) | $58,515,414 | |
Receivable for investments sold | 270,563 | |
Receivable for fund shares sold | 94,865 | |
Interest receivable | 247,056 | |
Distributions receivable from Fidelity Central Funds | 42 | |
Other receivables | 494 | |
Total assets | 59,128,434 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $441,833 | |
Delayed delivery | 472,035 | |
Payable for fund shares redeemed | 108,186 | |
Distributions payable | 4,858 | |
Accrued management fee | 1,203 | |
Other payables and accrued expenses | 481 | |
Collateral on securities loaned | 349,154 | |
Total liabilities | 1,377,750 | |
Net Assets | $57,750,684 | |
Net Assets consist of: | ||
Paid in capital | $58,595,539 | |
Total accumulated earnings (loss) | (844,855) | |
Net Assets | $57,750,684 | |
Net Asset Value, offering price and redemption price per share ($57,750,684 ÷ 4,996,568 shares) | $11.56 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | |
Investment Income | ||
Interest | $554,267 | |
Income from Fidelity Central Funds (including $163 from security lending) | 334 | |
Total income | 554,601 | |
Expenses | ||
Management fee | $7,323 | |
Independent trustees' fees and expenses | 100 | |
Total expenses before reductions | 7,423 | |
Total expenses after reductions | 7,423 | |
Net investment income (loss) | 547,178 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (25,735) | |
Total net realized gain (loss) | (25,735) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,035,306) | |
TBA sale commitments | 1,199 | |
Total change in net unrealized appreciation (depreciation) | (3,034,107) | |
Net gain (loss) | (3,059,842) | |
Net increase (decrease) in net assets resulting from operations | $(2,512,664) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $547,178 | $1,034,120 |
Net realized gain (loss) | (25,735) | 223,334 |
Change in net unrealized appreciation (depreciation) | (3,034,107) | (1,334,599) |
Net increase (decrease) in net assets resulting from operations | (2,512,664) | (77,145) |
Distributions to shareholders | (703,473) | (1,588,638) |
Share transactions | ||
Proceeds from sales of shares | 10,510,329 | 22,603,202 |
Reinvestment of distributions | 665,191 | 1,509,067 |
Cost of shares redeemed | (10,052,998) | (18,128,537) |
Net increase (decrease) in net assets resulting from share transactions | 1,122,522 | 5,983,732 |
Total increase (decrease) in net assets | (2,093,615) | 4,317,949 |
Net Assets | ||
Beginning of period | 59,844,299 | 55,526,350 |
End of period | $57,750,684 | $59,844,299 |
Other Information | ||
Shares | ||
Sold | 882,428 | 1,843,063 |
Issued in reinvestment of distributions | 55,952 | 122,632 |
Redeemed | (845,954) | (1,479,534) |
Net increase (decrease) | 92,426 | 486,161 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity U.S. Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.20 | $12.57 | $12.08 | $11.26 | $11.71 | $11.96 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .110 | .222 | .291 | .328 | .302 | .291 |
Net realized and unrealized gain (loss) | (.609) | (.245) | .481 | .813 | (.445) | (.250) |
Total from investment operations | (.499) | (.023) | .772 | 1.141 | (.143) | .041 |
Distributions from net investment income | (.111) | (.224) | (.282) | (.321) | (.300) | (.288) |
Distributions from net realized gain | (.030) | (.123) | – | – | (.007) | (.003) |
Total distributions | (.141) | (.347) | (.282) | (.321) | (.307) | (.291) |
Net asset value, end of period | $11.56 | $12.20 | $12.57 | $12.08 | $11.26 | $11.71 |
Total ReturnC,D | (4.11)% | (.17)% | 6.48% | 10.33% | (1.22)% | .39% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .03%G | .03% | .03% | .03% | .03% | .03% |
Expenses net of fee waivers, if any | .03%G | .03% | .03% | .03% | .03% | .03% |
Expenses net of all reductions | .03%G | .02% | .03% | .03% | .03% | .03% |
Net investment income (loss) | 1.86%G | 1.81% | 2.38% | 2.87% | 2.66% | 2.52% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $57,751 | $59,844 | $55,526 | $44,339 | $20,283 | $15,180 |
Portfolio turnover rateH | 61%G | 76% | 59%I | 35%I | 43% | 57% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
(Amounts in thousands except percentages)
1. Organization.
Fidelity U.S. Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, 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. 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 February 28, 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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity U.S. Bond Index Fund | $482 |
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 market discount, deferred Trustees compensation and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $990,436 |
Gross unrealized depreciation | (1,726,836) |
Net unrealized appreciation (depreciation) | $(736,400) |
Tax cost | $59,251,814 |
The Fund elected to defer to its next fiscal year approximately $47,366,336 of capital losses recognized during the period November 1, 2020 to August 31, 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.
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. 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 U.S. Bond Index Fund | 6,737,531 | 7,913,117 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .025% of the Fund's average net assets. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Under the expense contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, as necessary so that the total expenses do not exceed .025% of average net assets. This expense contract will remain in place through October 31, 2022.
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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
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 U.S. Bond Index Fund | $18 | $– | $– |
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity U.S. Bond Index Fund | .03% | |||
Actual | $1,000.00 | $958.90 | $.15 | |
Hypothetical-C | $1,000.00 | $1,024.65 | $.15 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity U.S. Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high-quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to a fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board. Because the vast majority of competitor funds' management fees do not cover beyond portfolio management expenses, in prior years, the fund's unitary fee was compared on the basis of a hypothetical "net management fee," which was derived by subtracting payments made by Fidelity for expenses beyond portfolio management (including transfer agent fees, pricing and bookkeeping fees and fees paid to non-affiliated custodians), from the fund's unitary fee. Given the fund's competitive management fee rate, Fidelity no longer calculates a hypothetical net management fee for the fund and, as a result, the chart does not include a hypothetical net management fee for periods after 2016.The Board considered that (i) effective July 1, 2016, the fund's management fee rate was reduced from 0.05% to 0.03%, and (ii) effective August 1, 2017, the fund's management fee rate was further reduced from 0.03% to 0.025%. The Board considered that the chart below reflects the fund's lower management fee rates for 2016 and 2017, as if the lower fee rates were in effect for the entire year.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.
UII-UDV-SANN-0422
1.925933.110
Fidelity® Series Investment Grade Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
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This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 59.5% | |
AAA | 6.8% | |
AA | 1.4% | |
A | 7.1% | |
BBB | 22.4% | |
BB and Below | 5.0% | |
Not Rated | 2.4% | |
Short-Term Investments and Net Other Assets* | (4.6)% |
* Short-Term Investments and Net Other Assets (Liabilities) 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 February 28, 2022*,** | ||
Corporate Bonds | 32.4% | |
U.S. Government and U.S. Government Agency Obligations | 59.5% | |
Asset-Backed Securities | 6.4% | |
CMOs and Other Mortgage Related Securities | 4.7% | |
Municipal Bonds | 0.8% | |
Other Investments | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities)*** | (4.6)% |
* Foreign investments – 12.1%
** Futures and Swaps – 0.4%
*** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 32.4% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.5% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | $8,942,000 | $8,293,930 | |
3% 6/30/22 | 20,000,000 | 20,060,661 | |
3.8% 12/1/57 | 53,998,000 | 50,661,075 | |
4.3% 2/15/30 | 15,664,000 | 17,052,774 | |
4.45% 4/1/24 | 2,655,000 | 2,771,744 | |
4.75% 5/15/46 | 20,994,000 | 23,277,298 | |
4.9% 6/15/42 | 3,728,000 | 4,119,999 | |
5.55% 8/15/41 | 6,766,000 | 8,050,077 | |
6.2% 3/15/40 | 16,798,000 | 20,484,285 | |
6.3% 1/15/38 | 40,737,000 | 52,232,889 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 32,783,000 | 31,662,700 | |
2.55% 3/21/31 | 30,343,000 | 29,126,493 | |
2.987% 10/30/56 | 33,707,000 | 28,739,578 | |
3% 3/22/27 | 6,931,000 | 7,012,195 | |
4.329% 9/21/28 | 11,520,000 | 12,543,971 | |
4.5% 8/10/33 | 17,268,000 | 19,187,594 | |
4.862% 8/21/46 | 18,891,000 | 22,587,364 | |
5.012% 4/15/49 | 705,000 | 852,501 | |
358,717,128 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 2.65% 1/13/31 | 25,000,000 | 24,758,840 | |
Media - 1.2% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 49,397,000 | 49,758,428 | |
4.908% 7/23/25 | 28,398,000 | 30,102,795 | |
5.375% 5/1/47 | 56,404,000 | 59,520,927 | |
5.75% 4/1/48 | 9,412,000 | 10,403,769 | |
6.484% 10/23/45 | 26,013,000 | 31,081,425 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 5,928,000 | 6,035,483 | |
4.65% 7/15/42 | 14,116,000 | 15,994,521 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 18,602,000 | 18,704,484 | |
4.65% 5/15/50 | 50,307,000 | 51,427,216 | |
Fox Corp.: | |||
4.03% 1/25/24 | 6,818,000 | 7,064,532 | |
4.709% 1/25/29 | 9,867,000 | 10,769,210 | |
5.476% 1/25/39 | 9,730,000 | 11,344,060 | |
5.576% 1/25/49 | 6,456,000 | 7,767,479 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 21,984,000 | 20,712,454 | |
5.5% 9/1/41 | 15,667,000 | 16,700,441 | |
5.875% 11/15/40 | 11,331,000 | 12,678,739 | |
6.55% 5/1/37 | 50,619,000 | 60,837,966 | |
6.75% 6/15/39 | 13,940,000 | 16,920,037 | |
7.3% 7/1/38 | 32,280,000 | 40,404,658 | |
478,228,624 | |||
Wireless Telecommunication Services - 0.3% | |||
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 32,520,000 | 33,765,488 | |
3.875% 4/15/30 | 47,090,000 | 48,695,354 | |
4.375% 4/15/40 | 7,013,000 | 7,252,683 | |
4.5% 4/15/50 | 13,777,000 | 14,363,348 | |
104,076,873 | |||
TOTAL COMMUNICATION SERVICES | 965,781,465 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.2% | |||
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 4,723,000 | 4,808,009 | |
4.25% 5/15/23 | 10,018,000 | 10,307,074 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (a) | 30,649,000 | 30,760,475 | |
3.125% 5/12/23 (a) | 26,699,000 | 27,084,592 | |
72,960,150 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 18,902,000 | 19,479,788 | |
Hotels, Restaurants & Leisure - 0.1% | |||
McDonald's Corp.: | |||
3.5% 7/1/27 | 9,188,000 | 9,626,113 | |
3.6% 7/1/30 | 10,934,000 | 11,469,335 | |
4.2% 4/1/50 | 5,533,000 | 5,914,985 | |
27,010,433 | |||
Household Durables - 0.0% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 2,190,000 | 2,380,796 | |
5% 6/15/27 | 2,921,000 | 3,168,937 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 2,486,000 | 2,594,250 | |
4.875% 11/15/25 | 28,000 | 29,710 | |
4.875% 3/15/27 | 8,584,000 | 9,151,533 | |
17,325,226 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 25,757,000 | 26,196,578 | |
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 4,077,000 | 4,393,226 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 6,224,000 | 6,439,634 | |
4% 4/15/30 | 28,926,000 | 30,737,621 | |
Lowe's Companies, Inc. 4.5% 4/15/30 | 20,756,000 | 22,893,411 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 6,418,000 | 6,874,236 | |
71,338,128 | |||
TOTAL CONSUMER DISCRETIONARY | 234,310,303 | ||
CONSUMER STAPLES - 2.3% | |||
Beverages - 1.1% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 52,011,000 | 57,568,607 | |
4.9% 2/1/46 | 67,409,000 | 75,398,259 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 15,700,000 | 16,402,350 | |
4.35% 6/1/40 | 15,700,000 | 16,743,088 | |
4.5% 6/1/50 | 20,000,000 | 22,007,621 | |
4.6% 6/1/60 | 15,700,000 | 17,160,116 | |
4.75% 4/15/58 | 32,390,000 | 35,800,650 | |
5.45% 1/23/39 | 25,203,000 | 30,024,770 | |
5.55% 1/23/49 | 57,590,000 | 71,308,463 | |
5.8% 1/23/59 (Reg. S) | 61,052,000 | 78,253,019 | |
420,666,943 | |||
Food & Staples Retailing - 0.2% | |||
Sysco Corp.: | |||
3.25% 7/15/27 | 13,314,000 | 13,701,000 | |
3.3% 2/15/50 | 16,790,000 | 15,062,945 | |
5.95% 4/1/30 | 19,674,000 | 23,526,658 | |
6.6% 4/1/50 | 27,580,000 | 38,371,565 | |
90,662,168 | |||
Food Products - 0.3% | |||
General Mills, Inc. 2.875% 4/15/30 | 3,825,000 | 3,823,481 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (a) | 46,350,000 | 43,569,464 | |
3.625% 1/15/32 (a) | 14,557,000 | 13,208,294 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) | 6,384,000 | 6,719,224 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (a) | 47,005,000 | 41,482,383 | |
5.5% 1/15/30 (a) | 6,359,000 | 6,570,278 | |
6.5% 4/15/29 (a) | 5,120,000 | 5,433,600 | |
120,806,724 | |||
Tobacco - 0.7% | |||
Altria Group, Inc.: | |||
4.25% 8/9/42 | 26,130,000 | 23,856,240 | |
4.5% 5/2/43 | 17,568,000 | 16,412,099 | |
4.8% 2/14/29 | 4,818,000 | 5,204,838 | |
5.375% 1/31/44 | 15,947,000 | 16,639,472 | |
5.95% 2/14/49 | 6,241,000 | 6,932,565 | |
Imperial Tobacco Finance PLC: | |||
3.75% 7/21/22 (a) | 56,649,000 | 56,883,012 | |
4.25% 7/21/25 (a) | 25,864,000 | 26,988,474 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 12,732,000 | 13,314,690 | |
5.7% 8/15/35 | 6,607,000 | 7,219,071 | |
5.85% 8/15/45 | 50,684,000 | 54,840,416 | |
6.15% 9/15/43 | 11,136,000 | 12,368,277 | |
7.25% 6/15/37 | 15,680,000 | 19,277,267 | |
259,936,421 | |||
TOTAL CONSUMER STAPLES | 892,072,256 | ||
ENERGY - 4.3% | |||
Energy Equipment & Services - 0.0% | |||
Halliburton Co.: | |||
3.8% 11/15/25 | 315,000 | 329,672 | |
4.85% 11/15/35 | 11,266,000 | 12,411,578 | |
12,741,250 | |||
Oil, Gas & Consumable Fuels - 4.3% | |||
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 12,899,000 | 15,171,986 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 4,200,000 | 3,789,558 | |
4.25% 4/15/27 | 34,405,000 | 36,382,760 | |
5.4% 6/15/47 | 5,584,000 | 6,283,327 | |
6.75% 11/15/39 | 29,000,000 | 36,338,997 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 7,777,000 | 8,246,847 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 40,552,000 | 41,008,210 | |
5.6% 4/1/44 | 1,458,000 | 1,596,510 | |
5.85% 5/21/43 (a)(b) | 2,410,000 | 2,241,300 | |
6.45% 11/3/36 (a) | 7,882,000 | 9,532,077 | |
6.75% 9/15/37 (a) | 2,991,000 | 3,649,020 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (a) | 16,015,000 | 16,578,528 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 15,502,000 | 15,902,251 | |
4.25% 12/1/26 | 9,000,000 | 9,590,004 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 13,654,000 | 13,874,729 | |
3.9% 5/15/24 (b) | 7,783,000 | 7,982,998 | |
4.2% 9/15/23 | 6,601,000 | 6,787,943 | |
4.25% 3/15/23 | 5,605,000 | 5,712,270 | |
4.5% 4/15/24 | 6,788,000 | 7,057,453 | |
4.95% 6/15/28 | 22,521,000 | 24,221,017 | |
5% 5/15/50 | 30,525,000 | 31,748,589 | |
5.25% 4/15/29 | 11,043,000 | 12,120,172 | |
5.4% 10/1/47 | 7,311,000 | 7,823,476 | |
5.8% 6/15/38 | 12,558,000 | 13,936,666 | |
6% 6/15/48 | 8,178,000 | 9,175,619 | |
6.25% 4/15/49 | 7,585,000 | 8,759,085 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 71,930,000 | 75,953,313 | |
Hess Corp.: | |||
4.3% 4/1/27 | 27,012,000 | 28,557,105 | |
5.6% 2/15/41 | 7,816,000 | 8,965,846 | |
5.8% 4/1/47 | 19,267,000 | 23,055,902 | |
7.125% 3/15/33 | 5,555,000 | 7,043,869 | |
7.3% 8/15/31 | 7,267,000 | 9,215,445 | |
7.875% 10/1/29 | 2,497,000 | 3,204,119 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 9,052,000 | 9,151,162 | |
6.55% 9/15/40 | 2,324,000 | 2,860,129 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 13,098,000 | 15,031,494 | |
MPLX LP: | |||
4.5% 7/15/23 | 9,847,000 | 10,109,314 | |
4.8% 2/15/29 | 5,907,000 | 6,471,907 | |
4.875% 12/1/24 | 15,019,000 | 15,914,703 | |
5.5% 2/15/49 | 17,721,000 | 20,215,925 | |
Occidental Petroleum Corp.: | |||
3.2% 8/15/26 | 3,393,000 | 3,391,982 | |
3.5% 8/15/29 | 10,687,000 | 10,633,565 | |
4.3% 8/15/39 | 1,558,000 | 1,472,310 | |
4.4% 8/15/49 | 1,559,000 | 1,480,723 | |
5.55% 3/15/26 | 28,220,000 | 30,328,034 | |
6.45% 9/15/36 | 24,570,000 | 28,931,175 | |
6.6% 3/15/46 | 53,949,000 | 64,469,055 | |
7.5% 5/1/31 | 40,626,000 | 49,259,025 | |
Ovintiv, Inc. 8.125% 9/15/30 | 2,868,000 | 3,680,091 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 20,014,000 | 19,661,754 | |
5.95% 1/28/31 | 16,396,000 | 15,247,460 | |
6.35% 2/12/48 | 13,566,000 | 10,848,595 | |
6.49% 1/23/27 | 38,273,000 | 39,287,235 | |
6.5% 3/13/27 | 37,289,000 | 38,277,159 | |
6.75% 9/21/47 | 95,358,000 | 78,517,777 | |
6.84% 1/23/30 | 136,623,000 | 136,397,572 | |
6.95% 1/28/60 | 19,817,000 | 16,360,915 | |
7.69% 1/23/50 | 124,733,000 | 111,636,035 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 2,495,000 | 2,548,866 | |
3.85% 4/9/25 | 3,215,000 | 3,341,145 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 7,628,000 | 7,528,378 | |
3.6% 11/1/24 | 6,687,000 | 6,843,430 | |
3.65% 6/1/22 | 27,720,000 | 27,720,000 | |
3.85% 10/15/23 | 25,000,000 | 25,526,354 | |
4.65% 10/15/25 | 23,040,000 | 24,394,843 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 42,700,000 | 46,064,265 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 45,511,000 | 46,264,686 | |
3.7% 1/15/23 | 18,610,000 | 18,869,895 | |
3.9% 1/15/25 | 6,023,000 | 6,254,649 | |
4.3% 3/4/24 | 18,081,000 | 18,748,157 | |
4.5% 11/15/23 | 8,697,000 | 9,018,305 | |
4.55% 6/24/24 | 90,947,000 | 95,222,968 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 5,447,000 | 5,487,171 | |
3.95% 5/15/50 | 17,552,000 | 17,364,431 | |
Valero Energy Corp. 2.85% 4/15/25 | 1,230,000 | 1,239,010 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 5,006,000 | 5,068,575 | |
4.65% 7/1/26 | 8,954,000 | 9,277,687 | |
4.75% 8/15/28 | 6,312,000 | 6,532,920 | |
1,634,457,822 | |||
TOTAL ENERGY | 1,647,199,072 | ||
FINANCIALS - 14.9% | |||
Banks - 6.1% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (b) | 42,030,000 | 38,989,252 | |
3.3% 1/11/23 | 24,341,000 | 24,750,068 | |
3.419% 12/20/28 (b) | 32,593,000 | 33,321,110 | |
3.5% 4/19/26 | 28,726,000 | 29,754,283 | |
3.864% 7/23/24 (b) | 7,284,000 | 7,448,611 | |
3.95% 4/21/25 | 43,026,000 | 44,617,746 | |
4% 1/22/25 | 14,494,000 | 15,048,109 | |
4.1% 7/24/23 | 35,942,000 | 37,131,984 | |
4.183% 11/25/27 | 3,728,000 | 3,916,762 | |
4.2% 8/26/24 | 41,416,000 | 43,122,270 | |
4.25% 10/22/26 | 45,120,000 | 47,639,853 | |
4.45% 3/3/26 | 10,553,000 | 11,244,498 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.984% 7/20/22 (a)(b)(c) | 4,154,000 | 4,162,163 | |
Barclays PLC: | |||
2.852% 5/7/26 (b) | 42,733,000 | 42,717,345 | |
4.375% 1/12/26 | 34,752,000 | 36,614,626 | |
4.836% 5/9/28 | 3,148,000 | 3,324,810 | |
5.088% 6/20/30 (b) | 44,892,000 | 47,885,969 | |
5.2% 5/12/26 | 41,312,000 | 44,283,572 | |
BNP Paribas SA 2.219% 6/9/26 (a)(b) | 40,110,000 | 39,296,271 | |
BPCE SA 4.875% 4/1/26 (a) | 3,984,000 | 4,216,481 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 17,775,000 | 17,924,726 | |
2.75% 4/25/22 | 25,000,000 | 25,034,520 | |
3.352% 4/24/25 (b) | 27,281,000 | 27,826,613 | |
4.05% 7/30/22 | 11,452,000 | 11,594,596 | |
4.075% 4/23/29 (b) | 14,005,000 | 14,735,695 | |
4.125% 7/25/28 | 3,728,000 | 3,919,110 | |
4.3% 11/20/26 | 9,646,000 | 10,258,286 | |
4.4% 6/10/25 | 71,128,000 | 74,624,866 | |
4.412% 3/31/31 (b) | 57,587,000 | 62,393,659 | |
4.45% 9/29/27 | 48,296,000 | 51,581,715 | |
4.6% 3/9/26 | 10,087,000 | 10,757,607 | |
5.3% 5/6/44 | 5,127,000 | 6,046,275 | |
5.5% 9/13/25 | 18,506,000 | 20,173,213 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 32,329,000 | 29,981,138 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 14,950,000 | 14,927,754 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 40,643,000 | 41,169,708 | |
Discover Bank 4.2% 8/8/23 | 35,498,000 | 36,535,772 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (b) | 6,715,000 | 6,848,860 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 12,994,000 | 13,460,823 | |
4.95% 3/31/30 | 7,768,000 | 8,592,611 | |
5.25% 3/14/44 | 560,000 | 641,921 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 7,267,000 | 7,484,171 | |
5.71% 1/15/26 (a) | 81,601,000 | 86,012,962 | |
JPMorgan Chase & Co.: | |||
2.739% 10/15/30 (b) | 55,000,000 | 53,733,161 | |
2.956% 5/13/31 (b) | 23,105,000 | 22,467,489 | |
3.25% 9/23/22 | 53,888,000 | 54,540,404 | |
3.797% 7/23/24 (b) | 69,237,000 | 70,893,333 | |
3.875% 9/10/24 | 56,148,000 | 58,227,824 | |
4.125% 12/15/26 | 61,839,000 | 65,779,366 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (b) | 24,822,000 | 24,813,498 | |
4.8% 4/5/26 | 20,881,000 | 22,387,732 | |
5.125% 5/28/24 | 55,246,000 | 58,134,148 | |
6% 12/19/23 | 48,200,000 | 51,127,850 | |
6.1% 6/10/23 | 47,686,000 | 49,977,871 | |
6.125% 12/15/22 | 83,360,000 | 86,123,707 | |
NatWest Markets PLC 2.375% 5/21/23 (a) | 46,436,000 | 46,749,997 | |
Rabobank Nederland 4.375% 8/4/25 | 42,555,000 | 44,555,329 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (b) | 29,541,000 | 28,695,288 | |
Societe Generale: | |||
1.038% 6/18/25 (a)(b) | 87,080,000 | 83,789,398 | |
1.488% 12/14/26 (a)(b) | 51,731,000 | 48,354,583 | |
4.25% 4/14/25 (a) | 3,837,000 | 3,929,060 | |
Synchrony Bank 3% 6/15/22 | 2,150,000 | 2,159,040 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (b) | 24,506,000 | 24,426,684 | |
3.196% 6/17/27 (b) | 34,559,000 | 35,089,565 | |
4.478% 4/4/31 (b) | 77,500,000 | 84,593,921 | |
5.013% 4/4/51 (b) | 114,738,000 | 141,287,159 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 20,547,000 | 21,215,478 | |
2,325,064,269 | |||
Capital Markets - 4.0% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 30,803,000 | 31,867,568 | |
4.25% 2/15/24 | 24,489,000 | 25,532,046 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 65,900,000 | 66,812,273 | |
4.2% 6/10/24 | 48,934,000 | 50,546,439 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 58,126,000 | 57,836,963 | |
3.75% 3/26/25 | 31,994,000 | 32,814,108 | |
3.8% 6/9/23 | 46,298,000 | 47,319,192 | |
3.869% 1/12/29 (a)(b) | 19,608,000 | 19,857,408 | |
4.194% 4/1/31 (a)(b) | 52,365,000 | 54,383,559 | |
4.55% 4/17/26 | 1,588,000 | 1,676,915 | |
Deutsche Bank AG 4.5% 4/1/25 | 70,869,000 | 72,854,355 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 50,117,000 | 50,651,915 | |
4.1% 1/13/26 | 4,496,000 | 4,657,436 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (b) | 50,634,000 | 46,936,000 | |
3.2% 2/23/23 | 87,089,000 | 88,156,536 | |
3.272% 9/29/25 (b) | 104,473,000 | 106,270,675 | |
3.8% 3/15/30 | 82,860,000 | 86,311,208 | |
4.25% 10/21/25 | 32,884,000 | 34,544,114 | |
6.75% 10/1/37 | 31,825,000 | 41,814,920 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 12,370,000 | 12,811,550 | |
4.875% 2/15/24 | 11,615,000 | 12,180,093 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 54,983,000 | 55,768,500 | |
3.125% 7/27/26 | 7,974,000 | 8,128,335 | |
3.622% 4/1/31 (b) | 54,679,000 | 56,527,152 | |
3.625% 1/20/27 | 8,956,000 | 9,329,994 | |
3.737% 4/24/24 (b) | 163,561,000 | 166,611,509 | |
3.75% 2/25/23 | 55,561,000 | 56,619,649 | |
3.875% 4/29/24 | 2,362,000 | 2,442,159 | |
4.1% 5/22/23 | 24,196,000 | 24,830,535 | |
4.431% 1/23/30 (b) | 23,749,000 | 25,620,622 | |
4.875% 11/1/22 | 45,005,000 | 46,028,125 | |
5% 11/24/25 | 50,969,000 | 55,086,613 | |
State Street Corp. 2.825% 3/30/23 (b) | 3,707,000 | 3,710,256 | |
UBS Group AG: | |||
1.494% 8/10/27 (a)(b) | 31,236,000 | 29,462,301 | |
4.125% 9/24/25 (a) | 27,816,000 | 29,146,418 | |
1,515,147,441 | |||
Consumer Finance - 2.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 56,080,000 | 54,425,569 | |
2.45% 10/29/26 | 20,465,000 | 19,744,167 | |
2.875% 8/14/24 | 33,555,000 | 33,581,825 | |
3% 10/29/28 | 21,434,000 | 20,644,563 | |
3.3% 1/30/32 | 22,930,000 | 21,769,191 | |
3.5% 5/26/22 | 1,802,000 | 1,809,535 | |
4.125% 7/3/23 | 23,327,000 | 23,847,901 | |
4.45% 4/3/26 | 16,892,000 | 17,638,654 | |
4.875% 1/16/24 | 27,051,000 | 28,075,683 | |
6.5% 7/15/25 | 19,270,000 | 21,229,745 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 11,838,000 | 11,688,857 | |
3.05% 6/5/23 | 50,233,000 | 50,829,289 | |
4.625% 3/30/25 | 10,429,000 | 10,959,915 | |
5.125% 9/30/24 | 11,402,000 | 12,082,172 | |
5.8% 5/1/25 | 27,438,000 | 29,692,371 | |
8% 11/1/31 | 13,840,000 | 18,230,501 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 39,980,000 | 40,316,522 | |
3.65% 5/11/27 | 72,123,000 | 74,687,957 | |
3.8% 1/31/28 | 34,796,000 | 36,230,331 | |
Discover Financial Services: | |||
3.75% 3/4/25 | 20,000,000 | 20,711,275 | |
3.85% 11/21/22 | 39,487,000 | 40,172,555 | |
3.95% 11/6/24 | 17,423,000 | 18,081,575 | |
4.1% 2/9/27 | 1,920,000 | 2,013,669 | |
4.5% 1/30/26 | 25,399,000 | 27,030,401 | |
5.2% 4/27/22 | 17,870,000 | 17,981,550 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 101,625,000 | 103,123,766 | |
5.584% 3/18/24 | 33,908,000 | 35,264,320 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 8,438,000 | 8,482,107 | |
3.95% 12/1/27 | 42,034,000 | 43,301,821 | |
4.25% 8/15/24 | 36,929,000 | 38,272,452 | |
4.375% 3/19/24 | 29,366,000 | 30,365,530 | |
5.15% 3/19/29 | 45,267,000 | 49,216,563 | |
Toyota Motor Credit Corp. 2.9% 3/30/23 | 42,183,000 | 42,849,553 | |
1,004,351,885 | |||
Diversified Financial Services - 0.6% | |||
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 22,346,000 | 23,191,186 | |
4.05% 7/1/30 | 26,564,000 | 27,558,660 | |
4.125% 6/15/26 | 25,594,000 | 27,047,716 | |
4.125% 5/15/29 | 28,249,000 | 29,872,912 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 3,740,000 | 3,826,928 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | 33,993,000 | 35,594,239 | |
Pine Street Trust I 4.572% 2/15/29 (a) | 31,229,000 | 33,598,844 | |
Pine Street Trust II 5.568% 2/15/49 (a) | 31,271,000 | 37,165,142 | |
217,855,627 | |||
Insurance - 1.6% | |||
AIA Group Ltd.: | |||
3.2% 9/16/40 (a) | 18,698,000 | 17,500,019 | |
3.375% 4/7/30 (a) | 39,186,000 | 40,678,987 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 63,800,000 | 64,081,624 | |
3.4% 6/30/30 | 63,800,000 | 65,596,195 | |
3.875% 1/15/35 | 29,736,000 | 31,159,266 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 50,958,000 | 50,157,941 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (a) | 24,484,000 | 27,212,353 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 21,405,000 | 23,345,683 | |
4.75% 3/15/39 | 9,822,000 | 11,255,576 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (a) | 37,673,000 | 35,498,389 | |
Metropolitan Life Global Funding I 3% 1/10/23 (a) | 15,204,000 | 15,432,011 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 32,228,000 | 37,616,436 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 28,973,000 | 29,658,501 | |
Prudential Financial, Inc. 3.935% 12/7/49 | 13,921,000 | 14,545,803 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 12,400,000 | 13,128,996 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a) | 29,603,000 | 34,536,531 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 10,865,000 | 11,354,741 | |
Unum Group: | |||
3.875% 11/5/25 | 25,368,000 | 26,355,342 | |
4% 6/15/29 | 24,228,000 | 25,595,461 | |
5.75% 8/15/42 | 41,569,000 | 46,362,876 | |
621,072,731 | |||
TOTAL FINANCIALS | 5,683,491,953 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc. 3.25% 10/1/22 | 15,000,000 | 15,099,906 | |
Health Care Providers & Services - 1.0% | |||
Anthem, Inc. 3.3% 1/15/23 | 23,355,000 | 23,710,770 | |
Centene Corp.: | |||
2.45% 7/15/28 | 43,675,000 | 41,134,862 | |
2.625% 8/1/31 | 20,375,000 | 18,786,973 | |
3.375% 2/15/30 | 21,905,000 | 21,017,190 | |
4.25% 12/15/27 | 25,155,000 | 25,749,916 | |
4.625% 12/15/29 | 39,085,000 | 40,257,550 | |
Cigna Corp.: | |||
3.05% 10/15/27 | 17,500,000 | 17,858,788 | |
4.375% 10/15/28 | 32,914,000 | 35,674,329 | |
4.8% 8/15/38 | 20,493,000 | 22,829,841 | |
4.9% 12/15/48 | 20,474,000 | 23,256,805 | |
CVS Health Corp.: | |||
3% 8/15/26 | 3,494,000 | 3,555,850 | |
3.625% 4/1/27 | 9,782,000 | 10,250,186 | |
4.78% 3/25/38 | 33,481,000 | 37,440,548 | |
HCA Holdings, Inc. 4.75% 5/1/23 | 75,000 | 77,177 | |
Sabra Health Care LP 3.2% 12/1/31 | 48,562,000 | 45,164,339 | |
Toledo Hospital 5.325% 11/15/28 | 11,480,000 | 12,556,195 | |
379,321,319 | |||
Pharmaceuticals - 0.7% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 46,388,000 | 48,716,252 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (b) | 17,308,000 | 17,827,240 | |
5.9% 8/28/28 (b) | 7,291,000 | 7,876,467 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 50,000,000 | 50,644,451 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 38,227,000 | 39,472,128 | |
Viatris, Inc.: | |||
1.125% 6/22/22 | 16,006,000 | 16,012,783 | |
1.65% 6/22/25 | 5,144,000 | 4,969,830 | |
2.7% 6/22/30 | 26,152,000 | 24,412,754 | |
3.85% 6/22/40 | 11,393,000 | 10,679,587 | |
4% 6/22/50 | 19,674,000 | 17,446,393 | |
Zoetis, Inc. 3.25% 2/1/23 | 33,824,000 | 34,150,946 | |
272,208,831 | |||
TOTAL HEALTH CARE | 666,630,056 | ||
INDUSTRIALS - 0.8% | |||
Aerospace & Defense - 0.3% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) | 15,580,000 | 16,148,820 | |
BAE Systems PLC 3.4% 4/15/30 (a) | 11,875,000 | 12,123,041 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 15,531,000 | 16,872,070 | |
5.15% 5/1/30 | 15,531,000 | 17,154,667 | |
5.705% 5/1/40 | 15,530,000 | 18,090,803 | |
5.805% 5/1/50 | 15,500,000 | 18,414,138 | |
5.93% 5/1/60 | 15,530,000 | 18,440,604 | |
117,244,143 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.85% 9/29/24 | 5,745,000 | 5,916,595 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 7,478,000 | 7,515,670 | |
3% 9/15/23 | 5,123,000 | 5,176,222 | |
3.375% 7/1/25 | 33,735,000 | 34,127,790 | |
4.25% 2/1/24 | 30,862,000 | 31,867,303 | |
4.25% 9/15/24 | 21,001,000 | 21,764,350 | |
100,451,335 | |||
Transportation Infrastructure - 0.2% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (a) | 11,478,000 | 11,743,276 | |
4.25% 4/15/26 (a) | 8,740,000 | 8,981,926 | |
4.375% 5/1/26 (a) | 25,641,000 | 26,404,334 | |
5.25% 5/15/24 (a) | 20,991,000 | 21,934,566 | |
69,064,102 | |||
TOTAL INDUSTRIALS | 292,676,175 | ||
INFORMATION TECHNOLOGY - 1.3% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 6,431,000 | 6,694,086 | |
5.85% 7/15/25 | 6,711,000 | 7,350,971 | |
6.02% 6/15/26 | 8,322,000 | 9,286,095 | |
6.1% 7/15/27 | 12,320,000 | 14,189,018 | |
6.2% 7/15/30 | 10,663,000 | 12,619,999 | |
50,140,169 | |||
Semiconductors & Semiconductor Equipment - 0.6% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (a) | 8,829,000 | 8,323,659 | |
2.45% 2/15/31 (a) | 75,132,000 | 69,404,763 | |
2.6% 2/15/33 (a) | 75,132,000 | 68,566,608 | |
3.5% 2/15/41 (a) | 60,671,000 | 55,941,677 | |
3.75% 2/15/51 (a) | 28,473,000 | 26,568,255 | |
228,804,962 | |||
Software - 0.6% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 35,590,000 | 34,095,800 | |
2.3% 3/25/28 | 56,229,000 | 53,576,072 | |
2.8% 4/1/27 | 31,398,000 | 31,214,375 | |
2.875% 3/25/31 | 59,040,000 | 56,351,124 | |
3.6% 4/1/40 | 31,590,000 | 28,612,633 | |
203,850,004 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 1,713,000 | 1,737,965 | |
TOTAL INFORMATION TECHNOLOGY | 484,533,100 | ||
REAL ESTATE - 2.8% | |||
Equity Real Estate Investment Trusts (REITs) - 2.2% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 22,618,000 | 26,012,055 | |
American Homes 4 Rent LP 2.375% 7/15/31 | 4,099,000 | 3,768,616 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 20,338,000 | 20,301,913 | |
4.5% 12/1/28 | 20,395,000 | 22,268,408 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 8,922,000 | 8,773,300 | |
2.75% 4/15/31 | 6,692,000 | 6,288,520 | |
Duke Realty LP 3.25% 6/30/26 | 318,000 | 327,042 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 7,500,000 | 7,430,145 | |
3.5% 8/1/26 | 7,811,000 | 8,091,767 | |
Healthpeak Properties, Inc.: | |||
3.25% 7/15/26 | 3,144,000 | 3,249,260 | |
3.5% 7/15/29 | 3,594,000 | 3,719,884 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 42,373,000 | 46,048,062 | |
Kimco Realty Corp. 3.375% 10/15/22 | 4,880,000 | 4,916,880 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 32,398,000 | 33,316,702 | |
4.75% 9/15/30 | 50,933,000 | 54,858,058 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 9,405,000 | 8,965,386 | |
4.4% 6/15/24 | 8,452,000 | 8,732,488 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 28,913,000 | 26,554,492 | |
3.625% 10/1/29 | 33,134,000 | 32,539,008 | |
4.375% 8/1/23 | 6,684,000 | 6,857,509 | |
4.5% 1/15/25 | 14,849,000 | 15,464,404 | |
4.5% 4/1/27 | 74,033,000 | 78,144,338 | |
4.75% 1/15/28 | 36,570,000 | 38,301,008 | |
4.95% 4/1/24 | 7,995,000 | 8,351,973 | |
5.25% 1/15/26 | 31,863,000 | 34,095,044 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 7,712,000 | 7,164,642 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 4,085,000 | 3,958,970 | |
2.85% 12/15/32 | 5,025,000 | 4,886,644 | |
3.25% 1/15/31 | 5,362,000 | 5,436,442 | |
3.4% 1/15/28 | 8,338,000 | 8,584,149 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 5,977,000 | 6,128,049 | |
5% 12/15/23 | 4,492,000 | 4,658,011 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 8,537,000 | 8,245,498 | |
3.375% 12/1/27 | 17,457,000 | 17,996,338 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 13,207,000 | 13,536,306 | |
4.25% 2/1/26 | 16,356,000 | 16,997,417 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 10,084,000 | 9,518,508 | |
4.625% 3/15/29 | 9,743,000 | 10,472,394 | |
Ventas Realty LP: | |||
3% 1/15/30 | 43,597,000 | 43,132,529 | |
3.5% 2/1/25 | 8,762,000 | 9,026,332 | |
4% 3/1/28 | 12,591,000 | 13,380,989 | |
4.125% 1/15/26 | 8,982,000 | 9,513,026 | |
4.75% 11/15/30 | 53,358,000 | 59,605,082 | |
Vornado Realty LP 2.15% 6/1/26 | 10,254,000 | 9,955,044 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 7,008,000 | 7,389,474 | |
4% 2/1/25 | 32,062,000 | 33,470,615 | |
4.6% 4/1/24 | 2,875,000 | 2,999,538 | |
813,432,259 | |||
Real Estate Management & Development - 0.6% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 34,906,000 | 35,305,784 | |
3.95% 11/15/27 | 24,749,000 | 25,808,374 | |
4.1% 10/1/24 | 30,631,000 | 31,731,055 | |
4.55% 10/1/29 | 31,499,000 | 33,868,579 | |
CBRE Group, Inc.: | |||
2.5% 4/1/31 | 30,503,000 | 28,884,071 | |
4.875% 3/1/26 | 4,233,000 | 4,588,880�� | |
Essex Portfolio LP 3.875% 5/1/24 | 1,038,000 | 1,072,260 | |
Mid-America Apartments LP 4% 11/15/25 | 447,000 | 469,376 | |
Post Apartment Homes LP 3.375% 12/1/22 | 2,416,000 | 2,436,781 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 8,675,000 | 8,194,310 | |
2.7% 7/15/31 | 23,304,000 | 21,922,550 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 23,464,000 | 21,342,246 | |
3.125% 9/1/26 | 16,163,000 | 16,093,078 | |
3.875% 7/15/27 | 8,715,000 | 9,009,239 | |
240,726,583 | |||
TOTAL REAL ESTATE | 1,054,158,842 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.5% | |||
American Electric Power Co., Inc. 2.95% 12/15/22 | 9,568,000 | 9,653,599 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 19,437,000 | 19,169,274 | |
Duke Energy Corp. 2.45% 6/1/30 | 14,856,000 | 14,115,517 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (a) | 7,078,000 | 6,596,729 | |
2.775% 1/7/32 (a) | 24,917,000 | 23,455,194 | |
Entergy Corp. 2.8% 6/15/30 | 15,246,000 | 14,651,155 | |
Eversource Energy 2.8% 5/1/23 | 32,099,000 | 32,385,200 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 9,268,000 | 9,834,804 | |
4.7% 4/15/50 | 4,127,000 | 4,678,101 | |
FirstEnergy Corp. 7.375% 11/15/31 | 31,029,000 | 38,850,790 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 11,464,000 | 11,731,913 | |
185,122,276 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (a) | 5,770,401 | 6,849,826 | |
Independent Power and Renewable Electricity Producers - 0.3% | |||
Emera U.S. Finance LP 3.55% 6/15/26 | 9,377,000 | 9,643,763 | |
The AES Corp.: | |||
3.3% 7/15/25 (a) | 45,861,000 | 46,081,133 | |
3.95% 7/15/30 (a) | 39,983,000 | 40,790,657 | |
96,515,553 | |||
Multi-Utilities - 0.3% | |||
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 4,303,000 | 4,419,137 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 47,860,000 | 47,187,791 | |
5.8% 2/1/42 | 11,523,000 | 13,771,364 | |
5.95% 6/15/41 | 17,565,000 | 21,606,318 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 17,963,000 | 18,630,986 | |
5.625% 7/15/22 | 1,783,000 | 1,792,627 | |
Sempra Energy 6% 10/15/39 | 1,481,000 | 1,882,291 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (b)(c) | 14,096,000 | 11,276,800 | |
120,567,314 | |||
TOTAL UTILITIES | 409,054,969 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $12,038,890,755) | 12,329,908,191 | ||
U.S. Treasury Obligations - 40.3% | |||
U.S. Treasury Bonds: | |||
1.75% 8/15/41 | $238,590,000 | $218,682,647 | |
1.875% 11/15/51 | 440,986,000 | 411,426,157 | |
2% 11/15/41 (d) | 314,110,000 | 300,711,245 | |
2% 8/15/51 | 1,498,710,000 | 1,437,590,733 | |
2.25% 2/15/52 | 261,840,000 | 266,749,500 | |
2.875% 5/15/49 | 264,876,000 | 300,934,314 | |
3% 2/15/47 | 647,997,000 | 735,982,843 | |
U.S. Treasury Notes: | |||
0.125% 1/31/23 | 454,700,000 | 450,792,422 | |
0.25% 5/15/24 | 683,749,000 | 664,758,938 | |
0.25% 7/31/25 | 780,659,000 | 743,394,727 | |
0.25% 9/30/25 | 206,099,000 | 195,616,933 | |
0.375% 12/31/25 | 914,223,000 | 868,797,545 | |
0.375% 1/31/26 | 520,980,000 | 494,157,668 | |
0.75% 4/30/26 | 1,332,810,000 | 1,279,601,719 | |
0.875% 9/30/26 (d)(e) | 418,050,000 | 401,899,554 | |
1.125% 10/31/26 | 500,000,000 | 485,859,375 | |
1.125% 8/31/28 | 300,720,000 | 287,798,438 | |
1.125% 2/15/31 (f) | 505,051,000 | 475,833,012 | |
1.25% 5/31/28 | 2,419,052,000 | 2,338,826,391 | |
1.25% 9/30/28 | 50,800,000 | 48,970,407 | |
1.375% 11/15/31 (d) | 883,737,000 | 847,144,765 | |
1.5% 11/30/28 | 250,000,000 | 244,765,625 | |
1.75% 1/31/29 | 659,088,000 | 655,689,578 | |
1.875% 2/28/27 | 350,000,000 | 352,324,217 | |
2.125% 7/31/24 | 24,323,300 | 24,652,044 | |
2.125% 11/30/24 | 379,473,000 | 384,586,991 | |
2.25% 4/30/24 | 30,464,300 | 30,937,925 | |
2.25% 12/31/24 | 175,486,000 | 178,563,859 | |
2.75% 6/30/25 | 207,274,300 | 214,399,354 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $15,954,166,525) | 15,341,448,926 | ||
U.S. Government Agency - Mortgage Securities - 18.3% | |||
Fannie Mae - 6.0% | |||
12 month U.S. LIBOR + 1.360% 1.615% 10/1/35 (b)(c) | 26,843 | 27,826 | |
12 month U.S. LIBOR + 1.440% 1.82% 4/1/37 (b)(c) | 48,248 | 50,132 | |
12 month U.S. LIBOR + 1.460% 1.856% 1/1/35 (b)(c) | 52,901 | 54,933 | |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (b)(c) | 26,568 | 27,644 | |
12 month U.S. LIBOR + 1.530% 1.91% 3/1/36 (b)(c) | 2,972 | 3,097 | |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (b)(c) | 31,366 | 32,795 | |
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (b)(c) | 50,323 | 52,498 | |
12 month U.S. LIBOR + 1.620% 1.907% 5/1/35 (b)(c) | 106,151 | 110,766 | |
12 month U.S. LIBOR + 1.620% 1.922% 3/1/33 (b)(c) | 68,421 | 70,991 | |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (b)(c) | 44,349 | 46,307 | |
12 month U.S. LIBOR + 1.630% 1.945% 11/1/36 (b)(c) | 95,356 | 99,686 | |
12 month U.S. LIBOR + 1.640% 1.881% 5/1/36 (b)(c) | 103,899 | 108,857 | |
12 month U.S. LIBOR + 1.640% 1.944% 6/1/47 (b)(c) | 110,180 | 116,025 | |
12 month U.S. LIBOR + 1.680% 1.956% 7/1/43 (b)(c) | 79,772 | 83,271 | |
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (b)(c) | 401,975 | 420,912 | |
12 month U.S. LIBOR + 1.710% 1.927% 8/1/35 (b)(c) | 7,615 | 7,970 | |
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (b)(c) | 77,771 | 81,823 | |
12 month U.S. LIBOR + 1.730% 2.002% 3/1/40 (b)(c) | 106,869 | 111,704 | |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (b)(c) | 139,147 | 146,195 | |
12 month U.S. LIBOR + 1.750% 2.064% 7/1/35 (b)(c) | 54,202 | 56,610 | |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (b)(c) | 264,766 | 278,010 | |
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (b)(c) | 3,079,494 | 3,234,055 | |
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (b)(c) | 227,213 | 237,523 | |
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (b)(c) | 77,087 | 80,662 | |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (b)(c) | 351,328 | 370,440 | |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (b)(c) | 140,637 | 148,045 | |
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (b)(c) | 123,574 | 129,523 | |
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (b)(c) | 9,484 | 9,944 | |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (b)(c) | 125,927 | 128,752 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (b)(c) | 53,164 | 56,261 | |
12 month U.S. LIBOR + 1.950% 2.246% 9/1/36 (b)(c) | 53,874 | 56,025 | |
6 month U.S. LIBOR + 1.470% 1.6% 10/1/33 (b)(c) | 16,002 | 16,589 | |
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (b)(c) | 155,292 | 161,273 | |
6 month U.S. LIBOR + 1.510% 1.76% 2/1/33 (b)(c) | 7,435 | 7,695 | |
6 month U.S. LIBOR + 1.530% 1.719% 12/1/34 (b)(c) | 30,952 | 32,142 | |
6 month U.S. LIBOR + 1.530% 1.736% 3/1/35 (b)(c) | 45,491 | 47,289 | |
6 month U.S. LIBOR + 1.550% 1.701% 10/1/33 (b)(c) | 15,769 | 16,376 | |
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (b)(c) | 24,031 | 25,029 | |
6 month U.S. LIBOR + 1.740% 1.865% 12/1/34 (b)(c) | 2,564 | 2,680 | |
6 month U.S. LIBOR + 1.960% 2.085% 9/1/35 (b)(c) | 33,637 | 35,457 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (b)(c) | 36,170 | 37,980 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (b)(c) | 119,870 | 125,464 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.368% 12/1/33 (b)(c) | 342,104 | 357,894 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.41% 10/1/33 (b)(c) | 80,092 | 83,754 | |
U.S. TREASURY 1 YEAR INDEX + 2.420% 2.538% 5/1/35 (b)(c) | 23,584 | 24,716 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.528% 7/1/34 (b)(c) | 166,632 | 174,469 | |
1.5% 8/1/50 to 11/1/51 | 15,010,979 | 13,934,544 | |
2% 12/1/36 to 3/1/52 | 609,623,916 | 588,187,160 | |
2.5% 4/1/31 to 3/1/52 | 622,223,874 | 618,256,893 | |
3% 4/1/29 to 3/1/52 (d)(e)(g) | 492,839,540 | 503,258,416 | |
3.4% 7/1/42 to 9/1/42 | 66,667 | 69,622 | |
3.5% 5/1/36 to 1/1/51 | 210,678,148 | 219,342,175 | |
3.65% 5/1/42 to 8/1/42 | 21,359 | 22,437 | |
3.9% 4/1/42 | 5,901 | 6,267 | |
4% 3/1/36 to 7/1/48 | 141,412,868 | 150,216,497 | |
4.25% 11/1/41 | 12,827 | 13,780 | |
4.5% to 4.5% 6/1/24 to 9/1/49 | 131,923,170 | 141,646,419 | |
5% 11/1/22 to 2/1/49 | 15,132,019 | 16,637,831 | |
5.237% 8/1/41 (b) | 1,853,707 | 2,023,309 | |
5.5% 3/1/22 to 9/1/24 | 5,438 | 5,526 | |
6% to 6% 10/1/22 to 1/1/42 | 8,273,793 | 9,431,261 | |
6.5% 8/1/22 to 5/1/38 | 5,827,948 | 6,569,861 | |
6.633% 2/1/39 (b) | 1,097,997 | 1,190,877 | |
7% to 7% 4/1/23 to 7/1/37 | 1,062,541 | 1,194,039 | |
7.5% to 7.5% 9/1/22 to 9/1/32 | 518,603 | 574,831 | |
8% 8/1/29 to 3/1/37 | 26,429 | 31,156 | |
8.5% 9/1/22 to 9/1/25 | 312 | 330 | |
9% 10/1/30 | 6,398 | 7,355 | |
TOTAL FANNIE MAE | 2,280,208,675 | ||
Freddie Mac - 4.5% | |||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (b)(c) | 53,553 | 55,248 | |
12 month U.S. LIBOR + 1.370% 1.646% 3/1/36 (b)(c) | 259,095 | 268,479 | |
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (b)(c) | 113,855 | 118,336 | |
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (b)(c) | 1,573,105 | 1,644,075 | |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (b)(c) | 330,349 | 346,786 | |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (b)(c) | 619,455 | 649,471 | |
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (b)(c) | 70,769 | 74,742 | |
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (b)(c) | 49,860 | 52,634 | |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (b)(c) | 200,175 | 209,908 | |
12 month U.S. LIBOR + 1.900% 2.167% 10/1/42 (b)(c) | 205,089 | 215,554 | |
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (b)(c) | 405,352 | 428,025 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(c) | 536,299 | 566,094 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(c) | 140,823 | 148,576 | |
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (b)(c) | 390,373 | 412,590 | |
12 month U.S. LIBOR + 1.960% 2.211% 6/1/33 (b)(c) | 18,155 | 19,076 | |
12 month U.S. LIBOR + 2.020% 2.327% 4/1/38 (b)(c) | 80,876 | 85,020 | |
12 month U.S. LIBOR + 2.030% 2.285% 3/1/33 (b)(c) | 3,097 | 3,220 | |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (b)(c) | 97,815 | 102,896 | |
12 month U.S. LIBOR + 2.160% 2.41% 11/1/35 (b)(c) | 14,996 | 15,741 | |
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (b)(c) | 148,322 | 155,770 | |
6 month U.S. LIBOR + 1.120% 1.325% 8/1/37 (b)(c) | 67,435 | 69,183 | |
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (b)(c)(h) | 5,734 | 5,976 | |
6 month U.S. LIBOR + 1.650% 1.794% 4/1/35 (b)(c) | 74,913 | 78,080 | |
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (b)(c) | 23,771 | 24,877 | |
6 month U.S. LIBOR + 1.840% 1.97% 2/1/37 (b)(c) | 34,477 | 36,233 | |
6 month U.S. LIBOR + 1.880% 2.021% 10/1/36 (b)(c) | 233,193 | 244,272 | |
6 month U.S. LIBOR + 1.990% 2.164% 10/1/35 (b)(c) | 85,964 | 90,146 | |
6 month U.S. LIBOR + 2.020% 2.159% 6/1/37 (b)(c) | 77,085 | 80,905 | |
6 month U.S. LIBOR + 2.680% 2.841% 10/1/35 (b)(c) | 41,357 | 43,627 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (b)(c) | 158,734 | 166,140 | |
U.S. TREASURY 1 YEAR INDEX + 2.240% 2.371% 1/1/35 (b)(c) | 3,350 | 3,511 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.387% 6/1/33 (b)(c) | 296,493 | 309,919 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.516% 3/1/35 (b)(c) | 545,587 | 571,709 | |
1.5% 11/1/50 to 12/1/51 | 28,853,592 | 26,784,449 | |
2% 12/1/36 to 2/1/52 | 469,007,811 | 451,312,472 | |
2.5% 5/1/30 to 3/1/52 | 366,620,174 | 364,872,778 | |
3% 6/1/31 to 3/1/52 | 274,243,763 | 279,675,330 | |
3.5% 1/1/32 to 3/1/52 | 242,865,247 | 253,878,708 | |
3.5% 8/1/47 | 7,499,219 | 7,810,091 | |
4% 1/1/36 to 6/1/48 | 197,495,546 | 209,792,459 | |
4% 4/1/48 | 51,971 | 54,681 | |
4.5% 6/1/25 to 12/1/48 | 65,243,675 | 70,204,834 | |
5% 7/1/33 to 7/1/41 | 17,989,999 | 19,863,870 | |
5.5% 6/1/22 | 2,506 | 2,511 | |
6% 1/1/23 to 12/1/37 | 1,902,217 | 2,134,480 | |
6.5% 1/1/24 to 9/1/39 | 2,638,301 | 3,028,604 | |
7% 3/1/26 to 9/1/36 | 1,071,001 | 1,216,759 | |
7.5% 1/1/27 to 7/1/34 | 96,030 | 109,005 | |
8% 7/1/24 to 4/1/32 | 20,768 | 23,438 | |
8.5% 12/1/22 to 1/1/28 | 23,378 | 25,698 | |
TOTAL FREDDIE MAC | 1,698,086,986 | ||
Ginnie Mae - 3.7% | |||
3.5% 10/20/40 to 5/20/50 | 111,660,335 | 117,076,042 | |
4% 7/20/33 to 5/20/49 | 193,886,154 | 204,954,736 | |
4.5% 6/20/33 to 5/20/42 | 38,116,912 | 41,502,973 | |
5.5% 6/15/33 to 9/15/39 | 1,584,520 | 1,760,535 | |
6% to 6% 10/15/30 to 5/15/40 | 3,139,801 | 3,535,163 | |
7% to 7% 11/15/22 to 3/15/33 | 1,653,937 | 1,845,613 | |
7.5% to 7.5% 9/15/22 to 9/15/31 | 298,248 | 323,638 | |
8% 5/15/22 to 11/15/29 | 59,530 | 63,995 | |
8.5% to 8.5% 11/15/27 to 1/15/31 | 25,053 | 28,260 | |
9% 1/15/23 | 70 | 71 | |
2% 1/20/52 | 65,070,414 | 63,680,835 | |
2% 3/1/52 (i) | 29,600,000 | 28,932,156 | |
2% 3/1/52 (i) | 29,650,000 | 28,981,028 | |
2% 3/1/52 (i) | 18,050,000 | 17,642,750 | |
2% 3/1/52 (i) | 60,350,000 | 58,988,365 | |
2% 3/1/52 (i) | 60,300,000 | 58,939,493 | |
2% 3/1/52 (i) | 41,850,000 | 40,905,768 | |
2% 3/1/52 (i) | 23,250,000 | 22,725,427 | |
2% 3/1/52 (i) | 24,350,000 | 23,800,608 | |
2% 3/1/52 (i) | 12,300,000 | 12,022,484 | |
2.5% 7/20/51 to 12/20/51 | 69,772,101 | 69,825,190 | |
2.5% 3/1/52 (i) | 57,800,000 | 57,758,349 | |
2.5% 3/1/52 (i) | 57,550,000 | 57,508,529 | |
2.5% 3/1/52 (i) | 28,800,000 | 28,779,247 | |
2.5% 3/1/52 (i) | 28,800,000 | 28,779,247 | |
2.5% 3/1/52 (i) | 38,550,000 | 38,522,221 | |
2.5% 3/1/52 (i) | 32,725,000 | 32,701,418 | |
2.5% 3/1/52 (i) | 12,100,000 | 12,091,281 | |
3% 4/15/42 to 10/20/51 | 178,304,512 | 182,147,245 | |
3% 3/1/52 (i) | 26,000,000 | 26,426,052 | |
3% 3/1/52 (i) | 24,750,000 | 25,155,568 | |
3% 3/1/52 (i) | 26,100,000 | 26,527,690 | |
3% 3/1/52 (i) | 13,200,000 | 13,416,303 | |
3.5% 3/1/52 (i) | 14,600,000 | 15,065,007 | |
3.5% 3/1/52 (i) | 6,100,000 | 6,294,284 | |
3.5% 3/1/52 (i) | 1,550,000 | 1,599,367 | |
3.5% 3/1/52 (i) | 8,750,000 | 9,028,686 | |
3.5% 3/1/52 (i) | 10,000,000 | 10,318,498 | |
3.5% 3/1/52 (i) | 1,750,000 | 1,805,737 | |
3.5% 3/1/52 (i) | 2,100,000 | 2,166,885 | |
3.5% 3/1/52 (i) | 4,350,000 | 4,488,547 | |
3.5% 4/1/52 (i) | 10,550,000 | 10,850,161 | |
5% 12/15/32 to 4/20/48 | 19,844,106 | 21,897,900 | |
6.5% 3/20/31 to 6/15/37 | 438,199 | 495,491 | |
TOTAL GINNIE MAE | 1,411,358,843 | ||
Uniform Mortgage Backed Securities - 4.1% | |||
1.5% 3/1/37 (i) | 30,150,000 | 29,339,719 | |
1.5% 3/1/37 (i) | 4,100,000 | 3,989,813 | |
1.5% 3/1/37 (i) | 13,000,000 | 12,650,625 | |
1.5% 3/1/37 (i) | 13,050,000 | 12,699,281 | |
1.5% 3/1/52 (i) | 30,100,000 | 27,901,493 | |
1.5% 3/1/52 (i) | 24,150,000 | 22,386,082 | |
1.5% 3/1/52 (i) | 24,100,000 | 22,339,734 | |
1.5% 3/1/52 (i) | 24,900,000 | 23,081,302 | |
1.5% 3/1/52 (i) | 3,300,000 | 3,058,968 | |
1.5% 3/1/52 (i) | 8,500,000 | 7,879,159 | |
1.5% 4/1/52 (i) | 8,150,000 | 7,543,263 | |
2% 3/1/37 (i) | 43,200,000 | 42,869,252 | |
2% 3/1/37 (i) | 67,700,000 | 67,181,675 | |
2% 3/1/37 (i) | 12,600,000 | 12,503,532 | |
2% 3/1/37 (i) | 22,800,000 | 22,625,439 | |
2% 3/1/37 (i) | 25,300,000 | 25,106,298 | |
2% 3/1/37 (i) | 15,000,000 | 14,885,157 | |
2% 4/1/37 (i) | 43,200,000 | 42,793,311 | |
2% 4/1/37 (i) | 34,300,000 | 33,977,096 | |
2% 3/1/52 (i) | 85,700,000 | 82,159,193 | |
2% 3/1/52 (i) | 85,750,000 | 82,207,127 | |
2% 3/1/52 (i) | 58,800,000 | 56,370,602 | |
2% 3/1/52 (i) | 8,800,000 | 8,436,417 | |
2% 3/1/52 (i) | 17,500,000 | 16,776,965 | |
2% 3/1/52 (i) | 8,700,000 | 8,340,548 | |
2% 3/1/52 (i) | 24,400,000 | 23,391,882 | |
2% 4/1/52 (i) | 40,350,000 | 38,619,840 | |
2.5% 3/1/37 (i) | 33,800,000 | 34,201,368 | |
2.5% 3/1/52 (i) | 60,550,000 | 59,726,883 | |
2.5% 3/1/52 (i) | 8,025,000 | 7,915,908 | |
2.5% 3/1/52 (i) | 8,025,000 | 7,915,908 | |
2.5% 3/1/52 (i) | 68,050,000 | 67,124,928 | |
2.5% 3/1/52 (i) | 34,400,000 | 33,932,366 | |
2.5% 3/1/52 (i) | 10,150,000 | 10,012,021 | |
2.5% 3/1/52 (i) | 18,350,000 | 18,100,550 | |
2.5% 3/1/52 (i) | 4,700,000 | 4,636,108 | |
2.5% 3/1/52 (i) | 4,600,000 | 4,537,468 | |
2.5% 3/1/52 (i) | 37,500,000 | 36,990,225 | |
2.5% 3/1/52 (i) | 9,200,000 | 9,074,935 | |
2.5% 3/1/52 (i) | 23,100,000 | 22,785,979 | |
2.5% 4/1/52 (i) | 53,400,000 | 52,563,526 | |
3% 2/1/52 (i) | 11,000,000 | 11,138,368 | |
3% 3/1/52 (i) | 32,200,000 | 32,514,478 | |
3% 3/1/52 (i) | 32,200,000 | 32,514,478 | |
3% 3/1/52 (i) | 20,800,000 | 21,003,141 | |
3% 3/1/52 (i) | 13,900,000 | 14,035,753 | |
3% 3/1/52 (i) | 30,800,000 | 31,100,805 | |
3% 3/1/52 (i) | 10,100,000 | 10,198,641 | |
3.5% 3/1/52 (i) | 15,800,000 | 16,273,997 | |
3.5% 3/1/52 (i) | 23,150,000 | 23,844,495 | |
3.5% 3/1/52 (i) | 16,100,000 | 16,582,997 | |
3.5% 3/1/52 (i) | 17,550,000 | 18,076,496 | |
3.5% 3/1/52 (i) | 13,300,000 | 13,698,997 | |
3.5% 3/1/52 (i) | 10,250,000 | 10,557,498 | |
3.5% 3/1/52 (i) | 18,400,000 | 18,951,996 | |
3.5% 3/1/52 (i) | 8,000,000 | 8,239,998 | |
3.5% 3/1/52 (i) | 9,650,000 | 9,939,498 | |
3.5% 3/1/52 (i) | 17,400,000 | 17,921,997 | |
3.5% 3/1/52 (i) | 44,950,000 | 46,298,491 | |
3.5% 3/1/52 (i) | 14,550,000 | 14,986,497 | |
3.5% 3/1/52 (i) | 11,800,000 | 12,153,998 | |
3.5% 3/1/52 (i) | 12,600,000 | 12,977,997 | |
3.5% 3/1/52 (i) | 24,600,000 | 25,337,995 | |
3.5% 3/1/52 (i) | 21,900,000 | 22,556,996 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,561,537,553 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $7,024,509,974) | 6,951,192,057 | ||
Asset-Backed Securities - 6.4% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (a) | $15,623,410 | $12,431,129 | |
Series 2019-1 Class A, 3.844% 5/15/39 (a) | 17,086,722 | 15,130,719 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (a) | 31,836,087 | 29,922,357 | |
Class B, 4.458% 10/16/39 (a) | 5,909,968 | 4,842,991 | |
Series 2021-1A Class A, 2.95% 11/16/41 (a) | 33,389,181 | 31,533,160 | |
Series 2021-2A Class A, 2.798% 1/15/47 (a) | 58,701,006 | 56,864,862 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | 12,380,000 | 12,347,632 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 8,704,000 | 8,659,827 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.3713% 10/17/34 (a)(b)(c) | 21,227,000 | 21,049,351 | |
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)(c) | 56,239,000 | 55,392,209 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.394% 7/20/34 (a)(b)(c) | 27,167,000 | 26,962,487 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (a) | 13,777,991 | 12,797,666 | |
Class B, 4.335% 1/16/40 (a) | 2,733,802 | 1,960,115 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (a)(b)(c) | 31,563,000 | 31,464,555 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 1.2877% 4/25/34 (a)(b)(c) | 18,644,000 | 18,478,124 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3713% 7/15/34 (a)(b)(c) | 34,311,000 | 34,092,096 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, U.S. 90 Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.330% 1.5112% 1/15/35(a)(b)(c) | 42,880,000 | 42,869,580 | |
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)(c) | 37,984,000 | 37,688,750 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4913% 4/17/33 (a)(b)(c) | 12,146,000 | 12,098,205 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/36 (a)(b)(c) | 21,905,000 | 21,807,216 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 1.2777% 4/25/34 (a)(b)(c) | 40,974,000 | 40,549,714 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.474% 1/20/32 (a)(b)(c) | 36,000,000 | 35,847,540 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 1.3119% 2/25/35 (b)(c) | 341,707 | 341,145 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5713% 1/17/33 (a)(b)(c) | 28,318,000 | 28,318,000 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (a)(b)(c) | 33,084,000 | 32,898,134 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 34,857,806 | 33,832,073 | |
Class AA, 2.487% 12/16/41 (a)(b) | 4,686,354 | 4,595,738 | |
Series 2021-1A Class A, 2.443% 7/15/46 (a) | 48,221,718 | 46,336,244 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (a)(b)(c) | 36,617,000 | 36,532,964 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (a) | 25,076,206 | 24,819,867 | |
Class B, 5.095% 4/15/39 (a) | 11,988,233 | 11,097,010 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (a) | 22,229,733 | 21,669,926 | |
Series 2021-1A Class A, 3.474% 1/15/46 (a) | 10,275,871 | 10,254,472 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(c) | 26,444,000 | 26,270,739 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.32% 4/20/35 (a)(b)(c)(i) | 39,364,000 | 39,344,594 | |
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)(c) | 19,756,000 | 19,546,428 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 1.304% 4/20/34 (a)(b)(c) | 32,995,000 | 32,526,405 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.424% 10/20/34 (a)(b)(c) | 32,158,000 | 31,941,287 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5369% 10/25/37 (a)(b)(c) | 163,797 | 164,183 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.454% 4/20/34 (a)(b)(c) | 35,800,000 | 35,619,389 | |
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)(c) | 47,700,000 | 47,488,689 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 1,669,357 | 1,671,962 | |
DB Master Finance LLC: | |||
Series 2017-1A Class A2II, 4.03% 11/20/47 (a) | 30,453,120 | 31,199,221 | |
Series 2019-1A Class A23, 4.352% 5/20/49 (a) | 2,764,125 | 2,867,863 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.3% 4/20/35 (a)(b)(c)(i) | 22,130,000 | 22,124,622 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(c) | 21,386,000 | 21,277,830 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4613% 1/18/32 (a)(b)(c) | 25,810,000 | 25,793,456 | |
Dryden Senior Loan Fund: | |||
Series 2018-70X Class A1, 3 month U.S. LIBOR + 1.170% 1.4113% 1/16/32 (b)(c) | 346,000 | 344,297 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4213% 4/17/33 (a)(b)(c) | 23,800,000 | 23,799,905 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/35 (a)(b)(c) | 29,140,000 | 28,975,796 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.2897% 2/20/35 (a)(b)(c) | 16,803,000 | 16,705,055 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 14,552,000 | 14,546,980 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 1/15/35 (a)(b)(c) | 37,869,000 | 37,673,028 | |
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)(c) | 7,800,000 | 7,768,683 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 18,105,988 | 17,856,008 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.358% 7/19/34 (a)(b)(c) | 24,705,000 | 24,479,987 | |
Class AR, 3 month U.S. LIBOR + 1.080% 1.5386% 11/16/34 (a)(b)(c) | 32,500,000 | 32,220,208 | |
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)(c) | 33,900,000 | 33,818,471 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 12,821,934 | 12,226,623 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 13,911,854 | 13,518,137 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.2485% 10/22/34 (a)(b)(c) | 22,628,000 | 22,500,582 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 1.33% 4/15/35 (a)(b)(c)(i) | 30,000,000 | 29,992,650 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 29,320,000 | 29,475,484 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4513% 1/15/33 (a)(b)(c) | 16,500,000 | 16,489,275 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1789% 1/22/28 (a)(b)(c) | 23,869,768 | 23,788,372 | |
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)(c) | 38,620,000 | 38,400,832 | |
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)(c) | 36,551,000 | 36,280,852 | |
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)(c) | 24,703,000 | 24,519,654 | |
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)(c) | 10,024,000 | 9,986,631 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.394% 10/20/34 (a)(b)(c) | 7,927,000 | 7,878,249 | |
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)(c) | 39,908,000 | 39,683,478 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 1.274% 4/20/34 (a)(b)(c) | 31,864,000 | 31,487,368 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 1.251% 1/25/35 (a)(b)(c) | 26,894,000 | 26,659,296 | |
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)(c) | 33,150,000 | 33,147,779 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/30 (a)(b)(c) | 36,977,000 | 36,771,852 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (b)(c) | 590,017 | 589,321 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.384% 10/20/34 (a)(b)(c) | 13,185,000 | 13,090,490 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 27,792,800 | 27,679,127 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (a) | 26,530,000 | 26,616,265 | |
Class A2II, 4.008% 12/5/51 (a) | 23,707,000 | 23,301,907 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) | 25,950,725 | 25,300,275 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.374% 4/20/34 (a)(b)(c) | 46,460,000 | 46,222,543 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (a)(b)(c) | 42,692,000 | 42,681,626 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (a) | 27,752,517 | 26,600,896 | |
Class B, 4.335% 3/15/40 (a) | 2,922,293 | 2,430,122 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 34,963,000 | 35,398,649 | |
1.884% 7/15/50 (a) | 12,544,000 | 12,261,293 | |
2.328% 7/15/52 (a) | 9,591,000 | 9,370,772 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6728% 12/15/27 (a)(b)(c) | 5,504,446 | 5,503,232 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.85% 4/23/35 (a)(b)(c)(i) | 44,162,000 | 44,139,919 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 4,219,000 | 4,203,757 | |
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)(c) | 41,341,000 | 40,933,460 | |
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)(c) | 28,900,000 | 28,631,548 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 103,261 | 102,266 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 32,382,984 | 31,659,577 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 41,355,134 | 40,106,970 | |
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6411% 3/25/58 (a)(b) | 155,045 | 158,429 | |
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)(c) | 2,720,000 | 2,013,116 | |
Treman Park CLO, Ltd. Series 2018-1A Class ARR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/28 (a)(b)(c) | 8,610,305 | 8,602,815 | |
Upstart Securitization Trust Series 2021-1 Class A, 0.87% 3/20/31 (a) | 2,071,075 | 2,058,972 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.524% 7/20/32 (a)(b)(c) | 35,926,000 | 35,810,318 | |
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)(c) | 22,263,000 | 22,132,249 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (a)(b)(c) | 44,263,000 | 43,966,571 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 7/16/34 (a)(b)(c) | 22,574,000 | 22,429,549 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $2,478,996,759) | 2,448,314,092 | ||
Collateralized Mortgage Obligations - 1.5% | |||
Private Sponsor - 0.6% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 19,834,294 | 19,550,108 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 22,093,823 | 21,958,947 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 25,406,266 | 25,278,767 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (a) | 15,370,865 | 15,297,014 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(b) | 70,148 | 69,743 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (a)(b)(c) | 98,347 | 96,880 | |
Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c)(j) | 314,589 | 31 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (a)(b)(c) | 392,784 | 374,737 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 1,147,000 | 1,151,386 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 9,560,688 | 9,759,445 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (a) | 16,307,246 | 16,672,258 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) | 18,669,831 | 18,269,033 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (a)(b) | 26,898,288 | 26,743,141 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (a) | 13,206,792 | 12,891,647 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (a) | 29,169,795 | 28,843,668 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) | 10,397,719 | 10,250,909 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 4,975 | 4,850 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8269% 9/25/43 (b)(c) | 129,515 | 126,240 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.3798% 9/25/33 (b) | 14,864 | 14,639 | |
TOTAL PRIVATE SPONSOR | 207,353,443 | ||
U.S. Government Agency - 0.9% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9869% 2/25/32 (b)(c) | 21,031 | 21,385 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1367% 3/18/32 (b)(c) | 38,988 | 39,791 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1869% 4/25/32 (b)(c) | 44,346 | 45,388 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1869% 10/25/32 (b)(c) | 58,187 | 59,441 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9369% 1/25/32 (b)(c) | 20,977 | 21,296 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9131% 12/25/33 (b)(k)(l) | 774,691 | 175,380 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.4931% 11/25/36 (b)(k)(l) | 537,944 | 92,001 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 2,102 | 2,138 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 90,951 | 93,012 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 36,195 | 37,112 | |
Series 1999-17 Class PG, 6% 4/25/29 | 260,207 | 279,651 | |
Series 1999-32 Class PL, 6% 7/25/29 | 288,441 | 311,131 | |
Series 1999-33 Class PK, 6% 7/25/29 | 217,063 | 234,131 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 32,398 | 34,970 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 34,927 | 35,688 | |
Series 2005-102 Class CO 11/25/35 (m) | 142,142 | 128,747 | |
Series 2005-39 Class TE, 5% 5/25/35 | 30,240 | 32,995 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.0642% 8/25/35 (b)(l) | 35,932 | 44,668 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 394,169 | 432,285 | |
Series 2006-12 Class BO 10/25/35 (m) | 646,282 | 587,050 | |
Series 2006-15 Class OP 3/25/36 (m) | 742,410 | 662,134 | |
Series 2006-37 Class OW 5/25/36 (m) | 72,917 | 63,631 | |
Series 2006-45 Class OP 6/25/36 (m) | 232,462 | 203,259 | |
Series 2006-62 Class KP 4/25/36 (m) | 380,541 | 341,209 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 3,062,031 | 3,013,029 | |
Class GA, 1.75% 6/25/42 | 3,335,016 | 3,291,440 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 50,247 | 53,963 | |
Series 1999-25 Class Z, 6% 6/25/29 | 227,083 | 240,195 | |
Series 2001-20 Class Z, 6% 5/25/31 | 292,810 | 317,360 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 153,495 | 164,035 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 98,147 | 106,178 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3631% 11/25/32 (b)(k)(l) | 314,454 | 30,588 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (k) | 471,111 | 22,865 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4531% 12/25/36 (b)(k)(l) | 389,629 | 80,058 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2531% 5/25/37 (b)(k)(l) | 190,723 | 39,922 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.2713% 9/25/23 (b)(l) | 4,914 | 5,301 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9131% 3/25/33 (b)(k)(l) | 49,462 | 10,033 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 2,993,038 | 3,167,034 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 1,210,960 | 1,344,487 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.4988% 6/25/37 (b)(l) | 190,239 | 353,946 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (b)(l) | 258,147 | 481,550 | |
Class SB, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (b)(l) | 87,057 | 140,615 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1631% 3/25/38 (b)(k)(l) | 1,299,647 | 232,294 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.8631% 12/25/40 (b)(k)(l) | 1,309,699 | 206,511 | |
Class ZA, 4.5% 12/25/40 | 1,632,429 | 1,838,901 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (k) | 526,248 | 20,779 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 3,992,457 | 4,438,454 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 8,822,716 | 9,776,482 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 897,208 | 989,660 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 1,274,420 | 1,380,289 | |
Series 2011-67 Class AI, 4% 7/25/26 (k) | 157,484 | 6,171 | |
Series 2011-83 Class DI, 6% 9/25/26 (k) | 20,267 | 256 | |
Series 2012-100 Class WI, 3% 9/25/27 (k) | 2,303,380 | 150,694 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4631% 12/25/30 (b)(k)(l) | 413,709 | 16,203 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3631% 6/25/41 (b)(k)(l) | 310,249 | 9,417 | |
Series 2013-133 Class IB, 3% 4/25/32 (k) | 931,693 | 35,022 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8631% 1/25/44 (b)(k)(l) | 643,604 | 120,095 | |
Series 2013-51 Class GI, 3% 10/25/32 (k) | 2,382,195 | 162,045 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5331% 6/25/35 (b)(k)(l) | 1,092,104 | 167,274 | |
Series 2015-42 Class IL, 6% 6/25/45 (k) | 3,840,618 | 735,990 | |
Series 2015-70 Class JC, 3% 10/25/45 | 5,427,257 | 5,560,573 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (k) | 2,187,789 | 424,442 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (k) | 198,446 | 34,948 | |
Series 343 Class 16, 5.5% 5/25/34 (k) | 174,509 | 28,214 | |
Series 348 Class 14, 6.5% 8/25/34 (b)(k) | 129,660 | 27,596 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(k) | 81,458 | 14,613 | |
Class 13, 6% 3/25/34 (k) | 118,117 | 20,994 | |
Series 359 Class 19, 6% 7/25/35 (b)(k) | 69,943 | 13,717 | |
Series 384 Class 6, 5% 7/25/37 (k) | 774,503 | 135,615 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9911% 1/15/32 (b)(c) | 16,191 | 16,475 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (b)(c) | 23,825 | 24,317 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1911% 3/15/32 (b)(c) | 23,892 | 24,401 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.0911% 6/15/31 (b)(c) | 42,657 | 43,415 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (b)(c) | 13,371 | 13,618 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.4411% 5/15/37 (b)(c) | 954,925 | 958,014 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 327,667 | 353,999 | |
Series 2101 Class PD, 6% 11/15/28 | 25,178 | 27,195 | |
Series 2104 Class PG, 6% 12/15/28 | 6,348 | 6,861 | |
Series 2121 Class MG, 6% 2/15/29 | 128,037 | 138,197 | |
Series 2131 Class BG, 6% 3/15/29 | 890,080 | 962,559 | |
Series 2137 Class PG, 6% 3/15/29 | 146,556 | 158,562 | |
Series 2154 Class PT, 6% 5/15/29 | 255,559 | 276,570 | |
Series 2162 Class PH, 6% 6/15/29 | 50,276 | 54,117 | |
Series 2520 Class BE, 6% 11/15/32 | 381,310 | 421,872 | |
Series 2693 Class MD, 5.5% 10/15/33 | 1,050,692 | 1,113,298 | |
Series 2802 Class OB, 6% 5/15/34 | 378,023 | 410,871 | |
Series 3002 Class NE, 5% 7/15/35 | 934,926 | 1,008,128 | |
Series 3110 Class OP 9/15/35 (m) | 325,470 | 309,354 | |
Series 3119 Class PO 2/15/36 (m) | 905,819 | 804,986 | |
Series 3121 Class KO 3/15/36 (m) | 139,838 | 125,666 | |
Series 3123 Class LO 3/15/36 (m) | 508,416 | 452,811 | |
Series 3145 Class GO 4/15/36 (m) | 524,144 | 468,668 | |
Series 3189 Class PD, 6% 7/15/36 | 803,494 | 900,860 | |
Series 3225 Class EO 10/15/36 (m) | 274,421 | 241,902 | |
Series 3258 Class PM, 5.5% 12/15/36 | 348,114 | 383,389 | |
Series 3415 Class PC, 5% 12/15/37 | 357,409 | 384,817 | |
Series 3806 Class UP, 4.5% 2/15/41 | 1,614,334 | 1,711,630 | |
Series 3832 Class PE, 5% 3/15/41 | 3,903,664 | 4,211,650 | |
Series 4135 Class AB, 1.75% 6/15/42 | 2,497,308 | 2,467,514 | |
Series 4765 Class PE, 3% 12/15/41 | 1,254,524 | 1,261,397 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 2,947 | 3,183 | |
Series 2135 Class JE, 6% 3/15/29 | 71,084 | 76,240 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 90,766 | 96,772 | |
Series 2281 Class ZB, 6% 3/15/30 | 176,340 | 189,814 | |
Series 2303 Class ZV, 6% 4/15/31 | 84,460 | 91,717 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 671,077 | 742,601 | |
Series 2502 Class ZC, 6% 9/15/32 | 178,933 | 197,747 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 240,764 | 262,996 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 23,560 | 24,065 | |
Series 2601 Class TB, 5.5% 4/15/23 | 10,903 | 11,146 | |
Series 2998 Class LY, 5.5% 7/15/25 | 107,079 | 114,316 | |
Series 3871 Class KB, 5.5% 6/15/41 | 3,272,484 | 3,645,595 | |
Series 4423 Class NJ, 3% 9/15/41 | 5,099,087 | 5,158,478 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4089% 2/15/36 (b)(k)(l) | 254,110 | 40,790 | |
Series 1658 Class GZ, 7% 1/15/24 | 5,042 | 5,286 | |
Series 2013-4281 Class AI, 4% 12/15/28 (k) | 1,326,226 | 44,622 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 5,553,073 | 5,661,855 | |
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0089% 11/15/31 (b)(k)(l) | 32,332 | 3,090 | |
Series 2587 Class IM, 6.5% 3/15/33 (k) | 6,305 | 1,249 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 45.5576% 8/15/24 (b)(l) | 19 | 20 | |
Class SD, 86.400% - 1 month U.S. LIBOR 83.9652% 8/15/24 (b)(l) | 28 | 31 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 2,753,594 | 3,075,875 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 3,605,030 | 3,973,890 | |
Series 2947 Class XZ, 6% 3/15/35 | 1,536,005 | 1,712,955 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 1,794,525 | 1,980,068 | |
Series 3237 Class C, 5.5% 11/15/36 | 2,675,785 | 2,914,876 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4689% 11/15/36 (b)(k)(l) | 1,161,166 | 223,937 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5589% 3/15/37 (b)(k)(l) | 1,695,177 | 371,603 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5689% 4/15/37 (b)(k)(l) | 2,446,344 | 483,647 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3889% 6/15/37 (b)(k)(l) | 872,727 | 149,216 | |
Series 3949 Class MK, 4.5% 10/15/34 | 678,125 | 720,366 | |
Series 4055 Class BI, 3.5% 5/15/31 (k) | 987,208 | 39,174 | |
Series 4149 Class IO, 3% 1/15/33 (k) | 1,227,316 | 110,226 | |
Series 4314 Class AI, 5% 3/15/34 (k) | 345,045 | 16,983 | |
Series 4427 Class LI, 3.5% 2/15/34 (k) | 2,412,077 | 203,670 | |
Series 4471 Class PA 4% 12/15/40 | 3,375,414 | 3,502,955 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 136,766 | 145,580 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0063% 2/15/24 (b)(c) | 25,711 | 25,796 | |
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 8,114 | 8,634 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 99,379 | 106,930 | |
Series 2056 Class Z, 6% 5/15/28 | 265,116 | 286,004 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 6,986,924 | 7,485,463 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 8,555,073 | 9,158,340 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5643% 6/16/37 (b)(k)(l) | 474,998 | 88,481 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6579% 3/20/60 (b)(c)(n) | 6,112,208 | 6,125,606 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 7/20/60 (b)(c)(n) | 900,792 | 899,206 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4013% 9/20/60 (b)(c)(n) | 1,077,126 | 1,074,554 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4013% 8/20/60 (b)(c)(n) | 955,322 | 953,092 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4813% 12/20/60 (b)(c)(n) | 2,264,571 | 2,262,955 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 12/20/60 (b)(c)(n) | 2,321,410 | 2,324,744 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 2/20/61 (b)(c)(n) | 2,510,326 | 2,513,747 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5913% 2/20/61 (b)(c)(n) | 3,834,767 | 3,839,142 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 4/20/61 (b)(c)(n) | 2,149,867 | 2,153,330 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (b)(c)(n) | 3,786,936 | 3,792,610 | |
Class FC, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (b)(c)(n) | 2,542,326 | 2,546,338 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6313% 6/20/61 (b)(c)(n) | 3,009,883 | 3,015,642 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6513% 9/20/61 (b)(c)(n) | 591,471 | 592,926 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 10/20/61 (b)(c)(n) | 3,408,228 | 3,419,222 | |
Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 0.5617% 8/20/42 (b)(c) | 260,132 | 261,737 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 11/20/61 (b)(c)(n) | 3,415,094 | 3,432,386 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 1/20/62 (b)(c)(n) | 2,059,594 | 2,069,233 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 1/20/62 (b)(c)(n) | 2,944,977 | 2,956,463 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 3/20/62 (b)(c)(n) | 1,875,718 | 1,883,690 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7513% 5/20/61 (b)(c)(n) | 38,228 | 38,436 | |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 0.6213% 10/20/62 (b)(c)(n) | 436,581 | 437,366 | |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 0.4613% 3/20/63 (b)(c)(n) | 544,961 | 544,341 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 1/20/64 (b)(c)(n) | 2,434,991 | 2,441,447 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7013% 12/20/63 (b)(c)(n) | 10,264,622 | 10,288,291 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6013% 6/20/64 (b)(c)(n) | 2,598,923 | 2,602,477 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.4013% 3/20/65 (b)(c)(n) | 25,211 | 25,154 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3813% 5/20/63 (b)(c)(n) | 52,826 | 52,657 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3013% 4/20/63 (b)(c)(n) | 48,468 | 48,248 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5013% 12/20/62 (b)(c)(n) | 11,119 | 11,104 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.4117% 10/20/47 (b)(c) | 474,866 | 474,272 | |
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.5117% 11/20/48 (b)(c) | 862,288 | 867,022 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4617% 5/20/48 (b)(c) | 4,315,653 | 4,318,269 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4617% 6/20/48 (b)(c) | 571,298 | 571,864 | |
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4617% 6/20/48 (b)(c) | 17,751,206 | 17,807,976 | |
Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 0.5617% 1/20/49 (b)(c) | 7,054,993 | 7,112,254 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.6617% 10/20/49 (b)(c) | 2,500,038 | 2,512,781 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.6117% 2/20/49 (b)(c) | 5,455,578 | 5,500,419 | |
Series 2019-65 Class BF, 1 month U.S. LIBOR + 0.400% 0.5617% 5/20/49 (b)(c) | 5,653,086 | 5,706,958 | |
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.6617% 8/20/49 (b)(c) | 3,858,176 | 3,897,808 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6766% 12/20/40 (b)(l) | 3,449,594 | 3,751,865 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (k) | 211,331 | 13,705 | |
Series 2016-69 Class WA, 3% 2/20/46 | 5,803,769 | 5,924,356 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 3,639,963 | 3,681,299 | |
Series 2017-153 Class GA, 3% 9/20/47 | 6,767,667 | 6,892,606 | |
Series 2017-182 Class KA, 3% 10/20/47 | 5,338,782 | 5,441,430 | |
Series 2018-13 Class Q, 3% 4/20/47 | 7,031,919 | 7,159,468 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 1,365,902 | 1,419,002 | |
Series 2010-160 Class DY, 4% 12/20/40 | 6,813,166 | 7,080,989 | |
Series 2010-170 Class B, 4% 12/20/40 | 1,535,396 | 1,596,069 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (n) | 170,211 | 170,306 | |
Series 2017-139 Class BA, 3% 9/20/47 | 12,215,990 | 12,489,788 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3743% 5/16/34 (b)(k)(l) | 298,556 | 46,117 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0743% 8/17/34 (b)(k)(l) | 277,336 | 54,128 | |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 39.4457% 6/16/37 (b)(l) | 13,877 | 22,040 | |
Series 2010-116 Class QB, 4% 9/16/40 | 1,696,597 | 1,773,057 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8243% 2/16/40 (b)(k)(l) | 1,767,128 | 236,427 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 5/20/60 (b)(c)(n) | 2,713,296 | 2,708,564 | |
Series 2011-52 Class HI, 7% 4/16/41 (k) | 72,669 | 13,079 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9383% 7/20/41 (b)(k)(l) | 666,431 | 117,061 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5743% 6/16/42 (b)(k)(l) | 1,051,521 | 185,764 | |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.4511% 4/20/39 (b)(l) | 93,124 | 93,984 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 6,482,920 | 6,652,939 | |
Series 2014-2 Class BA, 3% 1/20/44 | 12,095,868 | 12,338,395 | |
Series 2014-21 Class HA, 3% 2/20/44 | 4,439,551 | 4,527,597 | |
Series 2014-25 Class HC, 3% 2/20/44 | 7,634,500 | 7,714,396 | |
Series 2014-5 Class A, 3% 1/20/44 | 6,718,724 | 6,786,317 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) | 78,830 | 79,244 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.87% 5/20/66 (b)(c)(n) | 1,351,562 | 1,343,923 | |
Series 2017-186 Class HK, 3% 11/16/45 | 740,899 | 753,987 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.72% 8/20/66 (b)(c)(n) | 15,004,690 | 14,877,722 | |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2429% 5/20/65 (b)(n) | 776,969 | 801,065 | |
TOTAL U.S. GOVERNMENT AGENCY | 344,404,192 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $552,383,683) | 551,757,635 | ||
Commercial Mortgage Securities - 4.1% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 23,840,000 | 23,634,788 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.65% 1/15/39 (a)(b)(c) | 4,503,000 | 4,456,139 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.25% 1/15/39 (a)(b)(c) | 3,215,000 | 3,182,033 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (a) | 38,600,000 | 38,477,665 | |
Class ANM, 3.112% 11/5/32 (a) | 22,568,000 | 22,452,443 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (a) | 5,065,000 | 4,967,177 | |
Class CNM, 3.7186% 11/5/32 (a)(b) | 2,095,000 | 2,018,713 | |
BANK: | |||
sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 965,000 | 1,008,538 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 26,963,000 | 26,882,405 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 12,772,000 | 12,833,898 | |
Series 2020-BN25 Class XB, 0.4398% 1/15/63 (b)(k) | 27,800,000 | 900,378 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7869% 11/25/35 (a)(b)(c) | 17,348 | 16,562 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 0.7719% 1/25/36 (a)(b)(c) | 42,997 | 41,308 | |
Class M1, 1 month U.S. LIBOR + 0.670% 0.8619% 1/25/36 (a)(b)(c) | 13,870 | 13,321 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.400% 0.5919% 12/25/36 (a)(b)(c) | 95,200 | 90,871 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4569% 3/25/37 (a)(b)(c) | 24,279 | 23,130 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4569% 7/25/37 (a)(b)(c) | 71,576 | 68,621 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.5069% 7/25/37 (a)(b)(c) | 67,092 | 62,436 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (a)(b)(c) | 22,898 | 22,078 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4769% 7/25/37 (a)(b)(c) | 25,639 | 24,243 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4969% 7/25/37 (a)(b)(c) | 13,602 | 12,993 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5269% 7/25/37 (a)(b)(c) | 14,565 | 13,815 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (a)(b)(c) | 23,352 | 21,298 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/37 (a)(b)(c) | 36,834 | 33,382 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7869% 7/25/37 (a)(b)(c) | 15,514 | 18,445 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 3,988,000 | 4,281,027 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 6,658,000 | 7,001,827 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 25,034,000 | 25,095,293 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 49,694,000 | 53,708,132 | |
Series 2019-B14 Class XA, 0.7822% 12/15/62 (b)(k) | 148,699,050 | 6,245,092 | |
Series 2020-B17 Class XA, 1.418% 3/15/53 (b)(k) | 135,058,340 | 10,607,833 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.241% 11/15/28 (a)(b)(c) | 18,140,000 | 18,003,324 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (a)(b)(c) | 43,844,000 | 42,856,054 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.0908% 10/15/36 (a)(b)(c) | 6,559,000 | 6,394,795 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.2906% 10/15/36 (a)(b)(c) | 8,779,000 | 8,515,237 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.4903% 10/15/36 (a)(b)(c) | 8,523,000 | 8,245,628 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.1395% 10/15/36 (a)(b)(c) | 29,632,000 | 28,667,659 | |
Series 2022-LP2: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (a)(b)(c) | 58,289,000 | 57,705,480 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.310% 1.3623% 2/15/39 (a)(b)(c) | 17,563,000 | 17,373,799 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 1.560% 1.6117% 2/15/39(a)(b)(c) | 17,563,000 | 17,378,678 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 1.960% 2.0108% 2/15/39 (a)(b)(c) | 17,563,000 | 17,375,445 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.067% 11/15/32 (a)(b)(c) | 8,895,000 | 8,780,829 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.191% 11/15/32 (a)(b)(c) | 22,313,227 | 22,174,620 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 2.816% 9/15/37 (a)(b)(c) | 9,458,208 | 7,996,957 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.991% 11/15/35 (a)(b)(c) | 11,123,700 | 11,081,321 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.491% 4/15/34 (a)(b)(c) | 16,075,000 | 15,833,010 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 4/15/34 (a)(b)(c) | 10,627,000 | 10,440,374 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.091% 4/15/34 (a)(b)(c) | 11,156,000 | 10,918,663 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (a)(b)(c) | 15,196,300 | 15,062,190 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.441% 10/15/36 (a)(b)(c) | 19,103,750 | 18,923,690 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.641% 10/15/36 (a)(b)(c) | 27,059,750 | 26,788,384 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.991% 10/15/36 (a)(b)(c) | 38,021,350 | 37,594,328 | |
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (a)(b)(c) | 32,462,000 | 32,097,114 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 53,422,987 | 50,838,372 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (a)(b)(c) | 16,796,000 | 16,585,482 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4411% 11/15/36 (a)(b)(c) | 9,400,000 | 9,258,625 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 43,496,514 | 43,007,779 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.691% 6/15/34 (a)(b)(c) | 8,520,806 | 8,371,205 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.941% 6/15/34 (a)(b)(c) | 9,625,741 | 9,360,183 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 28,280,891 | 27,799,971 | |
Class B, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/36 (a)(b)(c) | 8,707,735 | 8,491,750 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.492% 8/15/36 (a)(b)(c) | 6,477,931 | 6,285,393 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.242% 8/15/36 (a)(b)(c) | 7,998,252 | 7,721,509 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2015-GC33 Class XA, 0.8805% 9/10/58 (b)(k) | 2,726,668 | 73,086 | |
Series 2016-P6 Class XA, 0.5702% 12/10/49 (b)(k) | 2,148,526 | 50,459 | |
Series 2019-GC41 Class XA, 1.0556% 8/10/56 (b)(k) | 14,925,077 | 895,405 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) | 50,000 | 50,514 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 6,763,000 | 6,965,269 | |
Series 2014-CR20 Class XA, 0.9843% 11/10/47 (b)(k) | 632,026 | 13,325 | |
Series 2014-LC17 Class XA, 0.7008% 10/10/47 (b)(k) | 1,980,175 | 30,068 | |
Series 2014-UBS6 Class XA, 0.8554% 12/10/47 (b)(k) | 1,546,303 | 30,551 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (a)(b)(c) | 3,742,000 | 3,711,951 | |
Class B, 1 month U.S. LIBOR + 1.230% 1.421% 5/15/36 (a)(b)(c) | 17,263,000 | 17,089,768 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (a)(b)(c) | 4,157,000 | 4,115,291 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 10,007,159 | 9,767,358 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 19,432,000 | 19,540,656 | |
Class B, 4.5349% 4/15/36 (a) | 6,067,000 | 6,034,574 | |
Class C, 4.782% 4/15/36 (a)(b) | 4,009,000 | 3,962,089 | |
Class D, 4.782% 4/15/36 (a)(b) | 8,018,000 | 7,742,451 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 59,815,000 | 58,581,148 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 21,414,206 | 21,208,249 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.572% 7/15/38 (a)(b)(c) | 12,195,940 | 12,050,590 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (a)(b)(c) | 8,991,661 | 8,884,480 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.442% 7/15/38 (a)(b)(c) | 18,020,095 | 17,783,646 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.891% 9/15/31 (a)(b)(c) | 8,874,949 | 8,789,336 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (a)(b)(c) | 26,417,000 | 26,134,872 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.341% 10/15/36 (a)(b)(c) | 4,084,000 | 4,028,224 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.741% 10/15/36 (a)(b)(c) | 3,365,000 | 3,316,585 | |
Series 2014-GC20 Class XA, 0.9874% 4/10/47 (b)(k) | 532,611 | 9,151 | |
Series 2015-GC34 Class XA, 1.2199% 10/10/48 (b)(k) | 1,341,986 | 48,591 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 2,674,000 | 2,711,750 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 8,383,000 | 8,446,877 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 8,888,000 | 8,914,844 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (a) | 11,968,000 | 12,219,687 | |
Class CFX, 4.9498% 7/5/33 (a) | 4,047,000 | 4,126,804 | |
Class DFX, 5.3503% 7/5/33 (a) | 6,993,000 | 7,112,737 | |
Class EFX, 5.5422% 7/5/33 (a) | 8,515,000 | 8,572,067 | |
Class XAFX, 1.116% 7/5/33 (a)(b)(k) | 1,280,000 | 16,296 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 39,307,010 | 38,519,490 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.071% 3/15/38 (a)(b)(c) | 9,484,679 | 9,259,041 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.291% 3/15/38 (a)(b)(c) | 5,967,612 | 5,803,226 | |
Class D, 1 month U.S. LIBOR + 1.400% 1.591% 3/15/38 (a)(b)(c) | 8,301,183 | 8,041,762 | |
Class E, 1 month U.S. LIBOR + 1.750% 1.941% 3/15/38 (a)(b)(c) | 7,252,354 | 7,034,435 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0466% 10/15/48 (b)(k) | 1,593,474 | 45,531 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.041% 8/15/33 (a)(b)(c) | 303,344 | 301,274 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(c) | 34,300,000 | 33,928,281 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 49,092,000 | 49,213,390 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 11,199,000 | 12,119,319 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (a)(b) | 7,093,000 | 6,978,095 | |
Class C, 3.1771% 11/10/36 (a)(b) | 6,805,000 | 6,608,863 | |
Series 2021-L6 Class XA, 1.2365% 6/15/54 (b)(k) | 43,650,049 | 3,510,442 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.9617% 12/15/37 (a)(b)(c) | 11,673,000 | 11,609,121 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5537% 12/15/37 (a)(b)(c) | 11,268,118 | 11,246,932 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 2.000% 2.05% 2/15/39 (a)(b)(c) | 10,413,000 | 10,363,983 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.650% 2.7% 2/15/39 (a)(b)(c) | 5,415,000 | 5,389,515 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 40,616,000 | 39,802,591 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.2709% 11/15/38 (a)(b)(c) | 23,262,000 | 22,796,095 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.5201% 11/15/38 (a)(b)(c) | 14,448,000 | 14,141,296 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.7693% 11/15/38 (a)(b)(c) | 9,495,000 | 9,293,427 | |
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.0116% 12/15/50 (b)(k) | 2,121,682 | 93,934 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (a)(b)(c) | 189,226 | 188,502 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) | 30,230,000 | 28,178,922 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (a) | 1,800,000 | 1,663,775 | |
Class X, 0.4294% 10/10/42 (a)(b)(k) | 57,900,000 | 1,851,532 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 5/15/31 (a)(b)(c) | 25,318,000 | 25,080,272 | |
sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 20,013,000 | 20,310,371 | |
Series 2015-C31 Class XA, 0.9657% 11/15/48 (b)(k) | 1,361,302 | 40,180 | |
Series 2017-C42 Class XA, 0.8736% 12/15/50 (b)(k) | 2,542,176 | 110,960 | |
Series 2018-C46 Class XA, 0.9348% 8/15/51 (b)(k) | 14,742,128 | 573,150 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 12,901,000 | 13,995,874 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2014-C24 Class XA, 0.845% 11/15/47 (b)(k) | 992,373 | 18,969 | |
Series 2014-LC14 Class XA, 1.2464% 3/15/47 (b)(k) | 1,008,475 | 19,137 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,599,069,343) | 1,567,304,168 | ||
Municipal Securities - 0.8% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $4,580,000 | $6,820,747 | |
Series 2010, 7.625% 3/1/40 | 9,470,000 | 14,687,876 | |
Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35 | 12,265,000 | 16,388,860 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 12,141,818 | 12,467,860 | |
5.1% 6/1/33 | 105,490,000 | 116,377,982 | |
Series 2010-1, 6.63% 2/1/35 | 22,660,000 | 26,412,022 | |
Series 2010-3: | |||
6.725% 4/1/35 | 33,175,000 | 39,232,038 | |
7.35% 7/1/35 | 15,500,000 | 18,736,485 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 42,356,000 | 51,741,103 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $275,485,340) | 302,864,973 | ||
Foreign Government and Government Agency Obligations - 0.4% | |||
Emirate of Abu Dhabi: | |||
3.125% 4/16/30 (a) | $14,730,000 | $15,356,025 | |
3.875% 4/16/50 (a) | 21,930,000 | 23,465,100 | |
Kingdom of Saudi Arabia: | |||
2.9% 10/22/25 (a) | 17,470,000 | 17,884,913 | |
3.25% 10/22/30 (a) | 14,315,000 | 14,762,344 | |
4.5% 4/22/60 (a) | 9,380,000 | 10,388,350 | |
State of Qatar: | |||
3.4% 4/16/25 (a) | 13,960,000 | 14,469,540 | |
4.4% 4/16/50 (a) | 38,725,000 | 44,775,781 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $131,680,045) | 141,102,053 | ||
Supranational Obligations - 0.1% | |||
Corporacion Andina de Fomento 2.375% 5/12/23 (Cost $30,872,109) | 30,900,000 | 31,128,411 | |
Bank Notes - 0.3% | |||
Discover Bank: | |||
3.35% 2/6/23 | $15,572,000 | $15,778,892 | |
4.682% 8/9/28 (b) | 15,090,000 | 15,469,523 | |
KeyBank NA 6.95% 2/1/28 | 3,200,000 | 3,866,659 | |
Regions Bank 6.45% 6/26/37 | 42,478,000 | 55,550,527 | |
TOTAL BANK NOTES | |||
(Cost $74,344,971) | 90,665,601 | ||
Preferred Securities - 0.0% | |||
FINANCIALS - 0.0% | |||
Banks - 0.0% | |||
Bank of Nova Scotia 4.65% (b)(o) | $6,962,000 | $6,783,666 | |
Barclays Bank PLC 7.625% 11/21/22 | 643,000 | 680,086 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $7,781,222) | 7,463,752 | ||
Shares | Value | ||
Money Market Funds - 2.3% | |||
Fidelity Cash Central Fund 0.07% (p) | 702,831,299 | 702,971,866 | |
Fidelity Securities Lending Cash Central Fund 0.07% (p)(q) | 183,005,849 | 183,024,150 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $885,989,802) | 885,996,016 | ||
TOTAL INVESTMENT IN SECURITIES - 106.9% | |||
(Cost $41,054,170,528) | 40,649,145,875 | ||
NET OTHER ASSETS (LIABILITIES) - (6.9)% | (2,616,396,693) | ||
NET ASSETS - 100% | $38,032,749,182 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 3/1/52 | $(24,400,000) | $(23,849,480) |
2.5% 3/1/52 | (23,100,000) | (23,083,354) |
3% 3/1/52 | (20,800,000) | (21,140,841) |
3% 3/1/52 | (13,900,000) | (14,127,774) |
3.5% 3/1/52 | (27,300,000) | (28,169,499) |
3.5% 3/1/52 | (21,900,000) | (22,597,511) |
3.5% 4/1/52 | (4,350,000) | (4,473,763) |
TOTAL GINNIE MAE | (137,442,222) | |
Uniform Mortgage Backed Securities | ||
1.5% 3/1/37 | (4,100,000) | (3,989,813) |
1.5% 3/1/37 | (13,050,000) | (12,699,281) |
1.5% 3/1/37 | (13,000,000) | (12,650,625) |
1.5% 3/1/37 | (4,100,000) | (3,989,813) |
1.5% 3/1/37 | (13,050,000) | (12,699,281) |
1.5% 3/1/37 | (13,000,000) | (12,650,625) |
2% 3/1/37 | (43,200,000) | (42,869,252) |
2% 3/1/52 | (59,200,000) | (56,754,075) |
2% 3/1/52 | (6,800,000) | (6,519,049) |
2% 3/1/52 | (40,350,000) | (38,682,887) |
2% 3/1/52 | (35,400,000) | (33,937,403) |
2% 3/1/52 | (4,700,000) | (4,505,813) |
2% 3/1/52 | (10,850,000) | (10,401,718) |
2.5% 3/1/52 | (67,650,000) | (66,730,366) |
2.5% 3/1/52 | (53,400,000) | (52,674,080) |
3% 3/1/52 | (16,100,000) | (16,257,239) |
3% 3/1/52 | (16,100,000) | (16,257,239) |
3% 3/1/52 | (32,200,000) | (32,514,478) |
3% 3/1/52 | (32,450,000) | (32,766,920) |
3% 3/1/52 | (34,500,000) | (34,836,941) |
3% 3/1/52 | (11,250,000) | (11,359,872) |
3% 3/1/52 | (9,050,000) | (9,138,386) |
3% 3/1/52 | (24,050,000) | (24,284,882) |
3.5% 3/1/52 | (47,800,000) | (49,233,990) |
3.5% 3/1/52 | (65,400,000) | (67,361,988) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (665,766,016) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $800,957,195) | $(803,208,238) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 319 | June 2022 | $40,652,563 | $(311,934) | $(311,934) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 44 | June 2022 | 9,469,969 | (16,513) | (16,513) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 398 | June 2022 | 47,075,938 | (211,451) | (211,451) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1,369 | June 2022 | 214,505,188 | (2,821,057) | (2,821,057) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 21 | June 2022 | 3,904,688 | (39,914) | (39,914) |
TOTAL FUTURES CONTRACTS | $(3,400,869) |
The notional amount of futures sold as a percentage of Net Assets is 0.8%
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 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $117,200,000 | $178,238 | $(1,554) | $176,684 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 30,700,000 | 46,689 | (411,547) | (364,858) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5,150,000 | 7,832 | (38,628) | (30,796) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 7,900,000 | 41,639 | 7,477 | 49,116 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 25,230,000 | 132,982 | (31,446) | 101,536 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 5,290,000 | 27,883 | 27,581 | 55,464 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8,020,000 | 43,554 | (43,888) | (334) |
TOTAL CREDIT DEFAULT SWAPS | $478,817 | $(492,005) | $(13,188) | |||||
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% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2027 | $4,778,000 | $(92,012) | $0 | $(92,012) |
1.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2029 | 44,791,000 | (1,060,849) | 0 | (1,060,849) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2052 | 2,359,000 | (153,014) | 0 | (153,014) |
TOTAL INTEREST RATE SWAPS | $(1,305,875) | $0 | $(1,305,875) | ||||||
(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 $5,843,374,887 or 15.4% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 $16,692,980.
(e) 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 $7,765,393.
(f) Security or a portion of the security is on loan at period end.
(g) 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 $1,868,113.
(h) A portion of the security sold on a delayed delivery basis.
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(j) Level 3 security
(k) 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.
(l) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(m) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(n) 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.
(o) Security is perpetual in nature with no stated maturity date.
(p) 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.
(q) 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 0.07% | $2,658,294,171 | $6,200,192,608 | $8,155,514,913 | $595,352 | $-- | $-- | $702,971,866 | 1.3% |
Fidelity Securities Lending Cash Central Fund 0.07% | 168,119,550 | 4,991,681,149 | 4,976,776,549 | 268,295 | -- | -- | 183,024,150 | 0.5% |
Total | $2,826,413,721 | $11,191,873,757 | $13,132,291,462 | $863,647 | $-- | $-- | $885,996,016 |
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 February 28, 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 | $12,329,908,191 | $-- | $12,329,908,191 | $-- |
U.S. Government and Government Agency Obligations | 15,341,448,926 | -- | 15,341,448,926 | -- |
U.S. Government Agency - Mortgage Securities | 6,951,192,057 | -- | 6,951,192,057 | -- |
Asset-Backed Securities | 2,448,314,092 | -- | 2,448,314,092 | -- |
Collateralized Mortgage Obligations | 551,757,635 | -- | 551,757,604 | 31 |
Commercial Mortgage Securities | 1,567,304,168 | -- | 1,567,304,168 | -- |
Municipal Securities | 302,864,973 | -- | 302,864,973 | -- |
Foreign Government and Government Agency Obligations | 141,102,053 | -- | 141,102,053 | -- |
Supranational Obligations | 31,128,411 | -- | 31,128,411 | -- |
Bank Notes | 90,665,601 | -- | 90,665,601 | -- |
Preferred Securities | 7,463,752 | -- | 7,463,752 | -- |
Money Market Funds | 885,996,016 | 885,996,016 | -- | -- |
Total Investments in Securities: | $40,649,145,875 | $885,996,016 | $39,763,149,828 | $31 |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $478,817 | $-- | $478,817 | $-- |
Total Assets | $478,817 | $-- | $478,817 | $-- |
Liabilities | ||||
Futures Contracts | $(3,400,869) | $(3,400,869) | $-- | $-- |
Swaps | (1,305,875) | -- | (1,305,875) | -- |
Total Liabilities | $(4,706,744) | $(3,400,869) | $(1,305,875) | $-- |
Total Derivative Instruments: | $(4,227,927) | $(3,400,869) | $(827,058) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(803,208,238) | $-- | $(803,208,238) | $-- |
Total Other Financial Instruments: | $(803,208,238) | $-- | $(803,208,238) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 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) | $478,817 | $0 |
Total Credit Risk | 478,817 | 0 |
Interest Rate Risk | ||
Futures Contracts(b) | 0 | (3,400,869) |
Swaps(c) | 0 | (1,305,875) |
Total Interest Rate Risk | 0 | (4,706,744) |
Total Value of Derivatives | $478,817 | $(4,706,744) |
(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 | 87.9% |
Cayman Islands | 4.8% |
United Kingdom | 1.8% |
Mexico | 1.4% |
Others (Individually Less Than 1%) | 4.1% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $181,436,656) — See accompanying schedule: Unaffiliated issuers (cost $40,168,180,726) | $39,763,149,859 | |
Fidelity Central Funds (cost $885,989,802) | 885,996,016 | |
Total Investment in Securities (cost $41,054,170,528) | $40,649,145,875 | |
Cash | 339,548 | |
Receivable for investments sold | ||
Regular delivery | 29,101,324 | |
Delayed delivery | 24,116,042 | |
Receivable for TBA sale commitments | 800,957,195 | |
Receivable for fund shares sold | 348,198,760 | |
Interest receivable | 186,361,658 | |
Distributions receivable from Fidelity Central Funds | 96,321 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 771,851 | |
Bi-lateral OTC swaps, at value | 478,817 | |
Other receivables | 38,415 | |
Total assets | 42,039,605,806 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $603,787,026 | |
Delayed delivery | 2,390,972,234 | |
TBA sale commitments, at value | 803,208,238 | |
Payable for swaps | 43,888 | |
Payable for fund shares redeemed | 20,083,751 | |
Payable for daily variation margin on futures contracts | 5,596,005 | |
Other payables and accrued expenses | 141,332 | |
Collateral on securities loaned | 183,024,150 | |
Total liabilities | 4,006,856,624 | |
Net Assets | $38,032,749,182 | |
Net Assets consist of: | ||
Paid in capital | $38,391,041,771 | |
Total accumulated earnings (loss) | (358,292,589) | |
Net Assets | $38,032,749,182 | |
Net Asset Value, offering price and redemption price per share ($38,032,749,182 ÷ 3,382,546,858 shares) | $11.24 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $186,381 | |
Interest | 425,629,993 | |
Income from Fidelity Central Funds (including $268,295 from security lending) | 863,647 | |
Total income | 426,680,021 | |
Expenses | ||
Custodian fees and expenses | $261,646 | |
Independent trustees' fees and expenses | 67,784 | |
Total expenses before reductions | 329,430 | |
Expense reductions | (1,589) | |
Total expenses after reductions | 327,841 | |
Net investment income (loss) | 426,352,180 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 139,128,023 | |
Futures contracts | 23,243,509 | |
Swaps | (854,003) | |
Total net realized gain (loss) | 161,517,529 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,029,402,004) | |
Futures contracts | (3,416,203) | |
Swaps | (831,417) | |
TBA sale commitments | (204,349) | |
Total change in net unrealized appreciation (depreciation) | (2,033,853,973) | |
Net gain (loss) | (1,872,336,444) | |
Net increase (decrease) in net assets resulting from operations | $(1,445,984,264) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $426,352,180 | $873,786,825 |
Net realized gain (loss) | 161,517,529 | (38,402,170) |
Change in net unrealized appreciation (depreciation) | (2,033,853,973) | (18,657,764) |
Net increase (decrease) in net assets resulting from operations | (1,445,984,264) | 816,726,891 |
Distributions to shareholders | (477,951,254) | (2,158,645,123) |
Share transactions | ||
Proceeds from sales of shares | 3,397,488,271 | 9,807,060,745 |
Reinvestment of distributions | 477,950,722 | 2,158,643,400 |
Cost of shares redeemed | (4,395,817,871) | (6,092,225,922) |
Net increase (decrease) in net assets resulting from share transactions | (520,378,878) | 5,873,478,223 |
Total increase (decrease) in net assets | (2,444,314,396) | 4,531,559,991 |
Net Assets | ||
Beginning of period | 40,477,063,578 | 35,945,503,587 |
End of period | $38,032,749,182 | $40,477,063,578 |
Other Information | ||
Shares | ||
Sold | 293,348,287 | 833,748,791 |
Issued in reinvestment of distributions | 41,338,979 | 183,338,085 |
Redeemed | (381,189,322) | (516,220,794) |
Net increase (decrease) | (46,502,056) | 500,866,082 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Investment Grade Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.80 | $12.28 | $11.68 | $10.97 | $11.37 | $11.62 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .125 | .267 | .333 | .362 | .338 | .293 |
Net realized and unrealized gain (loss) | (.545) | (.028) | .603 | .727 | (.390) | (.135) |
Total from investment operations | (.420) | .239 | .936 | 1.089 | (.052) | .158 |
Distributions from net investment income | (.131) | (.251) | (.336) | (.379) | (.337) | (.292) |
Distributions from net realized gain | (.009) | (.468) | – | – | (.011) | (.116) |
Total distributions | (.140) | (.719) | (.336) | (.379) | (.348) | (.408) |
Net asset value, end of period | $11.24 | $11.80 | $12.28 | $11.68 | $10.97 | $11.37 |
Total ReturnC,D | (3.58)% | 2.06% | 8.16% | 10.16% | (.45)% | 1.45% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | - %G,H | - %H | - %H | - %H | - %H | .32% |
Expenses net of fee waivers, if any | - %G,H | - %H | - %H | - %H | - %H | .32% |
Expenses net of all reductions | - %G,H | - %H | - %H | - %H | - %H | .32% |
Net investment income (loss) | 2.18%G | 2.27% | 2.82% | 3.27% | 3.05% | 2.63% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $38,032,749 | $40,477,064 | $35,945,504 | $29,040,336 | $26,378,204 | $26,071,511 |
Portfolio turnover rateI | 157%G | 248% | 259%J | 175% | 103% | 183% |
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 Annualized
H Amount represents less than .005%.
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 February 28, 2022
1. Organization.
Fidelity Series Investment Grade Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 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 February 28, 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. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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, options, market discount, capital loss carryforwards and losses deferred due to wash sales and futures transactions.
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 | $626,894,512 |
Gross unrealized depreciation | (999,248,098) |
Net unrealized appreciation (depreciation) | $(372,353,586) |
Tax cost | $41,018,085,406 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(96,361,223) |
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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Swaps | $(700,904) | $ 1,635,856 |
Total Credit Risk | (700,904) | 1,635,856 |
Interest Rate Risk | ||
Futures Contracts | 23,243,509 | (3,416,203) |
Swaps | (153,099) | (2,467,273) |
Total Interest Rate Risk | 23,090,410 | (5,883,476) |
Totals | $22,389,506 | $(4,247,620) |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
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 Series Investment Grade Bond Fund | 16,383,232,227 | 16,935,670,131 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. 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 Series Investment Grade Bond Fund | $28,896 | $– | $– |
9. 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 $1,589.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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 and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Series Investment Grade Bond Fund | - %-C | |||
Actual | $1,000.00 | $964.20 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Investment Grade Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2023.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
LIG-SANN-0422
1.873110.113
Fidelity® Corporate Bond Fund
Semi-Annual Report
February 28, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 4.2% | |
AAA | 0.3% | |
AA | 0.5% | |
A | 17.6% | |
BBB | 60.7% | |
BB and Below | 11.7% | |
Short-Term Investments and Net Other Assets | 5.0% |
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.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 89.7% | |
U.S. Government and U.S. Government Agency Obligations | 4.2% | |
Asset-Backed Securities | 0.1% | |
Municipal Bonds | 0.2% | |
Other Investments | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.0% |
* Foreign investments - 20.4%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 89.7% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 7.7% | |||
Diversified Telecommunication Services - 3.1% | |||
AT&T, Inc.: | |||
2.25% 2/1/32 | $13,000,000 | $11,997,332 | |
3.55% 9/15/55 | 5,501,000 | 4,988,223 | |
3.65% 9/15/59 | 3,848,000 | 3,490,786 | |
3.8% 12/1/57 | 16,364,000 | 15,352,751 | |
4.3% 2/15/30 | 5,000,000 | 5,443,301 | |
4.5% 5/15/35 | 3,834,000 | 4,198,742 | |
Level 3 Financing, Inc. 3.4% 3/1/27 (a) | 8,250,000 | 8,114,865 | |
Verizon Communications, Inc.: | |||
2.355% 3/15/32 (a) | 7,000,000 | 6,536,191 | |
2.55% 3/21/31 | 2,643,000 | 2,537,037 | |
3% 11/20/60 | 8,375,000 | 6,958,709 | |
3.15% 3/22/30 | 721,000 | 723,381 | |
3.7% 3/22/61 | 12,000,000 | 11,437,825 | |
4.016% 12/3/29 | 10,000,000 | 10,731,553 | |
4.329% 9/21/28 | 2,268,000 | 2,469,594 | |
4.4% 11/1/34 | 13,039,000 | 14,374,856 | |
4.5% 8/10/33 | 1,048,000 | 1,164,501 | |
110,519,647 | |||
Entertainment - 0.4% | |||
The Walt Disney Co. 3.8% 3/22/30 | 11,650,000 | 12,485,866 | |
Interactive Media & Services - 0.2% | |||
Tencent Holdings Ltd.: | |||
2.88% 4/22/31 (a) | 2,810,000 | 2,700,241 | |
3.575% 4/11/26 (a) | 3,730,000 | 3,868,243 | |
6,568,484 | |||
Media - 2.7% | |||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.5% 8/15/30 (a) | 13,200,000 | 12,712,656 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 7,300,000 | 6,124,370 | |
3.85% 4/1/61 | 8,500,000 | 7,059,878 | |
5.375% 5/1/47 | 4,670,000 | 4,928,068 | |
Comcast Corp.: | |||
2.937% 11/1/56 (a) | 2,589,000 | 2,179,090 | |
2.987% 11/1/63 (a) | 10,034,000 | 8,354,237 | |
3.999% 11/1/49 | 1,427,000 | 1,451,245 | |
Discovery Communications LLC: | |||
3.95% 3/20/28 | 13,000,000 | 13,409,239 | |
4.65% 5/15/50 | 5,800,000 | 5,929,152 | |
Fox Corp.: | |||
3.5% 4/8/30 | 9,550,000 | 9,746,235 | |
4.709% 1/25/29 | 405,000 | 442,032 | |
5.476% 1/25/39 | 400,000 | 466,354 | |
5.576% 1/25/49 | 265,000 | 318,832 | |
Time Warner Cable LLC: | |||
5.5% 9/1/41 | 561,000 | 598,005 | |
5.875% 11/15/40 | 7,482,000 | 8,371,929 | |
6.55% 5/1/37 | 1,930,000 | 2,319,629 | |
6.75% 6/15/39 | 1,246,000 | 1,512,365 | |
7.3% 7/1/38 | 6,915,000 | 8,655,459 | |
94,578,775 | |||
Wireless Telecommunication Services - 1.3% | |||
T-Mobile U.S.A., Inc.: | |||
2.4% 3/15/29 (a) | 3,174,000 | 3,021,316 | |
2.7% 3/15/32 (a) | 11,520,000 | 10,831,804 | |
3.5% 4/15/25 | 2,000,000 | 2,056,040 | |
3.75% 4/15/27 | 7,500,000 | 7,787,243 | |
Vodafone Group PLC: | |||
3.25% 6/4/81 (b) | 2,900,000 | 2,689,895 | |
4.125% 5/30/25 | 5,882,000 | 6,180,102 | |
4.375% 5/30/28 | 6,017,000 | 6,508,366 | |
5.25% 5/30/48 | 7,000,000 | 8,023,862 | |
47,098,628 | |||
TOTAL COMMUNICATION SERVICES | 271,251,400 | ||
CONSUMER DISCRETIONARY - 6.1% | |||
Automobiles - 2.0% | |||
Ford Motor Co. 3.25% 2/12/32 | 11,000,000 | 10,374,430 | |
General Motors Co.: | |||
5% 4/1/35 | 2,279,000 | 2,465,240 | |
5.2% 4/1/45 | 2,600,000 | 2,815,958 | |
5.4% 4/1/48 | 1,050,000 | 1,164,790 | |
5.95% 4/1/49 | 4,960,000 | 5,926,903 | |
General Motors Financial Co., Inc. 3.1% 1/12/32 | 12,060,000 | 11,510,313 | |
Stellantis Finance U.S., Inc.: | |||
1.711% 1/29/27 (a) | 5,994,000 | 5,700,926 | |
2.691% 9/15/31 (a) | 11,150,000 | 10,325,949 | |
Volkswagen Group of America Finance LLC: | |||
1.625% 11/24/27 (a) | 12,000,000 | 11,295,025 | |
4.75% 11/13/28 (a) | 8,072,000 | 8,927,164 | |
70,506,698 | |||
Distributors - 0.2% | |||
Genuine Parts Co. 2.75% 2/1/32 | 6,032,000 | 5,771,974 | |
Diversified Consumer Services - 0.4% | |||
Ingersoll-Rand Global Holding Co. Ltd.: | |||
3.75% 8/21/28 | 5,146,000 | 5,355,426 | |
5.75% 6/15/43 | 358,000 | 449,621 | |
Massachusetts Institute of Technology 3.885% 7/1/2116 | 6,610,000 | 7,049,716 | |
12,854,763 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
McDonald's Corp. 4.875% 12/9/45 | 6,679,000 | 7,572,890 | |
Household Durables - 0.2% | |||
Toll Brothers Finance Corp. 4.375% 4/15/23 | 5,162,000 | 5,251,575 | |
Internet & Direct Marketing Retail - 0.0% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 1,065,000 | 956,881 | |
Multiline Retail - 1.0% | |||
Dollar General Corp. 3.5% 4/3/30 | 11,170,000 | 11,398,425 | |
Dollar Tree, Inc.: | |||
2.65% 12/1/31 | 12,000,000 | 11,399,074 | |
4% 5/15/25 | 6,286,000 | 6,551,599 | |
4.2% 5/15/28 | 6,377,000 | 6,808,240 | |
36,157,338 | |||
Specialty Retail - 1.8% | |||
Advance Auto Parts, Inc. 1.75% 10/1/27 | 5,010,000 | 4,699,496 | |
AutoNation, Inc.: | |||
1.95% 8/1/28 | 12,350,000 | 11,629,595 | |
3.85% 3/1/32 | 5,400,000 | 5,455,948 | |
4.75% 6/1/30 | 354,000 | 381,457 | |
AutoZone, Inc. 4% 4/15/30 | 9,600,000 | 10,201,243 | |
Lowe's Companies, Inc. 3% 10/15/50 | 11,700,000 | 10,167,455 | |
O'Reilly Automotive, Inc.: | |||
3.9% 6/1/29 | 2,918,000 | 3,063,990 | |
4.35% 6/1/28 | 6,286,000 | 6,779,914 | |
Ross Stores, Inc. 4.6% 4/15/25 | 5,150,000 | 5,494,092 | |
The Home Depot, Inc. 5.95% 4/1/41 | 846,000 | 1,120,598 | |
Triton Container International Ltd. 1.15% 6/7/24 (a) | 5,450,000 | 5,285,489 | |
64,279,277 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Tapestry, Inc. 3.05% 3/15/32 | 12,275,000 | 11,678,262 | |
TOTAL CONSUMER DISCRETIONARY | 215,029,658 | ||
CONSUMER STAPLES - 6.0% | |||
Beverages - 1.7% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 7,000,000 | 7,909,732 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 2,027,000 | 2,243,594 | |
4.9% 2/1/46 | 966,000 | 1,080,490 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 15,000,000 | 15,671,036 | |
4.5% 6/1/50 | 7,000,000 | 7,702,667 | |
4.6% 4/15/48 | 10,509,000 | 11,521,103 | |
4.9% 1/23/31 | 5,729,000 | 6,568,379 | |
Constellation Brands, Inc. 2.875% 5/1/30 | 8,624,000 | 8,413,701 | |
61,110,702 | |||
Food & Staples Retailing - 0.3% | |||
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (a) | 9,622,000 | 9,463,770 | |
Food Products - 1.4% | |||
JBS Finance Luxembourg SARL 2.5% 1/15/27 (a) | 13,215,000 | 12,422,232 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (a) | 12,645,000 | 11,159,339 | |
4.375% 2/2/52 (a) | 5,480,000 | 4,900,216 | |
5.5% 1/15/30 (a) | 12,850,000 | 13,276,941 | |
JDE Peet's BV 2.25% 9/24/31 (a) | 4,272,000 | 3,872,638 | |
Smithfield Foods, Inc. 3% 10/15/30 (a) | 2,115,000 | 2,004,824 | |
47,636,190 | |||
Tobacco - 2.6% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 5,875,000 | 5,245,158 | |
3.4% 2/4/41 | 10,300,000 | 8,526,422 | |
4.25% 8/9/42 | 1,221,000 | 1,114,752 | |
4.8% 2/14/29 | 99,000 | 106,949 | |
BAT Capital Corp.: | |||
2.259% 3/25/28 | 11,550,000 | 10,781,558 | |
2.726% 3/25/31 | 15,400,000 | 14,113,446 | |
3.215% 9/6/26 | 11,285,000 | 11,274,440 | |
3.222% 8/15/24 | 5,433,000 | 5,498,054 | |
3.557% 8/15/27 | 8,000,000 | 8,051,435 | |
3.984% 9/25/50 | 5,000,000 | 4,305,007 | |
4.7% 4/2/27 | 2,012,000 | 2,137,028 | |
Imperial Tobacco Finance PLC: | |||
3.5% 7/26/26 (a) | 7,764,000 | 7,869,197 | |
3.75% 7/21/22 (a) | 4,340,000 | 4,357,928 | |
4.25% 7/21/25 (a) | 4,713,000 | 4,917,904 | |
Philip Morris International, Inc. 4.375% 11/15/41 | 1,886,000 | 1,957,278 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 527,000 | 551,119 | |
5.7% 8/15/35 | 274,000 | 299,383 | |
91,107,058 | |||
TOTAL CONSUMER STAPLES | 209,317,720 | ||
ENERGY - 9.9% | |||
Energy Equipment & Services - 0.4% | |||
Baker Hughes Co. 4.486% 5/1/30 | 12,000,000 | 13,183,872 | |
Oil, Gas & Consumable Fuels - 9.5% | |||
Boardwalk Pipelines LP 4.95% 12/15/24 | 3,700,000 | 3,903,643 | |
Canadian Natural Resources Ltd.: | |||
2.95% 7/15/30 | 7,890,000 | 7,826,081 | |
3.9% 2/1/25 | 3,884,000 | 4,031,569 | |
5.85% 2/1/35 | 476,000 | 559,878 | |
6.25% 3/15/38 | 3,908,000 | 4,782,676 | |
Cenovus Energy, Inc.: | |||
2.65% 1/15/32 | 1,233,000 | 1,145,413 | |
3.75% 2/15/52 | 3,820,000 | 3,446,693 | |
4.25% 4/15/27 | 2,604,000 | 2,753,690 | |
5.375% 7/15/25 | 9,137,000 | 9,895,326 | |
5.4% 6/15/47 | 4,008,000 | 4,509,953 | |
6.75% 11/15/39 | 5,434,000 | 6,809,176 | |
Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | 5,721,000 | 6,177,998 | |
ConocoPhillips Co.: | |||
6.5% 2/1/39 | 4,132,000 | 5,743,565 | |
6.95% 4/15/29 | 2,739,000 | 3,499,806 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 201,000 | 203,261 | |
5.125% 5/15/29 | 8,176,000 | 8,605,240 | |
5.375% 7/15/25 | 5,000,000 | 5,295,525 | |
5.6% 4/1/44 | 307,000 | 336,165 | |
5.85% 5/21/43 (a)(b) | 6,734,000 | 6,262,620 | |
Eastern Gas Transmission & Storage, Inc.: | |||
3% 11/15/29 (a) | 7,508,000 | 7,408,990 | |
3.9% 11/15/49 (a) | 7,000,000 | 6,842,190 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 383,000 | 408,108 | |
5.5% 12/1/46 | 3,408,000 | 4,182,794 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 10,655,000 | 10,827,247 | |
4% 10/1/27 | 4,055,000 | 4,191,469 | |
4.2% 9/15/23 | 259,000 | 266,335 | |
4.25% 4/1/24 | 11,475,000 | 11,812,252 | |
4.95% 6/15/28 | 882,000 | 948,579 | |
5% 5/15/50 | 6,650,000 | 6,916,564 | |
5.4% 10/1/47 | 1,753,000 | 1,875,879 | |
5.8% 6/15/38 | 493,000 | 547,123 | |
6% 6/15/48 | 322,000 | 361,280 | |
Enterprise Products Operating LP: | |||
4.85% 3/15/44 | 1,818,000 | 1,982,172 | |
4.95% 10/15/54 | 2,188,000 | 2,424,989 | |
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (a) | 4,510,000 | 4,759,931 | |
Hess Corp.: | |||
4.3% 4/1/27 | 13,487,000 | 14,258,466 | |
5.6% 2/15/41 | 6,914,000 | 7,931,149 | |
5.8% 4/1/47 | 4,100,000 | 4,906,275 | |
Magellan Midstream Partners LP 3.25% 6/1/30 | 10,200,000 | 10,143,922 | |
MPLX LP: | |||
1.75% 3/1/26 | 9,336,000 | 8,947,554 | |
2.65% 8/15/30 | 12,000,000 | 11,308,593 | |
4.875% 12/1/24 | 381,000 | 403,722 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 1,164,000 | 1,165,455 | |
3.2% 8/15/26 | 157,000 | 156,953 | |
3.5% 8/15/29 | 10,000,000 | 9,950,000 | |
4.3% 8/15/39 | 76,000 | 71,820 | |
4.4% 8/15/49 | 76,000 | 72,184 | |
5.55% 3/15/26 | 670,000 | 720,049 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 1,620,000 | 1,626,381 | |
7.375% 11/1/31 | 1,041,000 | 1,324,206 | |
8.125% 9/15/30 | 4,649,000 | 5,965,391 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 7,000,000 | 6,876,800 | |
6.49% 1/23/27 | 991,000 | 1,017,262 | |
6.5% 3/13/27 | 8,572,000 | 8,799,158 | |
Phillips 66 Co. 3.85% 4/9/25 | 234,000 | 243,181 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.8% 9/15/30 | 1,694,000 | 1,699,653 | |
3.85% 10/15/23 | 4,984,000 | 5,088,934 | |
4.65% 10/15/25 | 5,859,000 | 6,203,532 | |
Qatar Petroleum 2.25% 7/12/31 (a) | 12,715,000 | 11,983,888 | |
Southeast Supply Header LLC 4.25% 6/15/24 (a) | 667,000 | 660,330 | |
Spectra Energy Partners LP: | |||
3.375% 10/15/26 | 4,157,000 | 4,275,683 | |
4.5% 3/15/45 | 872,000 | 914,476 | |
Suncor Energy, Inc. 6.5% 6/15/38 | 3,417,000 | 4,326,155 | |
The Williams Companies, Inc.: | |||
2.6% 3/15/31 | 12,300,000 | 11,617,272 | |
3.5% 11/15/30 | 3,807,000 | 3,870,046 | |
5.75% 6/24/44 | 4,411,000 | 5,176,701 | |
TransCanada PipeLines Ltd. 4.25% 5/15/28 | 9,800,000 | 10,427,596 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 448,000 | 451,304 | |
Western Gas Partners LP: | |||
4.55% 2/1/30 | 21,139,000 | 21,742,730 | |
4.65% 7/1/26 | 238,000 | 246,604 | |
336,117,605 | |||
TOTAL ENERGY | 349,301,477 | ||
FINANCIALS - 29.9% | |||
Banks - 15.4% | |||
AIB Group PLC: | |||
4.263% 4/10/25 (a)(b) | 5,181,000 | 5,314,846 | |
4.75% 10/12/23 (a) | 6,356,000 | 6,582,555 | |
Banco Santander SA 2.749% 12/3/30 | 17,400,000 | 15,856,791 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (b)(c) | 9,000,000 | 8,844,518 | |
1.898% 7/23/31 (b) | 11,200,000 | 10,123,544 | |
2.592% 4/29/31 (b) | 12,500,000 | 11,949,181 | |
3.194% 7/23/30 (b) | 16,960,000 | 16,954,050 | |
3.705% 4/24/28 (b) | 6,286,000 | 6,511,242 | |
4% 1/22/25 | 2,943,000 | 3,055,511 | |
6.11% 1/29/37 | 2,152,000 | 2,677,982 | |
Bank of Ireland Group PLC 4.5% 11/25/23 (a) | 6,356,000 | 6,568,888 | |
Bank of Nova Scotia 4.5% 12/16/25 | 6,650,000 | 7,086,080 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 4,697,000 | 4,577,791 | |
3.65% 3/16/25 | 3,904,000 | 4,000,876 | |
3.811% 3/10/42 (b) | 12,000,000 | 11,181,828 | |
5.088% 6/20/30 (b) | 10,793,000 | 11,512,814 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (a)(b)(c) | 6,494,000 | 6,104,919 | |
1.904% 9/30/28 (a)(b) | 11,750,000 | 10,964,275 | |
2.159% 9/15/29 (a)(b) | 6,296,000 | 5,828,965 | |
2.219% 6/9/26 (a)(b) | 3,473,000 | 3,402,542 | |
2.824% 1/26/41 (a) | 9,300,000 | 8,012,373 | |
4.625% 3/13/27 (a) | 4,075,000 | 4,295,349 | |
BPCE SA: | |||
2.277% 1/20/32 (a)(b) | 12,075,000 | 10,961,136 | |
3.116% 10/19/32 (a)(b) | 9,800,000 | 9,237,844 | |
Citigroup, Inc.: | |||
2.666% 1/29/31 (b) | 8,200,000 | 7,905,799 | |
3.106% 4/8/26 (b) | 14,000,000 | 14,183,334 | |
3.98% 3/20/30 (b) | 12,000,000 | 12,623,720 | |
4.4% 6/10/25 | 1,331,000 | 1,396,436 | |
4.6% 3/9/26 | 921,000 | 982,230 | |
8.125% 7/15/39 | 1,728,000 | 2,703,234 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 6,941,000 | 6,436,917 | |
Credit Agricole SA 2.811% 1/11/41 (a) | 6,691,000 | 5,751,833 | |
Danske Bank A/S 1.171% 12/8/23 (a)(b) | 16,700,000 | 16,579,597 | |
Fifth Third Bancorp 8.25% 3/1/38 | 3,460,000 | 5,206,702 | |
HSBC Holdings PLC: | |||
2.251% 11/22/27 (b) | 8,604,000 | 8,294,150 | |
2.357% 8/18/31 (b) | 24,800,000 | 22,777,452 | |
2.848% 6/4/31 (b) | 9,800,000 | 9,375,828 | |
4.041% 3/13/28 (b) | 6,005,000 | 6,222,385 | |
4.95% 3/31/30 | 462,000 | 511,044 | |
Huntington Bancshares, Inc. 2.487% 8/15/36 (a)(b) | 9,956,000 | 9,113,161 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (a) | 19,037,000 | 20,066,283 | |
JPMorgan Chase & Co.: | |||
2.739% 10/15/30 (b) | 15,000,000 | 14,654,498 | |
2.956% 5/13/31 (b) | 1,884,000 | 1,832,017 | |
Lloyds Banking Group PLC: | |||
2.907% 11/7/23 (b) | 5,633,000 | 5,672,670 | |
3.87% 7/9/25 (b) | 5,500,000 | 5,661,137 | |
4.375% 3/22/28 | 6,937,000 | 7,396,477 | |
Mitsubishi UFJ Financial Group, Inc. 2.193% 2/25/25 | 5,500,000 | 5,455,425 | |
Mizuho Financial Group, Inc. 2.564% 9/13/31 | 17,000,000 | 15,548,477 | |
NatWest Group PLC: | |||
5.125% 5/28/24 | 5,080,000 | 5,345,572 | |
6% 12/19/23 | 17,115,000 | 18,154,630 | |
Rabobank Nederland 3.75% 7/21/26 | 6,754,000 | 6,963,824 | |
Royal Bank of Canada 4.65% 1/27/26 | 1,061,000 | 1,142,632 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (b) | 2,768,000 | 2,688,757 | |
3.5% 6/7/24 | 6,658,000 | 6,786,831 | |
Societe Generale: | |||
1.488% 12/14/26(a)(b) | 4,601,000 | 4,300,699 | |
3.625% 3/1/41 (a) | 12,500,000 | 11,082,897 | |
4.25% 4/14/25 (a) | 2,698,000 | 2,762,732 | |
4.75% 11/24/25 (a) | 6,461,000 | 6,735,851 | |
Standard Chartered PLC 3.785% 5/21/25 (a)(b) | 6,937,000 | 7,098,315 | |
SVB Financial Group: | |||
1.8% 10/28/26 | 6,500,000 | 6,273,568 | |
3.125% 6/5/30 | 2,947,000 | 2,962,523 | |
Synovus Financial Corp. 3.125% 11/1/22 | 5,134,000 | 5,165,293 | |
UniCredit SpA 1.982% 6/3/27 (a)(b) | 9,900,000 | 9,234,031 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (b) | 14,170,000 | 13,997,500 | |
2.188% 4/30/26 (b) | 12,500,000 | 12,334,924 | |
3.068% 4/30/41 (b) | 12,500,000 | 11,611,648 | |
Zions Bancorp NA 3.25% 10/29/29 | 8,229,000 | 8,259,513 | |
540,858,446 | |||
Capital Markets - 5.9% | |||
Ares Capital Corp.: | |||
2.15% 7/15/26 | 10,800,000 | 10,188,840 | |
2.875% 6/15/27 | 5,125,000 | 4,892,123 | |
3.25% 7/15/25 | 5,300,000 | 5,248,833 | |
3.875% 1/15/26 | 6,017,000 | 6,100,295 | |
4.25% 3/1/25 | 5,162,000 | 5,281,830 | |
Blackstone Holdings Finance Co. LLC: | |||
2.8% 9/30/50 (a) | 2,000,000 | 1,664,580 | |
3.5% 9/10/49 (a) | 7,409,000 | 6,986,508 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 3,093,000 | 3,077,620 | |
3.091% 5/14/32 (a)(b) | 8,500,000 | 8,059,909 | |
4.194% 4/1/31 (a)(b) | 9,628,000 | 9,999,139 | |
4.55% 4/17/26 | 4,872,000 | 5,144,792 | |
Deutsche Bank AG 4.5% 4/1/25 | 15,225,000 | 15,651,520 | |
Deutsche Bank AG New York Branch: | |||
2.129% 11/24/26 (b) | 12,621,000 | 12,151,408 | |
3.035% 5/28/32 (b) | 6,468,000 | 6,077,434 | |
Goldman Sachs Group, Inc.: | |||
2.905% 7/24/23 (b) | 6,721,000 | 6,755,831 | |
3.5% 4/1/25 | 6,500,000 | 6,681,293 | |
3.5% 11/16/26 | 5,162,000 | 5,285,362 | |
3.75% 5/22/25 | 9,653,000 | 9,984,667 | |
3.75% 2/25/26 | 4,490,000 | 4,671,957 | |
Moody's Corp.: | |||
2.55% 8/18/60 | 4,129,000 | 3,101,750 | |
5.25% 7/15/44 | 3,041,000 | 3,688,914 | |
Morgan Stanley: | |||
1.794% 2/13/32 (b) | 11,750,000 | 10,488,126 | |
2.188% 4/28/26 (b) | 11,770,000 | 11,617,431 | |
2.699% 1/22/31 (b) | 10,000,000 | 9,675,580 | |
3.737% 4/24/24 (b) | 6,219,000 | 6,334,988 | |
3.875% 1/27/26 | 4,507,000 | 4,702,799 | |
4.3% 1/27/45 | 851,000 | 925,244 | |
5% 11/24/25 | 7,363,000 | 7,957,832 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (a) | 6,763,000 | 7,005,490 | |
State Street Corp. 2.825% 3/30/23 (b) | 223,000 | 223,196 | |
UBS Group AG 3.126% 8/13/30 (a)(b) | 8,605,000 | 8,504,728 | |
208,130,019 | |||
Consumer Finance - 2.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 4,500,000 | 4,367,244 | |
1.75% 1/30/26 | 6,211,000 | 5,884,750 | |
2.45% 10/29/26 | 1,864,000 | 1,798,345 | |
3% 10/29/28 | 1,952,000 | 1,880,106 | |
3.3% 1/30/32 | 2,088,000 | 1,982,297 | |
3.4% 10/29/33 | 4,321,000 | 4,080,275 | |
3.85% 10/29/41 | 7,060,000 | 6,542,674 | |
4.875% 1/16/24 | 371,000 | 385,053 | |
Ally Financial, Inc.: | |||
2.2% 11/2/28 | 3,965,000 | 3,706,800 | |
3.05% 6/5/23 | 4,445,000 | 4,497,764 | |
3.875% 5/21/24 | 1,970,000 | 2,027,458 | |
5.75% 11/20/25 | 7,714,000 | 8,212,710 | |
5.8% 5/1/25 | 1,997,000 | 2,161,078 | |
8% 11/1/31 | 5,566,000 | 7,331,717 | |
Capital One Financial Corp. 2.359% 7/29/32 (b) | 13,862,000 | 12,371,938 | |
Discover Financial Services 4.5% 1/30/26 | 1,042,000 | 1,108,929 | |
Ford Motor Credit Co. LLC: | |||
3.375% 11/13/25 | 8,750,000 | 8,618,750 | |
3.625% 6/17/31 | 200,000 | 192,323 | |
4.063% 11/1/24 | 8,000,000 | 8,117,984 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 3,589,000 | 4,034,708 | |
Synchrony Financial 4.375% 3/19/24 | 513,000 | 530,461 | |
89,833,364 | |||
Diversified Financial Services - 2.5% | |||
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 3,303,000 | 3,132,578 | |
Athene Global Funding: | |||
1.45% 1/8/26 (a) | 17,950,000 | 17,142,163 | |
2.5% 3/24/28 (a) | 7,200,000 | 6,947,449 | |
BP Capital Markets America, Inc. 2.939% 6/4/51 | 12,000,000 | 10,093,555 | |
Brixmor Operating Partnership LP: | |||
2.25% 4/1/28 | 3,781,000 | 3,600,458 | |
4.05% 7/1/30 | 2,172,000 | 2,253,328 | |
4.125% 5/15/29 | 1,112,000 | 1,175,924 | |
Equitable Holdings, Inc.: | |||
4.35% 4/20/28 | 6,107,000 | 6,537,421 | |
5% 4/20/48 | 2,979,000 | 3,309,857 | |
Jackson Financial, Inc.: | |||
3.125% 11/23/31 (a) | 18,220,000 | 17,482,293 | |
4% 11/23/51 (a) | 6,000,000 | 5,389,103 | |
Rexford Industrial Realty LP 2.15% 9/1/31 | 4,635,000 | 4,175,302 | |
Voya Financial, Inc.: | |||
4.7% 1/23/48 (b) | 5,029,000 | 4,859,415 | |
5.7% 7/15/43 | 2,341,000 | 2,911,589 | |
89,010,435 | |||
Insurance - 3.5% | |||
AIA Group Ltd.: | |||
3.2% 9/16/40 (a) | 1,743,000 | 1,631,326 | |
3.375% 4/7/30 (a) | 2,730,000 | 2,834,013 | |
3.6% 4/9/29 (a) | 3,500,000 | 3,699,987 | |
3.9% 4/6/28 (a) | 4,213,000 | 4,487,224 | |
American International Group, Inc.: | |||
4.375% 1/15/55 | 2,411,000 | 2,605,157 | |
4.5% 7/16/44 | 5,237,000 | 5,810,245 | |
5.75% 4/1/48 (b) | 5,747,000 | 5,905,043 | |
AmFam Holdings, Inc. 2.805% 3/11/31 (a) | 8,775,000 | 8,435,210 | |
Aon Corp. 6.25% 9/30/40 | 228,000 | 301,100 | |
Assurant, Inc. 2.65% 1/15/32 | 12,450,000 | 11,480,704 | |
Athene Holding Ltd.: | |||
3.45% 5/15/52 | 6,000,000 | 5,253,192 | |
3.95% 5/25/51 | 2,575,000 | 2,456,829 | |
Brown & Brown, Inc. 2.375% 3/15/31 | 5,701,000 | 5,307,278 | |
Empower Finance 2020 LP 3.075% 9/17/51 (a) | 5,656,000 | 5,096,829 | |
Fairfax Financial Holdings Ltd. 3.375% 3/3/31 | 5,515,000 | 5,451,357 | |
Hartford Financial Services Group, Inc. 4.3% 4/15/43 | 1,090,000 | 1,156,631 | |
Massachusetts Mutual Life Insurance Co.: | |||
3.2% 12/1/61 (a) | 9,725,000 | 8,441,542 | |
3.729% 10/15/70 (a) | 2,604,000 | 2,453,688 | |
Pacific LifeCorp: | |||
3.35% 9/15/50 (a) | 11,300,000 | 10,793,247 | |
5.125% 1/30/43 (a) | 1,156,000 | 1,349,280 | |
Pricoa Global Funding I 5.625% 6/15/43 (b) | 4,490,000 | 4,602,250 | |
Principal Financial Group, Inc. 3.7% 5/15/29 | 1,265,000 | 1,346,558 | |
Prudential Financial, Inc. 3.935% 12/7/49 | 1,354,000 | 1,414,770 | |
Reliance Standard Life Global Funding II 2.75% 5/7/25 (a) | 8,978,000 | 9,069,177 | |
Unum Group: | |||
4.125% 6/15/51 | 8,470,000 | 7,682,196 | |
5.75% 8/15/42 | 3,366,000 | 3,754,178 | |
122,819,011 | |||
TOTAL FINANCIALS | 1,050,651,275 | ||
HEALTH CARE - 7.2% | |||
Biotechnology - 1.1% | |||
AbbVie, Inc.: | |||
3.2% 11/21/29 | 5,000,000 | 5,063,830 | |
4.05% 11/21/39 | 5,000,000 | 5,248,171 | |
4.25% 11/21/49 | 5,700,000 | 6,060,993 | |
4.55% 3/15/35 | 4,916,000 | 5,414,597 | |
Amgen, Inc. 4.663% 6/15/51 | 6,000,000 | 6,715,622 | |
Regeneron Pharmaceuticals, Inc.: | |||
1.75% 9/15/30 | 5,900,000 | 5,269,855 | |
2.8% 9/15/50 | 4,000,000 | 3,303,825 | |
37,076,893 | |||
Health Care Providers & Services - 3.4% | |||
Anthem, Inc. 2.25% 5/15/30 | 8,725,000 | 8,362,191 | |
Centene Corp.: | |||
2.625% 8/1/31 | 16,630,000 | 15,333,858 | |
3% 10/15/30 | 8,900,000 | 8,483,444 | |
4.25% 12/15/27 | 1,615,000 | 1,653,195 | |
4.625% 12/15/29 | 2,505,000 | 2,580,150 | |
Cigna Corp.: | |||
3.4% 3/15/50 | 7,000,000 | 6,403,338 | |
3.4% 3/15/51 | 7,000,000 | 6,387,761 | |
4.125% 11/15/25 | 838,000 | 882,963 | |
4.375% 10/15/28 | 1,336,000 | 1,448,043 | |
4.8% 8/15/38 | 4,331,000 | 4,824,869 | |
4.9% 12/15/48 | 831,000 | 943,949 | |
CVS Health Corp. 4.78% 3/25/38 | 3,477,000 | 3,888,199 | |
HCA Holdings, Inc.: | |||
5.125% 6/15/39 | 3,015,000 | 3,360,052 | |
5.25% 6/15/49 | 3,323,000 | 3,779,991 | |
Quest Diagnostics, Inc. 2.95% 6/30/30 | 10,000,000 | 9,858,853 | |
Sabra Health Care LP 3.2% 12/1/31 | 9,732,000 | 9,051,096 | |
UnitedHealth Group, Inc.: | |||
3.95% 10/15/42 | 119,000 | 125,361 | |
4.25% 3/15/43 | 2,244,000 | 2,473,962 | |
4.625% 7/15/35 | 671,000 | 773,178 | |
4.75% 7/15/45 | 1,642,000 | 1,945,893 | |
Universal Health Services, Inc.: | |||
2.65% 10/15/30 (a) | 15,083,000 | 14,245,106 | |
2.65% 1/15/32 (a) | 15,293,000 | 14,232,982 | |
121,038,434 | |||
Pharmaceuticals - 2.7% | |||
AstraZeneca PLC 6.45% 9/15/37 | 4,965,000 | 6,738,339 | |
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24 (a) | 7,000,000 | 7,133,264 | |
4.25% 12/15/25 (a) | 13,334,000 | 14,003,244 | |
4.375% 12/15/28 (a) | 8,500,000 | 9,062,667 | |
4.875% 6/25/48 (a) | 8,545,000 | 9,357,491 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (b) | 283,000 | 291,490 | |
5.9% 8/28/28 (b) | 11,422,000 | 12,339,187 | |
Mylan NV 4.55% 4/15/28 | 8,085,000 | 8,617,218 | |
Perrigo Finance PLC 3.9% 6/15/30 | 10,400,000 | 9,537,130 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 8,964,000 | 8,367,847 | |
4% 6/22/50 | 10,251,000 | 9,090,321 | |
94,538,198 | |||
TOTAL HEALTH CARE | 252,653,525 | ||
INDUSTRIALS - 5.3% | |||
Aerospace & Defense - 1.5% | |||
BAE Systems PLC: | |||
3% 9/15/50 (a) | 6,954,000 | 6,116,645 | |
3.4% 4/15/30 (a) | 863,000 | 881,026 | |
Northrop Grumman Corp.: | |||
2.93% 1/15/25 | 50,000 | 50,953 | |
4.03% 10/15/47 | 5,388,000 | 5,682,244 | |
The Boeing Co.: | |||
2.75% 2/1/26 | 3,325,000 | 3,327,428 | |
5.04% 5/1/27 | 16,500,000 | 17,924,742 | |
5.15% 5/1/30 | 16,500,000 | 18,224,970 | |
52,208,008 | |||
Airlines - 0.9% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 2,527,892 | 2,346,703 | |
American Airlines, Inc. 3.75% 4/15/27 | 3,448,896 | 3,283,909 | |
British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (a) | 2,285,781 | 2,236,726 | |
Southwest Airlines Co.: | |||
5.125% 6/15/27 | 7,250,000 | 8,037,350 | |
5.25% 5/4/25 | 12,600,000 | 13,623,339 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 1,983,682 | 1,894,526 | |
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27 | 1,661,570 | 1,674,225 | |
33,096,778 | |||
Building Products - 0.6% | |||
Carlisle Companies, Inc. 2.75% 3/1/30 | 10,000,000 | 9,695,972 | |
Carrier Global Corp. 2.7% 2/15/31 | 10,200,000 | 9,864,754 | |
19,560,726 | |||
Electrical Equipment - 0.2% | |||
Hubbell, Inc. 3.5% 2/15/28 | 5,388,000 | 5,596,156 | |
Industrial Conglomerates - 0.3% | |||
Roper Technologies, Inc.: | |||
1.75% 2/15/31 | 6,000,000 | 5,304,743 | |
2.95% 9/15/29 | 4,544,000 | 4,488,349 | |
9,793,092 | |||
Machinery - 0.2% | |||
Ingersoll-Rand Luxembourg Finance SA 4.65% 11/1/44 | 504,000 | 570,168 | |
Westinghouse Air Brake Tech Co. 3.2% 6/15/25 | 6,416,000 | 6,476,671 | |
7,046,839 | |||
Professional Services - 0.0% | |||
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (a) | 100,000 | 97,883 | |
Road & Rail - 0.7% | |||
Burlington Northern Santa Fe LLC: | |||
4.15% 4/1/45 | 906,000 | 985,375 | |
4.4% 3/15/42 | 2,244,000 | 2,515,763 | |
Canadian Pacific Railway Co. 3.1% 12/2/51 | 7,181,000 | 6,510,299 | |
CSX Corp.: | |||
3.8% 4/15/50 | 126,000 | 128,960 | |
4.3% 3/1/48 | 8,870,000 | 9,696,834 | |
Union Pacific Corp. 3.25% 2/5/50 | 5,500,000 | 5,281,490 | |
25,118,721 | |||
Trading Companies & Distributors - 0.6% | |||
Air Lease Corp.: | |||
2.875% 1/15/26 | 7,000,000 | 6,973,034 | |
2.875% 1/15/32 | 15,300,000 | 14,315,016 | |
21,288,050 | |||
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (a) | 6,760,000 | 6,698,901 | |
4.25% 4/15/26 (a) | 1,403,000 | 1,441,836 | |
4.375% 5/1/26 (a) | 1,008,000 | 1,038,008 | |
5.5% 1/15/26 (a) | 1,800,000 | 1,916,316 | |
11,095,061 | |||
TOTAL INDUSTRIALS | 184,901,314 | ||
INFORMATION TECHNOLOGY - 4.5% | |||
Electronic Equipment & Components - 1.2% | |||
Dell International LLC/EMC Corp.: | |||
3.375% 12/15/41 (a) | 6,000,000 | 5,260,340 | |
3.45% 12/15/51 (a) | 8,000,000 | 6,774,447 | |
5.85% 7/15/25 | 485,000 | 531,250 | |
6.02% 6/15/26 | 3,386,000 | 3,778,265 | |
Vontier Corp.: | |||
2.4% 4/1/28 | 12,350,000 | 11,567,210 | |
2.95% 4/1/31 | 13,858,000 | 12,559,783 | |
40,471,295 | |||
IT Services - 0.4% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 8,591,000 | 8,399,850 | |
Fiserv, Inc. 3.5% 7/1/29 | 3,773,000 | 3,823,020 | |
12,222,870 | |||
Semiconductors & Semiconductor Equipment - 1.8% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (a) | 843,000 | 794,750 | |
2.45% 2/15/31 (a) | 7,200,000 | 6,651,151 | |
2.6% 2/15/33 (a) | 7,289,000 | 6,652,052 | |
3.5% 2/15/41 (a) | 5,793,000 | 5,341,434 | |
3.75% 2/15/51 (a) | 2,719,000 | 2,537,108 | |
Marvell Technology, Inc. 2.45% 4/15/28 | 8,000,000 | 7,714,241 | |
Microchip Technology, Inc.: | |||
0.972% 2/15/24 | 7,000,000 | 6,821,503 | |
0.983% 9/1/24 (a) | 4,181,000 | 4,023,097 | |
Micron Technology, Inc.: | |||
2.703% 4/15/32 | 3,275,000 | 3,062,878 | |
3.366% 11/1/41 | 3,570,000 | 3,214,982 | |
3.477% 11/1/51 | 3,580,000 | 3,153,228 | |
4.185% 2/15/27 | 13,879,000 | 14,656,085 | |
64,622,509 | |||
Software - 1.0% | |||
Oracle Corp.: | |||
2.5% 4/1/25 | 7,000,000 | 6,990,593 | |
2.8% 4/1/27 | 5,000,000 | 4,970,759 | |
2.875% 3/25/31 | 12,000,000 | 11,453,480 | |
3.95% 3/25/51 | 8,510,000 | 7,795,512 | |
4.375% 5/15/55 | 3,725,000 | 3,532,552 | |
5.375% 7/15/40 | 216,000 | 237,708 | |
34,980,604 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc. 3.85% 8/4/46 | 4,529,000 | 4,827,876 | |
TOTAL INFORMATION TECHNOLOGY | 157,125,154 | ||
MATERIALS - 0.8% | |||
Chemicals - 0.6% | |||
International Flavors & Fragrances, Inc.: | |||
1.832% 10/15/27 (a) | 8,450,000 | 7,989,429 | |
2.3% 11/1/30 (a) | 8,500,000 | 7,899,711 | |
LYB International Finance III LLC 2.25% 10/1/30 | 5,205,000 | 4,883,369 | |
The Dow Chemical Co. 4.55% 11/30/25 | 136,000 | 145,541 | |
20,918,050 | |||
Containers & Packaging - 0.2% | |||
Avery Dennison Corp. 4.875% 12/6/28 | 5,802,000 | 6,468,494 | |
TOTAL MATERIALS | 27,386,544 | ||
REAL ESTATE - 5.4% | |||
Equity Real Estate Investment Trusts (REITs) - 5.0% | |||
Alexandria Real Estate Equities, Inc.: | |||
1.875% 2/1/33 | 16,250,000 | 14,365,590 | |
4.7% 7/1/30 | 1,381,000 | 1,540,103 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 340,000 | 312,596 | |
3.375% 7/15/51 | 526,000 | 451,028 | |
American Tower Corp.: | |||
2.1% 6/15/30 | 5,700,000 | 5,161,282 | |
2.4% 3/15/25 | 8,080,000 | 8,053,456 | |
Camden Property Trust 3.15% 7/1/29 | 6,286,000 | 6,424,968 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 3,264,000 | 3,021,737 | |
2.25% 3/15/26 | 831,000 | 817,150 | |
2.9% 12/1/33 | 9,000,000 | 8,311,398 | |
Crown Castle International Corp. 3.3% 7/1/30 | 14,000,000 | 13,664,666 | |
Hudson Pacific Properties LP 3.95% 11/1/27 | 4,132,000 | 4,310,900 | |
Invitation Homes Operating Partnership LP 2% 8/15/31 | 4,645,000 | 4,137,207 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 225,000 | 231,380 | |
4.75% 9/15/30 | 4,559,000 | 4,910,331 | |
LXP Industrial Trust (REIT) 4.4% 6/15/24 | 225,000 | 232,467 | |
MPT Operating Partnership LP/MPT Finance Corp. 3.5% 3/15/31 | 19,000,000 | 17,902,845 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 2,559,000 | 2,350,256 | |
3.375% 2/1/31 | 6,659,000 | 6,298,965 | |
4.375% 8/1/23 | 1,387,000 | 1,423,005 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 670,000 | 622,447 | |
Realty Income Corp. 2.85% 12/15/32 | 481,000 | 467,756 | |
Simon Property Group LP 2.45% 9/13/29 | 7,542,000 | 7,284,473 | |
Spirit Realty LP 2.1% 3/15/28 | 4,920,000 | 4,632,251 | |
Store Capital Corp.: | |||
2.7% 12/1/31 | 13,000,000 | 12,062,590 | |
2.75% 11/18/30 | 979,000 | 924,100 | |
UDR, Inc. 2.1% 8/1/32 | 7,194,000 | 6,471,758 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 5,636,000 | 5,320,654 | |
3% 1/15/30 | 8,140,000 | 8,053,279 | |
4.4% 1/15/29 | 10,000,000 | 10,868,435 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 837,000 | 812,597 | |
3.4% 6/1/31 | 3,027,000 | 2,969,433 | |
WP Carey, Inc.: | |||
2.4% 2/1/31 | 5,638,000 | 5,285,902 | |
4% 2/1/25 | 7,950,000 | 8,299,276 | |
177,996,281 | |||
Real Estate Management & Development - 0.4% | |||
Brandywine Operating Partnership LP: | |||
4.1% 10/1/24 | 2,694,000 | 2,790,750 | |
4.55% 10/1/29 | 1,809,000 | 1,945,086 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 764,000 | 721,666 | |
2.7% 7/15/31 | 1,942,000 | 1,826,879 | |
Tanger Properties LP 2.75% 9/1/31 | 6,451,000 | 5,867,662 | |
13,152,043 | |||
TOTAL REAL ESTATE | 191,148,324 | ||
UTILITIES - 6.9% | |||
Electric Utilities - 3.1% | |||
American Transmission Systems, Inc. 2.65% 1/15/32 (a) | 9,388,000 | 9,012,857 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 11,165,000 | 11,011,213 | |
3.743% 5/1/26 | 16,357,000 | 17,005,612 | |
Cleveland Electric Illuminating Co. 3.5% 4/1/28 (a) | 3,597,000 | 3,657,207 | |
Duke Energy Corp. 2.45% 6/1/30 | 1,269,000 | 1,205,748 | |
Duke Energy Industries, Inc. 4.9% 7/15/43 | 2,694,000 | 3,065,445 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (a) | 1,167,000 | 1,087,650 | |
2.775% 1/7/32 (a) | 2,052,000 | 1,931,615 | |
3.616% 8/1/27 (a) | 4,394,000 | 4,486,157 | |
Edison International 3.55% 11/15/24 | 4,250,000 | 4,334,803 | |
Exelon Corp. 4.05% 4/15/30 | 586,000 | 621,838 | |
FirstEnergy Corp.: | |||
2.05% 3/1/25 | 2,196,000 | 2,135,742 | |
2.25% 9/1/30 | 9,244,000 | 8,462,605 | |
2.65% 3/1/30 | 4,770,000 | 4,482,178 | |
7.375% 11/15/31 | 7,300,000 | 9,140,184 | |
IPALCO Enterprises, Inc.: | |||
3.7% 9/1/24 | 430,000 | 440,049 | |
4.25% 5/1/30 | 2,400,000 | 2,495,970 | |
Southern Co. 3.7% 4/30/30 | 14,820,000 | 15,276,778 | |
Tampa Electric Co. 6.55% 5/15/36 | 449,000 | 596,296 | |
Xcel Energy, Inc.: | |||
3.5% 12/1/49 | 7,338,000 | 7,023,870 | |
4.8% 9/15/41 | 499,000 | 548,998 | |
108,022,815 | |||
Gas Utilities - 0.3% | |||
Boston Gas Co. 4.487% 2/15/42 (a) | 1,796,000 | 1,882,185 | |
ONE Gas, Inc. 2% 5/15/30 | 5,208,000 | 4,850,960 | |
Southern Co. Gas Capital Corp. 3.15% 9/30/51 | 4,891,000 | 4,348,660 | |
11,081,805 | |||
Independent Power and Renewable Electricity Producers - 2.0% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (a) | 10,000,000 | 9,625,000 | |
Emera U.S. Finance LP: | |||
2.639% 6/15/31 | 12,675,000 | 11,841,099 | |
3.55% 6/15/26 | 14,650,000 | 15,066,773 | |
4.75% 6/15/46 | 8,751,000 | 9,235,407 | |
The AES Corp.: | |||
1.375% 1/15/26 | 4,810,000 | 4,571,213 | |
2.45% 1/15/31 | 13,083,000 | 12,110,148 | |
3.3% 7/15/25 (a) | 3,929,000 | 3,947,859 | |
3.95% 7/15/30 (a) | 3,427,000 | 3,496,225 | |
69,893,724 | |||
Multi-Utilities - 1.5% | |||
Berkshire Hathaway Energy Co. 2.85% 5/15/51 | 6,500,000 | 5,515,311 | |
Dominion Energy, Inc. 3.071% 8/15/24 (b) | 8,845,000 | 9,001,542 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,663,000 | 2,515,873 | |
2.95% 9/1/29 | 1,798,000 | 1,772,747 | |
3.49% 5/15/27 | 3,591,000 | 3,702,781 | |
3.6% 5/1/30 | 5,261,000 | 5,376,159 | |
4.375% 5/15/47 | 5,000,000 | 5,228,153 | |
5.25% 2/15/43 | 212,000 | 239,699 | |
5.95% 6/15/41 | 1,024,000 | 1,259,600 | |
Puget Energy, Inc.: | |||
2.379% 6/15/28 | 10,580,000 | 10,058,399 | |
3.65% 5/15/25 | 2,636,000 | 2,726,039 | |
4.1% 6/15/30 | 1,538,000 | 1,595,193 | |
WEC Energy Group, Inc.: | |||
3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (b)(c) | 105,000 | 84,000 | |
2.2% 12/15/28 | 5,000,000 | 4,797,855 | |
53,873,351 | |||
TOTAL UTILITIES | 242,871,695 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $3,239,256,272) | 3,151,638,086 | ||
U.S. Treasury Obligations - 4.2% | |||
U.S. Treasury Bonds: | |||
1.75% 8/15/41 | $21,300,000 | $19,522,781 | |
1.875% 2/15/41 | 20,000,000 | 18,801,562 | |
1.875% 11/15/51 | 56,500,000 | 52,712,734 | |
2% 11/15/41 | 31,000,000 | 29,677,656 | |
2% 8/15/51 | 5,580,000 | 5,352,441 | |
2.25% 2/15/52 | 20,000,000 | 20,375,000 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $149,371,268) | 146,442,174 | ||
Asset-Backed Securities - 0.1% | |||
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (Cost $2,223,315)(a) | $2,223,315 | $2,256,220 | |
Municipal Securities - 0.2% | |||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | 1,395,000 | 2,464,365 | |
California Gen. Oblig.: | |||
Series 2009, 7.55% 4/1/39 | $1,635,000 | $2,571,616 | |
Series 2010, 7.625% 3/1/40 | 305,000 | 473,052 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $4,646,810) | 5,509,033 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
United Mexican States 4.5% 4/22/29 (Cost $5,648,723) | $5,000,000 | $5,302,500 | |
Bank Notes - 0.1% | |||
Regions Bank 6.45% 6/26/37 | |||
(Cost $2,730,764) | 2,611,000 | 3,414,531 | |
Preferred Securities - 0.6% | |||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Enbridge, Inc. 5.75% 7/15/80 (b) | $5,706,000 | $5,990,945 | |
FINANCIALS - 0.4% | |||
Banks - 0.1% | |||
Barclays Bank PLC 7.625% 11/21/22 | 2,763,000 | 2,922,360 | |
Capital Markets - 0.3% | |||
UBS Group AG: | |||
4.375% (a)(b)(d) | 3,595,000 | 3,257,236 | |
4.875% (a)(b)(d) | 7,660,000 | 7,455,774 | |
10,713,010 | |||
TOTAL FINANCIALS | 13,635,370 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $20,045,570) | 19,626,315 | ||
Shares | Value | ||
Money Market Funds - 4.3% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $151,575,022) | 151,545,986 | 151,576,295 | |
TOTAL INVESTMENT IN SECURITIES - 99.3% | |||
(Cost $3,575,497,744) | 3,485,765,154 | ||
NET OTHER ASSETS (LIABILITIES) - 0.7% | 26,021,926 | ||
NET ASSETS - 100% | $3,511,787,080 |
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 $727,047,329 or 20.7% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security is perpetual in nature with no stated maturity date.
(e) 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 0.07% | $129,127,516 | $758,212,842 | $735,764,064 | $51,767 | $-- | $1 | $151,576,295 | 0.3% |
Total | $129,127,516 | $758,212,842 | $735,764,064 | $51,767 | $-- | $1 | $151,576,295 |
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 February 28, 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 | $3,151,638,086 | $-- | $3,151,638,086 | $-- |
U.S. Government and Government Agency Obligations | 146,442,174 | -- | 146,442,174 | -- |
Asset-Backed Securities | 2,256,220 | -- | 2,256,220 | -- |
Municipal Securities | 5,509,033 | -- | 5,509,033 | -- |
Foreign Government and Government Agency Obligations | 5,302,500 | -- | 5,302,500 | -- |
Bank Notes | 3,414,531 | -- | 3,414,531 | -- |
Preferred Securities | 19,626,315 | -- | 19,626,315 | -- |
Money Market Funds | 151,576,295 | 151,576,295 | -- | -- |
Total Investments in Securities: | $3,485,765,154 | $151,576,295 | $3,334,188,859 | $-- |
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 | 79.6% |
United Kingdom | 5.5% |
Canada | 2.8% |
France | 2.6% |
Ireland | 1.8% |
Switzerland | 1.2% |
Others (Individually Less Than 1%) | 6.5% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $3,423,922,722) | $3,334,188,859 | |
Fidelity Central Funds (cost $151,575,022) | 151,576,295 | |
Total Investment in Securities (cost $3,575,497,744) | $3,485,765,154 | |
Receivable for fund shares sold | 26,211,930 | |
Interest receivable | 30,283,484 | |
Distributions receivable from Fidelity Central Funds | 7,179 | |
Receivable from investment adviser for expense reductions | 112,273 | |
Total assets | 3,542,380,020 | |
Liabilities | ||
Payable for investments purchased | $26,476,860 | |
Payable for fund shares redeemed | 2,549,758 | |
Distributions payable | 296,311 | |
Accrued management fee | 1,010,892 | |
Distribution and service plan fees payable | 29,505 | |
Other affiliated payables | 229,611 | |
Other payables and accrued expenses | 3 | |
Total liabilities | 30,592,940 | |
Net Assets | $3,511,787,080 | |
Net Assets consist of: | ||
Paid in capital | $3,595,018,065 | |
Total accumulated earnings (loss) | (83,230,985) | |
Net Assets | $3,511,787,080 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($73,095,603 ÷ 6,222,983 shares)(a) | $11.75 | |
Maximum offering price per share (100/96.00 of $11.75) | $12.24 | |
Class M: | ||
Net Asset Value and redemption price per share ($10,397,128 ÷ 885,103 shares)(a) | $11.75 | |
Maximum offering price per share (100/96.00 of $11.75) | $12.24 | |
Class C: | ||
Net Asset Value and offering price per share ($13,815,403 ÷ 1,176,345 shares)(a) | $11.74 | |
Corporate Bond: | ||
Net Asset Value, offering price and redemption price per share ($1,187,414,074 ÷ 101,093,302 shares) | $11.75 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($174,717,643 ÷ 14,874,265 shares) | $11.75 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($2,052,347,229 ÷ 174,782,742 shares) | $11.74 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $348,028 | |
Interest | 51,866,968 | |
Income from Fidelity Central Funds | 51,767 | |
Total income | 52,266,763 | |
Expenses | ||
Management fee | $6,286,429 | |
Transfer agent fees | 1,355,494 | |
Distribution and service plan fees | 193,427 | |
Independent trustees' fees and expenses | 6,013 | |
Total expenses before reductions | 7,841,363 | |
Expense reductions | (412,183) | |
Total expenses after reductions | 7,429,180 | |
Net investment income (loss) | 44,837,583 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 13,256,235 | |
Total net realized gain (loss) | 13,256,235 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (286,235,654) | |
Fidelity Central Funds | 1 | |
Total change in net unrealized appreciation (depreciation) | (286,235,653) | |
Net gain (loss) | (272,979,418) | |
Net increase (decrease) in net assets resulting from operations | $(228,141,835) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $44,837,583 | $85,885,581 |
Net realized gain (loss) | 13,256,235 | 19,976,027 |
Change in net unrealized appreciation (depreciation) | (286,235,653) | (25,405,093) |
Net increase (decrease) in net assets resulting from operations | (228,141,835) | 80,456,515 |
Distributions to shareholders | (70,116,053) | (112,967,117) |
Share transactions - net increase (decrease) | 343,843,417 | 178,106,536 |
Total increase (decrease) in net assets | 45,585,529 | 145,595,934 |
Net Assets | ||
Beginning of period | 3,466,201,551 | 3,320,605,617 |
End of period | $3,511,787,080 | $3,466,201,551 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Corporate Bond Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 | $11.73 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .132 | .277 | .311 | .376 | .352 | .329 |
Net realized and unrealized gain (loss) | (.921) | .004 | .624 | 1.018 | (.465) | (.054) |
Total from investment operations | (.789) | .281 | .935 | 1.394 | (.113) | .275 |
Distributions from net investment income | (.134) | (.274) | (.315) | (.374) | (.347) | (.325) |
Distributions from net realized gain | (.087) | (.107) | – | – | – | – |
Total distributions | (.221) | (.381) | (.315) | (.374) | (.347) | (.325) |
Net asset value, end of period | $11.75 | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 |
Total ReturnC,D,E | (6.26)% | 2.24% | 7.78% | 12.72% | (.97)% | 2.43% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .77%H | .77% | .77% | .79% | .79% | .79% |
Expenses net of fee waivers, if any | .77%H | .77% | .77% | .79% | .79% | .79% |
Expenses net of all reductions | .77%H | .77% | .77% | .79% | .79% | .79% |
Net investment income (loss) | 2.16%H | 2.19% | 2.53% | 3.31% | 3.09% | 2.87% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $73,096 | $81,746 | $74,657 | $48,410 | $37,046 | $38,496 |
Portfolio turnover rateI | 34%H | 46% | 31%J | 28% | 47% | 42% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Corporate Bond Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 | $11.73 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .130 | .274 | .304 | .368 | .343 | .319 |
Net realized and unrealized gain (loss) | (.921) | .004 | .624 | 1.017 | (.465) | (.054) |
Total from investment operations | (.791) | .278 | .928 | 1.385 | (.122) | .265 |
Distributions from net investment income | (.132) | (.271) | (.308) | (.365) | (.338) | (.315) |
Distributions from net realized gain | (.087) | (.107) | – | – | – | – |
Total distributions | (.219) | (.378) | (.308) | (.365) | (.338) | (.315) |
Net asset value, end of period | $11.75 | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 |
Total ReturnC,D,E | (6.27)% | 2.21% | 7.72% | 12.64% | (1.05)% | 2.35% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .81%H | .79% | .82% | .87% | .87% | .87% |
Expenses net of fee waivers, if any | .81%H | .79% | .82% | .87% | .87% | .87% |
Expenses net of all reductions | .81%H | .79% | .82% | .87% | .87% | .87% |
Net investment income (loss) | 2.12%H | 2.16% | 2.47% | 3.24% | 3.00% | 2.79% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $10,397 | $12,127 | $11,858 | $9,093 | $7,819 | $9,317 |
Portfolio turnover rateI | 34%H | 46% | 31%J | 28% | 47% | 42% |
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 Total returns do not include the effect of the sales charges.
F 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.
G 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.
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.
Fidelity Corporate Bond Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.23 | $11.22 | $11.68 | $11.72 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .085 | .180 | .215 | .292 | .266 | .242 |
Net realized and unrealized gain (loss) | (.931) | .003 | .634 | 1.005 | (.465) | (.044) |
Total from investment operations | (.846) | .183 | .849 | 1.297 | (.199) | .198 |
Distributions from net investment income | (.087) | (.176) | (.219) | (.287) | (.261) | (.238) |
Distributions from net realized gain | (.087) | (.107) | – | – | – | – |
Total distributions | (.174) | (.283) | (.219) | (.287) | (.261) | (.238) |
Net asset value, end of period | $11.74 | $12.76 | $12.86 | $12.23 | $11.22 | $11.68 |
Total ReturnC,D,E | (6.69)% | 1.46% | 7.04% | 11.78% | (1.72)% | 1.75% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | 1.54%H | 1.54% | 1.54% | 1.55% | 1.55% | 1.54% |
Expenses net of fee waivers, if any | 1.54%H | 1.54% | 1.54% | 1.55% | 1.55% | 1.54% |
Expenses net of all reductions | 1.54%H | 1.54% | 1.54% | 1.55% | 1.55% | 1.54% |
Net investment income (loss) | 1.39%H | 1.42% | 1.75% | 2.56% | 2.33% | 2.11% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $13,815 | $17,010 | $17,956 | $14,009 | $14,836 | $18,432 |
Portfolio turnover rateI | 34%H | 46% | 31%J | 28% | 47% | 42% |
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 Total returns do not include the effect of the contingent deferred sales charge.
F 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.
G 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.
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.
Fidelity Corporate Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 | $11.73 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .153 | .318 | .350 | .415 | .389 | .367 |
Net realized and unrealized gain (loss) | (.922) | .003 | .624 | 1.017 | (.463) | (.054) |
Total from investment operations | (.769) | .321 | .974 | 1.432 | (.074) | .313 |
Distributions from net investment income | (.154) | (.314) | (.354) | (.412) | (.386) | (.363) |
Distributions from net realized gain | (.087) | (.107) | – | – | – | – |
Total distributions | (.241) | (.421) | (.354) | (.412) | (.386) | (.363) |
Net asset value, end of period | $11.75 | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 |
Total ReturnC,D | (6.10)% | 2.56% | 8.12% | 13.10% | (.63)% | 2.77% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%G | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.49%G | 2.50% | 2.84% | 3.65% | 3.43% | 3.20% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $1,187,414 | $1,481,426 | $2,179,540 | $1,411,052 | $1,142,503 | $991,210 |
Portfolio turnover rateH | 34%G | 46% | 31%I | 28% | 47% | 42% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Corporate Bond Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 | $11.73 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .149 | .311 | .344 | .412 | .385 | .362 |
Net realized and unrealized gain (loss) | (.922) | .004 | .624 | 1.015 | (.465) | (.054) |
Total from investment operations | (.773) | .315 | .968 | 1.427 | (.080) | .308 |
Distributions from net investment income | (.150) | (.308) | (.348) | (.407) | (.380) | (.358) |
Distributions from net realized gain | (.087) | (.107) | – | – | – | – |
Total distributions | (.237) | (.415) | (.348) | (.407) | (.380) | (.358) |
Net asset value, end of period | $11.75 | $12.76 | $12.86 | $12.24 | $11.22 | $11.68 |
Total ReturnC,D | (6.13)% | 2.51% | 8.07% | 13.06% | (.68)% | 2.72% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .51%G | .50% | .50% | .49% | .50% | .50% |
Expenses net of fee waivers, if any | .51%G | .50% | .50% | .49% | .50% | .50% |
Expenses net of all reductions | .51%G | .50% | .50% | .49% | .50% | .50% |
Net investment income (loss) | 2.43%G | 2.45% | 2.80% | 3.63% | 3.38% | 3.15% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $174,718 | $200,288 | $183,627 | $122,654 | $129,845 | $140,638 |
Portfolio turnover rateH | 34%G | 46% | 31%I | 28% | 47% | 42% |
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Corporate Bond Fund Class Z
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||
2022 | 2021 | 2020 | 2019 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $12.76 | $12.86 | $12.23 | $11.16 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .157 | .328 | .360 | .358 |
Net realized and unrealized gain (loss) | (.931) | .005 | .635 | 1.097 |
Total from investment operations | (.774) | .333 | .995 | 1.455 |
Distributions from net investment income | (.159) | (.326) | (.365) | (.385) |
Distributions from net realized gain | (.087) | (.107) | – | – |
Total distributions | (.246) | (.433) | (.365) | (.385) |
Net asset value, end of period | $11.74 | $12.76 | $12.86 | $12.23 |
Total ReturnD,E | (6.14)% | 2.66% | 8.30% | 13.34% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .40%H | .40% | .40% | .40%H |
Expenses net of fee waivers, if any | .36%H | .36% | .36% | .36%H |
Expenses net of all reductions | .36%H | .36% | .36% | .36%H |
Net investment income (loss) | 2.57%H | 2.59% | 2.93% | 3.54%H |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $2,052,347 | $1,673,604 | $852,967 | $100,483 |
Portfolio turnover rateI | 34%H | 46% | 31%J | 28% |
A For the period October 2, 2018 (commencement of sale of shares) through August 31, 2019.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
1. Organization.
Fidelity Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Corporate Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, preferred 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 are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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 February 28, 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. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $54,954,802 |
Gross unrealized depreciation | (143,556,830) |
Net unrealized appreciation (depreciation) | $(88,602,028) |
Tax cost | $3,574,367,182 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Corporate Bond Fund | 572,152,173 | 288,638,594 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and distribution and service plan fees, and other expenses such as interest expense.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $99,248 | $5,104 |
Class M | -% | .25% | 14,158 | – |
Class C | .75% | .25% | 80,021 | 14,759 |
$193,427 | $19,863 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $5,580 |
Class M | 885 |
Class C(a) | 745 |
$7,210 |
(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Corporate Bond and Class Z. FIIOC receives an asset-based fee of Corporate Bond's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Class A | $66,319 | .17 |
Class M | 11,435 | .20 |
Class C | 14,447 | .18 |
Corporate Bond | 633,520 | .09 |
Class I | 149,988 | .15 |
Class Z | 479,785 | .05 |
$1,355,494 |
(a) Annualized
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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2022. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Class Z | .36% | $412,132 |
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. During the period, custodian credits reduced the Fund's expenses by $51.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Corporate Bond Fund | ||
Distributions to shareholders | ||
Class A | $1,423,983 | $2,401,138 |
Class M | 200,699 | 367,105 |
Class C | 227,846 | 432,702 |
Corporate Bond | 27,013,925 | 75,271,880 |
Class I | 3,846,345 | 6,090,803 |
Class Z | 37,403,255 | 28,403,489 |
Total | $70,116,053 | $112,967,117 |
9. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2022 | Year ended August 31, 2021 | Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Corporate Bond Fund | ||||
Class A | ||||
Shares sold | 747,853 | 3,491,333 | $9,300,252 | $44,536,789 |
Reinvestment of distributions | 114,323 | 185,941 | 1,414,024 | 2,359,228 |
Shares redeemed | (1,043,946) | (3,077,220) | (12,836,905) | (39,063,641) |
Net increase (decrease) | (181,770) | 600,054 | $(2,122,629) | $7,832,376 |
Class M | ||||
Shares sold | 46,475 | 256,040 | $575,965 | $3,257,273 |
Reinvestment of distributions | 16,067 | 28,723 | 198,784 | 364,510 |
Shares redeemed | (127,561) | (256,659) | (1,578,576) | (3,252,704) |
Net increase (decrease) | (65,019) | 28,104 | $(803,827) | $369,079 |
Class C | ||||
Shares sold | 154,018 | 713,684 | $1,917,276 | $9,094,163 |
Reinvestment of distributions | 18,309 | 33,822 | 226,863 | 429,292 |
Shares redeemed | (328,866) | (810,946) | (4,040,898) | (10,258,700) |
Net increase (decrease) | (156,539) | (63,440) | $(1,896,759) | $(735,245) |
Corporate Bond | ||||
Shares sold | 8,410,355 | 88,663,171 | $103,960,113 | $1,127,904,153 |
Reinvestment of distributions | 1,975,062 | 5,405,495 | 24,435,607 | 68,568,448 |
Shares redeemed | (25,364,141) | (147,462,217) | (311,695,670) | (1,875,165,667) |
Net increase (decrease) | (14,978,724) | (53,393,551) | $(183,299,950) | $(678,693,066) |
Class I | ||||
Shares sold | 2,859,008 | 10,297,123 | $35,811,935 | $130,688,880 |
Reinvestment of distributions | 309,433 | 475,929 | 3,826,959 | 6,041,956 |
Shares redeemed | (3,986,333) | (9,357,769) | (48,972,366) | (118,209,282) |
Net increase (decrease) | (817,892) | 1,415,283 | $(9,333,472) | $18,521,554 |
Class Z | ||||
Shares sold | 56,105,734 | 98,277,720 | $691,702,763 | $1,256,354,401 |
Reinvestment of distributions | 3,001,168 | 2,151,998 | 37,031,627 | 27,312,728 |
Shares redeemed | (15,491,822) | (35,600,855) | (187,434,336) | (452,855,291) |
Net increase (decrease) | 43,615,080 | 64,828,863 | $541,300,054 | $830,811,838 |
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity Core Income Fund | |
Fidelity Corporate Bond Fund | 41% |
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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Corporate Bond Fund | ||||
Class A | .77% | |||
Actual | $1,000.00 | $937.40 | $3.70 | |
Hypothetical-C | $1,000.00 | $1,020.98 | $3.86 | |
Class M | .81% | |||
Actual | $1,000.00 | $937.30 | $3.89 | |
Hypothetical-C | $1,000.00 | $1,020.78 | $4.06 | |
Class C | 1.54% | |||
Actual | $1,000.00 | $933.10 | $7.38 | |
Hypothetical-C | $1,000.00 | $1,017.16 | $7.70 | |
Corporate Bond | .45% | |||
Actual | $1,000.00 | $939.00 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .51% | |||
Actual | $1,000.00 | $938.70 | $2.45 | |
Hypothetical-C | $1,000.00 | $1,022.27 | $2.56 | |
Class Z | .36% | |||
Actual | $1,000.00 | $938.60 | $1.73 | |
Hypothetical-C | $1,000.00 | $1,023.01 | $1.81 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Corporate Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio of a representative class (the retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board. Because the vast majority of competitor funds' management fees do not cover expenses beyond portfolio management, in prior years, the fund was compared on the basis of a hypothetical "net management fee," which was derived by subtracting payments made by Fidelity for "fund-level" expenses beyond portfolio management (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. Given the fund's competitive management fee rate, Fidelity no longer calculates a hypothetical net management fee for the fund and, as a result, the chart does not include a hypothetical net management fee for periods after 2016.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.
CBD-SANN-0422
1.907007.111
Fidelity® Conservative Income Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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)
Effective Maturity Diversification
Days | % of Fund's investments 02/28/2022 |
0-30 | 29.4% |
31-90 | 15.3% |
91-180 | 13.5% |
181-397 | 11.1% |
> 397 | 30.7% |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 63.2% | |
U.S. Government and U.S. Government Agency Obligations | 6.0% | |
Other Investments | 2.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 28.1% |
* Foreign investments - 26.7%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 63.2% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.3% | |||
Diversified Telecommunication Services - 0.7% | |||
NTT Finance Corp. 0.373% 3/3/23 (a) | $49,820,000 | $49,288,682 | |
Entertainment - 0.4% | |||
The Walt Disney Co. 3% 9/15/22 | 28,000,000 | 28,297,665 | |
Media - 0.7% | |||
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.5701% 3/4/22 (b)(c) | 47,662,000 | 47,663,162 | |
Wireless Telecommunication Services - 0.5% | |||
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (b)(c) | 31,024,000 | 31,028,929 | |
TOTAL COMMUNICATION SERVICES | 156,278,438 | ||
CONSUMER DISCRETIONARY - 3.5% | |||
Automobiles - 3.0% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 0.6296% 2/22/23 (b)(c) | 15,898,000 | 15,906,801 | |
0.4% 10/21/22 | 13,760,000 | 13,708,923 | |
2.2% 6/27/22 | 25,750,000 | 25,855,347 | |
BMV Finance NV 2.25% 8/12/22 (a) | 20,155,000 | 20,277,531 | |
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5792% 4/1/24 (a)(b)(c) | 28,838,000 | 29,001,084 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8093% 3/8/24 (b)(c) | 19,604,000 | 19,647,451 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) | 16,700,000 | 16,856,398 | |
Volkswagen Group of America Finance LLC: | |||
0.75% 11/23/22 (a) | 23,359,000 | 23,205,942 | |
2.9% 5/13/22 (a) | 36,127,000 | 36,258,399 | |
200,717,876 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.420% 0.47% 2/14/24 (b)(c) | 16,681,000 | 16,693,828 | |
Textiles, Apparel & Luxury Goods - 0.2% | |||
VF Corp. 2.05% 4/23/22 | 15,645,000 | 15,672,378 | |
TOTAL CONSUMER DISCRETIONARY | 233,084,082 | ||
CONSUMER STAPLES - 0.1% | |||
Food & Staples Retailing - 0.1% | |||
7-Eleven, Inc. 0.625% 2/10/23 (a) | 3,566,000 | 3,537,456 | |
ENERGY - 1.5% | |||
Oil, Gas & Consumable Fuels - 1.5% | |||
Enbridge, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 0.68% 2/16/24 (b)(c) | 16,541,000 | 16,583,345 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (b)(c) | 10,886,000 | 10,875,103 | |
2.9% 7/15/22 | 30,858,000 | 31,012,189 | |
Exxon Mobil Corp. 3 month U.S. LIBOR + 0.330% 0.7886% 8/16/22 (b)(c) | 36,278,000 | 36,340,713 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 6,268,000 | 6,244,144 | |
101,055,494 | |||
FINANCIALS - 43.0% | |||
Banks - 24.8% | |||
Bank of America Corp.: | |||
3 month U.S. LIBOR + 1.000% 1.2589% 4/24/23 (b)(c) | 6,751,000 | 6,759,707 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 0.7093% 2/4/25 (b)(c) | 28,500,000 | 28,519,665 | |
0.523% 6/14/24 (b) | 23,400,000 | 22,974,548 | |
2.816% 7/21/23 (b) | 11,725,000 | 11,785,619 | |
2.881% 4/24/23 (b) | 30,425,000 | 30,483,840 | |
3.004% 12/20/23 (b) | 47,004,000 | 47,421,742 | |
3.3% 1/11/23 | 9,800,000 | 9,964,696 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.570% 0.7898% 3/26/22 (b)(c) | 30,449,000 | 30,462,995 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3142% 9/15/23 (b)(c) | 25,000,000 | 24,967,010 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3189% 4/14/23 (b)(c) | 27,400,000 | 27,353,021 | |
2.9% 3/26/22 | 20,196,000 | 20,226,632 | |
Bank of Nova Scotia: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3092% 9/15/23 (b)(c) | 30,450,000 | 30,421,626 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4294% 7/31/24 (b)(c) | 26,000,000 | 25,968,273 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4939% 4/15/24 (b)(c) | 29,350,000 | 29,384,542 | |
Barclays Bank PLC 1.7% 5/12/22 | 3,860,000 | 3,863,337 | |
BNP Paribas SA 3.5% 3/1/23 (a) | 16,600,000 | 16,865,238 | |
BPCE SA: | |||
3 month U.S. LIBOR + 1.240% 1.4409% 9/12/23 (a)(b)(c) | 14,800,000 | 14,982,750 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6189% 1/14/25 (a)(b)(c) | 14,031,000 | 14,010,786 | |
3% 5/22/22 (a) | 34,400,000 | 34,525,211 | |
Canadian Imperial Bank of Commerce: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3891% 6/22/23 (b)(c) | 27,203,000 | 27,180,966 | |
2.606% 7/22/23 (b) | 30,832,000 | 30,947,284 | |
Capital One NA 3 month U.S. LIBOR + 0.820% 1.159% 8/8/22 (b)(c) | 11,300,000 | 11,322,429 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.430% 1.6009% 9/1/23 (b)(c) | 12,000,000 | 12,059,435 | |
2.7% 10/27/22 | 24,868,000 | 25,077,473 | |
2.75% 4/25/22 | 4,242,000 | 4,247,857 | |
2.876% 7/24/23 (b) | 30,000,000 | 30,164,341 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 40,167,000 | 40,687,540 | |
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (a)(b)(c) | 25,121,000 | 25,108,545 | |
First Republic Bank 2.5% 6/6/22 | 25,000,000 | 25,056,928 | |
HSBC Holdings PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (b)(c) | 20,000,000 | 20,020,175 | |
3.262% 3/13/23 (b) | 39,855,000 | 39,875,753 | |
3.95% 5/18/24 (b) | 16,100,000 | 16,456,162 | |
ING Groep NV 3.15% 3/29/22 | 21,500,000 | 21,539,195 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 1.230% 1.4889% 10/24/23 (b)(c) | 19,286,000 | 19,397,982 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6292% 3/16/24 (b)(c) | 40,575,000 | 40,638,367 | |
0.697% 3/16/24 (b) | 26,600,000 | 26,265,264 | |
2.776% 4/25/23 (b) | 38,827,000 | 38,895,464 | |
3.207% 4/1/23 (b) | 20,885,000 | 20,915,769 | |
3.559% 4/23/24 (b) | 24,785,000 | 25,250,869 | |
3.797% 7/23/24 (b) | 11,250,000 | 11,519,130 | |
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (b)(c) | 15,000,000 | 14,946,263 | |
Lloyds Banking Group PLC: | |||
1.326% 6/15/23 (b) | 15,660,000 | 15,640,417 | |
2.858% 3/17/23 (b) | 23,800,000 | 23,813,589 | |
2.907% 11/7/23 (b) | 26,460,000 | 26,646,345 | |
M&T Bank Corp. 3 month U.S. LIBOR + 0.680% 0.9471% 7/26/23 (b)(c) | 15,000,000 | 15,094,036 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.700% 0.8876% 3/7/22 (b)(c) | 34,667,000 | 34,669,698 | |
3 month U.S. LIBOR + 0.860% 1.1271% 7/26/23 (b)(c) | 25,243,000 | 25,442,743 | |
2.623% 7/18/22 | 39,831,000 | 40,079,457 | |
2.665% 7/25/22 | 25,000,000 | 25,163,616 | |
3.218% 3/7/22 | 39,904,000 | 39,918,033 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.840% 1.0813% 7/16/23 (b)(c) | 12,315,000 | 12,338,896 | |
3 month U.S. LIBOR + 0.850% 1.0509% 9/13/23 (b)(c) | 5,725,000 | 5,741,450 | |
3 month U.S. LIBOR + 0.880% 1.0809% 9/11/22 (b)(c) | 14,700,000 | 14,750,470 | |
2.721% 7/16/23 (b) | 40,000,000 | 40,170,578 | |
Morgan Stanley Domestic Hold 2.95% 8/24/22 | 47,617,000 | 47,968,068 | |
NatWest Markets PLC 3.625% 9/29/22 (a) | 37,178,000 | 37,695,298 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (b)(c) | 31,000,000 | 31,008,433 | |
Sumitomo Mitsui Banking Corp. 3.2% 7/18/22 | 30,000,000 | 30,241,307 | |
Sumitomo Mitsui Financial Group, Inc. 3 month U.S. LIBOR + 0.860% 1.108% 7/19/23 (b)(c) | 12,997,000 | 13,110,058 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 0.7009% 12/1/22 (b)(c) | 28,063,000 | 28,131,161 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2693% 6/2/23 (b)(c) | 30,250,000 | 30,196,379 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4043% 3/4/24 (b)(c) | 32,800,000 | 32,730,464 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (b)(c) | 34,290,000 | 34,355,636 | |
0.25% 1/6/23 | 30,480,000 | 30,228,716 | |
Truist Bank: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2489% 1/17/24 (b)(c) | 30,450,000 | 30,412,297 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.730% 0.7793% 3/9/23 (b)(c) | 32,136,000 | 32,283,706 | |
Wells Fargo & Co. 3.5% 3/8/22 | 8,982,000 | 8,985,784 | |
1,665,331,064 | |||
Capital Markets - 8.9% | |||
Charles Schwab Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5492% 3/18/24 (b)(c) | 11,600,000 | 11,617,957 | |
Credit Suisse AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4295% 8/9/23 (b)(c) | 16,400,000 | 16,371,447 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4396% 2/2/24 (b)(c) | 50,000,000 | 49,943,879 | |
2.8% 4/8/22 | 24,669,000 | 24,724,739 | |
Deutsche Bank AG New York Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5496% 11/8/23 (b)(c) | 28,400,000 | 28,341,022 | |
3.3% 11/16/22 | 19,031,000 | 19,234,124 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.750% 1.2139% 2/23/23 (b)(c) | 46,919,000 | 47,083,072 | |
3 month U.S. LIBOR + 1.000% 1.2589% 7/24/23 (b)(c) | 5,757,000 | 5,769,656 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/8/23 (b)(c) | 30,000,000 | 29,977,172 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7495% 1/24/25 (b)(c) | 27,000,000 | 27,020,520 | |
0.627% 11/17/23 (b) | 34,436,000 | 34,152,222 | |
2.905% 7/24/23 (b) | 19,500,000 | 19,601,056 | |
2.908% 6/5/23 (b) | 21,350,000 | 21,433,981 | |
Morgan Stanley: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6743% 1/24/25 (b)(c) | 27,000,000 | 27,027,540 | |
0.529% 1/25/24 (b) | 16,992,000 | 16,793,744 | |
0.56% 11/10/23 (b) | 25,185,000 | 24,988,141 | |
2.75% 5/19/22 | 34,729,000 | 34,866,295 | |
3.737% 4/24/24 (b) | 15,000,000 | 15,279,759 | |
UBS AG London Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/1/23 (a)(b)(c) | 23,250,000 | 23,255,876 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.4095% 2/9/24 (a)(b)(c) | 36,650,000 | 36,584,490 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5194% 1/13/25 (a)(b)(c) | 20,750,000 | 20,742,115 | |
1.75% 4/21/22 (a) | 30,946,000 | 30,967,779 | |
UBS Group AG 3 month U.S. LIBOR + 0.950% 1.4564% 8/15/23 (a)(b)(c) | 28,100,000 | 28,189,397 | |
593,965,983 | |||
Consumer Finance - 4.4% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (b)(c) | 20,613,000 | 20,557,551 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.610% 0.9266% 8/1/22 (b)(c) | 24,003,000 | 24,037,206 | |
3 month U.S. LIBOR + 0.620% 1.1% 5/20/22 (b)(c) | 30,998,000 | 31,013,950 | |
2.75% 5/20/22 | 51,755,000 | 51,881,252 | |
Capital One Financial Corp. 1.343% 12/6/24 (b) | 17,000,000 | 16,744,086 | |
John Deere Capital Corp. 2.75% 3/15/22 | 7,085,000 | 7,089,696 | |
Toyota Motor Credit Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (b)(c) | 30,000,000 | 30,001,611 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.3691% 4/6/23 (b)(c) | 30,100,000 | 30,093,093 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 6/13/23 (b)(c) | 25,000,000 | 25,000,000 | |
0.45% 7/22/22 | 27,195,000 | 27,137,982 | |
1.15% 5/26/22 | 34,595,000 | 34,602,276 | |
298,158,703 | |||
Diversified Financial Services - 0.9% | |||
Athene Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (a)(b)(c) | 32,000,000 | 32,032,320 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.710% 0.7641% 1/7/25 (a)(b)(c) | 31,450,000 | 31,445,627 | |
63,477,947 | |||
Insurance - 4.0% | |||
Equitable Financial Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4383% 4/6/23 (a)(b)(c) | 31,725,000 | 31,721,465 | |
Marsh & McLennan Companies, Inc. 3.3% 3/14/23 | 3,378,000 | 3,430,756 | |
Metropolitan Life Global Funding I: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.619% 1/13/23 (a)(b)(c) | 32,895,000 | 32,995,988 | |
3.875% 4/11/22 (a) | 9,485,000 | 9,515,540 | |
Metropolitan Tower Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5989% 1/17/23 (a)(b)(c) | 42,351,000 | 42,491,895 | |
0.55% 7/13/22 (a) | 37,753,000 | 37,717,024 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 0.5113% 1/10/23 (a)(b)(c) | 28,272,000 | 28,295,550 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2696% 2/2/23 (a)(b)(c) | 30,150,000 | 30,146,092 | |
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4281% 4/12/24 (a)(b)(c) | 30,000,000 | 30,012,817 | |
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (a)(b)(c) | 19,254,000 | 19,291,018 | |
265,618,145 | |||
TOTAL FINANCIALS | 2,886,551,842 | ||
HEALTH CARE - 2.9% | |||
Biotechnology - 1.1% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.1296% 11/21/22 (b)(c) | 13,716,000 | 13,765,518 | |
2.3% 11/21/22 | 12,882,000 | 12,961,425 | |
2.9% 11/6/22 | 23,496,000 | 23,728,620 | |
3.25% 10/1/22 | 24,285,000 | 24,446,748 | |
74,902,311 | |||
Health Care Providers & Services - 0.4% | |||
CVS Health Corp. 3.5% 7/20/22 | 29,200,000 | 29,342,184 | |
Life Sciences Tools & Services - 0.2% | |||
Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.5789% 10/18/24 (b)(c) | 10,321,000 | 10,328,617 | |
Pharmaceuticals - 1.2% | |||
AstraZeneca PLC 2.375% 6/12/22 | 27,104,000 | 27,186,393 | |
Bristol-Myers Squibb Co. 2.6% 5/16/22 | 27,432,000 | 27,536,004 | |
Viatris, Inc. 1.125% 6/22/22 | 28,100,000 | 28,111,909 | |
82,834,306 | |||
TOTAL HEALTH CARE | 197,407,418 | ||
INDUSTRIALS - 4.3% | |||
Aerospace & Defense - 0.2% | |||
The Boeing Co. 1.167% 2/4/23 | 13,379,000 | 13,324,750 | |
Industrial Conglomerates - 1.5% | |||
Honeywell International, Inc.: | |||
3 month U.S. LIBOR + 0.370% 0.709% 8/8/22 (b)(c) | 36,126,000 | 36,173,735 | |
0.483% 8/19/22 | 9,633,000 | 9,620,538 | |
Roper Technologies, Inc. 3.125% 11/15/22 | 4,000,000 | 4,037,148 | |
Siemens Financieringsmaatschappij NV: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/11/24 (a)(b)(c) | 32,000,000 | 32,057,235 | |
0.4% 3/11/23 (a) | 19,270,000 | 19,036,986 | |
100,925,642 | |||
Machinery - 2.2% | |||
Caterpillar Financial Services Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (b)(c) | 31,260,000 | 31,248,790 | |
0.25% 3/1/23 | 25,350,000 | 25,087,208 | |
0.95% 5/13/22 | 33,583,000 | 33,595,771 | |
1.9% 9/6/22 | 13,000,000 | 13,054,940 | |
Daimler Trucks Finance North America LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5493% 6/14/23 (a)(b)(c) | 26,800,000 | 26,793,652 | |
1.125% 12/14/23 (a) | 18,400,000 | 18,127,337 | |
147,907,698 | |||
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp. 3 month U.S. LIBOR + 0.350% 0.5528% 12/15/22 (b)(c) | 27,250,000 | 27,234,707 | |
TOTAL INDUSTRIALS | 289,392,797 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
IT Services - 0.5% | |||
IBM Corp. 2.85% 5/13/22 | 31,917,000 | 32,060,590 | |
Semiconductors & Semiconductor Equipment - 0.1% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (b)(c) | 9,050,000 | 9,048,283 | |
TOTAL INFORMATION TECHNOLOGY | 41,108,873 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 3,085,000 | 3,074,991 | |
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.5% | |||
Kimco Realty Corp. 3.4% 11/1/22 | 16,486,000 | 16,680,003 | |
Simon Property Group LP U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.4794% 1/11/24 (b)(c) | 14,294,000 | 14,306,500 | |
30,986,503 | |||
UTILITIES - 4.5% | |||
Electric Utilities - 3.8% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 15,106,000 | 15,096,389 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (b)(c) | 14,005,000 | 13,972,648 | |
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2995% 5/10/23 (b)(c) | 17,114,000 | 17,114,001 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (b)(c) | 42,128,000 | 42,082,797 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4496% 11/3/23 (b)(c) | 28,375,000 | 28,375,170 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (b)(c) | 16,898,000 | 16,935,414 | |
PPL Electric Utilities Corp.: | |||
3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 8,800,000 | 8,776,479 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3793% 6/24/24 (b)(c) | 21,651,000 | 21,575,284 | |
Southern California Edison Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (b)(c) | 25,725,000 | 25,744,613 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6892% 4/3/23 (b)(c) | 25,000,000 | 25,006,417 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.830% 0.8792% 4/1/24 (b)(c) | 25,000,000 | 25,048,250 | |
Southern Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (b)(c) | 13,806,000 | 13,794,261 | |
253,521,723 | |||
Gas Utilities - 0.3% | |||
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.8109% 3/11/23 (b)(c) | 16,175,000 | 16,175,701 | |
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5483% 9/14/23 (b)(c) | 4,524,000 | 4,514,095 | |
20,689,796 | |||
Multi-Utilities - 0.4% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 13,794,000 | 13,796,552 | |
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (b)(c) | 12,339,000 | 12,340,131 | |
26,136,683 | |||
TOTAL UTILITIES | 300,348,202 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $4,251,511,282) | 4,242,826,096 | ||
U.S. Government and Government Agency Obligations - 6.0% | |||
U.S. Government Agency Obligations - 0.7% | |||
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (b)(c) | 28,529,000 | 28,545,514 | |
Freddie Mac U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.130% 0.18% 8/5/22 (b)(c) | 18,688,000 | 18,698,201 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 47,243,715 | ||
U.S. Treasury Obligations - 5.3% | |||
U.S. Treasury Notes: | |||
0.125% 5/31/22 | $152,343,000 | $152,210,941 | |
0.125% 6/30/22 | 11,710,600 | 11,695,161 | |
0.125% 12/31/22 | 120,000,000 | 119,128,126 | |
0.375% 10/31/23 | 72,535,000 | 71,299,638 | |
TOTAL U.S. TREASURY OBLIGATIONS | 354,333,866 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $403,644,617) | 401,577,581 | ||
Bank Notes - 2.7% | |||
Capital One NA 2.15% 9/6/22 | 38,374,000 | 38,589,522 | |
Huntington National Bank 2.5% 8/7/22 | 22,725,000 | 22,846,079 | |
MUFG Union Bank NA 3.15% 4/1/22 | 19,025,000 | 19,025,000 | |
PNC Bank NA 2.875% 6/29/22 | 46,322,000 | 46,532,061 | |
Truist Bank 2.8% 5/17/22 | 52,565,000 | 52,699,920 | |
TOTAL BANK NOTES | |||
(Cost $179,953,299) | 179,692,582 | ||
Certificates of Deposit - 6.1% | |||
Barclays Bank PLC yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 2/2/23 (b)(c) | 34,000,000 | 33,989,453 | |
0.28% 5/17/22 | 34,200,000 | 34,183,338 | |
Canadian Imperial Bank of Commerce yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.170% 0.22% 8/19/22 (b)(c) | 35,000,000 | 34,998,828 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 3/3/23 (b)(c) | 33,800,000 | 33,792,412 | |
Credit Suisse AG yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 3/20/23 (b)(c) | 35,000,000 | 34,974,989 | |
Lloyds Bank Corporate Markets PLC yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/13/23 (b)(c) | 35,000,000 | 34,987,435 | |
Mizuho Corporate Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 7/25/22 (b)(c) | 35,000,000 | 34,999,713 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 35,000,000 | 34,994,950 | |
Sumitomo Mitsui Banking Corp. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 8/4/22 (b)(c) | 33,800,000 | 33,798,675 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 35,000,000 | 34,989,899 | |
Sumitomo Mitsui Trust Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 8/1/22 (b)(c) | 33,800,000 | 33,798,844 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.190% 0.24% 8/19/22 (b)(c) | 35,000,000 | 34,997,659 | |
TOTAL CERTIFICATES OF DEPOSIT | |||
(Cost $414,600,000) | 414,506,195 | ||
Commercial Paper - 12.6% | |||
American Electric Power Co., Inc. 0.8% 4/27/22 | 35,000,000 | 34,964,080 | |
AT&T, Inc. 0.53% 6/14/22 | 28,800,000 | 28,727,919 | |
Bank of Montreal yankee 0.22% 8/9/22 (b)(c) | 35,000,000 | 35,000,000 | |
Bank of Nova Scotia yankee 0.34% 6/15/22 | 28,800,000 | 28,754,205 | |
Cigna Corp. 0.8% 4/25/22 | 34,000,000 | 33,967,051 | |
Enel Finance America LLC: | |||
yankee: | |||
0.37% 7/11/22 | 34,200,000 | 34,084,643 | |
0.4% 9/22/22 | 31,000,000 | 30,795,115 | |
0.63% 7/14/22 | 27,000,000 | 26,905,854 | |
0.4% 8/11/22 | 29,300,000 | 29,165,188 | |
General Motors Financial Co., Inc. 0.45% 3/22/22 | 9,700,000 | 9,697,054 | |
HSBC U.S.A., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 2/1/23 (b)(c) | 34,000,000 | 33,974,208 | |
yankee 0.35% 5/13/22 | 34,250,000 | 34,213,178 | |
0.33% 9/13/22 | 34,200,000 | 34,005,737 | |
0.33% 10/4/22 | 30,200,000 | 30,001,577 | |
National Bank of Canada yankee 0.22% 8/30/22 (b)(c) | 33,000,000 | 32,996,479 | |
NatWest Markets PLC yankee: | |||
0.3% 6/21/22 | 33,200,000 | 33,117,883 | |
0.35% 4/19/22 | 34,300,000 | 34,274,608 | |
0.6% 7/27/22 | 24,000,000 | 23,913,182 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 8/22/22 (b)(c) | 35,000,000 | 35,000,000 | |
Sempra Energy 1% 5/23/22 | 35,000,000 | 34,935,320 | |
Societe Generale yankee: | |||
0.25% 8/31/22 (b)(c) | 35,000,000 | 34,998,033 | |
0.295% 4/28/22 | 35,000,000 | 34,980,841 | |
Thermo Fisher Scientific, Inc. 0.51% 6/1/22 | 28,500,000 | 28,441,395 | |
Toyota Motor Credit Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.170% 0.22% 8/9/22 (b)(c) | 20,000,000 | 19,999,640 | |
UBS AG London Branch yankee: | |||
0.35% 6/15/22 | 30,000,000 | 29,946,768 | |
0.45% 9/7/22 | 33,500,000 | 33,357,990 | |
Viatris, Inc.: | |||
0.68% 4/26/22 | 25,400,000 | 25,366,459 | |
0.71% 3/22/22 | 19,000,000 | 18,993,648 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $845,420,536) | 844,578,055 | ||
Shares | Value | ||
Money Market Funds - 9.1% | |||
Fidelity Cash Central Fund 0.07% (d) | |||
(Cost $610,275,034) | 610,205,867 | 610,327,909 | |
TOTAL INVESTMENT IN SECURITIES - 99.7% | |||
(Cost $6,705,404,768) | 6,693,508,418 | ||
NET OTHER ASSETS (LIABILITIES) - 0.3% | 19,346,597 | ||
NET ASSETS - 100% | $6,712,855,015 |
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 $884,348,505 or 13.2% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 0.07% | $804,107,746 | $1,709,450,517 | $1,903,230,354 | $239,746 | $-- | $-- | $610,327,909 | 1.1% |
Total | $804,107,746 | $1,709,450,517 | $1,903,230,354 | $239,746 | $-- | $-- | $610,327,909 |
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 February 28, 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 | $4,242,826,096 | $-- | $4,242,826,096 | $-- |
U.S. Government and Government Agency Obligations | 401,577,581 | -- | 401,577,581 | -- |
Bank Notes | 179,692,582 | -- | 179,692,582 | -- |
Certificates of Deposit | 414,506,195 | -- | 414,506,195 | -- |
Commercial Paper | 844,578,055 | -- | 844,578,055 | -- |
Money Market Funds | 610,327,909 | 610,327,909 | -- | -- |
Total Investments in Securities: | $6,693,508,418 | $610,327,909 | $6,083,180,509 | $-- |
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 | 73.3% |
Canada | 9.7% |
United Kingdom | 7.3% |
Japan | 4.9% |
France | 2.1% |
Netherlands | 1.4% |
Others (Individually Less Than 1%) | 1.3% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $6,095,129,734) | $6,083,180,509 | |
Fidelity Central Funds (cost $610,275,034) | 610,327,909 | |
Total Investment in Securities (cost $6,705,404,768) | $6,693,508,418 | |
Cash | 19,715 | |
Receivable for fund shares sold | 15,805,341 | |
Interest receivable | 16,365,160 | |
Distributions receivable from Fidelity Central Funds | 40,091 | |
Receivable from investment adviser for expense reductions | 609,546 | |
Other receivables | 7,664 | |
Total assets | 6,726,355,935 | |
Liabilities | ||
Payable for fund shares redeemed | $11,218,805 | |
Distributions payable | 249,096 | |
Accrued management fee | 1,674,181 | |
Other affiliated payables | 351,172 | |
Other payables and accrued expenses | 7,666 | |
Total liabilities | 13,500,920 | |
Net Assets | $6,712,855,015 | |
Net Assets consist of: | ||
Paid in capital | $6,725,282,048 | |
Total accumulated earnings (loss) | (12,427,033) | |
Net Assets | $6,712,855,015 | |
Net Asset Value and Maximum Offering Price | ||
Conservative Income Bond: | ||
Net Asset Value, offering price and redemption price per share ($1,705,347,391 ÷ 170,213,229 shares) | $10.02 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($5,007,507,624 ÷ 499,796,869 shares) | $10.02 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $15,685,491 | |
Income from Fidelity Central Funds | 239,746 | |
Total income | 15,925,237 | |
Expenses | ||
Management fee | $10,404,684 | |
Transfer agent fees | 2,199,903 | |
Independent trustees' fees and expenses | 12,326 | |
Total expenses before reductions | 12,616,913 | |
Expense reductions | (3,079,062) | |
Total expenses after reductions | 9,537,851 | |
Net investment income (loss) | 6,387,386 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 172,506 | |
Total net realized gain (loss) | 172,506 | |
Change in net unrealized appreciation (depreciation) on investment securities | (22,359,470) | |
Net gain (loss) | (22,186,964) | |
Net increase (decrease) in net assets resulting from operations | $(15,799,578) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $6,387,386 | $28,594,733 |
Net realized gain (loss) | 172,506 | 15,200,196 |
Change in net unrealized appreciation (depreciation) | (22,359,470) | (29,922,128) |
Net increase (decrease) in net assets resulting from operations | (15,799,578) | 13,872,801 |
Distributions to shareholders | (7,807,646) | (30,846,321) |
Share transactions - net increase (decrease) | (638,386,018) | (4,816,373,672) |
Total increase (decrease) in net assets | (661,993,242) | (4,833,347,192) |
Net Assets | ||
Beginning of period | 7,374,848,257 | 12,208,195,449 |
End of period | $6,712,855,015 | $7,374,848,257 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Conservative Income Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.05 | $10.07 | $10.04 | $10.04 | $10.04 | $10.03 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .006 | .029 | .146 | .247 | .180 | .106 |
Net realized and unrealized gain (loss) | (.028) | (.019) | .031 | –C | (.004) | .011 |
Total from investment operations | (.022) | .010 | .177 | .247 | .176 | .117 |
Distributions from net investment income | (.006) | (.028) | (.147) | (.247) | (.176) | (.105) |
Distributions from net realized gain | (.002) | (.002) | – | – | – | (.002)�� |
Total distributions | (.008) | (.030) | (.147) | (.247) | (.176) | (.107) |
Net asset value, end of period | $10.02 | $10.05 | $10.07 | $10.04 | $10.04 | $10.04 |
Total ReturnD,E | (.22)% | .10% | 1.77% | 2.49% | 1.77% | 1.17% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .40%H | .40% | .40% | .40% | .40% | .40% |
Expenses net of fee waivers, if any | .35%H | .35% | .35% | .35% | .35% | .35% |
Expenses net of all reductions | .35%H | .35% | .35% | .35% | .35% | .35% |
Net investment income (loss) | .11%H | .29% | 1.45% | 2.46% | 1.80% | 1.06% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $1,705,347 | $2,010,520 | $2,845,333 | $2,757,403 | $2,432,108 | $1,818,466 |
Portfolio turnover rateI | 34%H | 62%J | 56% | 36% | 40% | 45% |
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 Amount represents less than $.0005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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.
Fidelity Conservative Income Bond Fund Institutional Class
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.05 | $10.07 | $10.04 | $10.04 | $10.04 | $10.03 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .011 | .039 | .156 | .257 | .190 | .116 |
Net realized and unrealized gain (loss) | (.028) | (.019) | .031 | –C | (.004) | .011 |
Total from investment operations | (.017) | .020 | .187 | .257 | .186 | .127 |
Distributions from net investment income | (.011) | (.038) | (.157) | (.257) | (.186) | (.115) |
Distributions from net realized gain | (.002) | (.002) | – | – | – | (.002) |
Total distributions | (.013) | (.040) | (.157) | (.257) | (.186) | (.117) |
Net asset value, end of period | $10.02 | $10.05 | $10.07 | $10.04 | $10.04 | $10.04 |
Total ReturnD,E | (.17)% | .20% | 1.88% | 2.59% | 1.87% | 1.27% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .35%H | .35% | .35% | .35% | .35% | .35% |
Expenses net of fee waivers, if any | .25%H | .25% | .25% | .25% | .25% | .25% |
Expenses net of all reductions | .25%H | .25% | .25% | .25% | .25% | .25% |
Net investment income (loss) | .21%H | .39% | 1.55% | 2.56% | 1.90% | 1.16% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $5,007,508 | $5,364,328 | $9,362,863 | $9,371,991 | $7,921,474 | $5,627,727 |
Portfolio turnover rateI | 34%H | 62%J | 56% | 36% | 40% | 45% |
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 Amount represents less than $.0005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
1. Organization.
Fidelity Conservative Income Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Conservative Income Bond and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, U.S. government and government agency obligations, commercial paper and certificates of deposit 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 February 28, 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Fidelity Conservative Income Bond Fund | $7,664 |
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 declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to redemptions in kind and deferred Trustee compensation.
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 | $1,841,199 |
Gross unrealized depreciation | (13,737,550) |
Net unrealized appreciation (depreciation) | $(11,896,351) |
Tax cost | $6,705,404,769 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other IBOR-based reference rates. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not expect the adoption of ASU 2020-04 to have a material impact on the Fund's financial statements.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Conservative Income Bond Fund | 741,999,369 | 1,432,643,394 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .30% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives asset-based fees of .10% and .05% of average net assets for Conservative Income Bond Class and Institutional Class, respectively. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Conservative Income Bond | $931,579 | .10 |
Institutional Class | 1,268,324 | .05 |
$2,199,903 |
(a) Annualized
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Prior Fiscal Year Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below; along with realized gain or loss on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | Participating classes | |
Fidelity Conservative Income Bond Fund | 354,860,413 | 13,415,706 | 3,573,444,362 | Institutional Class |
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
The investment adviser contractually agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2022. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Conservative Income Bond | .35% | $490,544 |
Institutional Class | .25% | 2,588,500 |
$3,079,044 |
In addition, 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. During the period, these credits reduced the Fund's expenses by $18.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Conservative Income Bond Fund | ||
Distributions to shareholders | ||
Conservative Income Bond | $1,431,713 | $7,481,848 |
Institutional Class | 6,375,933 | 23,364,473 |
Total | $7,807,646 | $30,846,321 |
9. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2022 | Year ended August 31, 2021 | Six months ended February 28, 2022 | Year ended August 31, 2021 | |
Fidelity Conservative Income Bond Fund | ||||
Conservative Income Bond | ||||
Shares sold | 23,931,517 | 84,524,483 | $239,789,902 | $850,311,821 |
Reinvestment of distributions | 127,545 | 663,621 | 1,280,430 | 6,676,051 |
Shares redeemed | (53,835,419) | (167,665,537) | (539,912,557) | (1,686,527,567) |
Net increase (decrease) | (29,776,357) | (82,477,433) | $(298,842,225) | $(829,539,695) |
Institutional Class | ||||
Shares sold | 130,470,777 | 450,919,587 | $1,309,280,147 | $4,535,537,168 |
Reinvestment of distributions | 452,940 | 1,695,986 | 4,546,416 | 17,061,195 |
Shares redeemed | (164,713,201) | (848,523,275) | (1,653,370,356) | (8,539,432,340) |
Net increase (decrease) | (33,789,484) | (395,907,702) | $(339,543,793) | $(3,986,833,977) |
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Conservative Income Bond Fund | ||||
Conservative Income Bond | .35% | |||
Actual | $1,000.00 | $997.80 | $1.73 | |
Hypothetical-C | $1,000.00 | $1,023.06 | $1.76 | |
Institutional Class | .25% | |||
Actual | $1,000.00 | $998.30 | $1.24 | |
Hypothetical-C | $1,000.00 | $1,023.55 | $1.25 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Conservative Income Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio of a representative class (the retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board. Because the vast majority of competitor funds' management fees do not cover expenses beyond portfolio management, in prior years, the fund was compared on the basis of a hypothetical "net management fee," which was derived by subtracting payments made by Fidelity for "fund-level" expenses beyond portfolio management (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. Given the fund's competitive management fee rate, Fidelity no longer calculates a hypothetical net management fee for the fund and, as a result, the chart does not include a hypothetical net management fee for periods after 2016.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.
FCV-SANN-0422
1.924092.110
Fidelity® Series Short-Term Credit Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 25.5% | |
AAA | 21.4% | |
AA | 1.4% | |
A | 19.5% | |
BBB | 26.8% | |
BB and Below | 2.0% | |
Not Rated | 3.8% | |
Short-Term Investments and Net Other Assets | (0.4)% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 47.9% | |
U.S. Government and U.S. Government Agency Obligations | 25.5% | |
Asset-Backed Securities | 16.9% | |
CMOs and Other Mortgage Related Securities | 9.9% | |
Other Investments | 0.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | (0.4)% |
* Foreign investments - 18.7%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 47.9% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 0.9% | |||
NTT Finance Corp.: | |||
0.583% 3/1/24 (a) | $2,527,000 | $2,454,429 | |
1.162% 4/3/26 (a) | 5,299,000 | 5,037,599 | |
Verizon Communications, Inc. 0.75% 3/22/24 | 2,835,000 | 2,774,729 | |
10,266,757 | |||
Media - 0.7% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 8,870,000 | 8,934,900 | |
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 4,500,000 | 4,626,090 | |
TOTAL COMMUNICATION SERVICES | 23,827,747 | ||
CONSUMER DISCRETIONARY - 2.4% | |||
Automobiles - 2.1% | |||
Daimler Finance North America LLC 0.75% 3/1/24 (a) | 6,205,000 | 6,045,033 | |
General Motors Financial Co., Inc.: | |||
1.05% 3/8/24 | 1,414,000 | 1,377,754 | |
1.25% 1/8/26 | 4,954,000 | 4,674,484 | |
4.15% 6/19/23 | 5,000,000 | 5,126,604 | |
Volkswagen Group of America Finance LLC: | |||
0.875% 11/22/23 (a) | 6,000,000 | 5,875,711 | |
2.9% 5/13/22 (a) | 2,242,000 | 2,250,154 | |
25,349,740 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
VF Corp. 2.05% 4/23/22 | 3,369,000 | 3,374,896 | |
TOTAL CONSUMER DISCRETIONARY | 28,724,636 | ||
CONSUMER STAPLES - 3.0% | |||
Food & Staples Retailing - 0.2% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (a) | 1,124,000 | 1,115,003 | |
0.8% 2/10/24 (a) | 1,376,000 | 1,343,000 | |
2,458,003 | |||
Food Products - 0.7% | |||
Conagra Brands, Inc. 0.5% 8/11/23 | 4,070,000 | 3,989,577 | |
McCormick & Co., Inc. 0.9% 2/15/26 | 5,000,000 | 4,717,224 | |
8,706,801 | |||
Tobacco - 2.1% | |||
BAT Capital Corp. 3.222% 8/15/24 | 350,000 | 354,191 | |
BAT International Finance PLC 1.668% 3/25/26 | 5,000,000 | 4,748,371 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 5,257,000 | 5,315,316 | |
3.75% 7/21/22 (a) | 10,036,000 | 10,077,458 | |
Philip Morris International, Inc. 2.875% 5/1/24 | 4,664,000 | 4,754,897 | |
25,250,233 | |||
TOTAL CONSUMER STAPLES | 36,415,037 | ||
ENERGY - 4.9% | |||
Oil, Gas & Consumable Fuels - 4.9% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 2,781,000 | 2,731,191 | |
Enbridge, Inc.: | |||
2.15% 2/16/24 | 559,000 | 559,831 | |
2.5% 2/14/25 | 584,000 | 585,925 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 8,291,000 | 8,378,839 | |
4.2% 9/15/23 | 1,668,000 | 1,715,239 | |
Equinor ASA 1.75% 1/22/26 | 909,000 | 891,401 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 2,729,000 | 2,779,014 | |
Kinder Morgan, Inc. 3.15% 1/15/23 | 4,100,000 | 4,147,383 | |
MPLX LP: | |||
1.75% 3/1/26 | 5,000,000 | 4,791,963 | |
3.375% 3/15/23 | 3,922,000 | 3,983,584 | |
4.5% 7/15/23 | 990,000 | 1,016,373 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 2,098,000 | 2,100,623 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 3,533,000 | 3,609,275 | |
3.85% 4/9/25 | 5,000,000 | 5,196,182 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 4,724,000 | 4,663,044 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 9,958,000 | 9,958,000 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 1,756,000 | 1,749,317 | |
58,857,184 | |||
FINANCIALS - 25.0% | |||
Banks - 14.6% | |||
Bank of America Corp.: | |||
0.976% 4/22/25 (b) | 10,000,000 | 9,691,117 | |
1.843% 2/4/25 (b) | 5,500,000 | 5,446,410 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 3,245,000 | 3,162,643 | |
3.932% 5/7/25 (b) | 10,000,000 | 10,283,926 | |
4.338% 5/16/24 (b) | 10,000,000 | 10,276,155 | |
Canadian Imperial Bank of Commerce: | |||
0.45% 6/22/23 | 2,500,000 | 2,457,550 | |
0.95% 6/23/23 | 7,000,000 | 6,927,098 | |
Citigroup, Inc. 4.4% 6/10/25 | 326,000 | 342,027 | |
Danske Bank A/S 3.875% 9/12/23 (a) | 3,793,000 | 3,883,415 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (b) | 6,000,000 | 5,799,469 | |
1.645% 4/18/26 (b) | 4,469,000 | 4,308,131 | |
Intesa Sanpaolo SpA 3.375% 1/12/23 (a) | 5,000,000 | 5,051,002 | |
JPMorgan Chase & Co.: | |||
0.824% 6/1/25 (b) | 9,763,000 | 9,445,772 | |
1.514% 6/1/24 (b) | 4,680,000 | 4,661,809 | |
2.083% 4/22/26 (b) | 5,000,000 | 4,925,198 | |
3.22% 3/1/25 (b) | 5,000,000 | 5,084,572 | |
Lloyds Banking Group PLC 0.695% 5/11/24 (b) | 4,010,000 | 3,946,737 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
0.848% 9/15/24 (b) | 6,000,000 | 5,888,972 | |
0.953% 7/19/25 (b) | 5,000,000 | 4,828,478 | |
2.193% 2/25/25 | 11,000,000 | 10,910,850 | |
Mizuho Financial Group, Inc. 0.849% 9/8/24 (b) | 2,945,000 | 2,885,172 | |
National Bank of Canada 0.55% 11/15/24 (b) | 2,428,000 | 2,368,573 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (b) | 3,422,000 | 3,430,043 | |
3.875% 9/12/23 | 5,847,000 | 5,988,369 | |
NatWest Markets PLC 0.8% 8/12/24 (a) | 3,125,000 | 2,995,956 | |
Santander Holdings U.S.A., Inc.: | |||
3.4% 1/18/23 | 5,000,000 | 5,073,972 | |
3.5% 6/7/24 | 4,731,000 | 4,822,544 | |
Societe Generale: | |||
2.625% 10/16/24 (a) | 908,000 | 904,119 | |
3.875% 3/28/24 (a) | 3,557,000 | 3,647,201 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
0.508% 1/12/24 | 586,000 | 571,298 | |
1.474% 7/8/25 | 5,000,000 | 4,825,617 | |
Synovus Financial Corp. 3.125% 11/1/22 | 5,000,000 | 5,030,476 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (b) | 5,000,000 | 4,982,648 | |
2.164% 2/11/26 (b) | 5,000,000 | 4,939,132 | |
3.75% 1/24/24 | 5,000,000 | 5,154,679 | |
174,941,130 | |||
Capital Markets - 3.9% | |||
Credit Suisse AG: | |||
0.495% 2/2/24 | 5,000,000 | 4,841,051 | |
0.52% 8/9/23 | 5,000,000 | 4,907,095 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 1,760,000 | 1,706,146 | |
1.447% 4/1/25 (b) | 4,153,000 | 4,054,498 | |
2.222% 9/18/24 (b) | 9,466,000 | 9,443,549 | |
Morgan Stanley: | |||
0.79% 5/30/25 (b) | 11,000,000 | 10,606,347 | |
3.737% 4/24/24 (b) | 6,026,000 | 6,138,388 | |
UBS Group AG 1.008% 7/30/24 (a)(b) | 5,345,000 | 5,268,765 | |
46,965,839 | |||
Consumer Finance - 3.9% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 3,012,000 | 2,923,142 | |
1.75% 1/30/26 | 4,184,000 | 3,964,224 | |
4.125% 7/3/23 | 2,112,000 | 2,159,162 | |
4.875% 1/16/24 | 1,464,000 | 1,519,456 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 789,000 | 779,060 | |
3.05% 6/5/23 | 3,662,000 | 3,705,470 | |
5.125% 9/30/24 | 4,280,000 | 4,535,318 | |
Capital One Financial Corp. 1.343% 12/6/24 (b) | 2,500,000 | 2,462,366 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 5,000,000 | 5,031,500 | |
4.14% 2/15/23 | 3,116,000 | 3,151,055 | |
Hyundai Capital America 1% 9/17/24 (a) | 5,519,000 | 5,307,295 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 5,352,000 | 5,546,702 | |
4.375% 3/19/24 | 5,198,000 | 5,374,924 | |
46,459,674 | |||
Diversified Financial Services - 0.9% | |||
Athene Global Funding: | |||
0.95% 1/8/24 (a) | 5,259,000 | 5,139,750 | |
1% 4/16/24 (a) | 5,000,000 | 4,868,223 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 340,000 | 347,903 | |
10,355,876 | |||
Insurance - 1.7% | |||
American International Group, Inc. 2.5% 6/30/25 | 5,000,000 | 5,022,071 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (a) | 2,318,000 | 2,202,263 | |
Guardian Life Global Funding 1.1% 6/23/25 (a) | 4,747,000 | 4,585,836 | |
Pacific Life Global Funding II 1.2% 6/24/25 (a) | 3,430,000 | 3,312,073 | |
Protective Life Global Funding 0.502% 4/12/23 (a) | 6,000,000 | 5,924,291 | |
21,046,534 | |||
TOTAL FINANCIALS | 299,769,053 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc. 2.3% 11/21/22 | 5,500,000 | 5,533,911 | |
Health Care Providers & Services - 0.6% | |||
Cigna Corp. 0.613% 3/15/24 | 1,433,000 | 1,396,482 | |
Humana, Inc. 0.65% 8/3/23 | 6,000,000 | 5,906,266 | |
7,302,748 | |||
Pharmaceuticals - 0.7% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 4,500,000 | 4,725,859 | |
Mylan NV 3.125% 1/15/23 (a) | 4,160,000 | 4,201,418 | |
8,927,277 | |||
TOTAL HEALTH CARE | 21,763,936 | ||
INDUSTRIALS - 3.3% | |||
Aerospace & Defense - 1.0% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 4,219,000 | 4,201,893 | |
1.95% 2/1/24 | 5,000,000 | 4,979,995 | |
4.875% 5/1/25 | 3,000,000 | 3,189,249 | |
12,371,137 | |||
Airlines - 0.4% | |||
Delta Air Lines, Inc. 2.9% 10/28/24 | 4,794,000 | 4,733,332 | |
Commercial Services & Supplies - 0.5% | |||
Republic Services, Inc. 0.875% 11/15/25 | 6,080,000 | 5,734,295 | |
Industrial Conglomerates - 0.3% | |||
Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (a) | 3,769,000 | 3,684,542 | |
Machinery - 0.1% | |||
Daimler Trucks Finance North America LLC 1.625% 12/13/24 (a) | 1,475,000 | 1,446,648 | |
Trading Companies & Distributors - 0.9% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 2,107,000 | 2,041,577 | |
0.8% 8/18/24 | 2,623,000 | 2,521,330 | |
International Lease Finance Corp. 5.875% 8/15/22 | 5,731,000 | 5,841,949 | |
10,404,856 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd. 3.625% 5/1/22 (a) | 685,000 | 686,221 | |
TOTAL INDUSTRIALS | 39,061,031 | ||
INFORMATION TECHNOLOGY - 1.9% | |||
Electronic Equipment & Components - 0.3% | |||
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 3,149,000 | 3,277,822 | |
IT Services - 0.6% | |||
The Western Union Co.: | |||
2.85% 1/10/25 | 1,063,000 | 1,076,226 | |
4.25% 6/9/23 | 6,026,000 | 6,183,503 | |
7,259,729 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Microchip Technology, Inc. 0.983% 9/1/24 (a) | 3,079,000 | 2,962,716 | |
Software - 0.8% | |||
VMware, Inc.: | |||
0.6% 8/15/23 | 5,987,000 | 5,878,245 | |
1% 8/15/24 | 3,937,000 | 3,823,109 | |
9,701,354 | |||
TOTAL INFORMATION TECHNOLOGY | 23,201,621 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.5% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (a) | 3,323,000 | 3,382,525 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 881,000 | 878,142 | |
Westlake Corp. 0.875% 8/15/24 | 1,808,000 | 1,752,604 | |
6,013,271 | |||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
American Tower Corp. 1.3% 9/15/25 | 1,905,000 | 1,823,286 | |
Crown Castle International Corp. 1.35% 7/15/25 | 444,000 | 425,929 | |
2,249,215 | |||
UTILITIES - 2.9% | |||
Electric Utilities - 1.0% | |||
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 476,000 | 447,440 | |
2.05% 3/1/25 | 2,724,000 | 2,649,253 | |
ITC Holdings Corp. 2.7% 11/15/22 | 3,596,000 | 3,626,129 | |
PPL Electric Utilities Corp. 3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 2,688,000 | 2,680,815 | |
Southern Co. 0.6% 2/26/24 | 2,247,000 | 2,179,267 | |
11,582,904 | |||
Gas Utilities - 1.2% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (b)(c) | 3,890,000 | 3,886,468 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (b)(c) | 2,974,000 | 2,974,036 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 989,000 | 989,770 | |
ONE Gas, Inc. 0.85% 3/11/23 | 6,230,000 | 6,177,823 | |
14,028,097 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Emera U.S. Finance LP 0.833% 6/15/24 | 2,827,000 | 2,726,131 | |
Multi-Utilities - 0.5% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 4,294,000 | 4,294,794 | |
NiSource, Inc. 0.95% 8/15/25 | 1,953,000 | 1,845,100 | |
6,139,894 | |||
TOTAL UTILITIES | 34,477,026 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $581,836,588) | 574,359,757 | ||
U.S. Treasury Obligations - 23.8% | |||
U.S. Treasury Notes: | |||
0.25% 6/15/24 | $25,000,000 | $24,269,531 | |
0.25% 7/31/25 | 75,000,000 | 71,419,922 | |
0.375% 8/15/24 (d) | 25,000,000 | 24,281,250 | |
0.375% 4/30/25 | 122,204,100 | 117,339,795 | |
2.375% 8/15/24 | 46,892,000 | 47,789,542 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $295,021,180) | 285,100,040 | ||
U.S. Government Agency - Mortgage Securities - 1.4% | |||
Fannie Mae - 1.1% | |||
3% 7/1/36 | 6,672,573 | 6,840,974 | |
4.5% 3/1/39 to 9/1/49 | 4,947,985 | 5,306,022 | |
5.5% 11/1/34 | 1,216,188 | 1,340,581 | |
7.5% 11/1/31 | 268 | 305 | |
TOTAL FANNIE MAE | 13,487,882 | ||
Freddie Mac - 0.3% | |||
3% 2/1/34 | 3,466,010 | 3,563,639 | |
8.5% 5/1/26 to 7/1/28 | 20,796 | 23,010 | |
TOTAL FREDDIE MAC | 3,586,649 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 1/15/25 to 8/15/32 | 142,865 | 158,304 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $17,449,366) | 17,232,835 | ||
Asset-Backed Securities - 16.9% | |||
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | $766,000 | $763,997 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (a)(b)(c) | 6,143,000 | 6,106,216 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 6,469,000 | 6,436,170 | |
Ajax Mortgage Loan Trust Series 2021-B Class A, 2.239% 6/25/66 (a)(b) | 2,254,481 | 2,200,817 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (a)(b)(c) | 5,370,000 | 5,366,300 | |
CarMax Auto Owner Trust: | |||
Series 2018-4 Class A3, 3.36% 9/15/23 | 515,301 | 517,893 | |
Series 2020-4 Class A3, 0.5% 8/15/25 | 3,750,000 | 3,705,095 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 3,598,000 | 3,525,097 | |
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26 | 5,196,000 | 5,127,127 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (a)(b)(c) | 6,060,000 | 6,000,897 | |
Chesapeake Funding II LLC Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 961,634 | 964,253 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 416,645 | 417,296 | |
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/34 (b)(c) | 118,274 | 116,053 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 692,192 | 690,469 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (a) | 685,757 | 685,465 | |
Class A3, 0.57% 10/23/23 (a) | 2,896,000 | 2,882,673 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 2,373,000 | 2,341,807 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 303,489 | 303,909 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) | 4,257,204 | 4,213,177 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (a) | 3,397,414 | 3,344,147 | |
Drive Auto Receivables Trust Series 2021-2 Class A2, 0.36% 5/15/24 | 3,377,929 | 3,371,894 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 5,850,000 | 5,847,982 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 2,789,893 | 2,798,178 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 4,280,988 | 4,238,799 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 1,870,375 | 1,844,551 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (a) | 5,223,000 | 5,111,327 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A Class A3, 0.3% 10/15/24 | 2,146,000 | 2,142,039 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 1,552,051 | 1,551,034 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 4,952,000 | 4,870,339 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 4,404,000 | 4,346,094 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 2,239,000 | 2,203,174 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 4,896,000 | 4,820,709 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 1,975,000 | 1,985,473 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (a)(b)(c) | 4,781,000 | 4,759,925 | |
Marlette Funding Trust Series 2021-2A Class A, 0.51% 9/15/31 (a) | 2,259,603 | 2,249,725 | |
Mercedes-Benz Auto Lease Trust Series 2019-B Class A3, 2% 10/17/22 | 138,024 | 138,116 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (a) | 3,444,504 | 3,456,685 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 3/10/22 (a)(b)(c) | 5,188,000 | 5,169,998 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (a)(b)(c) | 6,160,000 | 6,108,274 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (a)(b)(c) | 4,949,233 | 4,940,097 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (b)(c) | 200,638 | 200,401 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (a)(b) | 3,773,733 | 3,592,986 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (a) | 4,043,000 | 4,004,446 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (a) | 5,414,000 | 5,339,389 | |
Series 2021-A Class A3, 0.51% 7/22/24 (a) | 3,228,000 | 3,181,724 | |
Securitized Term Auto Receivables Trust Series 2019-1A Class A3, 2.986% 2/27/23 (a) | 78,605 | 78,738 | |
SLM Student Loan Trust Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7528% 12/15/25 (a)(b)(c) | 1,928,729 | 1,926,700 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 4,659,000 | 4,642,167 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (a)(b)(c) | 6,386,000 | 6,349,549 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 144,982 | 143,585 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (a) | 2,506,000 | 2,495,425 | |
Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (a) | 4,639,000 | 4,542,299 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (a) | 3,136,000 | 3,065,291 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 129,987 | 129,228 | |
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 2,089,770 | 2,075,285 | |
Series 2021-3 Class A, 0.83% 7/20/31 (a) | 3,373,925 | 3,342,114 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (a) | 1,329,308 | 1,311,419 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (a) | 4,416,852 | 4,333,245 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (a)(b) | 5,456,404 | 5,455,615 | |
Verizon Master Trust Series 2021-1 Class A, 0.5% 5/20/27 | 4,543,000 | 4,414,751 | |
Volkswagen Auto Lease Trust Series 2019-A Class A3, 1.99% 11/21/22 | 338,696 | 338,958 | |
Volvo Financial Equipment LLC Series 2019-1A Class A3, 3% 3/15/23 (a) | 8,388 | 8,398 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (a)(b)(c) | 6,000,000 | 5,978,838 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (a)(b)(c) | 4,299,380 | 4,292,440 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24 | 3,134,000 | 3,107,178 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $203,921,619) | 202,013,440 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Private Sponsor - 1.0% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 1,222,123 | 1,204,612 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 1,356,391 | 1,348,111 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 1,522,687 | 1,515,045 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.9476% 8/25/60 (a)(b)(c) | 330,761 | 330,925 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 5,157,000 | 5,176,720 | |
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (a) | 2,248,024 | 2,209,199 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 1,361 | 1,327 | |
TOTAL PRIVATE SPONSOR | 11,785,939 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
floater Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 0.4869% 5/25/45 (b)(c) | 607,793 | 609,673 | |
sequential payer Series 2001-40 Class Z, 6% 8/25/31 | 54,007 | 57,274 | |
Series 2016-27: | |||
Class HK, 3% 1/25/41 | 608,587 | 622,752 | |
Class KG, 3% 1/25/40 | 278,731 | 285,233 | |
Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 0.5369% 7/25/46 (b)(c) | 719,047 | 723,263 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-4433 Class DE, 2% 8/15/32 | 24,089 | 24,138 | |
Series 2015-4437 Class DE, 2% 10/15/32 | 31,768 | 31,855 | |
Series 3949 Class MK, 4.5% 10/15/34 | 340,004 | 361,183 | |
TOTAL U.S. GOVERNMENT AGENCY | 2,715,371 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $14,551,219) | 14,501,310 | ||
Commercial Mortgage Securities - 9.0% | |||
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 1,502,000 | 1,494,309 | |
Benchmark Mortgage Trust Series 2018-B7 Class A1, 3.436% 5/15/53 | 1,115,221 | 1,126,166 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (a)(b)(c) | 3,055,000 | 2,995,779 | |
BX Commercial Mortgage Trust floater Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (a)(b)(c) | 2,400,000 | 2,349,041 | |
BX Trust: | |||
floater sequential payer Series 2021-SOAR Class A, 0.861% 6/15/38 (a)(b) | 2,668,000 | 2,607,878 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (a)(b)(c) | 2,450,000 | 2,422,461 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (a)(b)(c) | 4,962,879 | 4,941,110 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (a) | 4,906,284 | 4,746,560 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 3,269,673 | 3,111,486 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (a)(b)(c) | 1,128,000 | 1,113,862 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 4,287,704 | 4,239,526 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 5,188,000 | 5,211,651 | |
Series 2013-GC17 Class A4, 4.131% 11/10/46 | 2,062,000 | 2,120,984 | |
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 730,278 | 742,438 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 2,033,436 | 2,068,631 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR11 Class ASB, 3.66% 8/10/50 | 852,764 | 865,274 | |
Series 2014-CR18 Class ASB, 3.452% 7/15/47 | 911,830 | 923,726 | |
Series 2012-CR4 Class ASB, 2.436% 10/15/45 | 244,669 | 245,196 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 453,481 | 454,373 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (a)(b)(c) | 5,242,000 | 5,199,906 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 700,501 | 683,715 | |
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52 | 2,348,969 | 2,371,050 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (a)(b)(c) | 1,279,000 | 1,247,025 | |
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 1,283,103 | 1,270,763 | |
Freddie Mac Series K720 Class A2, 2.716% 6/25/22 | 1,023,744 | 1,025,784 | |
GS Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2012-GCJ7 Class A/S, 4.085% 5/10/45 | 701,261 | 701,047 | |
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 20,601 | 20,928 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (a)(b) | 5,045,915 | 5,058,894 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 4,408,000 | 4,433,442 | |
Series 2017-GS8 Class A1, 2.222% 11/10/50 | 260,542 | 261,148 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 7,318,295 | 7,329,949 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (a) | 5,346,000 | 5,371,894 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (a)(b)(c) | 1,930,387 | 1,910,977 | |
sequential payer Series 2012-C8 Class A3, 2.8291% 10/15/45 | 1,963,780 | 1,970,270 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) | 1,245,000 | 1,250,009 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 2,416,141 | 2,367,733 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (a)(b)(c) | 1,360,000 | 1,331,124 | |
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,099,911 | 1,113,092 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 3,286,000 | 3,294,125 | |
Series 2019-H7 Class A1, 2.327% 7/15/52 | 1,705,786 | 1,707,055 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (a)(b)(c) | 3,807,000 | 3,792,434 | |
sequential payer Series 2013-C6 Class ASB, 2.7877% 4/10/46 | 758,470 | 761,503 | |
Series 2012-C2 Class ASEC, 4.179% 5/10/63 (a) | 2,654,000 | 2,669,604 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 2,676,135 | 2,733,299 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 2,744,981 | 2,806,046 | |
WF-RBS Commercial Mortgage Trust sequential payer: | |||
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 113,184 | 113,846 | |
Series 2013-C14 Class ASB, 2.977% 6/15/46 | 205,744 | 207,276 | |
Series 2013-C16 Class ASB, 3.963% 9/15/46 | 347,283 | 352,524 | |
Series 2014-C20 Class ASB, 3.638% 5/15/47 | 691,602 | 703,112 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $109,795,673) | 107,840,025 | ||
Bank Notes - 0.2% | |||
First Republic Bank 1.912% 2/12/24 (b) | |||
(Cost $2,271,000) | 2,271,000 | 2,267,119 | |
Shares | Value | ||
Money Market Funds - 7.3% | |||
Fidelity Cash Central Fund 0.07% (e) | 64,277,525 | $64,290,380 | |
Fidelity Securities Lending Cash Central Fund 0.07% (e)(f) | 23,479,476 | 23,481,824 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $87,772,204) | 87,772,204 | ||
TOTAL INVESTMENT IN SECURITIES - 107.7% | |||
(Cost $1,312,618,849) | 1,291,086,730 | ||
NET OTHER ASSETS (LIABILITIES) - (7.7)% | (92,136,097) | ||
NET ASSETS - 100% | $1,198,950,633 |
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 $361,436,227 or 30.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security is on loan at period end.
(e) 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.
(f) 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 0.07% | $14,535,105 | $639,194,523 | $589,439,248 | $15,111 | $-- | $-- | $64,290,380 | 0.1% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 77,563,657 | 54,081,833 | 8,547 | -- | -- | 23,481,824 | 0.1% |
Total | $14,535,105 | $716,758,180 | $643,521,081 | $23,658 | $-- | $-- | $87,772,204 |
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 February 28, 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 | $574,359,757 | $-- | $574,359,757 | $-- |
U.S. Government and Government Agency Obligations | 285,100,040 | -- | 285,100,040 | -- |
U.S. Government Agency - Mortgage Securities | 17,232,835 | -- | 17,232,835 | -- |
Asset-Backed Securities | 202,013,440 | -- | 202,013,440 | -- |
Collateralized Mortgage Obligations | 14,501,310 | -- | 14,501,310 | -- |
Commercial Mortgage Securities | 107,840,025 | -- | 107,840,025 | -- |
Bank Notes | 2,267,119 | -- | 2,267,119 | -- |
Money Market Funds | 87,772,204 | 87,772,204 | -- | -- |
Total Investments in Securities: | $1,291,086,730 | $87,772,204 | $1,203,314,526 | $-- |
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 | 81.3% |
United Kingdom | 6.9% |
Cayman Islands | 4.7% |
Japan | 3.0% |
Canada | 1.4% |
Others (Individually Less Than 1%) | 2.7% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $23,077,378) — See accompanying schedule: Unaffiliated issuers (cost $1,224,846,645) | $1,203,314,526 | |
Fidelity Central Funds (cost $87,772,204) | 87,772,204 | |
Total Investment in Securities (cost $1,312,618,849) | $1,291,086,730 | |
Receivable for investments sold | 169,803,172 | |
Receivable for fund shares sold | 100,326 | |
Interest receivable | 4,331,956 | |
Distributions receivable from Fidelity Central Funds | 4,081 | |
Total assets | 1,465,326,265 | |
Liabilities | ||
Payable for fund shares redeemed | $242,883,025 | |
Other payables and accrued expenses | 10,783 | |
Collateral on securities loaned | 23,481,824 | |
Total liabilities | 266,375,632 | |
Net Assets | $1,198,950,633 | |
Net Assets consist of: | ||
Paid in capital | $1,221,809,519 | |
Total accumulated earnings (loss) | (22,858,886) | |
Net Assets | $1,198,950,633 | |
Net Asset Value, offering price and redemption price per share ($1,198,950,633 ÷ 121,284,666 shares) | $9.89 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $11,593,302 | |
Income from Fidelity Central Funds (including $8,547 from security lending) | 23,658 | |
Total income | 11,616,960 | |
Expenses | ||
Custodian fees and expenses | $17,271 | |
Independent trustees' fees and expenses | 3,662 | |
Total expenses before reductions | 20,933 | |
Expense reductions | (74) | |
Total expenses after reductions | 20,859 | |
Net investment income (loss) | 11,596,101 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 805,058 | |
Total net realized gain (loss) | 805,058 | |
Change in net unrealized appreciation (depreciation) on investment securities | (41,817,720) | |
Net gain (loss) | (41,012,662) | |
Net increase (decrease) in net assets resulting from operations | $(29,416,561) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $11,596,101 | $40,487,635 |
Net realized gain (loss) | 805,058 | 7,853,882 |
Change in net unrealized appreciation (depreciation) | (41,817,720) | (25,134,285) |
Net increase (decrease) in net assets resulting from operations | (29,416,561) | 23,207,232 |
Distributions to shareholders | (21,106,485) | (46,603,547) |
Share transactions | ||
Proceeds from sales of shares | 40,604,251 | 694,940,967 |
Reinvestment of distributions | 21,104,452 | 46,600,987 |
Cost of shares redeemed | (1,116,832,772) | (807,030,371) |
Net increase (decrease) in net assets resulting from share transactions | (1,055,124,069) | (65,488,417) |
Total increase (decrease) in net assets | (1,105,647,115) | (88,884,732) |
Net Assets | ||
Beginning of period | 2,304,597,748 | 2,393,482,480 |
End of period | $1,198,950,633 | $2,304,597,748 |
Other Information | ||
Shares | ||
Sold | 4,046,887 | 68,197,733 |
Issued in reinvestment of distributions | 2,098,640 | 4,564,707 |
Redeemed | (111,523,320) | (79,238,140) |
Net increase (decrease) | (105,377,793) | (6,475,700) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Short-Term Credit Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.17 | $10.27 | $10.09 | $9.88 | $10.01 | $10.03 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .062 | .170 | .252 | .272 | .214 | .131 |
Net realized and unrealized gain (loss) | (.231) | (.073) | .180 | .216 | (.133) | (.013) |
Total from investment operations | (.169) | .097 | .432 | .488 | .081 | .118 |
Distributions from net investment income | (.063) | (.169) | (.252) | (.278) | (.211) | (.131) |
Distributions from net realized gain | (.048) | (.028) | – | – | – | (.007) |
Total distributions | (.111) | (.197) | (.252) | (.278) | (.211) | (.138) |
Net asset value, end of period | $9.89 | $10.17 | $10.27 | $10.09 | $9.88 | $10.01 |
Total ReturnC,D | (1.67)% | .95% | 4.35% | 5.02% | .82% | 1.19% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | - %G,H | - %H | - %H | - %H | - %H | .34% |
Expenses net of fee waivers, if any | - %G,H | - %H | - %H | - %H | - %H | .34% |
Expenses net of all reductions | - %G,H | - %H | - %H | - %H | - %H | .34% |
Net investment income (loss) | 1.25%G | 1.67% | 2.49% | 2.74% | 2.16% | 1.32% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $1,198,951 | $2,304,598 | $2,393,482 | $1,870,061 | $2,113,392 | $2,113,689 |
Portfolio turnover rateI | 21%G | 60% | 62%J | 67% | 52%K | 70% |
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 Annualized
H Amount represents less than .005%.
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.
K The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Series Short-Term Credit Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 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. 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 February 28, 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, market discount 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 | $2,625,417 |
Gross unrealized depreciation | (23,839,602) |
Net unrealized appreciation (depreciation) | $(21,214,185) |
Tax cost | $1,312,300,915 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Series Short-Term Credit Fund | 19,135,521 | 867,003,921 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
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 Series Short-Term Credit Fund | $945 | $– | $– |
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 $74.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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 and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
10. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Series Short-Term Credit Fund | - %-C | |||
Actual | $1,000.00 | $983.30 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Short-Term Credit Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2023.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
SS1-SANN-0422
1.9863240.106
Fidelity® Series Government Money Market Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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/Performance (Unaudited)
Effective Maturity Diversification as of February 28, 2022
Days | % of fund's investments 2/28/22 |
1 - 7 | 70.8 |
8 - 30 | 1.4 |
31 - 60 | 3.6 |
61 - 90 | 8.3 |
91 - 180 | 12.1 |
> 180 | 3.8 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of February 28, 2022 | ||
U.S. Treasury Debt | 46.3% | |
U.S. Government Agency Debt | 15.7% | |
Repurchase Agreements | 52.2% | |
Variable Rate Demand Notes (VRDNs) | 0.8% | |
Net Other Assets (Liabilities)* | (15.0)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
2/28/22 | |
Fidelity® Series Government Money Market Fund | 0.15% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
U.S. Treasury Debt - 46.3% | ||||
Yield(a) | Principal Amount | Value | ||
U.S. Treasury Obligations - 46.3% | ||||
U.S. Treasury Bills | ||||
4/19/22 to 11/3/22 | 0.06 to 0.50% | $603,286,400 | $602,940,878 | |
U.S. Treasury Notes | ||||
3/15/22 to 1/31/24 | 0.05 to 0.49 (b) | 1,549,345,000 | 1,552,910,115 | |
TOTAL U.S. TREASURY DEBT | ||||
(Cost $2,155,850,993) | 2,155,850,993 | |||
Variable Rate Demand Note - 0.8% | ||||
California - 0.0% | ||||
FHLMC California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. (Heritage Park Apts. Proj.) Series 2008 C, 0.1% 3/7/22, LOC Freddie Mac, VRDN | ||||
3/7/22 | 0.10 (b)(c) | 700,000 | 700,000 | |
New York - 0.8% | ||||
FHLMC New York Hsg. Fin. Agcy. Rev. (Clinton Green North Hsg. Proj.) Series 2005 A, 0.19% 3/7/22, LOC Freddie Mac, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 1,600,000 | 1,600,000 | |
FHLMC New York Hsg. Fin. Agcy. Rev. (Clinton Green South Hsg. Proj.) Series 2005 A, 0.19% 3/7/22, LOC Freddie Mac, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 800,000 | 800,000 | |
FNMA New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. (155 West 21st Street Dev. Proj.) Series 2007 A, 0.19% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 600,000 | 600,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. (316 Eleventh Ave. Hsg. Proj.) Series 2007 A, 0.19% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 27,900,000 | 27,900,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. (600 West and 42nd St. Hsg. Proj.) Series 2007 A, 0.21% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.21 (b)(c) | 3,100,000 | 3,100,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. (Taconic West 17th St. Proj.) Series 2009 A, 0.16% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.16 (b) | 500,000 | 500,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. (Tribeca Park Proj.) Series 1997 A, 0.19% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 500,000 | 500,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. (West 23rd Street Hsg. Proj.) Series 2001 A, 0.1% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.10 (b)(c) | 500,000 | 500,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. Series 1997 A, 0.19% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.19 (b)(c) | 500,000 | 500,000 | |
FNMA New York Hsg. Fin. Agcy. Rev. Series 2008 A, 0.21% 3/7/22, LOC Fannie Mae, VRDN | ||||
3/7/22 | 0.21 (b)(c) | 700,000 | 700,000 | |
36,700,000 | ||||
TOTAL VARIABLE RATE DEMAND NOTE | ||||
(Cost $37,400,000) | 37,400,000 | |||
U.S. Government Agency Debt - 15.7% | ||||
Federal Agencies - 15.7% | ||||
Fannie Mae | ||||
5/4/22 to 7/29/22 | 0.17 to 0.32 (b)(d) | 109,000,000 | 109,000,000 | |
Federal Farm Credit Bank | ||||
3/8/22 to 8/16/22 | 0.07 to 0.14 (b) | 34,000,000 | 34,000,108 | |
Federal Home Loan Bank | ||||
3/18/22 to 12/15/22 | 0.05 to 0.31 (b) | 410,750,000 | 410,736,072 | |
Freddie Mac | ||||
4/18/22 to 9/9/22 | 0.08 to 0.24 (b) | 175,000,000 | 174,999,887 | |
TOTAL U.S. GOVERNMENT AGENCY DEBT | ||||
(Cost $728,736,067) | 728,736,067 |
U.S. Government Agency Repurchase Agreement - 14.0% | |||
Maturity Amount | Value | ||
In a joint trading account at 0.05% dated 2/28/22 due 3/1/22 (Collateralized by (U.S. Government Obligations) # | $335,566,498 | $335,566,000 | |
With: | |||
ABN AMRO Bank NV at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Government Obligations valued at $11,220,016, 2.00% - 4.50%, 5/1/40 - 11/1/51) | 11,000,015 | 11,000,000 | |
BMO Harris Bank NA at 0.06%, dated: | |||
9/7/21 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $6,121,786, 2.50% - 3.50%, 3/1/37 - 2/1/52) | 6,001,810 | 6,000,000 | |
1/13/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $3,060,241, 1.61% - 4.50%, 3/1/37 - 3/1/52) | 3,000,315 | 3,000,000 | |
2/25/22 due 3/3/22 (Collateralized by U.S. Government Obligations valued at $3,060,020, 2.00% - 3.50%, 10/1/36 - 2/20/52) | 3,000,028 | 3,000,000 | |
CIBC Bank U.S.A. at: | |||
0.06%, dated: | |||
2/2/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $4,080,168, 1.50% - 4.06%, 2/1/34 - 3/1/52) | 4,000,263 | 4,000,000 | |
2/23/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $4,080,037, 2.50% - 7.50%, 4/1/28 - 5/1/51) | 4,000,134 | 4,000,000 | |
0.09%, dated 1/24/22 due 3/17/22 (Collateralized by U.S. Government Obligations valued at $2,090,915, 1.81% - 8.66%, 2/15/31 - 3/1/52) | 2,000,260 | 2,000,000 | |
0.14%, dated 1/14/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $4,080,730, 1.50% - 5.00%, 6/1/34 - 3/1/52) | 4,001,400 | 4,000,000 | |
0.26%, dated 2/2/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $2,040,398, 1.50% - 5.00%, 9/1/30 - 3/1/52) | 2,001,430 | 2,000,000 | |
0.29%, dated 2/2/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $2,040,444, 1.50% - 5.00%, 2/1/34 - 3/1/52) | 2,001,772 | 2,000,000 | |
0.35%, dated 1/25/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $2,040,694, 2.00% - 5.00%, 2/1/34 - 3/1/52) | 2,003,131 | 2,000,000 | |
0.38%, dated 1/25/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $1,020,377, 1.50% - 3.00%, 1/1/51 - 3/1/52) | 1,001,794 | 1,000,000 | |
Citibank NA at 0.06%, dated 2/22/22 due 3/1/22 | |||
(Collateralized by U.S. Treasury Obligations valued at $13,339,318, 0.00% - 6.63%, 6/14/22 - 2/20/52) | 13,000,152 | 13,000,000 | |
(Collateralized by U.S. Treasury Obligations valued at $2,040,222, 0.25% - 7.25%, 8/15/22 - 9/15/65) | 2,000,023 | 2,000,000 | |
Citigroup Global Capital Markets, Inc. at 0.06%, dated 2/22/22 due 3/1/22 (Collateralized by U.S. Government Obligations valued at $9,181,000, 3.00% - 4.00%, 6/20/51) | 9,000,105 | 9,000,000 | |
Deutsche Bank AG, New York at: | |||
0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,075, 2.38%, 3/15/22) | 4,000,006 | 4,000,000 | |
0.06%, dated 2/23/22 due 3/2/22 (Collateralized by U.S. Government Obligations valued at $4,120,038, 3.25%, 4/15/45) | 4,000,043 | 4,000,000 | |
Deutsche Bank Securities, Inc. at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Government Obligations valued at $9,270,014, 3.00%, 1/15/56) | 9,000,013 | 9,000,000 | |
Goldman Sachs & Co. at: | |||
0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Government Obligations valued at $2,040,003, 4.00%, 5/20/50) | 2,000,003 | 2,000,000 | |
0.06%, dated 2/23/22 due 3/2/22 (Collateralized by U.S. Government Obligations valued at $26,520,243, 2.10% - 5.50%, 5/20/30 - 1/15/57) | 26,000,278 | 26,000,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at 0.07%, dated: | |||
2/8/22 due 4/11/22 (Collateralized by U.S. Government Obligations valued at $4,080,165, 2.50% - 4.50%, 9/1/26 - 11/1/50)(b)(d)(e) | 4,000,482 | 4,000,000 | |
2/15/22 due: | |||
4/18/22 (Collateralized by U.S. Government Obligations valued at $7,140,194, 2.00% - 4.50%, 11/1/34 - 4/1/51)(b)(d)(e) | 7,000,844 | 7,000,000 | |
4/19/22 (Collateralized by U.S. Government Obligations valued at $6,120,167, 3.00% - 4.00%, 9/1/41 - 2/1/52)(b)(d)(e) | 6,000,735 | 6,000,000 | |
4/20/22 (Collateralized by U.S. Government Obligations valued at $4,080,112, 2.28% - 6.00%, 1/1/26 - 2/1/52)(b)(d)(e) | 4,000,498 | 4,000,000 | |
RBC Dominion Securities at: | |||
0.05%, dated: | |||
2/22/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $9,188,481, 0.00% - 5.50%, 11/15/24 - 7/20/51) | 9,000,088 | 9,000,000 | |
2/24/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $9,205,276, 0.00% - 6.50%, 4/15/22 - 7/20/51) | 9,000,088 | 9,000,000 | |
0.06%, dated: | |||
12/3/21 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $12,268,189, 0.00% - 6.50%, 1/15/23 - 5/20/51) | 12,001,900 | 12,000,000 | |
1/31/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $7,140,888, 0.00% - 5.50%, 11/15/24 - 7/20/51) | 7,000,432 | 7,000,000 | |
RBC Financial Group at: | |||
0.06%, dated: | |||
8/6/21 due 3/4/22 (Collateralized by U.S. Government Obligations valued at $9,185,232, 1.87% - 6.50%, 12/15/23 - 2/1/57) | 9,003,150 | 9,000,000 | |
1/25/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $5,100,305, 1.57% - 6.50%, 12/15/23 - 2/1/57) | 5,000,425 | 5,000,000 | |
1/26/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $25,501,445, 1.82% - 4.50%, 11/1/28 - 3/1/52) | 25,002,042 | 25,000,000 | |
1/27/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $10,200,566, 1.87% - 6.50%, 12/15/23 - 2/1/57) | 10,000,783 | 10,000,000 | |
1/28/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $20,401,088, 1.82% - 5.00%, 12/1/29 - 3/1/52) | 20,001,533 | 20,000,000 | |
1/31/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $20,400,986, 2.00% - 5.00%, 12/1/29 - 3/1/52) | 20,001,400 | 20,000,000 | |
0.07%, dated 2/28/22 due 3/7/22 (Collateralized by U.S. Government Obligations valued at $5,100,010, 1.51% - 4.50%, 12/1/29 - 3/1/52)(b)(d)(e) | 5,000,710 | 5,000,000 | |
Societe Generale at 0.05%, dated: | |||
2/23/22 due 3/2/22 | |||
(Collateralized by U.S. Treasury Obligations valued at $17,340,235, 0.00% - 2.00%, 2/28/23 - 8/15/44) | 17,000,165 | 17,000,000 | |
(Collateralized by U.S. Treasury Obligations valued at $4,120,073, 2.25%, 8/15/46) | 4,000,039 | 4,000,000 | |
2/24/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $9,202,851, 0.00% - 6.38%, 3/24/22 - 5/15/51) | 9,000,088 | 9,000,000 | |
TD Securities (U.S.A.) at 0.06%, dated 2/25/22 due 3/4/22 (Collateralized by U.S. Government Obligations valued at $21,420,132, 2.50%, 7/20/51) | 21,000,225 | 21,000,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | |||
(Cost $651,566,000) | 651,566,000 | ||
U.S. Treasury Repurchase Agreement - 38.2% | |||
With: | |||
ABN AMRO Bank NV at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $7,188,605, 1.88% - 2.75%, 11/15/23 - 2/15/51) | 7,000,010 | 7,000,000 | |
Barclays Bank PLC at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $31,620,107, 0.13%, 7/31/22) | 31,000,043 | 31,000,000 | |
BMO Harris Bank NA at: | |||
0.06%, dated: | |||
11/1/21 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $4,097,413, 0.00% - 4.63%, 3/10/22 - 2/15/50) | 4,000,900 | 4,000,000 | |
11/5/21 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $9,194,492, 1.38% - 7.50%, 11/15/22 - 5/15/51) | 9,001,890 | 9,000,000 | |
1/21/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $2,052,622, 0.00% - 7.50%, 3/10/22 - 5/15/50) | 2,000,183 | 2,000,000 | |
0.12%, dated 1/18/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $5,122,850, 0.00% - 6.13%, 12/29/22 - 11/15/48) | 5,001,150 | 5,000,000 | |
BNP Paribas, SA at: | |||
0.05%, dated: | |||
2/17/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $21,420,384, 0.43% - 2.25%, 1/31/23 - 5/15/41) | 21,000,350 | 21,000,000 | |
2/18/22 due 3/2/22 (Collateralized by U.S. Treasury Obligations valued at $8,160,148, 0.37% - 0.44%, 10/31/22 - 1/31/24) | 8,000,133 | 8,000,000 | |
2/22/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $28,560,326, 0.43% - 4.38%, 10/31/22 - 5/15/41) | 28,000,350 | 28,000,000 | |
2/23/22 due 3/4/22 (Collateralized by U.S. Treasury Obligations valued at $10,200,120, 0.37% - 4.63%, 1/31/23 - 5/15/41) | 10,000,125 | 10,000,000 | |
2/25/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $23,460,165, 0.00% - 3.88%, 6/21/22 - 8/15/41) | 23,000,319 | 23,000,000 | |
2/28/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $15,300,115, 0.37% - 0.44%, 10/31/22 - 1/31/24) | 15,000,167 | 15,000,000 | |
0.06%, dated 2/14/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $29,580,818, 0.37% - 3.50%, 1/31/23 - 8/15/45) | 29,001,450 | 29,000,000 | |
0.13%, dated 2/1/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $15,301,641, 0.00% - 4.63%, 6/21/22 - 11/15/41) | 15,003,196 | 15,000,000 | |
0.16%, dated: | |||
2/3/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $14,281,756, 0.00% - 6.63%, 6/21/22 - 8/15/45) | 14,003,733 | 14,000,000 | |
2/4/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $22,442,556, 0.00% - 3.88%, 6/21/22 - 8/15/41) | 22,005,867 | 22,000,000 | |
CIBC Bank U.S.A. at: | |||
0.06%, dated: | |||
2/2/22 due 3/4/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,305, 0.88% - 3.00%, 2/15/23 - 11/15/50) | 3,000,138 | 3,000,000 | |
2/7/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $2,048,761, 1.63% - 4.63%, 8/15/28 - 11/15/50) | 2,000,095 | 2,000,000 | |
2/8/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,225, 0.75% - 3.38%, 2/28/26 - 11/15/48) | 4,000,183 | 4,000,000 | |
0.16%, dated 1/14/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $5,101,252, 0.13% - 3.38%, 7/31/22 - 11/15/50) | 5,002,244 | 5,000,000 | |
0.26%, dated 1/18/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $5,101,566, 0.13% - 4.63%, 12/31/22 - 8/15/50) | 5,005,381 | 5,000,000 | |
0.36%, dated 1/18/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $5,102,520, 0.88% - 4.63%, 2/28/26 - 11/15/48) | 5,009,450 | 5,000,000 | |
Citigroup Global Capital Markets, Inc. at 0.06%, dated 2/4/22 due 3/4/22 (Collateralized by U.S. Treasury Obligations valued at $12,273,421, 0.00% - 1.50%, 11/3/22 - 2/29/24) | 12,000,560 | 12,000,000 | |
Commerz Markets LLC at 0.05%, dated: | |||
2/23/22 due 3/2/22 (Collateralized by U.S. Treasury Obligations valued at $13,260,156, 1.50%, 8/15/26) | 13,000,126 | 13,000,000 | |
2/24/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,081, 1.25%, 6/30/28) | 3,000,029 | 3,000,000 | |
2/25/22 due 3/4/22 (Collateralized by U.S. Treasury Obligations valued at $10,299,125, 0.13% - 2.00%, 4/30/23 - 2/15/50) | 10,000,097 | 10,000,000 | |
Deutsche Bank Securities, Inc. at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $4,095,073, 0.00% - 6.88%, 10/15/24 - 2/1/48) | 4,000,006 | 4,000,000 | |
DNB Bank ASA at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $1,024,835, 1.63% - 2.88%, 10/31/24 - 5/15/31) | 1,000,001 | 1,000,000 | |
Federal Reserve Bank of New York at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $487,000,740, 0.13% - 2.88%, 11/30/22 - 11/15/49) | 487,000,676 | 487,000,000 | |
FICC ACAFB Repo Program at 0.06%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $2,044,025, 2.25%, 8/15/27) | 2,000,003 | 2,000,000 | |
Fixed Income Clearing Corp. - BNYM at 0.06%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $7,140,083, 0.50%, 11/30/23) | 7,000,011 | 7,000,000 | |
Fixed Income Clearing Corp. - SSB at 0.06%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $21,422,818, 0.38%, 9/30/27) | 21,000,032 | 21,000,000 | |
Fixed Income Clearing Corp.- Morgan Stanley & CO LLC at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $16,321,563, -0.02%, 1/31/24) | 16,000,022 | 16,000,000 | |
ING Financial Markets LLC at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $4,091,654, 1.63% - 2.88%, 10/31/23 - 11/30/26) | 4,000,006 | 4,000,000 | |
Lloyds Bank Corp. Markets PLC at: | |||
0.17%, dated: | |||
2/3/22 due 4/4/22 (Collateralized by U.S. Treasury Obligations valued at $4,083,496, 1.13% - 2.38%, 1/31/23 - 9/30/28) | 4,001,133 | 4,000,000 | |
2/4/22 due 4/6/22 (Collateralized by U.S. Treasury Obligations valued at $4,078,749, 1.13% - 2.25%, 8/31/23 - 5/15/41) | 4,001,152 | 4,000,000 | |
0.21%, dated 1/27/22 due 4/27/22 (Collateralized by U.S. Treasury Obligations valued at $5,104,576, 0.25% - 1.13%, 6/15/23 - 9/30/28) | 5,002,625 | 5,000,000 | |
0.33%, dated 3/1/22 due 5/3/22(f) | 4,002,310 | 4,000,000 | |
Lloyds Bank PLC at: | |||
0.07%, dated 2/11/22 due: | |||
3/11/22 (Collateralized by U.S. Treasury Obligations valued at $2,043,813, 6.00% - 6.75%, 2/15/26 - 8/15/26) | 2,000,109 | 2,000,000 | |
3/17/22 (Collateralized by U.S. Treasury Obligations valued at $4,078,894, 2.75% - 6.00%, 2/28/25 - 2/15/26) | 4,000,264 | 4,000,000 | |
0.19%, dated 2/28/22 due 3/28/22 (Collateralized by U.S. Treasury Obligations valued at $4,077,577, 2.50% - 6.00%, 1/31/25 - 2/15/26) | 4,000,591 | 4,000,000 | |
0.34%, dated 3/2/22 due 5/3/22(f) | 2,001,171 | 2,000,000 | |
Mizuho Bank, Ltd. at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $14,294,958, 0.38%, 4/30/25) | 14,000,019 | 14,000,000 | |
MUFG Securities EMEA PLC at 0.05%, dated 2/28/22 due 3/1/22 | |||
(Collateralized by U.S. Treasury Obligations valued at $35,691,626, 1.13% - 2.50%, 3/31/23 - 11/15/26) | 35,000,049 | 35,000,000 | |
(Collateralized by U.S. Treasury Obligations valued at $4,078,943, 1.38% - 1.63%, 2/15/25 - 11/15/31) | 4,000,006 | 4,000,000 | |
Natixis SA at 0.06%, dated: | |||
2/4/22 due 3/4/22 (Collateralized by U.S. Treasury Obligations valued at $8,160,405, 0.00% - 4.38%, 7/14/22 - 5/15/49) | 8,000,342 | 8,000,000 | |
2/17/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,135, 0.38% - 2.75%, 7/31/22 - 2/15/42) | 4,000,086 | 4,000,000 | |
Norinchukin Bank at: | |||
0.07%, dated 2/22/22 due 3/14/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,091, 1.50% - 2.75%, 6/30/25 - 5/15/27) | 4,000,156 | 4,000,000 | |
0.08%, dated 1/14/22 due 3/14/22 (Collateralized by U.S. Treasury Obligations valued at $5,100,592, 1.50% - 6.75%, 6/30/25 - 5/15/27) | 5,000,656 | 5,000,000 | |
0.09%, dated: | |||
12/1/21 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,725, 1.50% - 6.75%, 6/30/25 - 5/15/27) | 3,000,690 | 3,000,000 | |
2/15/22 due 3/17/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,185, 1.50% - 6.75%, 6/30/25 - 5/15/27) | 4,000,300 | 4,000,000 | |
0.1%, dated 1/12/22 due 3/23/22 (Collateralized by U.S. Treasury Obligations valued at $5,100,708, 1.50% - 6.75%, 6/30/25 - 5/15/27) | 5,000,972 | 5,000,000 | |
0.12%, dated: | |||
2/16/22 due 3/18/22 (Collateralized by U.S. Treasury Obligations valued at $4,080,167, 1.50% - 2.75%, 6/30/25 - 5/15/27) | 4,000,400 | 4,000,000 | |
2/17/22 due 3/18/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,128, 1.50% - 2.75%, 6/30/25 - 5/15/27) | 3,000,290 | 3,000,000 | |
0.15%, dated 1/11/22 due 4/11/22 (Collateralized by U.S. Treasury Obligations valued at $7,141,458, 1.50% - 6.75%, 6/30/25 - 5/15/27) | 7,002,625 | 7,000,000 | |
0.18%, dated 2/18/22 due 3/22/22 (Collateralized by U.S. Treasury Obligations valued at $6,120,361, 1.50% - 2.75%, 6/30/25 - 5/15/27) | 6,000,960 | 6,000,000 | |
RBC Dominion Securities at 0.06%, dated: | |||
1/18/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $9,180,706, 0.25% - 4.38%, 2/15/24 - 11/15/47) | 9,000,780 | 9,000,000 | |
1/25/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $9,181,683, 0.25% - 6.50%, 6/30/22 - 8/15/51) | 9,000,564 | 9,000,000 | |
1/31/22 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $9,182,416, 0.38% - 6.50%, 2/15/26 - 2/15/52) | 9,000,509 | 9,000,000 | |
Royal Bank of Canada at: | |||
0.06%, dated 12/7/21 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,502, 0.13% - 2.88%, 5/15/22 - 11/15/41) | 3,000,460 | 3,000,000 | |
0.07%, dated 12/8/21 due 3/7/22 (Collateralized by U.S. Treasury Obligations valued at $3,060,501, 0.13% - 2.00%, 3/31/23 - 11/15/41) | 3,000,488 | 3,000,000 | |
SMBC Nikko Securities America, Inc. at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $766,073,083, 0.63% - 3.13%, 2/15/23 - 5/15/48) | 750,001,042 | 750,000,000 | |
Societe Generale at 0.05%, dated 2/24/22 due 3/3/22 (Collateralized by U.S. Treasury Obligations valued at $8,160,393, 0.25% - 7.63%, 5/31/22 - 2/15/50) | 8,000,078 | 8,000,000 | |
TD Securities (U.S.A.) at 0.05%, dated 2/28/22 due 3/1/22 (Collateralized by U.S. Treasury Obligations valued at $2,040,050, 1.50%, 2/29/24) | 2,000,003 | 2,000,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $1,775,000,000) | 1,775,000,000 | ||
TOTAL INVESTMENT IN SECURITIES - 115.0% | |||
(Cost $5,348,553,060) | 5,348,553,060 | ||
NET OTHER ASSETS (LIABILITIES) - (15.0)% | (697,449,411) | ||
NET ASSETS - 100% | $4,651,103,649 |
Security Type Abbreviations
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
Legend
(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(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) The maturity amount is based on the rate at period end.
(f) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.
Investment Valuation
All investments are categorized as Level 2 under the Fair Value Hierarchy. 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 please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value |
$335,566,000 due 3/01/22 at 0.05% | |
BNY Mellon Capital Markets LLC | $21,249,000 |
Bank Of America, N.A. | 27,598,000 |
Bank of Nova Scotia | 1,730,000 |
Bank of America Securities, Inc. | 22,774,000 |
Citigroup Global Markets, Inc. | 11,471,000 |
Credit Agricole CIB New York Branch | 13,775,000 |
Credit Suisse Ag Ny | 1,384,000 |
HSBC Securities (USA), Inc. | 3,450,000 |
ING Financial Markets LLC | 1,407,000 |
JP Morgan Securities LLC | 5,413,000 |
Mitsubishi UFJ Securities Hldings Ltd | 21,179,000 |
Mizuho Securities USA, Inc. | 1,917,000 |
Nomura Securities International | 67,203,000 |
RBC Dominion Securities, Inc. | 36,762,000 |
Societe Generale | 6,906,000 |
Sumitomo Mitsu Banking Corp NY | 51,581,000 |
Sumitomo Mitsui Banking Corp | 39,767,000 |
$335,566,000 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,426,566,000) — See accompanying schedule: Unaffiliated issuers (cost $5,348,553,060) | $5,348,553,060 | |
Cash | 6,386 | |
Receivable for investments sold | 13,852,626 | |
Receivable for fund shares sold | 305,862 | |
Interest receivable | 2,547,117 | |
Total assets | 5,365,265,051 | |
Liabilities | ||
Payable for investments purchased | $11,997,167 | |
Payable for fund shares redeemed | 702,145,121 | |
Other payables and accrued expenses | 19,114 | |
Total liabilities | 714,161,402 | |
Net Assets | $4,651,103,649 | |
Net Assets consist of: | ||
Paid in capital | $4,650,903,159 | |
Total accumulated earnings (loss) | 200,490 | |
Net Assets | $4,651,103,649 | |
Net Asset Value, offering price and redemption price per share ($4,651,103,649 ÷ 4,650,903,157 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $3,141,343 | |
Expenses | ||
Custodian fees and expenses | $42,469 | |
Independent trustees' fees and expenses | 15,573 | |
Total expenses before reductions | 58,042 | |
Expense reductions | (634) | |
Total expenses after reductions | 57,408 | |
Net investment income (loss) | 3,083,935 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (427) | |
Total net realized gain (loss) | (427) | |
Net increase in net assets resulting from operations | $3,083,508 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $3,083,935 | $11,154,501 |
Net realized gain (loss) | (427) | 5,304 |
Net increase in net assets resulting from operations | 3,083,508 | 11,159,805 |
Distributions to shareholders | (3,083,694) | (11,154,866) |
Share transactions | ||
Proceeds from sales of shares | 140,614,342 | 5,388,509,002 |
Reinvestment of distributions | 3,079,341 | 11,154,189 |
Cost of shares redeemed | (5,185,326,826) | (5,207,203,173) |
Net increase (decrease) in net assets and shares resulting from share transactions | (5,041,633,143) | 192,460,018 |
Total increase (decrease) in net assets | (5,041,633,329) | 192,464,957 |
Net Assets | ||
Beginning of period | 9,692,736,978 | 9,500,272,021 |
End of period | $4,651,103,649 | $9,692,736,978 |
Other Information | ||
Shares | ||
Sold | 140,614,342 | 5,388,509,002 |
Issued in reinvestment of distributions | 3,079,341 | 11,154,189 |
Redeemed | (5,185,326,826) | (5,207,203,173) |
Net increase (decrease) | (5,041,633,143) | 192,460,018 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Government Money Market Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss)A | –B | .001 | .010 | .024 | .015 | .006 |
Net realized and unrealized gain (loss) | –B | –B | .001 | –B | –B | –B |
Total from investment operations | –B | .001 | .011 | .024 | .015 | .006 |
Distributions from net investment income | –B | (.001) | (.011) | (.024) | (.015) | (.006) |
Total distributions | –B | (.001) | (.011) | (.024) | (.015) | (.006) |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | .04% | .10% | 1.08% | 2.38% | 1.53% | .58% |
Ratios to Average Net AssetsA,E,F | ||||||
Expenses before reductions | - %G,H | - %H | - %H | - %H | - %H | .13% |
Expenses net of fee waivers, if any | - %G,H | - %H | - %H | - %H | - %H | .10% |
Expenses net of all reductions | - %G,H | - %H | - %H | - %H | - %H | .10% |
Net investment income (loss) | .08%G | .10% | .98% | 2.35% | 1.54% | .62% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,651,104 | $9,692,737 | $9,500,272 | $6,572,472 | $7,839,750 | $8,444,671 |
A 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.
B Amount represents less than $.0005 per share.
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.
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 Annualized
H Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Series Government Money Market Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. 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. 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)
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
Investment Transactions and Income. The net asset value 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. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
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 losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities for federal income tax purposes were as follows:
Gross unrealized appreciation | $– |
Gross unrealized depreciation | – |
Net unrealized appreciation (depreciation) | $– |
Tax cost | $5,348,553,060 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by cash or government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
3. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Series Government Money Market Fund | 27,100,000 | – | – |
4. 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 $634.
5. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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 and accounts 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Series Government Money Market Fund | - %-C | |||
Actual | $1,000.00 | $1,000.40 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005 per share.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Government Money Market Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity’s global investment organization, and that Fidelity’s analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2023.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.GVM-SANN-0422
1.9878696.105
Fidelity® Short-Term Bond Index Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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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Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 64.9% | |
AAA | 3.9% | |
AA | 2.7% | |
A | 15.0% | |
BBB | 12.6% | |
BB and Below | 0.4% | |
Short-Term Investments and Net Other Assets | 0.5% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022 * | ||
Corporate Bonds | 30.8% | |
U.S. Government and U.S. Government Agency Obligations | 64.9% | |
Other Investments | 3.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.5% |
* Foreign investments - 10.3%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 30.8% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.4% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
3.4% 5/15/25 | $940,000 | $971,579 | |
3.55% 6/1/24 | 1,110,000 | 1,141,139 | |
3.6% 7/15/25 | 930,000 | 964,482 | |
3.95% 1/15/25 | 640,000 | 668,636 | |
4.125% 2/17/26 | 250,000 | 266,295 | |
Verizon Communications, Inc.: | |||
0.75% 3/22/24 | 1,600,000 | 1,565,985 | |
0.85% 11/20/25 | 1,600,000 | 1,521,892 | |
1.45% 3/20/26 | 1,239,000 | 1,196,770 | |
8,296,778 | |||
Entertainment - 0.2% | |||
Activision Blizzard, Inc. 3.4% 9/15/26 | 350,000 | 366,100 | |
The Walt Disney Co.: | |||
1.75% 1/13/26 | 760,000 | 745,948 | |
3% 9/15/22 | 2,540,000 | 2,567,003 | |
3.35% 3/24/25 | 900,000 | 932,709 | |
3.375% 11/15/26 | 310,000 | 323,864 | |
4,935,624 | |||
Interactive Media & Services - 0.1% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 850,000 | 805,500 | |
1.998% 8/15/26 | 650,000 | 650,819 | |
Baidu, Inc. 1.72% 4/9/26 | 1,000,000 | 958,450 | |
2,414,769 | |||
Media - 0.6% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 2,700,000 | 2,719,755 | |
4.5% 2/1/24 | 980,000 | 1,019,718 | |
4.908% 7/23/25 | 360,000 | 381,612 | |
Comcast Corp.: | |||
2.35% 1/15/27 | 270,000 | 267,884 | |
3.15% 3/1/26 | 750,000 | 773,053 | |
3.375% 2/15/25 | 920,000 | 948,277 | |
3.375% 8/15/25 | 940,000 | 969,132 | |
3.7% 4/15/24 | 1,970,000 | 2,040,906 | |
3.95% 10/15/25 | 470,000 | 495,760 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 60,000 | 60,626 | |
3.9% 11/15/24 | 100,000 | 103,331 | |
4.9% 3/11/26 | 720,000 | 767,041 | |
Fox Corp. 4.03% 1/25/24 | 650,000 | 673,503 | |
Grupo Televisa SA de CV 6.625% 3/18/25 | 390,000 | 432,486 | |
Paramount Global: | |||
2.9% 1/15/27 | 190,000 | 190,499 | |
3.5% 1/15/25 | 400,000 | 412,257 | |
3.875% 4/1/24 | 150,000 | 156,015 | |
4.75% 5/15/25 | 990,000 | 1,057,103 | |
TWDC Enterprises 18 Corp.: | |||
1.85% 7/30/26 | 120,000 | 117,740 | |
2.45% 3/4/22 | 255,000 | 255,026 | |
3% 2/13/26 | 130,000 | 133,773 | |
13,975,497 | |||
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S.A., Inc.: | |||
1.5% 2/15/26 | 290,000 | 278,452 | |
3.5% 4/15/25 | 1,030,000 | 1,058,861 | |
Vodafone Group PLC: | |||
3.75% 1/16/24 | 1,170,000 | 1,210,371 | |
4.125% 5/30/25 | 190,000 | 199,629 | |
2,747,313 | |||
TOTAL COMMUNICATION SERVICES | 32,369,981 | ||
CONSUMER DISCRETIONARY - 1.9% | |||
Auto Components - 0.0% | |||
Magna International, Inc. 4.15% 10/1/25 | 360,000 | 381,530 | |
Automobiles - 0.8% | |||
American Honda Finance Corp.: | |||
1% 9/10/25 | 1,450,000 | 1,389,489 | |
1.2% 7/8/25 | 505,000 | 489,246 | |
1.5% 1/13/25 | 240,000 | 235,368 | |
2.05% 1/10/23 | 160,000 | 160,999 | |
2.15% 9/10/24 | 740,000 | 742,516 | |
2.2% 6/27/22 | 2,880,000 | 2,891,782 | |
3.55% 1/12/24 | 250,000 | 257,833 | |
General Motors Co. 4% 4/1/25 | 390,000 | 404,501 | |
General Motors Financial Co., Inc.: | |||
1.05% 3/8/24 | 1,027,000 | 1,000,674 | |
1.25% 1/8/26 | 1,070,000 | 1,009,628 | |
3.15% 6/30/22 | 30,000 | 30,161 | |
3.25% 1/5/23 | 50,000 | 50,668 | |
3.5% 11/7/24 | 370,000 | 378,928 | |
3.55% 7/8/22 | 2,130,000 | 2,148,649 | |
3.95% 4/13/24 | 320,000 | 328,971 | |
4% 1/15/25 | 530,000 | 548,523 | |
4% 10/6/26 | 640,000 | 666,942 | |
4.15% 6/19/23 | 250,000 | 256,330 | |
4.25% 5/15/23 | 70,000 | 72,020 | |
4.3% 7/13/25 | 840,000 | 875,137 | |
5.1% 1/17/24 | 1,503,000 | 1,576,364 | |
5.25% 3/1/26 | 590,000 | 642,189 | |
Stellantis NV 5.25% 4/15/23 | 620,000 | 641,080 | |
Toyota Motor Corp.: | |||
0.681% 3/25/24 | 1,230,000 | 1,199,347 | |
1.339% 3/25/26 | 110,000 | 106,270 | |
2.358% 7/2/24 | 720,000 | 725,151 | |
18,828,766 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Expedia, Inc.: | |||
3.6% 12/15/23 | 440,000 | 449,736 | |
5% 2/15/26 | 330,000 | 355,321 | |
Las Vegas Sands Corp.: | |||
2.9% 6/25/25 | 250,000 | 240,660 | |
3.2% 8/8/24 | 1,160,000 | 1,143,481 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 190,000 | 193,159 | |
3.6% 4/15/24 | 1,430,000 | 1,467,971 | |
McDonald's Corp.: | |||
1.45% 9/1/25 | 110,000 | 107,329 | |
3.3% 7/1/25 | 1,310,000 | 1,347,732 | |
3.35% 4/1/23 | 940,000 | 958,408 | |
3.7% 1/30/26 | 110,000 | 115,811 | |
Starbucks Corp.: | |||
2.45% 6/15/26 | 350,000 | 351,200 | |
3.1% 3/1/23 | 100,000 | 101,525 | |
3.8% 8/15/25 | 583,000 | 610,638 | |
7,442,971 | |||
Household Durables - 0.1% | |||
D.R. Horton, Inc. 1.3% 10/15/26 | 750,000 | 705,845 | |
Lennar Corp.: | |||
4.5% 4/30/24 | 400,000 | 416,088 | |
4.75% 11/15/22 (a) | 650,000 | 659,286 | |
4.75% 5/30/25 | 400,000 | 422,996 | |
5.875% 11/15/24 | 100,000 | 107,321 | |
2,311,536 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Alibaba Group Holding Ltd. 3.6% 11/28/24 | 2,000,000 | 2,052,760 | |
Amazon.com, Inc.: | |||
0.4% 6/3/23 | 210,000 | 207,694 | |
0.8% 6/3/25 | 2,158,000 | 2,081,267 | |
1% 5/12/26 | 1,168,000 | 1,124,751 | |
2.4% 2/22/23 | 1,410,000 | 1,424,275 | |
eBay, Inc.: | |||
1.4% 5/10/26 | 666,000 | 637,451 | |
3.45% 8/1/24 | 100,000 | 102,664 | |
7,630,862 | |||
Multiline Retail - 0.1% | |||
Kohl's Corp. 9.5% 5/15/25 | 290,000 | 332,034 | |
Target Corp.: | |||
2.25% 4/15/25 | 203,000 | 204,232 | |
2.5% 4/15/26 | 420,000 | 428,096 | |
3.5% 7/1/24 | 570,000 | 592,970 | |
1,557,332 | |||
Specialty Retail - 0.2% | |||
AutoZone, Inc. 3.125% 4/21/26 | 270,000 | 277,838 | |
Lowe's Companies, Inc. 4% 4/15/25 | 2,863,000 | 3,012,028 | |
Ross Stores, Inc. 4.6% 4/15/25 | 450,000 | 480,066 | |
The Home Depot, Inc.: | |||
2.625% 6/1/22 | 108,000 | 108,341 | |
3% 4/1/26 | 100,000 | 103,617 | |
3.35% 9/15/25 | 720,000 | 747,762 | |
4,729,652 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc. 2.4% 3/27/25 | 836,000 | 846,858 | |
TOTAL CONSUMER DISCRETIONARY | 43,729,507 | ||
CONSUMER STAPLES - 1.3% | |||
Beverages - 0.4% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65% 2/1/26 | 780,000 | 814,793 | |
Constellation Brands, Inc.: | |||
3.7% 12/6/26 | 340,000 | 354,672 | |
4.75% 11/15/24 | 710,000 | 754,727 | |
Diageo Capital PLC 2.625% 4/29/23 | 1,700,000 | 1,717,316 | |
Dr. Pepper Snapple Group, Inc.: | |||
2.55% 9/15/26 | 110,000 | 110,054 | |
3.4% 11/15/25 | 150,000 | 154,727 | |
4.057% 5/25/23 | 40,000 | 41,060 | |
4.417% 5/25/25 | 990,000 | 1,048,092 | |
Molson Coors Beverage Co. 3% 7/15/26 | 840,000 | 854,271 | |
PepsiCo, Inc.: | |||
2.25% 3/19/25 | 1,870,000 | 1,883,492 | |
2.375% 10/6/26 | 500,000 | 504,380 | |
3.6% 3/1/24 | 120,000 | 124,059 | |
The Coca-Cola Co. 1.75% 9/6/24 | 510,000 | 510,622 | |
8,872,265 | |||
Food & Staples Retailing - 0.2% | |||
Kroger Co.: | |||
2.65% 10/15/26 | 120,000 | 121,060 | |
3.5% 2/1/26 | 200,000 | 208,018 | |
Sysco Corp. 3.3% 7/15/26 | 590,000 | 606,999 | |
Walgreens Boots Alliance, Inc.: | |||
3.45% 6/1/26 | 360,000 | 373,357 | |
3.8% 11/18/24 | 440,000 | 456,422 | |
Walmart, Inc.: | |||
2.35% 12/15/22 | 41,000 | 41,434 | |
2.85% 7/8/24 | 370,000 | 379,121 | |
3.05% 7/8/26 | 1,150,000 | 1,198,071 | |
3.4% 6/26/23 | 1,740,000 | 1,784,099 | |
3.55% 6/26/25 | 280,000 | 294,060 | |
5,462,641 | |||
Food Products - 0.2% | |||
Bunge Ltd. Finance Corp. 3.25% 8/15/26 | 600,000 | 613,143 | |
Campbell Soup Co. 3.65% 3/15/23 | 1,276,000 | 1,300,238 | |
Conagra Brands, Inc.: | |||
4.3% 5/1/24 | 700,000 | 726,219 | |
4.6% 11/1/25 | 230,000 | 244,754 | |
General Mills, Inc.: | |||
2.6% 10/12/22 | 50,000 | 50,336 | |
3.7% 10/17/23 | 62,000 | 63,814 | |
4% 4/17/25 | 490,000 | 512,883 | |
McCormick & Co., Inc. 2.7% 8/15/22 | 23,000 | 23,135 | |
Tyson Foods, Inc. 4% 3/1/26 | 550,000 | 576,195 | |
Unilever Capital Corp.: | |||
2% 7/28/26 | 280,000 | 276,675 | |
3.1% 7/30/25 | 370,000 | 381,224 | |
3.25% 3/7/24 | 900,000 | 922,343 | |
5,690,959 | |||
Household Products - 0.1% | |||
Procter & Gamble Co.: | |||
0.55% 10/29/25 | 640,000 | 608,926 | |
1% 4/23/26 | 550,000 | 528,684 | |
1,137,610 | |||
Tobacco - 0.4% | |||
Altria Group, Inc.: | |||
2.35% 5/6/25 | 270,000 | 269,166 | |
2.625% 9/16/26 | 390,000 | 389,781 | |
3.8% 2/14/24 | 690,000 | 709,981 | |
4.4% 2/14/26 | 100,000 | 106,199 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 100,000 | 99,906 | |
3.222% 8/15/24 | 1,700,000 | 1,720,356 | |
BAT International Finance PLC 1.668% 3/25/26 | 680,000 | 645,778 | |
Philip Morris International, Inc.: | |||
1.5% 5/1/25 | 760,000 | 741,816 | |
2.5% 8/22/22 | 2,250,000 | 2,265,816 | |
2.5% 11/2/22 | 774,000 | 779,927 | |
2.875% 5/1/24 | 390,000 | 397,601 | |
Reynolds American, Inc. 4.45% 6/12/25 | 650,000 | 679,748 | |
8,806,075 | |||
TOTAL CONSUMER STAPLES | 29,969,550 | ||
ENERGY - 2.4% | |||
Oil, Gas & Consumable Fuels - 2.4% | |||
BP Capital Markets PLC: | |||
2.5% 11/6/22 | 60,000 | 60,458 | |
3.535% 11/4/24 | 720,000 | 746,475 | |
3.994% 9/26/23 | 2,860,000 | 2,953,999 | |
Canadian Natural Resources Ltd.: | |||
2.05% 7/15/25 | 280,000 | 274,985 | |
2.95% 1/15/23 | 645,000 | 651,609 | |
Cenovus Energy, Inc. 5.375% 7/15/25 | 280,000 | 303,239 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.875% 3/31/25 | 770,000 | 831,508 | |
7% 6/30/24 | 240,000 | 259,537 | |
Chevron Corp.: | |||
1.141% 5/11/23 | 700,000 | 697,442 | |
1.554% 5/11/25 | 1,000,000 | 984,904 | |
2.355% 12/5/22 | 63,000 | 63,429 | |
2.895% 3/3/24 | 2,510,000 | 2,561,656 | |
2.954% 5/16/26 | 810,000 | 836,605 | |
3.326% 11/17/25 | 250,000 | 259,456 | |
Chevron U.S.A., Inc. 3.9% 11/15/24 | 110,000 | 115,679 | |
Devon Energy Corp. 5.25% 9/15/24 | 500,000 | 531,256 | |
Diamondback Energy, Inc. 4.75% 5/31/25 | 1,050,000 | 1,117,537 | |
Enbridge, Inc.: | |||
1.6% 10/4/26 | 300,000 | 286,083 | |
2.9% 7/15/22 | 223,000 | 224,114 | |
3.5% 6/10/24 | 220,000 | 224,703 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 1,010,000 | 1,014,517 | |
3.9% 5/15/24 (a) | 620,000 | 635,932 | |
4.9% 2/1/24 | 1,140,000 | 1,186,490 | |
5.875% 1/15/24 | 365,000 | 385,739 | |
5.95% 12/1/25 | 370,000 | 405,935 | |
Enterprise Products Operating LP: | |||
3.35% 3/15/23 | 1,860,000 | 1,883,283 | |
3.75% 2/15/25 | 370,000 | 384,582 | |
EOG Resources, Inc. 3.15% 4/1/25 | 1,610,000 | 1,653,179 | |
Equinor ASA: | |||
2.875% 4/6/25 | 700,000 | 712,719 | |
3.7% 3/1/24 | 1,000,000 | 1,034,312 | |
Exxon Mobil Corp.: | |||
1.571% 4/15/23 | 1,660,000 | 1,663,372 | |
2.019% 8/16/24 | 3,230,000 | 3,240,504 | |
2.275% 8/16/26 | 650,000 | 653,425 | |
2.992% 3/19/25 | 900,000 | 924,052 | |
Kinder Morgan, Inc.: | |||
1.75% 11/15/26 | 610,000 | 582,996 | |
3.15% 1/15/23 | 2,951,000 | 2,985,104 | |
Marathon Petroleum Corp. 4.7% 5/1/25 | 1,675,000 | 1,778,977 | |
MPLX LP: | |||
1.75% 3/1/26 | 840,000 | 805,050 | |
3.375% 3/15/23 | 200,000 | 203,140 | |
4.5% 7/15/23 | 1,750,000 | 1,796,618 | |
ONEOK, Inc.: | |||
5.85% 1/15/26 | 520,000 | 580,792 | |
7.5% 9/1/23 | 670,000 | 715,043 | |
Phillips 66 Co. 3.85% 4/9/25 | 1,000,000 | 1,039,236 | |
Phillips 66 Partners LP 3.55% 10/1/26 | 390,000 | 401,143 | |
Pioneer Natural Resources Co.: | |||
0.55% 5/15/23 | 1,500,000 | 1,480,645 | |
1.125% 1/15/26 | 270,000 | 256,542 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.6% 11/1/24 | 920,000 | 941,522 | |
4.5% 12/15/26 | 230,000 | 245,309 | |
4.65% 10/15/25 | 140,000 | 148,233 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 3/1/25 | 1,050,000 | 1,133,009 | |
5.875% 6/30/26 | 450,000 | 498,991 | |
Shell International Finance BV: | |||
2% 11/7/24 | 700,000 | 701,653 | |
2.875% 5/10/26 | 300,000 | 308,479 | |
3.25% 5/11/25 | 310,000 | 321,564 | |
3.5% 11/13/23 | 2,460,000 | 2,533,313 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 1,050,000 | 1,097,495 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 780,000 | 790,893 | |
4% 9/15/25 | 760,000 | 791,614 | |
4.5% 11/15/23 | 810,000 | 839,925 | |
Total Capital International SA 3.75% 4/10/24 | 1,400,000 | 1,452,890 | |
TransCanada PipeLines Ltd. 4.875% 1/15/26 | 340,000 | 367,643 | |
Valero Energy Corp. 2.85% 4/15/25 | 1,000,000 | 1,007,325 | |
55,567,859 | |||
FINANCIALS - 13.5% | |||
Banks - 7.7% | |||
Abbey National PLC: | |||
2.1% 1/13/23 | 2,720,000 | 2,736,043 | |
4% 3/13/24 | 100,000 | 103,672 | |
Banco Santander SA: | |||
1.722% 9/14/27 (a) | 600,000 | 567,341 | |
1.849% 3/25/26 | 1,200,000 | 1,150,855 | |
5.179% 11/19/25 | 400,000 | 426,085 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (a)(b) | 1,250,000 | 1,228,405 | |
0.523% 6/14/24 (a) | 1,200,000 | 1,178,182 | |
0.81% 10/24/24 (a) | 1,880,000 | 1,834,926 | |
0.981% 9/25/25 (a) | 2,000,000 | 1,922,701 | |
1.319% 6/19/26 (a) | 1,000,000 | 955,478 | |
1.658% 3/11/27 (a) | 820,000 | 785,416 | |
1.734% 7/22/27 (a) | 3,260,000 | 3,111,874 | |
2.456% 10/22/25 (a) | 1,400,000 | 1,396,508 | |
2.881% 4/24/23 (a) | 190,000 | 190,367 | |
3.004% 12/20/23 (a) | 250,000 | 252,222 | |
3.3% 1/11/23 | 1,490,000 | 1,515,040 | |
3.458% 3/15/25 (a) | 1,080,000 | 1,100,725 | |
3.864% 7/23/24 (a) | 100,000�� | 102,260 | |
3.875% 8/1/25 | 2,130,000 | 2,229,140 | |
3.95% 4/21/25 | 580,000 | 601,457 | |
4.2% 8/26/24 | 320,000 | 333,183 | |
4.25% 10/22/26 | 2,030,000 | 2,143,371 | |
Bank of Montreal: | |||
0.949% 1/22/27 (a) | 100,000 | 94,316 | |
1.25% 9/15/26 | 750,000 | 711,145 | |
4.338% 10/5/28 (a) | 1,650,000 | 1,698,259 | |
Bank of Nova Scotia: | |||
0.55% 9/15/23 | 2,000,000 | 1,964,044 | |
1.3% 9/15/26 | 110,000 | 105,046 | |
2.2% 2/3/25 | 350,000 | 348,249 | |
2.7% 3/7/22 | 100,000 | 100,027 | |
3.4% 2/11/24 | 1,170,000 | 1,199,685 | |
4.5% 12/16/25 | 1,300,000 | 1,385,249 | |
Barclays PLC: | |||
2.279% 11/24/27 (a) | 1,200,000 | 1,157,579 | |
2.852% 5/7/26 (a) | 400,000 | 399,853 | |
4.338% 5/16/24 (a) | 2,400,000 | 2,466,277 | |
4.375% 9/11/24 | 1,220,000 | 1,263,922 | |
4.375% 1/12/26 | 520,000 | 547,871 | |
5.2% 5/12/26 | 200,000 | 214,386 | |
BB&T Corp. 3.75% 12/6/23 | 1,190,000 | 1,226,781 | |
Canadian Imperial Bank of Commerce: | |||
0.5% 12/14/23 | 100,000 | 97,376 | |
0.95% 6/23/23 | 1,500,000 | 1,484,378 | |
1.25% 6/22/26 | 490,000 | 463,112 | |
3.1% 4/2/24 | 1,200,000 | 1,223,762 | |
Capital One Bank NA 3.375% 2/15/23 | 650,000 | 660,005 | |
Citigroup, Inc.: | |||
1.122% 1/28/27 (a) | 2,100,000 | 1,977,471 | |
1.462% 6/9/27 (a) | 2,200,000 | 2,080,112 | |
2.7% 10/27/22 | 40,000 | 40,337 | |
3.106% 4/8/26 (a) | 2,040,000 | 2,066,714 | |
3.3% 4/27/25 | 1,420,000 | 1,453,936 | |
3.352% 4/24/25 (a) | 1,400,000 | 1,428,000 | |
4.4% 6/10/25 | 140,000 | 146,883 | |
4.6% 3/9/26 | 750,000 | 799,862 | |
5.5% 9/13/25 | 1,500,000 | 1,635,136 | |
Comerica, Inc. 3.7% 7/31/23 | 100,000 | 102,549 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 750,000 | 759,720 | |
Discover Bank 2.45% 9/12/24 | 1,150,000 | 1,150,594 | |
Export-Import Bank of Korea: | |||
0.625% 2/9/26 | 1,200,000 | 1,131,494 | |
2.375% 6/25/24 | 710,000 | 718,478 | |
Fifth Third Bancorp: | |||
2.375% 1/28/25 | 1,280,000 | 1,281,766 | |
2.6% 6/15/22 | 30,000 | 30,096 | |
3.65% 1/25/24 | 450,000 | 462,608 | |
HSBC Holdings PLC: | |||
0.732% 8/17/24 (a) | 800,000 | 782,568 | |
0.976% 5/24/25 (a) | 2,000,000 | 1,933,156 | |
2.633% 11/7/25 (a) | 1,600,000 | 1,597,490 | |
3.033% 11/22/23 (a) | 7,480,000 | 7,540,356 | |
3.262% 3/13/23 (a) | 200,000 | 200,104 | |
4% 3/30/22 | 37,000 | 37,085 | |
4.25% 8/18/25 | 444,000 | 461,313 | |
4.292% 9/12/26 (a) | 300,000 | 312,934 | |
ING Groep NV 1.726% 4/1/27 (a) | 484,000 | 462,536 | |
Intesa Sanpaolo SpA 5.25% 1/12/24 | 200,000 | 209,998 | |
Japan Bank International Cooperation: | |||
0.625% 5/22/23 | 6,820,000 | 6,758,923 | |
1.875% 7/21/26 | 900,000 | 898,974 | |
2.375% 7/21/22 | 450,000 | 452,495 | |
2.375% 11/16/22 | 200,000 | 201,778 | |
2.5% 5/23/24 | 200,000 | 203,561 | |
JPMorgan Chase & Co.: | |||
0.653% 9/16/24 (a) | 2,660,000 | 2,608,826 | |
0.768% 8/9/25 (a) | 2,100,000 | 2,018,494 | |
0.824% 6/1/25 (a) | 1,000,000 | 967,507 | |
1.04% 2/4/27 (a) | 1,500,000 | 1,403,525 | |
1.045% 11/19/26 (a) | 470,000 | 441,874 | |
1.47% 9/22/27 (a) | 690,000 | 651,217 | |
1.578% 4/22/27 (a) | 3,211,000 | 3,070,917 | |
2.083% 4/22/26 (a) | 1,500,000 | 1,477,560 | |
2.301% 10/15/25 (a) | 1,200,000 | 1,193,964 | |
3.2% 1/25/23 | 47,000 | 47,785 | |
3.2% 6/15/26 | 150,000 | 153,801 | |
3.22% 3/1/25 (a) | 730,000 | 742,347 | |
3.559% 4/23/24 (a) | 100,000 | 101,880 | |
3.797% 7/23/24 (a) | 860,000 | 880,573 | |
4.125% 12/15/26 | 460,000 | 489,311 | |
KeyBank NA 3.3% 6/1/25 | 1,200,000 | 1,239,919 | |
Korea Development Bank 0.4% 6/19/24 | 2,200,000 | 2,136,846 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (a) | 650,000 | 639,745 | |
1.326% 6/15/23 (a) | 477,000 | 476,404 | |
2.438% 2/5/26 (a) | 200,000 | 198,572 | |
2.907% 11/7/23 (a) | 600,000 | 604,226 | |
3.9% 3/12/24 | 200,000 | 206,202 | |
4.05% 8/16/23 | 1,540,000 | 1,586,644 | |
4.5% 11/4/24 | 2,290,000 | 2,389,411 | |
4.65% 3/24/26 | 330,000 | 348,045 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.412% 7/17/25 | 730,000 | 704,493 | |
1.538% 7/20/27 (a) | 900,000 | 853,754 | |
2.757% 9/13/26 | 1,110,000 | 1,115,255 | |
2.801% 7/18/24 | 3,500,000 | 3,545,831 | |
3.407% 3/7/24 | 270,000 | 276,558 | |
3.455% 3/2/23 | 900,000 | 916,422 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (a) | 1,708,000 | 1,673,302 | |
1.234% 5/22/27 (a) | 210,000 | 196,616 | |
1.554% 7/9/27 (a) | 743,000 | 702,852 | |
2.226% 5/25/26 (a) | 200,000 | 197,382 | |
2.839% 7/16/25 (a) | 200,000 | 201,847 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (a) | 1,186,000 | 1,188,787 | |
3.875% 9/12/23 | 425,000 | 435,276 | |
4.269% 3/22/25 (a) | 200,000 | 206,812 | |
4.519% 6/25/24 (a) | 400,000 | 412,078 | |
4.8% 4/5/26 | 990,000 | 1,061,436 | |
5.125% 5/28/24 | 490,000 | 515,616 | |
6.125% 12/15/22 | 2,370,000 | 2,448,575 | |
Oesterreichische Kontrollbank AG: | |||
0.375% 9/17/25 | 583,000 | 553,879 | |
3.125% 11/7/23 | 230,000 | 236,273 | |
PNC Bank NA 3.25% 6/1/25 | 1,040,000 | 1,075,651 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 900,000 | 861,571 | |
2.2% 11/1/24 | 560,000 | 562,222 | |
Rabobank Nederland 4.375% 8/4/25 | 360,000 | 376,922 | |
Rabobank Nederland New York Branch: | |||
0.375% 1/12/24 | 1,700,000 | 1,656,590 | |
2.75% 1/10/23 | 1,320,000 | 1,336,580 | |
Royal Bank of Canada: | |||
0.875% 1/20/26 | 2,060,000 | 1,949,371 | |
1.2% 4/27/26 | 500,000 | 474,925 | |
2.05% 1/21/27 | 600,000 | 588,376 | |
2.55% 7/16/24 | 1,190,000 | 1,202,720 | |
2.8% 4/29/22 | 1,190,000 | 1,194,517 | |
3.7% 10/5/23 | 560,000 | 576,438 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (a) | 500,000 | 485,686 | |
3.4% 1/18/23 | 420,000 | 426,214 | |
3.5% 6/7/24 | 210,000 | 214,063 | |
4.5% 7/17/25 | 1,270,000 | 1,333,268 | |
Santander UK Group Holdings PLC: | |||
1.089% 3/15/25 (a) | 400,000 | 388,025 | |
1.532% 8/21/26 (a) | 540,000 | 514,917 | |
1.673% 6/14/27 (a) | 420,000 | 397,005 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 1,500,000 | 1,447,685 | |
2.174% 1/14/27 | 1,400,000 | 1,366,467 | |
2.348% 1/15/25 | 800,000 | 797,136 | |
2.632% 7/14/26 | 1,520,000 | 1,522,793 | |
2.784% 7/12/22 | 67,000 | 67,425 | |
3.01% 10/19/26 | 240,000 | 243,887 | |
3.748% 7/19/23 | 115,000 | 117,963 | |
3.936% 10/16/23 | 1,740,000 | 1,795,506 | |
SVB Financial Group 1.8% 10/28/26 | 360,000 | 347,459 | |
Synchrony Bank 3% 6/15/22 | 250,000 | 251,051 | |
The Toronto-Dominion Bank: | |||
0.55% 3/4/24 | 4,440,000 | 4,311,909 | |
0.75% 1/6/26 | 520,000 | 489,847 | |
1.2% 6/3/26 | 390,000 | 371,733 | |
2.65% 6/12/24 | 1,550,000 | 1,568,667 | |
3.25% 3/11/24 | 280,000 | 287,505 | |
3.625% 9/15/31 (a) | 630,000 | 649,670 | |
Truist Financial Corp.: | |||
1.2% 8/5/25 | 1,100,000 | 1,059,716 | |
1.267% 3/2/27 (a) | 937,000 | 896,360 | |
U.S. Bancorp: | |||
2.375% 7/22/26 | 380,000 | 383,090 | |
3.6% 9/11/24 | 1,360,000 | 1,410,217 | |
3.7% 1/30/24 | 610,000 | 631,218 | |
3.95% 11/17/25 | 2,530,000 | 2,688,127 | |
Wells Fargo & Co.: | |||
0.805% 5/19/25 (a) | 2,500,000 | 2,419,384 | |
2.188% 4/30/26 (a) | 510,000 | 503,265 | |
2.406% 10/30/25 (a) | 1,390,000 | 1,385,501 | |
3% 2/19/25 | 600,000 | 611,466 | |
3% 10/23/26 | 100,000 | 101,253 | |
3.196% 6/17/27 (a) | 2,580,000 | 2,619,609 | |
3.55% 9/29/25 | 1,350,000 | 1,396,377 | |
3.75% 1/24/24 | 960,000 | 989,698 | |
4.1% 6/3/26 | 460,000 | 485,617 | |
Westpac Banking Corp.: | |||
2.5% 6/28/22 | 37,000 | 37,200 | |
2.85% 5/13/26 | 330,000 | 338,574 | |
2.894% 2/4/30 (a) | 630,000 | 622,385 | |
3.3% 2/26/24 | 2,690,000 | 2,767,216 | |
3.65% 5/15/23 | 60,000 | 61,511 | |
4.322% 11/23/31 (a) | 420,000 | 437,518 | |
180,611,305 | |||
Capital Markets - 2.7% | |||
Ares Capital Corp.: | |||
2.15% 7/15/26 | 100,000 | 94,341 | |
3.25% 7/15/25 | 150,000 | 148,552 | |
3.5% 2/10/23 | 2,070,000 | 2,092,744 | |
3.875% 1/15/26 | 800,000 | 811,075 | |
4.2% 6/10/24 | 250,000 | 258,238 | |
Bank of New York Mellon Corp.: | |||
0.35% 12/7/23 | 2,700,000 | 2,642,092 | |
0.75% 1/28/26 | 540,000 | 513,050 | |
3.4% 5/15/24 | 730,000 | 752,912 | |
3.65% 2/4/24 | 2,550,000 | 2,630,562 | |
BlackRock, Inc.: | |||
3.375% 6/1/22 | 35,000 | 35,234 | |
3.5% 3/18/24 | 410,000 | 424,573 | |
Charles Schwab Corp.: | |||
0.75% 3/18/24 | 686,000 | 671,609 | |
0.9% 3/11/26 | 940,000 | 890,831 | |
3.55% 2/1/24 | 450,000 | 462,716 | |
3.85% 5/21/25 | 1,100,000 | 1,155,631 | |
CME Group, Inc. 3% 3/15/25 | 310,000 | 318,070 | |
Credit Suisse AG: | |||
0.495% 2/2/24 | 1,200,000 | 1,161,852 | |
1.25% 8/7/26 | 430,000 | 404,616 | |
2.95% 4/9/25 | 1,500,000 | 1,519,302 | |
Credit Suisse Group AG: | |||
3.75% 3/26/25 | 400,000 | 410,253 | |
4.55% 4/17/26 | 920,000 | 971,512 | |
Deutsche Bank AG London Branch 3.7% 5/30/24 | 930,000 | 953,529 | |
Deutsche Bank AG New York Branch: | |||
1.686% 3/19/26 | 400,000 | 386,066 | |
2.129% 11/24/26 (a) | 1,400,000 | 1,347,910 | |
2.311% 11/16/27 (a) | 800,000 | 764,432 | |
3.95% 2/27/23 | 200,000 | 203,151 | |
Franklin Resources, Inc. 2.85% 3/30/25 | 160,000 | 163,359 | |
GE Capital Funding LLC 3.45% 5/15/25 | 330,000 | 339,758 | |
Goldman Sachs Group, Inc.: | |||
0.627% 11/17/23 (a) | 4,000,000 | 3,967,037 | |
0.855% 2/12/26 (a) | 550,000 | 525,374 | |
1.093% 12/9/26 (a) | 1,400,000 | 1,316,946 | |
1.431% 3/9/27 (a) | 1,660,000 | 1,568,208 | |
1.948% 10/21/27 (a) | 3,320,000 | 3,181,058 | |
2.905% 7/24/23 (a) | 155,000 | 155,803 | |
3.2% 2/23/23 | 200,000 | 202,452 | |
3.272% 9/29/25 (a) | 800,000 | 813,766 | |
3.625% 2/20/24 | 440,000 | 451,540 | |
3.75% 2/25/26 | 1,170,000 | 1,217,414 | |
4.25% 10/21/25 | 370,000 | 388,679 | |
Intercontinental Exchange, Inc.: | |||
0.7% 6/15/23 | 1,600,000 | 1,580,729 | |
2.35% 9/15/22 | 125,000 | 125,853 | |
3.45% 9/21/23 | 820,000 | 840,138 | |
Moody's Corp. 3.75% 3/24/25 | 450,000 | 469,541 | |
Morgan Stanley: | |||
0.56% 11/10/23 (a) | 500,000 | 496,092 | |
0.864% 10/21/25 (a) | 2,300,000 | 2,202,020 | |
0.985% 12/10/26 (a) | 1,600,000 | 1,498,468 | |
1.512% 7/20/27 (a) | 4,650,000 | 4,405,213 | |
1.593% 5/4/27 (a) | 1,300,000 | 1,236,343 | |
2.72% 7/22/25 (a) | 1,040,000 | 1,045,483 | |
2.75% 5/19/22 | 49,000 | 49,194 | |
3.125% 1/23/23 | 2,110,000 | 2,140,144 | |
4.35% 9/8/26 | 120,000 | 127,431 | |
4.875% 11/1/22 | 2,600,000 | 2,659,107 | |
5% 11/24/25 | 1,248,000 | 1,348,822 | |
6.25% 8/9/26 | 140,000 | 160,786 | |
NASDAQ, Inc. 3.85% 6/30/26 | 270,000 | 281,962 | |
Nomura Holdings, Inc.: | |||
1.653% 7/14/26 | 1,160,000 | 1,100,597 | |
1.851% 7/16/25 | 690,000 | 671,587 | |
S&P Global, Inc. 4% 6/15/25 | 290,000 | 305,468 | |
State Street Corp.: | |||
1.684% 11/18/27 (a) | 450,000 | 435,974 | |
3.3% 12/16/24 | 1,790,000 | 1,850,677 | |
3.776% 12/3/24 (a) | 700,000 | 722,432 | |
62,070,308 | |||
Consumer Finance - 1.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.75% 1/30/26 | 150,000 | 142,121 | |
2.45% 10/29/26 | 2,362,000 | 2,278,804 | |
2.875% 8/14/24 | 750,000 | 750,600 | |
3.3% 1/23/23 | 300,000 | 303,626 | |
4.125% 7/3/23 | 240,000 | 245,359 | |
4.45% 10/1/25 | 440,000 | 456,938 | |
4.5% 9/15/23 | 288,000 | 296,657 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 400,000 | 394,961 | |
3.05% 6/5/23 | 1,000,000 | 1,011,870 | |
5.125% 9/30/24 | 330,000 | 349,686 | |
5.8% 5/1/25 | 1,900,000 | 2,056,109 | |
American Express Co.: | |||
2.5% 7/30/24 | 3,102,000 | 3,146,033 | |
2.75% 5/20/22 | 1,010,000 | 1,012,464 | |
3.4% 2/22/24 | 200,000 | 205,761 | |
Capital One Financial Corp.: | |||
3.2% 1/30/23 | 2,055,000 | 2,083,810 | |
3.3% 10/30/24 | 440,000 | 450,413 | |
3.75% 7/28/26 | 340,000 | 351,477 | |
3.9% 1/29/24 | 1,270,000 | 1,310,413 | |
4.2% 10/29/25 | 640,000 | 669,715 | |
Discover Financial Services 4.5% 1/30/26 | 100,000 | 106,423 | |
Ford Motor Credit Co. LLC 3.81% 1/9/24 | 200,000 | 202,283 | |
GE Capital International Funding Co. 3.373% 11/15/25 | 550,000 | 566,638 | |
John Deere Capital Corp.: | |||
0.625% 9/10/24 | 2,000,000 | 1,943,603 | |
2.7% 1/6/23 | 1,774,000 | 1,794,915 | |
2.95% 4/1/22 | 3,700,000 | 3,707,043 | |
3.65% 10/12/23 | 450,000 | 463,468 | |
Synchrony Financial: | |||
3.7% 8/4/26 | 220,000 | 224,694 | |
4.5% 7/23/25 | 448,000 | 470,279 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 1,730,000 | 1,704,499 | |
0.8% 10/16/25 | 560,000 | 532,123 | |
0.8% 1/9/26 | 1,120,000 | 1,063,345 | |
1.8% 2/13/25 | 100,000 | 99,242 | |
2.15% 9/8/22 | 2,044,000 | 2,055,112 | |
2.9% 3/30/23 | 510,000 | 518,059 | |
3% 4/1/25 | 860,000 | 880,477 | |
33,849,020 | |||
Diversified Financial Services - 1.1% | |||
AB Svensk Exportkredit 0.25% 9/29/23 | 2,834,000 | 2,781,112 | |
Berkshire Hathaway, Inc. 3.125% 3/15/26 | 1,120,000 | 1,161,766 | |
Blackstone Private Credit Fund: | |||
2.625% 12/15/26 (c) | 200,000 | 186,165 | |
2.7% 1/15/25 (c) | 960,000 | 936,652 | |
BP Capital Markets America, Inc.: | |||
2.75% 5/10/23 | 760,000 | 769,071 | |
3.41% 2/11/26 | 790,000 | 818,596 | |
Brixmor Operating Partnership LP 4.125% 6/15/26 | 500,000 | 528,400 | |
DH Europe Finance II SARL 2.2% 11/15/24 | 700,000 | 700,356 | |
KfW: | |||
0.25% 10/19/23 | 7,000,000 | 6,870,036 | |
0.375% 7/18/25 | 1,650,000 | 1,574,419 | |
2.125% 3/7/22 | 77,000 | 77,018 | |
2.375% 12/29/22 | 1,972,000 | 1,993,793 | |
2.5% 11/20/24 | 1,590,000 | 1,625,372 | |
2.625% 2/28/24 | 2,000,000 | 2,043,765 | |
Landwirtschaftliche Rentenbank 3.125% 11/14/23 | 3,350,000 | 3,443,680 | |
Voya Financial, Inc. 5.65% 5/15/53 (a) | 310,000 | 313,016 | |
25,823,217 | |||
Insurance - 0.5% | |||
ACE INA Holdings, Inc.: | |||
2.875% 11/3/22 | 55,000 | 55,512 | |
3.35% 5/15/24 | 880,000 | 906,861 | |
3.35% 5/3/26 | 620,000 | 643,949 | |
AFLAC, Inc. 3.25% 3/17/25 | 780,000 | 803,873 | |
Allstate Corp.: | |||
0.75% 12/15/25 | 590,000 | 555,449 | |
3.15% 6/15/23 | 100,000 | 101,619 | |
5.75% 8/15/53 (a) | 320,000 | 322,064 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 2,550,000 | 2,561,256 | |
4.125% 2/15/24 | 620,000 | 645,677 | |
Aon PLC 3.875% 12/15/25 | 570,000 | 595,258 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 3/10/25 | 1,140,000 | 1,180,787 | |
3.875% 3/15/24 | 732,000 | 757,451 | |
MetLife, Inc.: | |||
3.6% 4/10/24 | 200,000 | 207,011 | |
4.368% 9/15/23 (a) | 1,260,000 | 1,304,429 | |
Pricoa Global Funding I 5.625% 6/15/43 (a) | 1,030,000 | 1,055,750 | |
Prudential Financial, Inc. 1.5% 3/10/26 | 160,000 | 156,499 | |
11,853,445 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Delta Air Lines Pass Through Trust 3.204% 10/25/25 | 170,000 | 173,174 | |
TOTAL FINANCIALS | 314,380,469 | ||
HEALTH CARE - 2.4% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
2.3% 11/21/22 | 300,000 | 301,850 | |
2.6% 11/21/24 | 1,010,000 | 1,019,584 | |
3.2% 5/14/26 | 100,000 | 102,543 | |
3.75% 11/14/23 | 2,230,000 | 2,299,415 | |
3.8% 3/15/25 | 800,000 | 831,862 | |
3.85% 6/15/24 | 1,845,000 | 1,907,771 | |
Amgen, Inc.: | |||
1.9% 2/21/25 | 600,000 | 598,178 | |
3.625% 5/22/24 | 730,000 | 754,145 | |
Gilead Sciences, Inc.: | |||
3.5% 2/1/25 | 2,490,000 | 2,576,466 | |
3.65% 3/1/26 | 210,000 | 218,983 | |
10,610,797 | |||
Health Care Equipment & Supplies - 0.4% | |||
Abbott Laboratories: | |||
2.95% 3/15/25 | 850,000 | 870,812 | |
3.875% 9/15/25 | 670,000 | 708,764 | |
Baxter International, Inc. 1.915% 2/1/27 (c) | 1,200,000 | 1,163,401 | |
Becton, Dickinson & Co. 3.363% 6/6/24 | 993,000 | 1,017,371 | |
Boston Scientific Corp. 3.45% 3/1/24 | 1,498,000 | 1,535,879 | |
Medtronic, Inc. 3.5% 3/15/25 | 680,000 | 708,468 | |
Stryker Corp.: | |||
1.15% 6/15/25 | 1,090,000 | 1,050,034 | |
3.375% 5/15/24 | 540,000 | 553,095 | |
Zimmer Biomet Holdings, Inc.: | |||
3.05% 1/15/26 | 250,000 | 254,654 | |
3.55% 4/1/25 | 870,000 | 894,624 | |
8,757,102 | |||
Health Care Providers & Services - 0.8% | |||
Aetna, Inc. 3.5% 11/15/24 | 980,000 | 1,007,744 | |
Anthem, Inc.: | |||
2.375% 1/15/25 | 1,560,000 | 1,565,720 | |
2.95% 12/1/22 | 25,000 | 25,284 | |
Cigna Corp.: | |||
1.25% 3/15/26 | 1,280,000 | 1,224,467 | |
3.05% 11/30/22 | 50,000 | 50,627 | |
3.25% 4/15/25 | 800,000 | 817,040 | |
3.75% 7/15/23 | 707,000 | 725,298 | |
4.5% 2/25/26 | 130,000 | 139,146 | |
CVS Health Corp.: | |||
2.625% 8/15/24 | 224,000 | 226,690 | |
2.875% 6/1/26 | 530,000 | 536,338 | |
3% 8/15/26 | 560,000 | 569,913 | |
3.375% 8/12/24 | 1,310,000 | 1,345,991 | |
3.5% 7/20/22 | 2,440,000 | 2,451,881 | |
HCA Holdings, Inc.: | |||
5.25% 4/15/25 | 700,000 | 751,486 | |
5.25% 6/15/26 | 840,000 | 909,559 | |
Humana, Inc. 1.35% 2/3/27 | 1,115,000 | 1,051,330 | |
Sabra Health Care LP 5.125% 8/15/26 | 210,000 | 223,116 | |
UnitedHealth Group, Inc.: | |||
1.15% 5/15/26 | 886,000 | 848,224 | |
2.375% 10/15/22 | 21,000 | 21,158 | |
2.375% 8/15/24 | 400,000 | 405,315 | |
2.875% 3/15/23 | 2,650,000 | 2,695,937 | |
3.5% 6/15/23 | 200,000 | 204,918 | |
Universal Health Services, Inc. 1.65% 9/1/26 (c) | 270,000 | 256,392 | |
18,053,574 | |||
Life Sciences Tools & Services - 0.0% | |||
PerkinElmer, Inc. 0.85% 9/15/24 | 200,000 | 192,953 | |
Pharmaceuticals - 0.8% | |||
AstraZeneca Finance LLC 1.2% 5/28/26 | 2,000,000 | 1,916,677 | |
AstraZeneca PLC: | |||
2.375% 6/12/22 | 27,000 | 27,082 | |
3.5% 8/17/23 | 510,000 | 523,354 | |
Bristol-Myers Squibb Co.: | |||
0.75% 11/13/25 | 1,100,000 | 1,044,894 | |
2.6% 5/16/22 | 250,000 | 250,948 | |
2.9% 7/26/24 | 1,700,000 | 1,739,548 | |
3.2% 6/15/26 | 450,000 | 468,705 | |
3.25% 2/20/23 | 1,043,000 | 1,061,060 | |
GlaxoSmithKline Capital PLC 3% 6/1/24 | 240,000 | 244,921 | |
GlaxoSmithKline Capital, Inc. 3.625% 5/15/25 | 1,000,000 | 1,043,967 | |
Johnson & Johnson: | |||
0.55% 9/1/25 | 1,000,000 | 953,218 | |
2.25% 3/3/22 | 88,000 | 88,002 | |
2.625% 1/15/25 | 700,000 | 714,998 | |
Merck & Co., Inc. 1.7% 6/10/27 | 2,000,000 | 1,946,969 | |
Novartis Capital Corp.: | |||
1.75% 2/14/25 | 200,000 | 198,764 | |
2.4% 5/17/22 | 270,000 | 270,588 | |
2.4% 9/21/22 | 33,000 | 33,232 | |
3% 11/20/25 | 1,010,000 | 1,040,638 | |
3.4% 5/6/24 | 385,000 | 398,018 | |
Perrigo Finance PLC 4.375% 3/15/26 | 390,000 | 390,955 | |
Pfizer, Inc.: | |||
2.75% 6/3/26 | 620,000 | 636,841 | |
2.95% 3/15/24 | 720,000 | 737,156 | |
3% 12/15/26 | 110,000 | 113,998 | |
3.2% 9/15/23 | 700,000 | 717,958 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.875% 9/23/23 | 1,710,000 | 1,732,040 | |
3.2% 9/23/26 | 480,000 | 492,678 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,000,000 | 1,032,572 | |
Viatris, Inc. 1.65% 6/22/25 | 140,000 | 135,260 | |
19,955,041 | |||
TOTAL HEALTH CARE | 57,569,467 | ||
INDUSTRIALS - 2.0% | |||
Aerospace & Defense - 0.5% | |||
General Dynamics Corp.: | |||
2.125% 8/15/26 | 180,000 | 179,759 | |
2.375% 11/15/24 | 290,000 | 294,408 | |
3.25% 4/1/25 | 120,000 | 123,829 | |
3.5% 5/15/25 | 820,000 | 848,354 | |
Huntington Ingalls Industries, Inc. 3.844% 5/1/25 | 210,000 | 217,634 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 520,000 | 532,953 | |
3.55% 1/15/26 | 750,000 | 789,949 | |
Northrop Grumman Corp. 2.93% 1/15/25 | 1,460,000 | 1,487,837 | |
Raytheon Technologies Corp.: | |||
3.65% 8/16/23 | 18,000 | 18,456 | |
3.95% 8/16/25 | 1,320,000 | 1,391,050 | |
The Boeing Co.: | |||
1.95% 2/1/24 | 1,320,000 | 1,314,719 | |
2.196% 2/4/26 | 1,750,000 | 1,707,485 | |
2.75% 2/1/26 | 350,000 | 350,256 | |
2.8% 3/1/23 | 60,000 | 60,629 | |
2.85% 10/30/24 | 950,000 | 960,360 | |
3.1% 5/1/26 | 100,000 | 100,874 | |
4.875% 5/1/25 | 1,350,000 | 1,435,162 | |
11,813,714 | |||
Air Freight & Logistics - 0.1% | |||
FedEx Corp. 3.25% 4/1/26 | 310,000 | 323,383 | |
United Parcel Service, Inc.: | |||
2.4% 11/15/26 | 210,000 | 211,774 | |
2.5% 4/1/23 | 800,000 | 808,075 | |
2.8% 11/15/24 | 130,000 | 132,068 | |
3.9% 4/1/25 | 420,000 | 442,164 | |
1,917,464 | |||
Airlines - 0.0% | |||
Southwest Airlines Co.: | |||
4.75% 5/4/23 | 100,000 | 103,365 | |
5.25% 5/4/25 | 980,000 | 1,059,593 | |
United Airlines 2020-1 Class B Pass Through Trust 4.875% 7/15/27 | 276,480 | 282,184 | |
1,445,142 | |||
Building Products - 0.1% | |||
Carrier Global Corp. 2.242% 2/15/25 | 1,362,000 | 1,358,162 | |
Owens Corning 3.4% 8/15/26 | 260,000 | 268,275 | |
1,626,437 | |||
Commercial Services & Supplies - 0.1% | |||
FMS Wertmanagement AoeR 2.75% 1/30/24 | 200,000 | 204,660 | |
Republic Services, Inc.: | |||
2.5% 8/15/24 | 100,000 | 100,901 | |
2.9% 7/1/26 | 530,000 | 537,458 | |
3.2% 3/15/25 | 130,000 | 132,978 | |
Waste Management, Inc.: | |||
0.75% 11/15/25 | 290,000 | 274,259 | |
2.4% 5/15/23 | 390,000 | 392,648 | |
1,642,904 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp. 2.75% 11/2/22 | 670,000 | 676,491 | |
Hubbell, Inc. 3.35% 3/1/26 | 110,000 | 113,524 | |
790,015 | |||
Industrial Conglomerates - 0.3% | |||
3M Co.: | |||
2% 6/26/22 | 4,270,000 | 4,283,979 | |
2.65% 4/15/25 | 55,000 | 55,866 | |
Honeywell International, Inc.: | |||
1.35% 6/1/25 | 1,100,000 | 1,076,701 | |
2.3% 8/15/24 | 110,000 | 111,404 | |
2.5% 11/1/26 | 410,000 | 415,083 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 295,000 | 294,006 | |
1% 9/15/25 | 518,000 | 492,716 | |
3.125% 11/15/22 | 100,000 | 100,929 | |
3.65% 9/15/23 | 360,000 | 369,449 | |
3.8% 12/15/26 | 280,000 | 294,493 | |
7,494,626 | |||
Machinery - 0.4% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 400,000 | 392,971 | |
0.95% 1/10/24 | 100,000 | 98,743 | |
1.15% 9/14/26 | 420,000 | 400,941 | |
1.45% 5/15/25 | 1,120,000 | 1,096,189 | |
1.7% 1/8/27 | 370,000 | 361,240 | |
2.85% 5/17/24 | 1,180,000 | 1,205,217 | |
3.25% 12/1/24 | 860,000 | 890,094 | |
3.45% 5/15/23 | 130,000 | 133,252 | |
Caterpillar, Inc. 3.4% 5/15/24 | 750,000 | 773,572 | |
Deere & Co. 2.75% 4/15/25 | 460,000 | 468,779 | |
Illinois Tool Works, Inc. 3.5% 3/1/24 | 290,000 | 298,534 | |
Ingersoll-Rand Luxembourg Finance SA 3.5% 3/21/26 | 310,000 | 323,572 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 550,000 | 545,847 | |
Parker Hannifin Corp. 2.7% 6/14/24 | 440,000 | 445,454 | |
Stanley Black & Decker, Inc. 3.4% 3/1/26 | 610,000 | 637,546 | |
Westinghouse Air Brake Tech Co.: | |||
3.2% 6/15/25 | 410,000 | 413,877 | |
3.45% 11/15/26 | 280,000 | 283,397 | |
4.4% 3/15/24 | 100,000 | 103,598 | |
8,872,823 | |||
Professional Services - 0.0% | |||
Leidos, Inc.: | |||
2.95% 5/15/23 | 210,000 | 212,537 | |
3.625% 5/15/25 | 210,000 | 215,935 | |
Thomson Reuters Corp. 3.35% 5/15/26 | 260,000 | 268,920 | |
697,392 | |||
Road & Rail - 0.3% | |||
Burlington Northern Santa Fe LLC: | |||
3% 3/15/23 | 890,000 | 901,632 | |
3.05% 9/1/22 | 34,000 | 34,157 | |
3.4% 9/1/24 | 970,000 | 998,514 | |
3.85% 9/1/23 | 730,000 | 753,802 | |
Canadian Pacific Railway Co. 1.75% 12/2/26 | 1,133,000 | 1,098,858 | |
CSX Corp. 3.35% 11/1/25 | 760,000 | 785,854 | |
Norfolk Southern Corp. 2.9% 6/15/26 | 490,000 | 501,515 | |
Union Pacific Corp.: | |||
2.75% 4/15/23 | 50,000 | 50,552 | |
2.75% 3/1/26 | 740,000 | 751,226 | |
3.75% 3/15/24 | 410,000 | 424,052 | |
3.75% 7/15/25 | 120,000 | 125,984 | |
6,426,146 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 570,000 | 552,301 | |
2.75% 1/15/23 | 100,000 | 100,826 | |
3.375% 7/1/25 | 2,230,000 | 2,255,965 | |
3.875% 7/3/23 | 230,000 | 235,138 | |
4.25% 2/1/24 | 670,000 | 691,825 | |
International Lease Finance Corp. 5.875% 8/15/22 | 75,000 | 76,452 | |
3,912,507 | |||
TOTAL INDUSTRIALS | 46,639,170 | ||
INFORMATION TECHNOLOGY - 2.8% | |||
Communications Equipment - 0.1% | |||
Cisco Systems, Inc.: | |||
2.95% 2/28/26 | 670,000 | 695,127 | |
3.625% 3/4/24 | 1,490,000 | 1,536,739 | |
2,231,866 | |||
Electronic Equipment & Components - 0.2% | |||
Dell International LLC/EMC Corp.: | |||
4% 7/15/24 | 710,000 | 736,686 | |
5.45% 6/15/23 | 169,000 | 175,914 | |
5.85% 7/15/25 | 2,110,000 | 2,311,213 | |
6.02% 6/15/26 | 630,000 | 702,985 | |
Flex Ltd.: | |||
3.75% 2/1/26 | 280,000 | 289,126 | |
4.75% 6/15/25 | 100,000 | 106,178 | |
Vontier Corp. 1.8% 4/1/26 | 210,000 | 195,768 | |
4,517,870 | |||
IT Services - 0.8% | |||
Automatic Data Processing, Inc. 3.375% 9/15/25 | 420,000 | 438,541 | |
CDW LLC/CDW Finance Corp.: | |||
2.67% 12/1/26 | 250,000 | 244,438 | |
4.125% 5/1/25 | 250,000 | 253,370 | |
5.5% 12/1/24 | 100,000 | 104,651 | |
Fidelity National Information Services, Inc. 1.15% 3/1/26 | 609,000 | 574,967 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 2,250,000 | 2,272,894 | |
3.2% 7/1/26 | 280,000 | 286,081 | |
3.85% 6/1/25 | 100,000 | 104,036 | |
Global Payments, Inc.: | |||
1.2% 3/1/26 | 1,057,000 | 997,687 | |
2.65% 2/15/25 | 290,000 | 291,170 | |
IBM Corp.: | |||
2.85% 5/13/22 | 900,000 | 904,049 | |
3% 5/15/24 | 1,400,000 | 1,431,887 | |
3.375% 8/1/23 | 2,170,000 | 2,224,061 | |
3.45% 2/19/26 | 1,290,000 | 1,348,204 | |
MasterCard, Inc. 2% 3/3/25 | 1,100,000 | 1,106,778 | |
PayPal Holdings, Inc.: | |||
1.35% 6/1/23 | 500,000 | 498,417 | |
1.65% 6/1/25 | 1,300,000 | 1,273,816 | |
2.4% 10/1/24 | 320,000 | 322,542 | |
The Western Union Co.: | |||
1.35% 3/15/26 | 330,000 | 314,762 | |
2.85% 1/10/25 | 100,000 | 101,244 | |
Visa, Inc.: | |||
2.15% 9/15/22 | 43,000 | 43,270 | |
2.8% 12/14/22 | 1,410,000 | 1,425,486 | |
3.15% 12/14/25 | 1,550,000 | 1,606,192 | |
18,168,543 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Analog Devices, Inc. 2.95% 4/1/25 | 570,000 | 583,690 | |
Broadcom, Inc.: | |||
3.15% 11/15/25 | 1,846,000 | 1,880,657 | |
3.459% 9/15/26 | 491,000 | 505,486 | |
Intel Corp.: | |||
2.6% 5/19/26 | 100,000 | 102,130 | |
3.4% 3/25/25 | 1,643,000 | 1,700,162 | |
3.7% 7/29/25 | 450,000 | 471,362 | |
Marvell Technology, Inc. 1.65% 4/15/26 | 270,000 | 259,996 | |
Microchip Technology, Inc.: | |||
2.67% 9/1/23 | 800,000 | 807,157 | |
4.25% 9/1/25 | 500,000 | 513,143 | |
4.333% 6/1/23 | 160,000 | 164,569 | |
Micron Technology, Inc. 4.975% 2/6/26 | 210,000 | 225,523 | |
NVIDIA Corp. 0.584% 6/14/24 | 1,500,000 | 1,459,642 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.7% 5/1/25 (c) | 960,000 | 965,514 | |
3.875% 6/18/26 (c) | 170,000 | 177,857 | |
Qualcomm, Inc.: | |||
2.9% 5/20/24 | 1,020,000 | 1,042,050 | |
3% 5/20/22 | 38,000 | 38,070 | |
10,897,008 | |||
Software - 0.6% | |||
Fortinet, Inc. 1% 3/15/26 | 210,000 | 196,900 | |
Microsoft Corp.: | |||
2.125% 11/15/22 | 220,000 | 221,770 | |
2.7% 2/12/25 | 2,120,000 | 2,180,568 | |
2.875% 2/6/24 | 1,630,000 | 1,669,022 | |
3.125% 11/3/25 | 620,000 | 642,997 | |
3.625% 12/15/23 | 2,000,000 | 2,078,374 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 1,956,000 | 1,873,880 | |
2.5% 4/1/25 | 1,700,000 | 1,697,715 | |
2.625% 2/15/23 | 1,655,000 | 1,665,855 | |
2.65% 7/15/26 | 840,000 | 834,245 | |
VMware, Inc.: | |||
1.4% 8/15/26 | 1,177,000 | 1,115,554 | |
4.5% 5/15/25 | 100,000 | 105,863 | |
14,282,743 | |||
Technology Hardware, Storage & Peripherals - 0.6% | |||
Apple, Inc.: | |||
0.55% 8/20/25 | 1,100,000 | 1,047,186 | |
0.7% 2/8/26 | 1,100,000 | 1,051,883 | |
1.125% 5/11/25 | 1,500,000 | 1,462,641 | |
1.8% 9/11/24 | 2,870,000 | 2,867,663 | |
2.1% 9/12/22 | 124,000 | 124,729 | |
2.3% 5/11/22 | 910,000 | 912,080 | |
2.4% 1/13/23 | 1,250,000 | 1,261,598 | |
2.45% 8/4/26 | 100,000 | 101,521 | |
2.5% 2/9/25 | 1,100,000 | 1,117,701 | |
2.7% 5/13/22 | 36,000 | 36,138 | |
2.75% 1/13/25 | 600,000 | 614,363 | |
3.25% 2/23/26 | 1,530,000 | 1,597,271 | |
3.45% 5/6/24 | 100,000 | 103,514 | |
Hewlett Packard Enterprise Co. 4.9% 10/15/25 (a) | 1,310,000 | 1,405,262 | |
HP, Inc. 1.45% 6/17/26 | 1,000,000 | 948,188 | |
14,651,738 | |||
TOTAL INFORMATION TECHNOLOGY | 64,749,768 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.3% | |||
DuPont de Nemours, Inc. 4.205% 11/15/23 | 4,052,000 | 4,196,767 | |
Eastman Chemical Co.: | |||
3.6% 8/15/22 | 685,000 | 688,642 | |
3.8% 3/15/25 | 160,000 | 165,595 | |
LYB International Finance III LLC 1.25% 10/1/25 | 800,000 | 764,108 | |
PPG Industries, Inc. 1.2% 3/15/26 | 100,000 | 95,456 | |
Sherwin-Williams Co.: | |||
2.75% 6/1/22 | 51,000 | 51,118 | |
3.125% 6/1/24 | 1,090,000 | 1,113,340 | |
The Dow Chemical Co. 3.625% 5/15/26 | 300,000 | 313,177 | |
The Mosaic Co.: | |||
3.25% 11/15/22 | 200,000 | 202,496 | |
4.25% 11/15/23 | 380,000 | 392,875 | |
7,983,574 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 0.65% 7/15/23 | 250,000 | 246,067 | |
Containers & Packaging - 0.1% | |||
Berry Global, Inc.: | |||
0.95% 2/15/24 | 800,000 | 778,043 | |
1.57% 1/15/26 | 280,000 | 266,762 | |
1.65% 1/15/27 | 120,000 | 111,914 | |
WRKCo, Inc.: | |||
3% 9/15/24 | 190,000 | 193,522 | |
4.65% 3/15/26 | 340,000 | 367,239 | |
1,717,480 | |||
Metals & Mining - 0.1% | |||
Nucor Corp.: | |||
2% 6/1/25 | 240,000 | 237,376 | |
4% 8/1/23 | 100,000 | 102,656 | |
Southern Copper Corp. 3.875% 4/23/25 | 240,000 | 246,270 | |
Vale Overseas Ltd. 6.25% 8/10/26 | 640,000 | 719,720 | |
1,306,022 | |||
TOTAL MATERIALS | 11,253,143 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Alexandria Real Estate Equities, Inc. 3.45% 4/30/25 | 520,000 | 538,220 | |
American Campus Communities Operating Partnership LP 3.3% 7/15/26 | 250,000 | 257,893 | |
American Tower Corp.: | |||
1.3% 9/15/25 | 677,000 | 647,960 | |
1.6% 4/15/26 | 880,000 | 844,633 | |
3.375% 5/15/24 | 763,000 | 778,385 | |
4.4% 2/15/26 | 290,000 | 307,524 | |
AvalonBay Communities, Inc.: | |||
2.95% 5/11/26 | 290,000 | 297,312 | |
3.45% 6/1/25 | 620,000 | 640,415 | |
Boston Properties, Inc.: | |||
2.75% 10/1/26 | 640,000 | 641,932 | |
3.65% 2/1/26 | 320,000 | 331,399 | |
3.8% 2/1/24 | 520,000 | 534,450 | |
Crown Castle International Corp.: | |||
1.05% 7/15/26 | 250,000 | 232,899 | |
1.35% 7/15/25 | 439,000 | 421,132 | |
3.7% 6/15/26 | 480,000 | 495,525 | |
4.45% 2/15/26 | 260,000 | 274,888 | |
Equinix, Inc. 1.45% 5/15/26 | 491,000 | 467,185 | |
Federal Realty Investment Trust 1.25% 2/15/26 | 290,000 | 277,312 | |
Healthcare Trust of America Holdings LP 3.5% 8/1/26 | 240,000 | 248,627 | |
Kilroy Realty LP 4.375% 10/1/25 | 300,000 | 315,237 | |
Kimco Realty Corp. 3.3% 2/1/25 | 1,630,000 | 1,669,691 | |
National Retail Properties, Inc. 4% 11/15/25 | 240,000 | 253,856 | |
Office Properties Income Trust 4.5% 2/1/25 | 540,000 | 553,348 | |
Omega Healthcare Investors, Inc. 5.25% 1/15/26 | 500,000 | 535,026 | |
Realty Income Corp.: | |||
4.6% 2/6/24 | 450,000 | 468,411 | |
4.625% 11/1/25 | 1,380,000 | 1,482,324 | |
Simon Property Group LP: | |||
2% 9/13/24 | 970,000 | 966,884 | |
3.3% 1/15/26 | 800,000 | 819,842 | |
3.5% 9/1/25 | 360,000 | 371,698 | |
Ventas Realty LP: | |||
3.5% 4/15/24 | 100,000 | 102,558 | |
3.5% 2/1/25 | 931,000 | 959,086 | |
4.125% 1/15/26 | 120,000 | 127,095 | |
Vornado Realty LP 2.15% 6/1/26 | 400,000 | 388,338 | |
Welltower, Inc.: | |||
3.625% 3/15/24 | 740,000 | 760,092 | |
4% 6/1/25 | 320,000 | 335,018 | |
4.25% 4/1/26 | 140,000 | 149,167 | |
WP Carey, Inc. 4% 2/1/25 | 570,000 | 595,042 | |
19,090,404 | |||
Real Estate Management & Development - 0.1% | |||
CBRE Group, Inc. 4.875% 3/1/26 | 250,000 | 271,018 | |
Essex Portfolio LP 3.5% 4/1/25 | 630,000 | 649,621 | |
Mid-America Apartments LP 4% 11/15/25 | 480,000 | 504,027 | |
1,424,666 | |||
TOTAL REAL ESTATE | 20,515,070 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.0% | |||
AEP Transmission Co. LLC 3.1% 12/1/26 | 180,000 | 184,075 | |
American Electric Power Co., Inc. 1% 11/1/25 | 260,000 | 246,168 | |
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 220,000 | 228,724 | |
Connecticut Light & Power Co.: | |||
0.75% 12/1/25 | 100,000 | 94,213 | |
2.5% 1/15/23 | 100,000 | 100,594 | |
DTE Electric Co. 3.65% 3/15/24 | 360,000 | 371,314 | |
Duke Energy Carolinas LLC 3.35% 5/15/22 | 720,000 | 723,757 | |
Duke Energy Corp.: | |||
0.9% 9/15/25 | 100,000 | 94,898 | |
2.4% 8/15/22 | 102,000 | 102,553 | |
2.65% 9/1/26 | 340,000 | 341,616 | |
3.75% 4/15/24 | 1,100,000 | 1,134,750 | |
3.95% 10/15/23 | 1,460,000 | 1,498,413 | |
Entergy Corp. 0.9% 9/15/25 | 1,100,000 | 1,041,286 | |
Entergy Louisiana LLC 2.4% 10/1/26 | 490,000 | 485,614 | |
Eversource Energy: | |||
2.75% 3/15/22 | 24,000 | 24,016 | |
2.9% 10/1/24 | 780,000 | 790,777 | |
3.8% 12/1/23 | 480,000 | 493,443 | |
Exelon Corp.: | |||
3.497% 6/1/22 (a) | 462,000 | 463,442 | |
3.95% 6/15/25 | 630,000 | 655,321 | |
FirstEnergy Corp.: | |||
2.05% 3/1/25 | 340,000 | 330,670 | |
3.35% 7/15/22 | 970,000 | 967,381 | |
Florida Power & Light Co.: | |||
2.85% 4/1/25 | 389,000 | 397,271 | |
3.125% 12/1/25 | 530,000 | 545,810 | |
Fortis, Inc. 3.055% 10/4/26 | 460,000 | 465,112 | |
Georgia Power Co. 2.1% 7/30/23 | 910,000 | 912,758 | |
NextEra Energy Capital Holdings, Inc.: | |||
0.65% 3/1/23 | 770,000 | 762,590 | |
1.875% 1/15/27 | 430,000 | 415,959 | |
Oncor Electric Delivery Co. LLC: | |||
0.55% 10/1/25 | 340,000 | 318,672 | |
2.75% 6/1/24 | 770,000 | 780,588 | |
Pacific Gas & Electric Co.: | |||
2.95% 3/1/26 | 100,000 | 98,701 | |
3.15% 1/1/26 | 1,360,000 | 1,352,401 | |
3.45% 7/1/25 | 240,000 | 242,312 | |
Pinnacle West Capital Corp. 1.3% 6/15/25 | 140,000 | 134,374 | |
PPL Capital Funding, Inc. 3.1% 5/15/26 | 270,000 | 274,913 | |
Public Service Electric & Gas Co. 0.95% 3/15/26 | 180,000 | 171,818 | |
Southern California Edison Co. 3.7% 8/1/25 | 1,680,000 | 1,743,353 | |
Southern Co.: | |||
2.95% 7/1/23 | 790,000 | 799,683 | |
3.25% 7/1/26 | 1,890,000 | 1,938,006 | |
Southwestern Electric Power Co. 2.75% 10/1/26 | 320,000 | 322,690 | |
Virginia Electric & Power Co.: | |||
2.95% 11/15/26 | 180,000 | 184,068 | |
3.15% 1/15/26 | 360,000 | 370,344 | |
Xcel Energy, Inc. 3.3% 6/1/25 | 100,000 | 102,222 | |
22,706,670 | |||
Gas Utilities - 0.2% | |||
Dominion Gas Holdings LLC 2.5% 11/15/24 | 3,041,000 | 3,043,367 | |
ONE Gas, Inc. 0.85% 3/11/23 | 540,000 | 535,477 | |
Southern California Gas Co.: | |||
2.6% 6/15/26 | 320,000 | 323,498 | |
3.15% 9/15/24 | 230,000 | 235,479 | |
4,137,821 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP 3.55% 6/15/26 | 390,000 | 401,095 | |
Exelon Generation Co. LLC 3.25% 6/1/25 | 1,280,000 | 1,306,949 | |
Southern Power Co. 4.15% 12/1/25 | 380,000 | 403,604 | |
The AES Corp. 1.375% 1/15/26 | 330,000 | 313,618 | |
2,425,266 | |||
Multi-Utilities - 0.4% | |||
Ameren Corp. 2.5% 9/15/24 | 400,000 | 402,071 | |
Berkshire Hathaway Energy Co.: | |||
2.8% 1/15/23 | 2,800,000 | 2,834,703 | |
4.05% 4/15/25 | 1,000,000 | 1,054,212 | |
CenterPoint Energy, Inc. 1.45% 6/1/26 | 370,000 | 354,505 | |
Dominion Energy, Inc. 1.45% 4/15/26 | 1,500,000 | 1,443,672 | |
DTE Energy Co.: | |||
1.05% 6/1/25 | 920,000 | 878,838 | |
2.85% 10/1/26 | 100,000 | 100,948 | |
NiSource, Inc. 0.95% 8/15/25 | 1,343,000 | 1,268,801 | |
Public Service Enterprise Group, Inc.: | |||
2.65% 11/15/22 | 96,000 | 96,758 | |
2.875% 6/15/24 | 1,300,000 | 1,325,146 | |
San Diego Gas & Electric Co. 2.5% 5/15/26 | 280,000 | 282,783 | |
WEC Energy Group, Inc. 0.8% 3/15/24 | 710,000 | 691,540 | |
10,733,977 | |||
TOTAL UTILITIES | 40,003,734 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $733,262,297) | 716,747,718 | ||
U.S. Government and Government Agency Obligations - 64.9% | |||
U.S. Government Agency Obligations - 2.4% | |||
Fannie Mae: | |||
0.375% 8/25/25 | $1,805,000 | $1,720,998 | |
0.5% 6/17/25 | 5,180,000 | 4,972,225 | |
0.625% 4/22/25 | 534,000 | 516,629 | |
1.625% 10/15/24 | 800,000 | 799,867 | |
1.75% 7/2/24 | 860,000 | 862,727 | |
2.375% 1/19/23 | 380,000 | 384,315 | |
Federal Home Loan Bank: | |||
0.125% 10/21/22 | 6,000,000 | 5,975,133 | |
0.375% 9/4/25 | 460,000 | 438,442 | |
0.5% 4/14/25 | 695,000 | 669,509 | |
1.375% 2/17/23 | 3,000,000 | 3,006,489 | |
1.5% 8/15/24 | 125,000 | 124,822 | |
1.875% 12/9/22 | 22,150,000 | 22,319,042 | |
Freddie Mac: | |||
0.125% 10/16/23 | 2,000,000 | 1,959,984 | |
0.25% 8/24/23 | 3,000,000 | 2,953,516 | |
0.25% 12/4/23 | 4,375,000 | 4,285,467 | |
0.375% 7/21/25 | 1,600,000 | 1,529,377 | |
0.375% 9/23/25 | 1,156,000 | 1,100,657 | |
1.5% 2/12/25 | 1,590,000 | 1,582,120 | |
2.75% 6/19/23 | 195,000 | 198,737 | |
Tennessee Valley Authority 0.75% 5/15/25 | 240,000 | 232,617 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 55,632,673 | ||
U.S. Treasury Obligations - 62.5% | |||
U.S. Treasury Notes: | |||
0.125% 4/30/22 | 1,000 | 1,000 | |
0.125% 12/31/22 | 5,000 | 4,964 | |
0.125% 6/30/23 | 6,000 | 5,910 | |
0.125% 7/15/23 | 10,492,000 | 10,330,522 | |
0.125% 7/31/23 | 10,596,000 | 10,421,746 | |
0.125% 8/15/23 | 19,965,000 | 19,622,631 | |
0.125% 8/31/23 (d) | 17,330,000 | 17,023,340 | |
0.125% 9/15/23 | 7,291,000 | 7,156,287 | |
0.125% 10/15/23 | 34,947,000 | 34,242,600 | |
0.125% 12/15/23 | 5,767,000 | 5,634,539 | |
0.125% 2/15/24 | 26,404,000 | 25,720,178 | |
0.25% 9/30/23 (d) | 119,660,000 | 117,589,321 | |
0.25% 11/15/23 | 11,132,000 | 10,915,883 | |
0.25% 3/15/24 | 38,122,000 | 37,167,461 | |
0.25% 5/15/24 | 2,574,000 | 2,502,511 | |
0.25% 6/15/24 | 13,928,000 | 13,521,041 | |
0.25% 5/31/25 | 15,889,000 | 15,171,512 | |
0.25% 6/30/25 | 15,107,000 | 14,401,810 | |
0.25% 7/31/25 | 21,175,000 | 20,164,225 | |
0.25% 8/31/25 | 13,493,000 | 12,824,148 | |
0.25% 9/30/25 | 25,049,000 | 23,775,023 | |
0.375% 10/31/23 | 15,260,000 | 15,000,103 | |
0.375% 4/15/24 | 25,876,000 | 25,260,434 | |
0.375% 7/15/24 (d) | 45,554,000 | 44,306,603 | |
0.375% 8/15/24 (d) | 15,136,000 | 14,700,840 | |
0.375% 9/15/24 | 7,620,000 | 7,389,316 | |
0.375% 11/30/25 | 161,159,000 | 153,289,909 | |
0.375% 12/31/25 | 22,154,000 | 21,053,223 | |
0.375% 1/31/26 | 58,387,000 | 55,380,982 | |
0.5% 11/30/23 | 85,196,000 | 83,834,861 | |
0.5% 2/28/26 | 203,191,000 | 193,499,731 | |
0.625% 10/15/24 | 15,730,000 | 15,337,979 | |
0.75% 12/31/23 | 57,339,000 | 56,622,263 | |
0.75% 11/15/24 | 4,180,000 | 4,083,664 | |
0.75% 3/31/26 | 14,241,000 | 13,687,492 | |
0.75% 4/30/26 | 91,101,000 | 87,464,077 | |
0.75% 5/31/26 | 22,470,000 | 21,553,645 | |
0.75% 8/31/26 | 76,902,000 | 73,591,609 | |
0.875% 1/31/24 (d) | 36,400,000 | 36,006,141 | |
0.875% 6/30/26 | 37,323,000 | 35,968,583 | |
1.125% 1/15/25 | 7,665,000 | 7,556,612 | |
1.125% 2/28/25 | 9,000 | 8,865 | |
1.125% 10/31/26 | 26,274,000 | 25,530,938 | |
1.25% 12/31/26 | 850,000 | 830,344 | |
1.375% 2/15/23 | 2,000 | 2,006 | |
1.5% 10/31/24 | 3,607,000 | 3,596,996 | |
1.5% 11/30/24 | 2,715,000 | 2,706,197 | |
1.5% 1/31/27 | 34,000 | 33,599 | |
1.625% 4/30/23 | 336,000 | 337,654 | |
1.75% 6/15/22 | 2,000 | 2,007 | |
1.75% 6/30/22 | 4,000 | 4,016 | |
1.75% 6/30/24 (d) | 134,000 | 134,628 | |
1.75% 7/31/24 | 2,916,000 | 2,929,441 | |
1.75% 12/31/24 | 402,000 | 403,460 | |
2% 10/31/22 | 2,000 | 2,015 | |
2% 11/30/22 | 2,000 | 2,016 | |
2% 5/31/24 | 875,000 | 884,058 | |
2.125% 2/29/24 | 2,848,000 | 2,884,379 | |
2.125% 3/31/24 | 9,889,000 | 10,015,317 | |
2.25% 12/31/23 | 3,658,000 | 3,711,441 | |
2.25% 1/31/24 | 237,000 | 240,574 | |
2.375% 1/31/23 | 131,000 | 132,566 | |
2.375% 2/29/24 | 8,231,000 | 8,376,007 | |
2.5% 1/31/24 | 2,916,000 | 2,973,181 | |
2.625% 12/31/23 (d) | 1,771,000 | 1,809,118 | |
2.75% 7/31/23 | 1,904,000 | 1,943,196 | |
2.75% 8/31/23 | 5,051,000 | 5,156,755 | |
2.875% 9/30/23 (d) | 4,973,000 | 5,090,915 | |
2.875% 10/31/23 | 5,339,000 | 5,467,470 | |
2.875% 11/30/23 | 7,695,000 | 7,888,878 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,456,882,756 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,543,206,294) | 1,512,515,429 | ||
Foreign Government and Government Agency Obligations - 1.2% | |||
Alberta Province: | |||
2.2% 7/26/22 | $331,000 | $332,807 | |
2.95% 1/23/24 | 2,900,000 | 2,972,703 | |
British Columbia Province 2.25% 6/2/26 | 800,000 | 810,904 | |
Canadian Government 2% 11/15/22 | 200,000 | 201,386 | |
Chilean Republic 3.125% 3/27/25 | 320,000 | 329,560 | |
Export Development Canada: | |||
1.75% 7/18/22 | 300,000 | 301,227 | |
2% 5/17/22 | 715,000 | 717,360 | |
2.625% 2/21/24 | 200,000 | 204,288 | |
2.75% 3/15/23 | 150,000 | 152,154 | |
Hungarian Republic: | |||
5.375% 2/21/23 | 2,140,000 | 2,202,659 | |
5.75% 11/22/23 | 110,000 | 115,939 | |
Israeli State 4% 6/30/22 | 970,000 | 979,712 | |
Italian Republic: | |||
1.25% 2/17/26 | 910,000 | 863,542 | |
2.375% 10/17/24 | 860,000 | 863,384 | |
6.875% 9/27/23 | 770,000 | 829,092 | |
Korean Republic: | |||
3.875% 9/11/23 | 1,000,000 | 1,034,088 | |
5.625% 11/3/25 | 120,000 | 135,321 | |
Manitoba Province: | |||
2.125% 5/4/22 | 917,000 | 919,421 | |
2.6% 4/16/24 | 720,000 | 734,011 | |
Ontario Province: | |||
0.625% 1/21/26 | 900,000 | 854,717 | |
2.25% 5/18/22 | 130,000 | 130,514 | |
2.5% 4/27/26 | 2,690,000 | 2,747,647 | |
2.55% 4/25/22 | 270,000 | 270,902 | |
3.05% 1/29/24 | 910,000 | 934,297 | |
3.4% 10/17/23 | 90,000 | 92,680 | |
Panamanian Republic: | |||
3.75% 3/16/25 | 200,000 | 205,600 | |
4% 9/22/24 | 810,000 | 836,983 | |
Peruvian Republic: | |||
2.392% 1/23/26 | 110,000 | 107,477 | |
7.35% 7/21/25 | 590,000 | 676,767 | |
Philippine Republic: | |||
4.2% 1/21/24 | 1,300,000 | 1,334,268 | |
10.625% 3/16/25 | 540,000 | 671,009 | |
Polish Government: | |||
4% 1/22/24 | 730,000 | 752,513 | |
5% 3/23/22 | 59,000 | 59,008 | |
Quebec Province: | |||
2.5% 4/9/24 | 690,000 | 702,668 | |
2.5% 4/20/26 | 1,250,000 | 1,277,713 | |
United Mexican States: | |||
3.6% 1/30/25 | 1,000,000 | 1,038,500 | |
4.125% 1/21/26 | 750,000 | 793,875 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $28,799,749) | 28,186,696 | ||
Supranational Obligations - 2.3% | |||
African Development Bank: | |||
0.875% 7/22/26 | 1,200,000 | 1,152,228 | |
3% 9/20/23 | 240,000 | 245,817 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 3,275,000 | 3,116,590 | |
0.5% 2/4/26 | 1,500,000 | 1,423,794 | |
1.5% 10/18/24 | 300,000 | 298,916 | |
1.75% 9/13/22 | 57,000 | 57,255 | |
2.625% 1/30/24 | 650,000 | 663,888 | |
2.75% 3/17/23 | 1,025,000 | 1,041,677 | |
Asian Infrastructure Investment Bank: | |||
0.25% 9/29/23 | 1,000,000 | 982,347 | |
0.5% 10/30/24 | 3,000,000 | 2,910,339 | |
Corporacion Andina de Fomento: | |||
1.625% 9/23/25 | 1,000,000 | 975,439 | |
3.75% 11/23/23 | 190,000 | 195,855 | |
Council of Europe Development Bank 1.375% 2/27/25 | 910,000 | 901,191 | |
European Investment Bank: | |||
1.375% 5/15/23 | 1,330,000 | 1,332,043 | |
2% 12/15/22 | 1,062,000 | 1,069,885 | |
2.25% 6/24/24 | 8,478,000 | 8,588,475 | |
2.375% 6/15/22 | 100,000 | 100,494 | |
2.5% 10/15/24 | 2,050,000 | 2,094,524 | |
2.625% 5/20/22 | 500,000 | 502,325 | |
2.875% 8/15/23 | 800,000 | 817,046 | |
3.125% 12/14/23 | 530,000 | 545,701 | |
Inter-American Development Bank: | |||
0.5% 5/24/23 | 2,000,000 | 1,981,579 | |
0.625% 7/15/25 | 750,000 | 721,705 | |
0.875% 4/20/26 | 3,000,000 | 2,880,100 | |
1.5% 1/13/27 | 3,500,000 | 3,455,520 | |
2.5% 1/18/23 | 590,000 | 597,599 | |
2.625% 1/16/24 | 400,000 | 408,325 | |
3% 9/26/22 | 570,000 | 576,792 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 3,000,000 | 2,861,319 | |
0.5% 10/28/25 | 3,881,000 | 3,701,258 | |
1.5% 8/28/24 | 850,000 | 847,779 | |
1.625% 1/15/25 | 3,187,000 | 3,182,615 | |
2.5% 3/19/24 | 250,000 | 254,817 | |
3% 9/27/23 | 490,000 | 502,077 | |
7.625% 1/19/23 | 830,000 | 877,381 | |
International Finance Corp.: | |||
0.375% 7/16/25 | 490,000 | 467,630 | |
1.375% 10/16/24 | 1,706,000 | 1,689,526 | |
2% 10/24/22 | 90,000 | 90,629 | |
2.875% 7/31/23 | 300,000 | 306,346 | |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $55,739,665) | 54,418,826 | ||
Bank Notes - 0.3% | |||
Bank of Nova Scotia 2.45% 9/19/22 | 173,000 | 174,140 | |
Citizens Bank NA 2.25% 4/28/25 | 945,000 | 941,918 | |
Discover Bank 3.35% 2/6/23 | 2,770,000 | 2,806,803 | |
Fifth Third Bank, Cincinnati 3.85% 3/15/26 | 420,000 | 440,031 | |
PNC Bank NA 4.2% 11/1/25 | 560,000 | 595,342 | |
Truist Bank: | |||
2.636% 9/17/29 (a) | $1,270,000 | $1,275,220 | |
3% 2/2/23 | 100,000 | 101,121 | |
TOTAL BANK NOTES | |||
(Cost $6,412,726) | 6,334,575 | ||
Shares | Value | ||
Money Market Funds - 7.7% | |||
Fidelity Cash Central Fund 0.07% (e) | 2,540,635 | $2,541,143 | |
Fidelity Securities Lending Cash Central Fund 0.07% (e)(f) | 177,396,477 | 177,414,216 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $179,955,359) | 179,955,359 | ||
TOTAL INVESTMENT IN SECURITIES - 107.2% | |||
(Cost $2,547,376,090) | 2,498,158,603 | ||
NET OTHER ASSETS (LIABILITIES) - (7.2)% | (167,429,827) | ||
NET ASSETS - 100% | $2,330,728,776 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $3,685,981 or 0.2% of net assets.
(d) Security or a portion of the security is on loan at period end.
(e) 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.
(f) 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 0.07% | $34,695,219 | $412,114,793 | $444,268,869 | $3,413 | $-- | $-- | $2,541,143 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | 25,994,659 | 605,757,687 | 454,338,130 | 42,752 | -- | -- | 177,414,216 | 0.5% |
Total | $60,689,878 | $1,017,872,480 | $898,606,999 | $46,165 | $-- | $-- | $179,955,359 |
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 February 28, 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 | $716,747,718 | $-- | $716,747,718 | $-- |
U.S. Government and Government Agency Obligations | 1,512,515,429 | -- | 1,512,515,429 | -- |
Foreign Government and Government Agency Obligations | 28,186,696 | -- | 28,186,696 | -- |
Supranational Obligations | 54,418,826 | -- | 54,418,826 | -- |
Bank Notes | 6,334,575 | -- | 6,334,575 | -- |
Money Market Funds | 179,955,359 | 179,955,359 | -- | -- |
Total Investments in Securities: | $2,498,158,603 | $179,955,359 | $2,318,203,244 | $-- |
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 | 89.7% |
Multi-National | 2.4% |
United Kingdom | 1.8% |
Canada | 1.8% |
Japan | 1.3% |
Others (Individually Less Than 1%) | 3.0% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $174,083,610) — See accompanying schedule: Unaffiliated issuers (cost $2,367,420,731) | $2,318,203,244 | |
Fidelity Central Funds (cost $179,955,359) | 179,955,359 | |
Total Investment in Securities (cost $2,547,376,090) | $2,498,158,603 | |
Receivable for investments sold | 185,548,915 | |
Receivable for fund shares sold | 8,443,385 | |
Interest receivable | 7,343,103 | |
Distributions receivable from Fidelity Central Funds | 11,201 | |
Total assets | 2,699,505,207 | |
Liabilities | ||
Payable for investments purchased | $188,658,544 | |
Payable for fund shares redeemed | 2,367,301 | |
Distributions payable | 277,848 | |
Accrued management fee | 58,522 | |
Collateral on securities loaned | 177,414,216 | |
Total liabilities | 368,776,431 | |
Net Assets | $2,330,728,776 | |
Net Assets consist of: | ||
Paid in capital | $2,388,658,101 | |
Total accumulated earnings (loss) | (57,929,325) | |
Net Assets | $2,330,728,776 | |
Net Asset Value, offering price and redemption price per share ($2,330,728,776 ÷ 233,904,408 shares) | $9.96 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $9,462,805 | |
Income from Fidelity Central Funds (including $42,752 from security lending) | 46,165 | |
Total income | 9,508,970 | |
Expenses | ||
Management fee | $340,774 | |
Independent trustees' fees and expenses | 3,574 | |
Total expenses before reductions | 344,348 | |
Expense reductions | (119) | |
Total expenses after reductions | 344,229 | |
Net investment income (loss) | 9,164,741 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (9,950,469) | |
Total net realized gain (loss) | (9,950,469) | |
Change in net unrealized appreciation (depreciation) on investment securities | (59,294,380) | |
Net gain (loss) | (69,244,849) | |
Net increase (decrease) in net assets resulting from operations | $(60,080,108) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $9,164,741 | $14,064,119 |
Net realized gain (loss) | (9,950,469) | 5,012,982 |
Change in net unrealized appreciation (depreciation) | (59,294,380) | (15,132,163) |
Net increase (decrease) in net assets resulting from operations | (60,080,108) | 3,944,938 |
Distributions to shareholders | (12,077,917) | (19,629,729) |
Share transactions | ||
Proceeds from sales of shares | 877,139,877 | 1,404,005,335 |
Reinvestment of distributions | 9,660,236 | 15,955,998 |
Cost of shares redeemed | (533,315,806) | (541,637,559) |
Net increase (decrease) in net assets resulting from share transactions | 353,484,307 | 878,323,774 |
Total increase (decrease) in net assets | 281,326,282 | 862,638,983 |
Net Assets | ||
Beginning of period | 2,049,402,494 | 1,186,763,511 |
End of period | $2,330,728,776 | $2,049,402,494 |
Other Information | ||
Shares | ||
Sold | 86,610,167 | 136,202,928 |
Issued in reinvestment of distributions | 952,561 | 1,546,558 |
Redeemed | (52,983,066) | (52,561,145) |
Net increase (decrease) | 34,579,662 | 85,188,341 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Short-Term Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.28 | $10.40 | $10.15 | $9.81 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .041 | .090 | .184 | .261 | .201 |
Net realized and unrealized gain (loss) | (.306) | (.071) | .278 | .318 | (.233) |
Total from investment operations | (.265) | .019 | .462 | .579 | (.032) |
Distributions from net investment income | (.037) | (.090) | (.186) | (.239) | (.158) |
Distributions from net realized gain | (.018) | (.049) | (.026) | – | – |
Total distributions | (.055) | (.139) | (.212) | (.239) | (.158) |
Net asset value, end of period | $9.96 | $10.28 | $10.40 | $10.15 | $9.81 |
Total ReturnD,E | (2.59)% | .19% | 4.61% | 5.98% | (.31)% |
Ratios to Average Net AssetsC,F,G | |||||
Expenses before reductions | .03%H | .03% | .03% | .03% | .03%H |
Expenses net of fee waivers, if any | .03%H | .03% | .03% | .03% | .03%H |
Expenses net of all reductions | .03%H | .03% | .03% | .03% | .03%H |
Net investment income (loss) | .81%H | .87% | 1.80% | 2.66% | 2.36%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,330,729 | $2,049,402 | $1,186,764 | $492,347 | $3,751 |
Portfolio turnover rateI | 107%H | 44% | 62% | 83% | 102%H |
A For the period October 18, 2017 (commencement of operations) through August 31, 2018.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
1. Organization.
Fidelity Short-Term Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, supranational obligations, and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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 February 28, 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.
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 market discount 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 | $2,427,379 |
Gross unrealized depreciation | (50,386,551) |
Net unrealized appreciation (depreciation) | $(47,959,172) |
Tax cost | $2,546,117,775 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Short-Term Bond Index Fund | 209,301,431 | 57,865,376 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .03% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
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 Short-Term Bond Index Fund | $4,782 | $– | $– |
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 $119.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
10. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Short-Term Bond Index Fund | .03% | |||
Actual | $1,000.00 | $974.10 | $.15 | |
Hypothetical-C | $1,000.00 | $1,024.65 | $.15 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Short-Term Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to a fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index and peer group for the most recent one- and three-year period. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
SDX-I-SANN-0422
1.9884850.104
Fidelity Flex® Funds
Fidelity Flex® U.S. Bond Index Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants) to request a free copy of the proxy voting guidelines.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 70.5% | |
AAA | 3.3% | |
AA | 2.6% | |
A | 11.9% | |
BBB | 11.6% | |
BB and Below | 0.3% | |
Short-Term Investments and Net Other Assets* | (0.2)% |
* Short-Term Investments and Net Other Assets (Liabilities) 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.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 25.6% | |
U.S. Government and U.S. Government Agency Obligations | 70.5% | |
Asset-Backed Securities | 0.2% | |
CMOs and Other Mortgage Related Securities | 0.5% | |
Municipal Bonds | 0.5% | |
Other Investments | 2.9% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (0.2)% |
* Foreign investments - 6.9%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 25.6% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.2% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | $200,000 | $188,542 | |
2.25% 2/1/32 | 100,000 | 92,287 | |
2.75% 6/1/31 | 401,000 | 390,260 | |
3.3% 2/1/52 | 350,000 | 310,820 | |
3.5% 6/1/41 | 320,000 | 304,268 | |
3.5% 9/15/53 | 1,009,000 | 922,626 | |
3.55% 9/15/55 | 293,000 | 265,688 | |
3.6% 7/15/25 | 219,000 | 227,120 | |
3.65% 6/1/51 | 220,000 | 207,541 | |
3.65% 9/15/59 | 419,000 | 380,104 | |
4.5% 5/15/35 | 220,000 | 240,929 | |
4.65% 6/1/44 | 110,000 | 116,315 | |
5.15% 3/15/42 | 236,000 | 267,002 | |
5.45% 3/1/47 | 160,000 | 191,023 | |
Bell Canada: | |||
3.2% 2/15/52 | 100,000 | 88,283 | |
4.464% 4/1/48 | 130,000 | 141,970 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 154,000 | 217,159 | |
Deutsche Telekom International Financial BV 8.75% 6/15/30 (a) | 210,000 | 290,660 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 300,000 | 317,009 | |
5.213% 3/8/47 | 160,000 | 173,934 | |
Telefonica Europe BV 8.25% 9/15/30 | 508,000 | 685,154 | |
TELUS Corp. 4.3% 6/15/49 | 100,000 | 108,597 | |
Verizon Communications, Inc.: | |||
1.5% 9/18/30 | 930,000 | 821,434 | |
2.355% 3/15/32 (b) | 615,000 | 574,251 | |
2.987% 10/30/56 | 492,000 | 419,494 | |
3.55% 3/22/51 | 500,000 | 484,242 | |
4.016% 12/3/29 | 150,000 | 160,973 | |
4.125% 3/16/27 | 60,000 | 63,730 | |
4.272% 1/15/36 | 106,000 | 115,493 | |
4.329% 9/21/28 | 270,000 | 293,999 | |
4.4% 11/1/34 | 100,000 | 110,245 | |
4.812% 3/15/39 | 780,000 | 901,339 | |
5.012% 4/15/49 | 146,000 | 176,546 | |
5.012% 8/21/54 | 214,000 | 255,085 | |
5.25% 3/16/37 | 102,000 | 121,530 | |
10,625,652 | |||
Entertainment - 0.1% | |||
Activision Blizzard, Inc. 2.5% 9/15/50 | 100,000 | 84,086 | |
The Walt Disney Co.: | |||
2% 9/1/29 | 40,000 | 38,182 | |
2.65% 1/13/31 | 200,000 | 198,071 | |
2.75% 9/1/49 | 60,000 | 52,416 | |
3.5% 5/13/40 | 163,000 | 162,377 | |
3.6% 1/13/51 | 60,000 | 60,709 | |
3.7% 10/15/25 | 434,000 | 452,449 | |
3.8% 5/13/60 | 60,000 | 61,889 | |
4.75% 9/15/44 | 151,000 | 175,042 | |
6.2% 12/15/34 | 150,000 | 193,687 | |
1,478,908 | |||
Interactive Media & Services - 0.2% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 100,000 | 94,765 | |
1.1% 8/15/30 | 410,000 | 370,073 | |
2.05% 8/15/50 | 340,000 | 274,368 | |
Baidu, Inc.: | |||
3.075% 4/7/25 | 210,000 | 212,066 | |
3.5% 11/28/22 | 470,000 | 475,438 | |
4.375% 5/14/24 | 480,000 | 499,560 | |
1,926,270 | |||
Media - 0.8% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 100,000 | 92,617 | |
3.5% 6/1/41 | 280,000 | 241,946 | |
3.75% 2/15/28 | 150,000 | 152,901 | |
3.85% 4/1/61 | 300,000 | 249,172 | |
3.95% 6/30/62 | 100,000 | 83,662 | |
4.4% 12/1/61 | 120,000 | 106,935 | |
5.125% 7/1/49 | 200,000 | 203,574 | |
5.375% 4/1/38 | 110,000 | 115,058 | |
5.375% 5/1/47 | 100,000 | 105,526 | |
5.75% 4/1/48 | 250,000 | 276,343 | |
Comcast Corp.: | |||
1.5% 2/15/31 | 295,000 | 262,229 | |
1.95% 1/15/31 | 300,000 | 276,266 | |
2.35% 1/15/27 | 1,380,000 | 1,369,186 | |
2.45% 8/15/52 | 295,000 | 237,694 | |
2.65% 2/1/30 | 100,000 | 97,949 | |
2.8% 1/15/51 | 120,000 | 100,175 | |
2.887% 11/1/51 (b) | 273,000 | 236,817 | |
2.937% 11/1/56 (b) | 520,000 | 437,670 | |
2.987% 11/1/63 (b) | 160,000 | 133,215 | |
3.45% 2/1/50 | 100,000 | 93,293 | |
3.7% 4/15/24 | 100,000 | 103,599 | |
3.999% 11/1/49 | 100,000 | 101,699 | |
4.049% 11/1/52 | 15,000 | 15,731 | |
4.15% 10/15/28 | 150,000 | 162,585 | |
5.65% 6/15/35 | 476,000 | 588,809 | |
7.05% 3/15/33 | 210,000 | 278,263 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 176,000 | 177,836 | |
3.625% 5/15/30 | 200,000 | 201,102 | |
4% 9/15/55 | 133,000 | 120,861 | |
4.65% 5/15/50 | 200,000 | 204,454 | |
Fox Corp.: | |||
4.709% 1/25/29 | 70,000 | 76,401 | |
5.476% 1/25/39 | 164,000 | 191,205 | |
5.576% 1/25/49 | 56,000 | 67,376 | |
Grupo Televisa SA de CV: | |||
5% 5/13/45 | 100,000 | 108,268 | |
6.625% 3/18/25 | 130,000 | 144,162 | |
6.625% 1/15/40 | 110,000 | 138,036 | |
Paramount Global: | |||
4% 1/15/26 | 176,000 | 183,534 | |
4.2% 6/1/29 | 200,000 | 208,256 | |
4.375% 3/15/43 | 100,000 | 99,779 | |
4.6% 1/15/45 | 110,000 | 110,731 | |
4.95% 1/15/31 | 237,000 | 260,713 | |
5.85% 9/1/43 | 139,000 | 165,731 | |
Time Warner Cable LLC: | |||
5.5% 9/1/41 | 110,000 | 117,256 | |
5.875% 11/15/40 | 220,000 | 246,167 | |
6.55% 5/1/37 | 100,000 | 120,188 | |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 100,000 | 136,441 | |
TWDC Enterprises 18 Corp.: | |||
1.85% 7/30/26 | 470,000 | 461,148 | |
3% 7/30/46 | 110,000 | 100,137 | |
4.125% 6/1/44 | 192,000 | 206,076 | |
9,968,772 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV: | |||
2.875% 5/7/30 | 511,000 | 499,439 | |
3.625% 4/22/29 | 200,000 | 206,270 | |
6.125% 3/30/40 | 100,000 | 127,394 | |
Rogers Communications, Inc.: | |||
2.9% 11/15/26 | 90,000 | 91,030 | |
4.3% 2/15/48 | 240,000 | 238,661 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 200,000 | 190,219 | |
3.3% 2/15/51 | 400,000 | 348,785 | |
3.5% 4/15/25 | 830,000 | 853,257 | |
3.6% 11/15/60 | 230,000 | 201,181 | |
4.375% 4/15/40 | 100,000 | 103,418 | |
Vodafone Group PLC: | |||
4.375% 5/30/28 | 250,000 | 270,416 | |
5% 5/30/38 | 130,000 | 147,562 | |
5.125% 6/19/59 | 340,000 | 387,626 | |
3,665,258 | |||
TOTAL COMMUNICATION SERVICES | 27,664,860 | ||
CONSUMER DISCRETIONARY - 1.5% | |||
Auto Components - 0.0% | |||
Lear Corp. 3.8% 9/15/27 | 140,000 | 145,763 | |
Automobiles - 0.2% | |||
American Honda Finance Corp.: | |||
1% 9/10/25 | 240,000 | 229,984 | |
1.2% 7/8/25 | 400,000 | 387,522 | |
2.15% 9/10/24 | 120,000 | 120,408 | |
2.9% 2/16/24 | 100,000 | 102,116 | |
3.55% 1/12/24 | 428,000 | 441,411 | |
General Motors Co.: | |||
4.2% 10/1/27 | 90,000 | 94,843 | |
5.15% 4/1/38 | 120,000 | 129,937 | |
5.95% 4/1/49 | 170,000 | 203,140 | |
6.75% 4/1/46 | 255,000 | 322,479 | |
6.8% 10/1/27 | 330,000 | 388,562 | |
General Motors Financial Co., Inc.: | |||
3.25% 1/5/23 | 70,000 | 70,935 | |
5.25% 3/1/26 | 170,000 | 185,038 | |
5.65% 1/17/29 | 130,000 | 146,139 | |
2,822,514 | |||
Diversified Consumer Services - 0.2% | |||
American University 3.672% 4/1/49 | 200,000 | 214,789 | |
Duke University 2.832% 10/1/55 | 34,000 | 31,106 | |
George Washington University 4.126% 9/15/48 | 200,000 | 225,756 | |
Ingersoll-Rand Global Holding Co. Ltd.: | |||
3.75% 8/21/28 | 240,000 | 249,767 | |
4.3% 2/21/48 | 30,000 | 32,101 | |
Massachusetts Institute of Technology 2.989% 7/1/50 | 400,000 | 397,527 | |
Northwestern University: | |||
3.662% 12/1/57 | 100,000 | 111,561 | |
3.868% 12/1/48 | 120,000 | 133,590 | |
University of Chicago 3% 10/1/52 | 120,000 | 116,625 | |
University of Southern California 2.945% 10/1/51 | 350,000 | 331,267 | |
1,844,089 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Expedia, Inc.: | |||
3.25% 2/15/30 | 110,000 | 108,499 | |
3.8% 2/15/28 | 100,000 | 102,799 | |
5% 2/15/26 | 155,000 | 166,893 | |
Marriott International, Inc.: | |||
2.75% 10/15/33 | 100,000 | 92,224 | |
3.125% 6/15/26 | 210,000 | 213,492 | |
4.625% 6/15/30 | 123,000 | 132,809 | |
5.75% 5/1/25 | 110,000 | 120,380 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 280,000 | 288,065 | |
3.6% 7/1/30 | 810,000 | 849,658 | |
3.625% 9/1/49 | 30,000 | 29,456 | |
4.45% 3/1/47 | 153,000 | 167,724 | |
4.45% 9/1/48 | 44,000 | 48,206 | |
4.7% 12/9/35 | 100,000 | 113,240 | |
6.3% 3/1/38 | 100,000 | 130,593 | |
Starbucks Corp.: | |||
2.55% 11/15/30 | 400,000 | 384,159 | |
3.75% 12/1/47 | 100,000 | 97,536 | |
4% 11/15/28 | 350,000 | 374,942 | |
4.45% 8/15/49 | 100,000 | 106,463 | |
3,527,138 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 340,000 | 305,483 | |
3.15% 2/9/51 | 235,000 | 190,329 | |
4% 12/6/37 | 140,000 | 135,783 | |
4.5% 11/28/34 | 230,000 | 241,024 | |
Amazon.com, Inc.: | |||
0.8% 6/3/25 | 130,000 | 125,378 | |
1% 5/12/26 | 200,000 | 192,594 | |
1.5% 6/3/30 | 160,000 | 148,132 | |
2.1% 5/12/31 | 360,000 | 346,561 | |
2.5% 6/3/50 | 130,000 | 112,228 | |
2.8% 8/22/24 | 117,000 | 119,640 | |
3.1% 5/12/51 | 200,000 | 193,324 | |
3.15% 8/22/27 | 290,000 | 303,055 | |
3.875% 8/22/37 | 280,000 | 306,600 | |
4.05% 8/22/47 | 228,000 | 254,002 | |
4.25% 8/22/57 | 100,000 | 115,665 | |
4.8% 12/5/34 | 230,000 | 276,812 | |
4.95% 12/5/44 | 100,000 | 124,023 | |
eBay, Inc.: | |||
1.4% 5/10/26 | 410,000 | 392,425 | |
4% 7/15/42 | 150,000 | 149,836 | |
4,032,894 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
3.55% 11/19/26 | 100,000 | 103,242 | |
3.9% 11/19/29 | 142,000 | 148,620 | |
251,862 | |||
Multiline Retail - 0.1% | |||
Dollar General Corp. 3.5% 4/3/30 | 210,000 | 214,294 | |
Dollar Tree, Inc. 4% 5/15/25 | 478,000 | 498,197 | |
Nordstrom, Inc. 4% 3/15/27 | 110,000 | 105,050 | |
Target Corp.: | |||
2.5% 4/15/26 | 100,000 | 101,928 | |
3.375% 4/15/29 | 310,000 | 328,724 | |
3.9% 11/15/47 | 160,000 | 175,156 | |
1,423,349 | |||
Specialty Retail - 0.3% | |||
AutoZone, Inc. 1.65% 1/15/31 | 180,000 | 159,608 | |
Lowe's Companies, Inc.: | |||
3.375% 9/15/25 | 210,000 | 218,818 | |
3.65% 4/5/29 | 210,000 | 220,038 | |
3.7% 4/15/46 | 100,000 | 97,389 | |
4.05% 5/3/47 | 132,000 | 135,478 | |
5% 4/15/40 | 330,000 | 378,520 | |
O'Reilly Automotive, Inc. 1.75% 3/15/31 | 150,000 | 134,614 | |
The Home Depot, Inc.: | |||
1.375% 3/15/31 | 240,000 | 214,897 | |
2.375% 3/15/51 | 250,000 | 205,667 | |
2.5% 4/15/27 | 750,000 | 757,249 | |
2.95% 6/15/29 | 330,000 | 337,493 | |
4.2% 4/1/43 | 130,000 | 143,670 | |
4.25% 4/1/46 | 150,000 | 165,333 | |
4.4% 3/15/45 | 156,000 | 175,768 | |
4.5% 12/6/48 | 100,000 | 115,952 | |
5.875% 12/16/36 | 100,000 | 132,125 | |
5.95% 4/1/41 | 120,000 | 158,950 | |
TJX Companies, Inc. 1.6% 5/15/31 | 250,000 | 226,481 | |
3,978,050 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 1,100,000 | 1,114,286 | |
2.75% 3/27/27 | 230,000 | 236,121 | |
1,350,407 | |||
TOTAL CONSUMER DISCRETIONARY | 19,376,066 | ||
CONSUMER STAPLES - 1.8% | |||
Beverages - 0.7% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.7% 2/1/36 | 200,000 | 222,897 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 100,000 | 110,685 | |
4.9% 2/1/46 | 100,000 | 111,852 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.439% 10/6/48 | 150,000 | 160,499 | |
4.6% 4/15/48 | 377,000 | 413,308 | |
4.95% 1/15/42 | 230,000 | 263,054 | |
5.45% 1/23/39 | 380,000 | 452,701 | |
5.55% 1/23/49 | 180,000 | 222,878 | |
5.8% 1/23/59 (Reg. S) | 260,000 | 333,253 | |
8.2% 1/15/39 | 110,000 | 167,967 | |
Coca-Cola FEMSA S.A.B. de CV 2.75% 1/22/30 | 150,000 | 144,245 | |
Constellation Brands, Inc.: | |||
2.875% 5/1/30 | 210,000 | 204,879 | |
3.6% 2/15/28 | 272,000 | 280,178 | |
4.5% 5/9/47 | 100,000 | 105,475 | |
Diageo Capital PLC: | |||
1.375% 9/29/25 | 200,000 | 193,421 | |
2% 4/29/30 | 400,000 | 377,146 | |
Dr. Pepper Snapple Group, Inc.: | |||
3.8% 5/1/50 | 160,000 | 157,407 | |
4.417% 5/25/25 | 360,000 | 381,125 | |
4.597% 5/25/28 | 180,000 | 196,398 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 254,000 | 258,315 | |
4.2% 7/15/46 | 100,000 | 99,417 | |
PepsiCo, Inc.: | |||
1.4% 2/25/31 | 680,000 | 612,288 | |
1.625% 5/1/30 | 309,000 | 288,190 | |
2.25% 5/2/22 | 632,000 | 632,864 | |
2.625% 10/21/41 | 100,000 | 92,974 | |
2.85% 2/24/26 | 250,000 | 255,816 | |
3% 10/15/27 | 100,000 | 103,251 | |
3.6% 3/1/24 | 190,000 | 196,426 | |
3.625% 3/19/50 | 100,000 | 106,671 | |
4.45% 4/14/46 | 140,000 | 165,484 | |
7% 3/1/29 | 100,000 | 128,426 | |
The Coca-Cola Co.: | |||
1% 3/15/28 | 230,000 | 212,885 | |
1.45% 6/1/27 | 120,000 | 115,019 | |
1.65% 6/1/30 | 240,000 | 222,270 | |
2.125% 9/6/29 | 140,000 | 136,823 | |
2.25% 1/5/32 | 120,000 | 115,750 | |
2.5% 6/1/40 | 120,000 | 108,760 | |
2.5% 3/15/51 | 100,000 | 85,671 | |
2.6% 6/1/50 | 120,000 | 105,270 | |
2.75% 6/1/60 | 120,000 | 104,705 | |
2.875% 5/5/41 | 100,000 | 94,769 | |
3.45% 3/25/30 | 160,000 | 169,077 | |
8,910,489 | |||
Food & Staples Retailing - 0.4% | |||
Costco Wholesale Corp.: | |||
1.375% 6/20/27 | 150,000 | 144,173 | |
3% 5/18/27 | 210,000 | 217,657 | |
Kroger Co.: | |||
1.7% 1/15/31 | 240,000 | 217,232 | |
3.5% 2/1/26 | 130,000 | 135,212 | |
3.7% 8/1/27 | 120,000 | 125,355 | |
4.45% 2/1/47 | 130,000 | 141,485 | |
5.4% 1/15/49 | 70,000 | 86,997 | |
Sysco Corp.: | |||
3.3% 2/15/50 | 150,000 | 134,571 | |
6.6% 4/1/50 | 140,000 | 194,780 | |
Walgreens Boots Alliance, Inc.: | |||
3.2% 4/15/30 | 80,000 | 80,826 | |
3.45% 6/1/26 | 195,000 | 202,235 | |
4.8% 11/18/44 | 100,000 | 109,316 | |
Walmart, Inc.: | |||
2.65% 9/22/51 | 100,000 | 91,494 | |
2.85% 7/8/24 | 150,000 | 153,698 | |
3.05% 7/8/26 | 400,000 | 416,720 | |
3.25% 7/8/29 | 220,000 | 232,718 | |
3.3% 4/22/24 | 410,000 | 423,282 | |
3.4% 6/26/23 | 100,000 | 102,534 | |
3.7% 6/26/28 | 140,000 | 150,816 | |
5.25% 9/1/35 | 645,000 | 822,987 | |
5.625% 4/15/41 | 169,000 | 226,396 | |
4,410,484 | |||
Food Products - 0.3% | |||
Archer Daniels Midland Co.: | |||
3.25% 3/27/30 | 330,000 | 342,137 | |
3.75% 9/15/47 | 100,000 | 110,575 | |
Bunge Ltd. Finance Corp. 2.75% 5/14/31 | 110,000 | 104,694 | |
Campbell Soup Co. 4.15% 3/15/28 | 260,000 | 278,134 | |
Conagra Brands, Inc.: | |||
4.85% 11/1/28 | 410,000 | 451,341 | |
5.3% 11/1/38 | 31,000 | 35,572 | |
General Mills, Inc.: | |||
3% 2/1/51 | 110,000 | 99,756 | |
4% 4/17/25 | 130,000 | 136,071 | |
4.2% 4/17/28 | 200,000 | 215,527 | |
Hormel Foods Corp. 1.8% 6/11/30 | 200,000 | 186,694 | |
Kellogg Co. 3.25% 4/1/26 | 290,000 | 297,615 | |
McCormick & Co., Inc. 1.85% 2/15/31 | 150,000 | 136,508 | |
Mondelez International, Inc. 1.875% 10/15/32 | 270,000 | 242,612 | |
Tyson Foods, Inc.: | |||
4% 3/1/26 | 160,000 | 167,620 | |
4.35% 3/1/29 | 450,000 | 487,202 | |
5.1% 9/28/48 | 100,000 | 120,075 | |
Unilever Capital Corp. 1.375% 9/14/30 | 380,000 | 339,224 | |
3,751,357 | |||
Household Products - 0.1% | |||
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 184,000 | 172,632 | |
3.2% 7/30/46 | 100,000 | 97,215 | |
6.625% 8/1/37 | 140,000 | 198,870 | |
Procter & Gamble Co.: | |||
1.2% 10/29/30 | 600,000 | 542,411 | |
2.85% 8/11/27 | 140,000 | 143,945 | |
3% 3/25/30 | 100,000 | 104,198 | |
1,259,271 | |||
Personal Products - 0.0% | |||
Estee Lauder Companies, Inc. 1.95% 3/15/31 | 330,000 | 310,543 | |
Tobacco - 0.3% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 290,000 | 258,910 | |
3.875% 9/16/46 | 204,000 | 175,308 | |
4.8% 2/14/29 | 30,000 | 32,409 | |
5.8% 2/14/39 | 330,000 | 361,767 | |
5.95% 2/14/49 | 110,000 | 122,189 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 100,000 | 99,906 | |
3.222% 8/15/24 | 200,000 | 202,395 | |
3.557% 8/15/27 | 450,000 | 452,893 | |
4.39% 8/15/37 | 180,000 | 172,517 | |
4.54% 8/15/47 | 128,000 | 118,178 | |
4.7% 4/2/27 | 270,000 | 286,778 | |
4.758% 9/6/49 | 260,000 | 246,088 | |
Philip Morris International, Inc.: | |||
2.125% 5/10/23 | 820,000 | 824,642 | |
4.125% 3/4/43 | 100,000 | 100,167 | |
4.25% 11/10/44 | 110,000 | 113,549 | |
4.875% 11/15/43 | 224,000 | 247,300 | |
Reynolds American, Inc. 4.45% 6/12/25 | 140,000 | 146,407 | |
3,961,403 | |||
TOTAL CONSUMER STAPLES | 22,603,547 | ||
ENERGY - 1.7% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 290,000 | 293,169 | |
Halliburton Co.: | |||
5% 11/15/45 | 100,000 | 111,196 | |
6.7% 9/15/38 | 100,000 | 127,566 | |
7.45% 9/15/39 | 120,000 | 163,907 | |
695,838 | |||
Oil, Gas & Consumable Fuels - 1.7% | |||
Boardwalk Pipelines LP 4.95% 12/15/24 | 102,000 | 107,614 | |
Burlington Resources LLC 5.95% 10/15/36 | 110,000 | 141,810 | |
Canadian Natural Resources Ltd.: | |||
3.85% 6/1/27 | 152,000 | 158,528 | |
4.95% 6/1/47 | 160,000 | 180,399 | |
Cenovus Energy, Inc. 5.4% 6/15/47 | 286,000 | 321,818 | |
Cheniere Corpus Christi Holdings LLC 7% 6/30/24 | 230,000 | 248,723 | |
Chevron Corp.: | |||
1.141% 5/11/23 | 70,000 | 69,744 | |
1.554% 5/11/25 | 70,000 | 68,943 | |
1.995% 5/11/27 | 70,000 | 68,968 | |
2.236% 5/11/30 | 70,000 | 68,154 | |
2.954% 5/16/26 | 231,000 | 238,587 | |
2.978% 5/11/40 | 70,000 | 67,130 | |
3.078% 5/11/50 | 70,000 | 67,375 | |
Chevron U.S.A., Inc.: | |||
4.95% 8/15/47 | 100,000 | 119,978 | |
5.05% 11/15/44 | 70,000 | 84,899 | |
ConocoPhillips Co.: | |||
4.95% 3/15/26 | 366,000 | 401,108 | |
6.5% 2/1/39 | 120,000 | 166,802 | |
Devon Energy Corp. 5% 6/15/45 | 315,000 | 351,054 | |
Diamondback Energy, Inc. 4.4% 3/24/51 | 100,000 | 103,617 | |
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 (b) | 90,000 | 87,971 | |
Enbridge Energy Partners LP 7.375% 10/15/45 | 110,000 | 155,263 | |
Enbridge, Inc.: | |||
3.4% 8/1/51 | 190,000 | 172,018 | |
3.5% 6/10/24 | 164,000 | 167,506 | |
Energy Transfer LP: | |||
3.9% 5/15/24 (a) | 210,000 | 215,396 | |
4.4% 3/15/27 | 170,000 | 178,331 | |
4.95% 6/15/28 | 147,000 | 158,096 | |
5% 5/15/50 | 220,000 | 228,819 | |
5.25% 4/15/29 | 310,000 | 340,238 | |
5.3% 4/15/47 | 50,000 | 52,243 | |
5.4% 10/1/47 | 80,000 | 85,608 | |
5.8% 6/15/38 | 50,000 | 55,489 | |
6% 6/15/48 | 330,000 | 370,256 | |
Enterprise Products Operating LP: | |||
3.2% 2/15/52 | 100,000 | 85,954 | |
3.3% 2/15/53 | 100,000 | 87,622 | |
3.95% 2/15/27 | 214,000 | 225,542 | |
4.2% 1/31/50 | 370,000 | 371,814 | |
4.25% 2/15/48 | 270,000 | 273,868 | |
4.8% 2/1/49 | 56,000 | 61,020 | |
Equinor ASA: | |||
2.375% 5/22/30 | 310,000 | 301,926 | |
2.875% 4/6/25 | 400,000 | 407,268 | |
3.625% 9/10/28 | 130,000 | 137,323 | |
4.8% 11/8/43 | 130,000 | 153,525 | |
5.1% 8/17/40 | 180,000 | 217,724 | |
Exxon Mobil Corp.: | |||
2.995% 8/16/39 | 200,000 | 191,858 | |
3.452% 4/15/51 | 450,000 | 444,759 | |
Hess Corp.: | |||
5.6% 2/15/41 | 120,000 | 137,654 | |
7.125% 3/15/33 | 170,000 | 215,564 | |
Kinder Morgan Energy Partners LP: | |||
4.25% 9/1/24 | 340,000 | 353,447 | |
6.55% 9/15/40 | 100,000 | 123,069 | |
6.95% 1/15/38 | 100,000 | 127,045 | |
Kinder Morgan, Inc.: | |||
3.15% 1/15/23 | 110,000 | 111,271 | |
5.05% 2/15/46 | 50,000 | 54,078 | |
5.2% 3/1/48 | 264,000 | 291,858 | |
5.55% 6/1/45 | 190,000 | 218,047 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 35,000 | 33,056 | |
5% 3/1/26 | 147,000 | 159,574 | |
Marathon Oil Corp. 6.6% 10/1/37 | 120,000 | 150,852 | |
Marathon Petroleum Corp.: | |||
4.5% 4/1/48 | 280,000 | 285,009 | |
4.7% 5/1/25 | 370,000 | 392,968 | |
MPLX LP: | |||
4.125% 3/1/27 | 60,000 | 63,097 | |
4.5% 4/15/38 | 250,000 | 257,264 | |
4.7% 4/15/48 | 226,000 | 233,509 | |
ONEOK Partners LP 6.65% 10/1/36 | 350,000 | 423,264 | |
ONEOK, Inc.: | |||
4% 7/13/27 | 80,000 | 83,231 | |
4.45% 9/1/49 | 50,000 | 49,042 | |
5.2% 7/15/48 | 22,000 | 23,973 | |
7.5% 9/1/23 | 200,000 | 213,446 | |
Ovintiv, Inc.: | |||
6.5% 2/1/38 | 70,000 | 82,951 | |
6.625% 8/15/37 | 100,000 | 121,674 | |
Phillips 66 Co.: | |||
3.9% 3/15/28 | 380,000 | 399,064 | |
4.65% 11/15/34 | 220,000 | 242,251 | |
Phillips 66 Partners LP 4.68% 2/15/45 | 100,000 | 107,848 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.8% 9/15/30 | 580,000 | 581,935 | |
Sabine Pass Liquefaction LLC: | |||
4.5% 5/15/30 | 200,000 | 215,758 | |
5.75% 5/15/24 | 410,000 | 436,185 | |
Shell International Finance BV: | |||
2% 11/7/24 | 1,770,000 | 1,774,180 | |
2.375% 11/7/29 | 100,000 | 97,415 | |
2.5% 9/12/26 | 270,000 | 273,258 | |
2.875% 11/26/41 | 210,000 | 193,281 | |
3.125% 11/7/49 | 100,000 | 91,951 | |
3.75% 9/12/46 | 106,000 | 110,847 | |
4.55% 8/12/43 | 100,000 | 114,025 | |
5.5% 3/25/40 | 190,000 | 239,901 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 151,000 | 157,830 | |
Suncor Energy, Inc.: | |||
4% 11/15/47 | 114,000 | 114,864 | |
6.8% 5/15/38 | 130,000 | 170,139 | |
The Williams Companies, Inc.: | |||
3.35% 8/15/22 | 190,000 | 190,893 | |
3.75% 6/15/27 | 460,000 | 479,498 | |
4.85% 3/1/48 | 50,000 | 54,211 | |
5.1% 9/15/45 | 100,000 | 110,245 | |
5.8% 11/15/43 | 100,000 | 116,930 | |
Total Capital International SA: | |||
3.386% 6/29/60 | 100,000 | 92,598 | |
3.461% 7/12/49 | 140,000 | 135,895 | |
3.7% 1/15/24 | 110,000 | 113,921 | |
3.75% 4/10/24 | 465,000 | 482,567 | |
Total Capital SA 3.883% 10/11/28 | 470,000 | 500,944 | |
TransCanada PipeLines Ltd.: | |||
4.1% 4/15/30 | 270,000 | 285,093 | |
4.875% 5/15/48 | 80,000 | 90,948 | |
6.1% 6/1/40 | 170,000 | 214,420 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 535,000 | 538,946 | |
3.95% 5/15/50 | 100,000 | 98,931 | |
Valero Energy Corp.: | |||
3.4% 9/15/26 | 110,000 | 113,121 | |
4.35% 6/1/28 | 70,000 | 75,121 | |
6.625% 6/15/37 | 200,000 | 256,795 | |
21,739,440 | |||
TOTAL ENERGY | 22,435,278 | ||
FINANCIALS - 7.9% | |||
Banks - 4.2% | |||
Banco Santander SA: | |||
0.701% 6/30/24 (a) | 200,000 | 196,542 | |
3.306% 6/27/29 | 200,000 | 202,524 | |
3.8% 2/23/28 | 400,000 | 411,537 | |
5.179% 11/19/25 | 200,000 | 213,043 | |
Bank of America Corp.: | |||
0.981% 9/25/25 (a) | 800,000 | 769,080 | |
1.658% 3/11/27 (a) | 340,000 | 325,660 | |
1.734% 7/22/27 (a) | 510,000 | 486,827 | |
2.087% 6/14/29 (a) | 1,210,000 | 1,144,035 | |
2.299% 7/21/32 (a) | 110,000 | 102,042 | |
2.651% 3/11/32 (a) | 340,000 | 325,119 | |
2.676% 6/19/41 (a) | 380,000 | 333,673 | |
2.687% 4/22/32 (a) | 410,000 | 394,320 | |
2.831% 10/24/51 (a) | 140,000 | 122,444 | |
2.972% 7/21/52 (a) | 110,000 | 97,794 | |
3.093% 10/1/25 (a) | 400,000 | 405,275 | |
3.194% 7/23/30 (a) | 270,000 | 269,905 | |
3.419% 12/20/28 (a) | 445,000 | 454,941 | |
3.946% 1/23/49 (a) | 110,000 | 114,874 | |
3.974% 2/7/30 (a) | 65,000 | 68,076 | |
4% 1/22/25 | 512,000 | 531,574 | |
4.078% 4/23/40 (a) | 100,000 | 104,604 | |
4.083% 3/20/51 (a) | 100,000 | 107,296 | |
4.244% 4/24/38 (a) | 320,000 | 348,735 | |
4.271% 7/23/29 (a) | 360,000 | 383,479 | |
4.33% 3/15/50 (a) | 200,000 | 221,913 | |
6.11% 1/29/37 | 508,000 | 632,163 | |
Bank of Montreal: | |||
3.3% 2/5/24 | 580,000 | 593,997 | |
3.803% 12/15/32 (a) | 100,000 | 102,625 | |
Bank of Nova Scotia 3.4% 2/11/24 | 560,000 | 574,208 | |
Barclays PLC: | |||
2.279% 11/24/27 (a) | 300,000 | 289,395 | |
2.894% 11/24/32 (a) | 300,000 | 284,258 | |
3.564% 9/23/35 (a) | 240,000 | 229,390 | |
3.932% 5/7/25 (a) | 200,000 | 205,679 | |
4.337% 1/10/28 | 320,000 | 337,161 | |
4.375% 1/12/26 | 210,000 | 221,256 | |
4.95% 1/10/47 | 200,000 | 225,611 | |
5.2% 5/12/26 | 360,000 | 385,895 | |
BB&T Corp.: | |||
2.75% 4/1/22 | 140,000 | 140,000 | |
3.75% 12/6/23 | 350,000 | 360,818 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (a)(c) | 770,000 | 791,233 | |
1.122% 1/28/27 (a) | 600,000 | 564,992 | |
1.462% 6/9/27 (a) | 300,000 | 283,652 | |
1.678% 5/15/24 (a) | 250,000 | 249,553 | |
2.561% 5/1/32 (a) | 600,000 | 569,431 | |
3.2% 10/21/26 | 80,000 | 81,568 | |
3.98% 3/20/30 (a) | 150,000 | 157,797 | |
4.65% 7/30/45 | 267,000 | 304,238 | |
4.65% 7/23/48 | 195,000 | 227,939 | |
4.75% 5/18/46 | 208,000 | 232,309 | |
5.316% 3/26/41 (a) | 230,000 | 279,904 | |
5.875% 2/22/33 | 200,000 | 240,414 | |
6.675% 9/13/43 | 100,000 | 137,636 | |
Export-Import Bank of Korea 0.625% 2/9/26 | 400,000 | 377,165 | |
Fifth Third Bancorp: | |||
2.55% 5/5/27 | 100,000 | 99,907 | |
3.95% 3/14/28 | 50,000 | 53,174 | |
HSBC Holdings PLC: | |||
1.589% 5/24/27 (a) | 240,000 | 226,277 | |
2.206% 8/17/29 (a) | 550,000 | 513,191 | |
2.633% 11/7/25 (a) | 600,000 | 599,059 | |
2.804% 5/24/32 (a) | 340,000 | 320,953 | |
3.973% 5/22/30 (a) | 214,000 | 220,766 | |
4.292% 9/12/26 (a) | 1,600,000 | 1,668,982 | |
4.375% 11/23/26 | 400,000 | 421,937 | |
6.5% 5/2/36 | 100,000 | 126,308 | |
6.5% 9/15/37 | 140,000 | 178,334 | |
6.8% 6/1/38 | 100,000 | 130,202 | |
ING Groep NV 2.727% 4/1/32 (a) | 200,000 | 191,013 | |
Japan Bank International Cooperation: | |||
1.25% 1/21/31 | 682,000 | 634,126 | |
2.375% 11/16/22 | 400,000 | 403,556 | |
2.5% 5/23/24 | 1,510,000 | 1,536,889 | |
JPMorgan Chase & Co.: | |||
0.768% 8/9/25 (a) | 700,000 | 672,831 | |
0.969% 6/23/25 (a) | 720,000 | 697,441 | |
1.47% 9/22/27 (a) | 360,000 | 339,765 | |
1.578% 4/22/27 (a) | 300,000 | 286,912 | |
1.953% 2/4/32 (a) | 300,000 | 273,462 | |
2.069% 6/1/29 (a) | 340,000 | 321,932 | |
2.525% 11/19/41 (a) | 340,000 | 293,119 | |
2.545% 11/8/32 (a) | 350,000 | 334,388 | |
2.58% 4/22/32 (a) | 300,000 | 287,372 | |
2.7% 5/18/23 | 470,000 | 475,280 | |
2.95% 10/1/26 | 190,000 | 193,333 | |
2.956% 5/13/31 (a) | 250,000 | 243,102 | |
3.109% 4/22/51 (a) | 50,000 | 46,171 | |
3.22% 3/1/25 (a) | 1,640,000 | 1,667,739 | |
3.559% 4/23/24 (a) | 670,000 | 682,594 | |
4.452% 12/5/29 (a) | 630,000 | 681,122 | |
5.5% 10/15/40 | 430,000 | 531,883 | |
5.6% 7/15/41 | 325,000 | 410,972 | |
5.625% 8/16/43 | 247,000 | 309,513 | |
Korea Development Bank 1.625% 1/19/31 | 250,000 | 233,510 | |
Lloyds Banking Group PLC: | |||
3.369% 12/14/46 (a) | 200,000 | 176,386 | |
4.375% 3/22/28 | 656,000 | 699,451 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.538% 7/20/27 (a) | 550,000 | 521,739 | |
2.309% 7/20/32 (a) | 550,000 | 510,420 | |
2.801% 7/18/24 | 200,000 | 202,619 | |
3.195% 7/18/29 | 400,000 | 403,441 | |
3.961% 3/2/28 | 100,000 | 105,572 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (a) | 400,000 | 391,874 | |
1.241% 7/10/24 (a) | 250,000 | 247,102 | |
1.554% 7/9/27 (a) | 200,000 | 189,193 | |
1.979% 9/8/31 (a) | 280,000 | 255,012 | |
2.226% 5/25/26 (a) | 200,000 | 197,382 | |
2.839% 7/16/25 (a) | 200,000 | 201,847 | |
National Australia Bank Ltd. 2.875% 4/12/23 | 250,000 | 253,586 | |
NatWest Group PLC: | |||
3.032% 11/28/35 (a) | 200,000 | 185,350 | |
3.754% 11/1/29 (a) | 400,000 | 404,618 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 100,000 | 95,005 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 400,000 | 382,920 | |
2.2% 11/1/24 | 250,000 | 250,992 | |
3.45% 4/23/29 | 280,000 | 294,005 | |
Rabobank Nederland 3.75% 7/21/26 | 250,000 | 257,767 | |
Rabobank Nederland New York Branch: | |||
0.375% 1/12/24 | 550,000 | 535,956 | |
2.75% 1/10/23 | 250,000 | 253,140 | |
Royal Bank of Canada: | |||
1.2% 4/27/26 | 270,000 | 256,459 | |
2.05% 1/21/27 | 300,000 | 294,188 | |
4.65% 1/27/26 | 210,000 | 226,157 | |
Santander Holdings U.S.A., Inc.: | |||
3.4% 1/18/23 | 60,000 | 60,888 | |
4.5% 7/17/25 | 406,000 | 426,226 | |
Santander UK Group Holdings PLC: | |||
1.532% 8/21/26 (a) | 250,000 | 238,387 | |
4.796% 11/15/24 (a) | 340,000 | 353,918 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 650,000 | 627,330 | |
2.142% 9/23/30 | 260,000 | 237,004 | |
2.174% 1/14/27 | 530,000 | 517,306 | |
2.75% 1/15/30 | 200,000 | 196,047 | |
3.05% 1/14/42 | 260,000 | 245,624 | |
3.102% 1/17/23 | 288,000 | 292,025 | |
3.936% 10/16/23 | 120,000 | 123,828 | |
SVB Financial Group 2.1% 5/15/28 | 260,000 | 248,970 | |
The Toronto-Dominion Bank 0.55% 3/4/24 | 1,100,000 | 1,068,266 | |
Truist Financial Corp. 1.267% 3/2/27 (a) | 950,000 | 908,796 | |
Wachovia Corp. 5.5% 8/1/35 | 250,000 | 293,748 | |
Wells Fargo & Co.: | |||
0.805% 5/19/25 (a) | 2,910,000 | 2,816,163 | |
2.406% 10/30/25 (a) | 550,000 | 548,220 | |
3% 10/23/26 | 100,000 | 101,253 | |
3.068% 4/30/41 (a) | 200,000 | 185,786 | |
3.75% 1/24/24 | 40,000 | 41,237 | |
3.9% 5/1/45 | 310,000 | 321,517 | |
4.75% 12/7/46 | 388,000 | 435,450 | |
4.9% 11/17/45 | 97,000 | 110,043 | |
5.013% 4/4/51 (a) | 280,000 | 344,789 | |
5.375% 11/2/43 | 100,000 | 119,925 | |
5.606% 1/15/44 | 100,000 | 122,209 | |
Westpac Banking Corp.: | |||
2.75% 1/11/23 | 306,000 | 309,974 | |
2.894% 2/4/30 (a) | 390,000 | 385,286 | |
3.02% 11/18/36 (a) | 130,000 | 120,980 | |
3.65% 5/15/23 | 160,000 | 164,028 | |
4.11% 7/24/34 (a) | 270,000 | 278,784 | |
4.322% 11/23/31 (a) | 270,000 | 281,261 | |
53,840,163 | |||
Capital Markets - 1.6% | |||
Ares Capital Corp.: | |||
3.5% 2/10/23 | 917,000 | 927,075 | |
3.875% 1/15/26 | 200,000 | 202,769 | |
4.2% 6/10/24 | 180,000 | 185,931 | |
4.25% 3/1/25 | 100,000 | 102,321 | |
Bank of New York Mellon Corp.: | |||
0.35% 12/7/23 | 830,000 | 812,199 | |
1.8% 7/28/31 | 170,000 | 156,105 | |
2.1% 10/24/24 | 370,000 | 371,151 | |
3.5% 4/28/23 | 230,000 | 235,140 | |
BlackRock, Inc.: | |||
2.4% 4/30/30 | 200,000 | 195,266 | |
3.5% 3/18/24 | 120,000 | 124,265 | |
Brookfield Finance, Inc. 2.724% 4/15/31 | 330,000 | 315,591 | |
Charles Schwab Corp.: | |||
0.75% 3/18/24 | 640,000 | 626,574 | |
0.9% 3/11/26 | 460,000 | 435,939 | |
1.65% 3/11/31 | 197,000 | 178,941 | |
2% 3/20/28 | 120,000 | 116,470 | |
CI Financial Corp. 3.2% 12/17/30 | 220,000 | 207,279 | |
CME Group, Inc. 5.3% 9/15/43 | 100,000 | 127,277 | |
Credit Suisse AG 0.495% 2/2/24 | 700,000 | 677,747 | |
Credit Suisse Group AG 3.8% 6/9/23 | 500,000 | 511,028 | |
Deutsche Bank AG 4.1% 1/13/26 | 700,000 | 730,059 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (a) | 250,000 | 238,885 | |
3.3% 11/16/22 | 100,000 | 101,067 | |
3.7% 5/30/24 | 360,000 | 369,267 | |
4.1% 1/13/26 | 154,000 | 159,530 | |
Goldman Sachs Group, Inc.: | |||
0.855% 2/12/26 (a) | 110,000 | 105,075 | |
1.093% 12/9/26 (a) | 1,000,000 | 940,675 | |
1.948% 10/21/27 (a) | 600,000 | 574,890 | |
2.383% 7/21/32 (a) | 660,000 | 611,798 | |
2.615% 4/22/32 (a) | 460,000 | 434,906 | |
2.908% 7/21/42 (a) | 100,000 | 88,793 | |
3.85% 1/26/27 | 960,000 | 1,000,080 | |
4.017% 10/31/38 (a) | 100,000 | 105,450 | |
4.8% 7/8/44 | 120,000 | 137,226 | |
5.15% 5/22/45 | 330,000 | 385,766 | |
6.25% 2/1/41 | 120,000 | 157,381 | |
6.75% 10/1/37 | 262,000 | 344,242 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 160,000 | 142,386 | |
2.65% 9/15/40 | 160,000 | 141,566 | |
3% 9/15/60 | 100,000 | 85,266 | |
3.75% 9/21/28 | 100,000 | 105,639 | |
4% 10/15/23 | 220,000 | 227,437 | |
4.25% 9/21/48 | 120,000 | 130,694 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. 4.15% 1/23/30 | 127,000 | 133,310 | |
Jefferies Group, Inc. 2.75% 10/15/32 | 110,000 | 101,039 | |
Moody's Corp.: | |||
2% 8/19/31 | 140,000 | 128,258 | |
4.875% 12/17/48 | 120,000 | 139,585 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 1.430% 4.457% 4/22/39 (a)(c) | 250,000 | 271,541 | |
0.79% 5/30/25 (a) | 150,000 | 144,632 | |
1.164% 10/21/25 (a) | 100,000 | 96,487 | |
1.512% 7/20/27 (a) | 470,000 | 445,258 | |
1.593% 5/4/27 (a) | 1,100,000 | 1,046,136 | |
1.794% 2/13/32 (a) | 260,000 | 232,078 | |
2.188% 4/28/26 (a) | 200,000 | 197,407 | |
2.239% 7/21/32 (a) | 470,000 | 432,708 | |
3.125% 1/23/23 | 795,000 | 806,358 | |
3.625% 1/20/27 | 160,000 | 166,681 | |
3.772% 1/24/29 (a) | 180,000 | 186,842 | |
4.375% 1/22/47 | 324,000 | 357,884 | |
5.597% 3/24/51 (a) | 40,000 | 53,305 | |
6.375% 7/24/42 | 428,000 | 583,715 | |
NASDAQ, Inc. 1.65% 1/15/31 | 160,000 | 140,880 | |
Nomura Holdings, Inc. 1.851% 7/16/25 | 666,000 | 648,227 | |
Northern Trust Corp. 1.95% 5/1/30 | 150,000 | 142,620 | |
S&P Global, Inc. 1.25% 8/15/30 | 120,000 | 106,319 | |
State Street Corp.: | |||
1.684% 11/18/27 (a) | 335,000 | 324,559 | |
3.031% 11/1/34 (a) | 170,000 | 168,586 | |
20,881,561 | |||
Consumer Finance - 0.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.45% 10/29/26 | 400,000 | 385,911 | |
2.875% 8/14/24 | 150,000 | 150,120 | |
3% 10/29/28 | 250,000 | 240,792 | |
3.3% 1/23/23 | 401,000 | 405,846 | |
3.4% 10/29/33 | 250,000 | 236,072 | |
3.85% 10/29/41 | 250,000 | 231,681 | |
4.45% 10/1/25 | 150,000 | 155,774 | |
4.5% 9/15/23 | 164,000 | 168,930 | |
Ally Financial, Inc.: | |||
2.2% 11/2/28 | 100,000 | 93,488 | |
3.05% 6/5/23 | 340,000 | 344,036 | |
5.125% 9/30/24 | 510,000 | 540,423 | |
5.8% 5/1/25 | 150,000 | 162,324 | |
American Express Co.: | |||
2.5% 8/1/22 | 150,000 | 150,770 | |
2.5% 7/30/24 | 464,000 | 470,586 | |
3.4% 2/27/23 | 50,000 | 50,754 | |
Capital One Financial Corp.: | |||
2.359% 7/29/32 (a) | 110,000 | 98,176 | |
3.2% 1/30/23 | 80,000 | 81,122 | |
3.3% 10/30/24 | 230,000 | 235,443 | |
3.8% 1/31/28 | 438,000 | 456,055 | |
Discover Financial Services 4.5% 1/30/26 | 208,000 | 221,360 | |
Ford Motor Credit Co. LLC 4.14% 2/15/23 | 200,000 | 202,250 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 400,000 | 449,675 | |
John Deere Capital Corp.: | |||
1.45% 1/15/31 | 170,000 | 154,742 | |
2.8% 3/6/23 | 270,000 | 273,791 | |
2.8% 9/8/27 | 290,000 | 297,209 | |
3.45% 1/10/24 | 1,150,000 | 1,184,640 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 380,000 | 391,461 | |
4.375% 3/19/24 | 100,000 | 103,404 | |
5.15% 3/19/29 | 109,000 | 118,510 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 380,000 | 374,399 | |
1.15% 8/13/27 | 470,000 | 441,048 | |
1.65% 1/10/31 | 180,000 | 164,526 | |
2.15% 9/8/22 | 800,000 | 804,349 | |
2.7% 1/11/23 | 50,000 | 50,607 | |
2.9% 4/17/24 | 750,000 | 765,347 | |
10,655,621 | |||
Diversified Financial Services - 0.6% | |||
AB Svensk Exportkredit 0.25% 9/29/23 | 200,000 | 196,268 | |
Berkshire Hathaway Finance Corp.: | |||
1.45% 10/15/30 | 470,000 | 429,062 | |
2.85% 10/15/50 | 180,000 | 157,900 | |
4.2% 8/15/48 | 130,000 | 143,828 | |
4.25% 1/15/49 | 100,000 | 111,501 | |
Berkshire Hathaway, Inc.: | |||
3.125% 3/15/26 | 222,000 | 230,279 | |
4.5% 2/11/43 | 110,000 | 125,640 | |
Blackstone Private Credit Fund 2.7% 1/15/25 (b) | 280,000 | 273,190 | |
BP Capital Markets America, Inc.: | |||
2.939% 6/4/51 | 220,000 | 185,049 | |
3% 2/24/50 | 130,000 | 111,093 | |
3.06% 6/17/41 | 400,000 | 358,577 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 48,000 | 49,797 | |
4.125% 6/15/26 | 170,000 | 179,656 | |
4.125% 5/15/29 | 44,000 | 46,529 | |
DH Europe Finance II SARL: | |||
2.2% 11/15/24 | 110,000 | 110,056 | |
2.6% 11/15/29 | 110,000 | 107,341 | |
3.4% 11/15/49 | 80,000 | 78,401 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 1,030,000 | 1,053,940 | |
Fedex Corp. 2020-1 Class AA pass-thru Trust equipment trust certificate 1.875% 8/20/35 | 229,948 | 218,075 | |
Japan International Cooperation Agency 1.75% 4/28/31 | 200,000 | 192,122 | |
KfW: | |||
0.25% 10/19/23 | 600,000 | 588,860 | |
0.375% 7/18/25 | 208,000 | 198,472 | |
0.625% 1/22/26 | 900,000 | 859,156 | |
2.375% 12/29/22 | 815,000 | 824,007 | |
2.5% 11/20/24 | 280,000 | 286,229 | |
Landwirtschaftliche Rentenbank 3.125% 11/14/23 | 170,000 | 174,754 | |
Voya Financial, Inc. 3.65% 6/15/26 | 170,000 | 179,005 | |
7,468,787 | |||
Insurance - 0.7% | |||
ACE INA Holdings, Inc.: | |||
1.375% 9/15/30 | 380,000 | 340,096 | |
2.85% 12/15/51 | 100,000 | 89,327 | |
3.35% 5/15/24 | 110,000 | 113,358 | |
4.35% 11/3/45 | 74,000 | 84,520 | |
AFLAC, Inc. 3.625% 11/15/24 | 450,000 | 467,981 | |
Allstate Corp.: | |||
1.45% 12/15/30 | 500,000 | 448,859 | |
5.75% 8/15/53 (a) | 160,000 | 161,032 | |
American International Group, Inc.: | |||
4.375% 6/30/50 | 170,000 | 187,858 | |
4.5% 7/16/44 | 115,000 | 127,588 | |
4.7% 7/10/35 | 200,000 | 225,472 | |
4.75% 4/1/48 | 40,000 | 46,120 | |
5.75% 4/1/48 (a) | 190,000 | 195,225 | |
Aon PLC 4.75% 5/15/45 | 140,000 | 155,667 | |
Arch Capital Group Ltd. 3.635% 6/30/50 | 107,000 | 102,437 | |
Athene Holding Ltd. 3.5% 1/15/31 | 170,000 | 168,814 | |
Baylor Scott & White Holdings Series 2021, 2.839% 11/15/50 | 250,000 | 223,493 | |
Brighthouse Financial, Inc. 5.625% 5/15/30 | 199,000 | 227,010 | |
Fairfax Financial Holdings Ltd. 4.625% 4/29/30 | 100,000 | 107,477 | |
Hartford Financial Services Group, Inc.: | |||
2.8% 8/19/29 | 250,000 | 247,816 | |
4.4% 3/15/48 | 30,000 | 33,338 | |
Lincoln National Corp. 4.35% 3/1/48 | 210,000 | 226,858 | |
Manulife Financial Corp. 4.15% 3/4/26 | 200,000 | 211,936 | |
Markel Corp. 5% 5/20/49 | 120,000 | 139,497 | |
Marsh & McLennan Companies, Inc.: | |||
3.875% 3/15/24 | 170,000 | 175,911 | |
4.2% 3/1/48 | 40,000 | 43,541 | |
4.375% 3/15/29 | 120,000 | 130,880 | |
4.75% 3/15/39 | 120,000 | 137,515 | |
4.9% 3/15/49 | 120,000 | 143,619 | |
MetLife, Inc.: | |||
4.125% 8/13/42 | 180,000 | 192,115 | |
4.55% 3/23/30 | 110,000 | 123,436 | |
4.6% 5/13/46 | 272,000 | 319,920 | |
6.4% 12/15/66 (a) | 100,000 | 112,120 | |
Pricoa Global Funding I 5.625% 6/15/43 (a) | 300,000 | 307,500 | |
Principal Financial Group, Inc. 2.125% 6/15/30 | 160,000 | 151,423 | |
Progressive Corp.: | |||
3.2% 3/26/30 | 200,000 | 206,242 | |
4.2% 3/15/48 | 100,000 | 111,342 | |
Prudential Financial, Inc.: | |||
3% 3/10/40 | 110,000 | 103,860 | |
3.878% 3/27/28 | 45,000 | 48,101 | |
4.35% 2/25/50 | 180,000 | 201,266 | |
4.418% 3/27/48 | 100,000 | 112,057 | |
5.7% 12/14/36 | 120,000 | 152,608 | |
5.7% 9/15/48 (a) | 74,000 | 77,589 | |
The Chubb Corp. 6.5% 5/15/38 | 58,000 | 80,433 | |
The Travelers Companies, Inc.: | |||
2.55% 4/27/50 | 100,000 | 85,222 | |
4.05% 3/7/48 | 74,000 | 79,740 | |
6.25% 6/15/37 | 256,000 | 340,123 | |
Unum Group 5.75% 8/15/42 | 110,000 | 122,686 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 324,000 | 345,324 | |
8,236,352 | |||
TOTAL FINANCIALS | 101,082,484 | ||
HEALTH CARE - 2.4% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 120,000 | 121,139 | |
2.95% 11/21/26 | 100,000 | 101,810 | |
3.2% 11/21/29 | 200,000 | 202,553 | |
4.05% 11/21/39 | 210,000 | 220,423 | |
4.25% 11/14/28 | 92,000 | 99,337 | |
4.25% 11/21/49 | 350,000 | 372,166 | |
4.3% 5/14/36 | 25,000 | 27,375 | |
4.45% 5/14/46 | 280,000 | 301,664 | |
4.55% 3/15/35 | 50,000 | 55,071 | |
4.75% 3/15/45 | 420,000 | 465,894 | |
Amgen, Inc.: | |||
1.65% 8/15/28 | 550,000 | 515,721 | |
1.9% 2/21/25 | 100,000 | 99,696 | |
2.8% 8/15/41 | 200,000 | 176,445 | |
3.15% 2/21/40 | 220,000 | 205,552 | |
3.2% 11/2/27 | 70,000 | 72,089 | |
3.375% 2/21/50 | 210,000 | 192,522 | |
4.4% 5/1/45 | 188,000 | 199,748 | |
4.663% 6/15/51 | 100,000 | 111,927 | |
4.95% 10/1/41 | 100,000 | 113,824 | |
Biogen, Inc.: | |||
3.15% 5/1/50 | 100,000 | 81,709 | |
3.25% 2/15/51 (b) | 150,000 | 126,064 | |
Gilead Sciences, Inc.: | |||
1.65% 10/1/30 | 590,000 | 534,567 | |
2.8% 10/1/50 | 180,000 | 152,210 | |
4.15% 3/1/47 | 112,000 | 117,378 | |
4.6% 9/1/35 | 100,000 | 112,553 | |
4.75% 3/1/46 | 240,000 | 271,856 | |
5,051,293 | |||
Health Care Equipment & Supplies - 0.2% | |||
Abbott Laboratories 5.3% 5/27/40 | 390,000 | 487,142 | |
Baxter International, Inc.: | |||
1.915% 2/1/27 (b) | 330,000 | 319,935 | |
2.539% 2/1/32 (b) | 330,000 | 316,999 | |
Becton, Dickinson & Co.: | |||
3.7% 6/6/27 | 60,000 | 62,894 | |
4.669% 6/6/47 | 290,000 | 325,345 | |
Boston Scientific Corp.: | |||
4% 3/1/29 | 100,000 | 106,110 | |
4.7% 3/1/49 | 230,000 | 261,348 | |
Medtronic Global Holdings SCA 3.35% 4/1/27 | 100,000 | 104,351 | |
Medtronic, Inc. 4.375% 3/15/35 | 280,000 | 319,219 | |
Stryker Corp.: | |||
1.95% 6/15/30 | 100,000 | 92,573 | |
2.9% 6/15/50 | 200,000 | 176,763 | |
Zimmer Biomet Holdings, Inc.: | |||
3.55% 4/1/25 | 175,000 | 179,953 | |
3.55% 3/20/30 | 194,000 | 196,693 | |
2,949,325 | |||
Health Care Providers & Services - 1.0% | |||
Aetna, Inc. 3.875% 8/15/47 | 180,000 | 180,769 | |
AHS Hospital Corp. 2.78% 7/1/51 | 250,000 | 218,621 | |
Allina Health System, Inc. 3.887% 4/15/49 | 40,000 | 42,715 | |
Anthem, Inc.: | |||
2.375% 1/15/25 | 1,100,000 | 1,104,033 | |
3.125% 5/15/22 | 140,000 | 140,643 | |
4.101% 3/1/28 | 130,000 | 139,082 | |
4.55% 3/1/48 | 80,000 | 89,992 | |
4.625% 5/15/42 | 150,000 | 167,442 | |
5.1% 1/15/44 | 132,000 | 156,713 | |
Banner Health: | |||
2.907% 1/1/42 | 400,000 | 372,693 | |
2.913% 1/1/51 | 150,000 | 136,251 | |
Baptist Healthcare System Obli 3.54% 8/15/50 | 125,000 | 125,982 | |
Bon Secours Mercy Health, Inc. 2.095% 6/1/31 | 89,000 | 82,886 | |
Cardinal Health, Inc.: | |||
3.41% 6/15/27 | 290,000 | 300,080 | |
4.368% 6/15/47 | 30,000 | 30,726 | |
Children's Hospital of Philadelphia 2.704% 7/1/50 | 98,000 | 86,267 | |
Cigna Corp.: | |||
3.05% 11/30/22 | 110,000 | 111,378 | |
3.75% 7/15/23 | 37,000 | 37,958 | |
4.125% 11/15/25 | 99,000 | 104,312 | |
4.375% 10/15/28 | 100,000 | 108,386 | |
4.8% 8/15/38 | 80,000 | 89,122 | |
4.8% 7/15/46 | 230,000 | 256,700 | |
4.9% 12/15/48 | 200,000 | 227,184 | |
CommonSpirit Health 3.91% 10/1/50 | 150,000 | 151,946 | |
CVS Health Corp.: | |||
1.75% 8/21/30 | 735,000 | 664,051 | |
2.7% 8/21/40 | 210,000 | 183,307 | |
2.875% 6/1/26 | 60,000 | 60,718 | |
3% 8/15/26 | 38,000 | 38,673 | |
3.25% 8/15/29 | 250,000 | 254,330 | |
4.78% 3/25/38 | 512,000 | 572,550 | |
5.05% 3/25/48 | 250,000 | 291,917 | |
5.125% 7/20/45 | 100,000 | 115,781 | |
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49 | 120,000 | 123,518 | |
HCA Holdings, Inc.: | |||
4.125% 6/15/29 | 242,000 | 253,631 | |
5.125% 6/15/39 | 100,000 | 111,445 | |
5.25% 6/15/49 | 120,000 | 136,503 | |
5.5% 6/15/47 | 150,000 | 175,486 | |
Humana, Inc.: | |||
1.35% 2/3/27 | 170,000 | 160,293 | |
2.15% 2/3/32 | 170,000 | 156,198 | |
3.125% 8/15/29 | 100,000 | 100,514 | |
3.95% 8/15/49 | 100,000 | 101,558 | |
Indiana University Health, Inc. 2.852% 11/1/51 | 200,000 | 183,565 | |
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50 | 104,000 | 111,056 | |
Kaiser Foundation Hospitals: | |||
2.81% 6/1/41 | 290,000 | 268,061 | |
3.266% 11/1/49 | 110,000 | 106,718 | |
4.15% 5/1/47 | 60,000 | 66,823 | |
MidMichigan Health 3.409% 6/1/50 | 42,000 | 40,859 | |
Novant Health, Inc. 3.168% 11/1/51 | 110,000 | 105,782 | |
Orlando Health Obligated Group 3.327% 10/1/50 | 68,000 | 66,574 | |
Piedmont Healthcare, Inc. 2.719% 1/1/42 | 150,000 | 133,822 | |
Providence St. Joseph Health Obligated Group 2.7% 10/1/51 | 280,000 | 238,362 | |
Sutter Health 3.361% 8/15/50 | 170,000 | 162,186 | |
Trinity Health Corp. 2.632% 12/1/40 | 50,000 | 45,476 | |
UnitedHealth Group, Inc.: | |||
1.25% 1/15/26 | 223,000 | 215,610 | |
2% 5/15/30 | 170,000 | 160,675 | |
2.3% 5/15/31 | 270,000 | 260,115 | |
2.375% 8/15/24 | 100,000 | 101,329 | |
2.875% 8/15/29 | 150,000 | 151,832 | |
2.9% 5/15/50 | 307,000 | 281,011 | |
3.25% 5/15/51 | 100,000 | 97,106 | |
3.375% 4/15/27 | 220,000 | 230,897 | |
3.45% 1/15/27 | 370,000 | 388,941 | |
3.5% 2/15/24 | 100,000 | 103,305 | |
3.7% 8/15/49 | 90,000 | 93,187 | |
3.85% 6/15/28 | 240,000 | 257,205 | |
4.45% 12/15/48 | 68,000 | 78,221 | |
4.75% 7/15/45 | 182,000 | 215,684 | |
6.625% 11/15/37 | 310,000 | 433,359 | |
6.875% 2/15/38 | 126,000 | 179,170 | |
West Virginia University Health System Obligated Group 3.129% 6/1/50 | 70,000 | 64,056 | |
12,803,341 | |||
Life Sciences Tools & Services - 0.1% | |||
Danaher Corp. 2.6% 10/1/50 | 245,000 | 210,213 | |
PerkinElmer, Inc.: | |||
0.85% 9/15/24 | 100,000 | 96,476 | |
2.25% 9/15/31 | 100,000 | 91,480 | |
Thermo Fisher Scientific, Inc.: | |||
2.6% 10/1/29 | 300,000 | 295,547 | |
2.8% 10/15/41 | 180,000 | 165,723 | |
859,439 | |||
Pharmaceuticals - 0.7% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 170,000 | 162,918 | |
2.25% 5/28/31 | 170,000 | 163,322 | |
AstraZeneca PLC: | |||
1.375% 8/6/30 | 240,000 | 216,299 | |
3.125% 6/12/27 | 140,000 | 144,799 | |
4% 9/18/42 | 100,000 | 108,721 | |
6.45% 9/15/37 | 149,000 | 202,218 | |
Bayer U.S. Finance II LLC 2.85% 4/15/25 (b) | 177,000 | 176,894 | |
Bristol-Myers Squibb Co.: | |||
2.35% 11/13/40 | 210,000 | 180,214 | |
2.55% 11/13/50 | 100,000 | 84,617 | |
2.9% 7/26/24 | 160,000 | 163,722 | |
3.2% 6/15/26 | 100,000 | 104,157 | |
3.25% 2/27/27 | 760,000 | 795,952 | |
3.4% 7/26/29 | 100,000 | 105,263 | |
3.875% 8/15/25 | 80,000 | 84,422 | |
4.125% 6/15/39 | 100,000 | 109,602 | |
4.25% 10/26/49 | 100,000 | 111,829 | |
4.35% 11/15/47 | 100,000 | 113,716 | |
4.55% 2/20/48 | 204,000 | 236,648 | |
Eli Lilly & Co.: | |||
2.25% 5/15/50 | 200,000 | 166,703 | |
3.95% 3/15/49 | 100,000 | 111,207 | |
GlaxoSmithKline Capital PLC 3% 6/1/24 | 310,000 | 316,357 | |
GlaxoSmithKline Capital, Inc.: | |||
3.375% 5/15/23 | 240,000 | 245,149 | |
6.375% 5/15/38 | 151,000 | 206,309 | |
Johnson & Johnson: | |||
0.55% 9/1/25 | 100,000 | 95,322 | |
1.3% 9/1/30 | 100,000 | 91,189 | |
2.1% 9/1/40 | 440,000 | 376,792 | |
2.45% 9/1/60 | 100,000 | 83,315 | |
3.4% 1/15/38 | 238,000 | 246,736 | |
Merck & Co., Inc.: | |||
2.45% 6/24/50 | 200,000 | 170,975 | |
3.6% 9/15/42 | 130,000 | 133,940 | |
3.7% 2/10/45 | 322,000 | 335,492 | |
Mylan NV: | |||
5.2% 4/15/48 | 74,000 | 79,673 | |
5.4% 11/29/43 | 100,000 | 107,327 | |
Novartis Capital Corp.: | |||
2.4% 5/17/22 | 670,000 | 671,459 | |
2.75% 8/14/50 | 150,000 | 136,549 | |
4.4% 5/6/44 | 120,000 | 139,210 | |
Pfizer, Inc.: | |||
2.55% 5/28/40 | 120,000 | 109,685 | |
2.7% 5/28/50 | 100,000 | 90,374 | |
3.2% 9/15/23 | 80,000 | 82,052 | |
3.45% 3/15/29 | 100,000 | 105,304 | |
3.9% 3/15/39 | 70,000 | 75,913 | |
4% 12/15/36 | 190,000 | 208,989 | |
4.3% 6/15/43 | 106,000 | 119,116 | |
4.4% 5/15/44 | 110,000 | 126,559 | |
7.2% 3/15/39 | 130,000 | 193,274 | |
Pharmacia LLC 6.6% 12/1/28 (a) | 190,000 | 236,123 | |
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26 | 444,000 | 455,727 | |
Takeda Pharmaceutical Co. Ltd. 3.025% 7/9/40 | 330,000 | 297,956 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 318,000 | 296,851 | |
3.85% 6/22/40 | 100,000 | 93,738 | |
4% 6/22/50 | 70,000 | 62,074 | |
Wyeth LLC 5.95% 4/1/37 | 50,000 | 65,530 | |
Zoetis, Inc.: | |||
3% 9/12/27 | 50,000 | 50,951 | |
3.95% 9/12/47 | 180,000 | 194,528 | |
9,843,761 | |||
TOTAL HEALTH CARE | 31,507,159 | ||
INDUSTRIALS - 2.2% | |||
Aerospace & Defense - 0.6% | |||
General Dynamics Corp.: | |||
3.25% 4/1/25 | 1,040,000 | 1,073,186 | |
3.75% 5/15/28 | 100,000 | 105,706 | |
4.25% 4/1/40 | 104,000 | 116,114 | |
4.25% 4/1/50 | 30,000 | 34,437 | |
L3Harris Technologies, Inc. 1.8% 1/15/31 | 435,000 | 392,212 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 250,000 | 256,227 | |
4.07% 12/15/42 | 110,000 | 119,961 | |
4.09% 9/15/52 | 119,000 | 130,049 | |
4.7% 5/15/46 | 136,000 | 160,694 | |
6.15% 9/1/36 | 100,000 | 131,374 | |
Northrop Grumman Corp.: | |||
3.25% 1/15/28 | 100,000 | 102,166 | |
4.03% 10/15/47 | 178,000 | 187,721 | |
4.75% 6/1/43 | 110,000 | 126,585 | |
Raytheon Technologies Corp.: | |||
1.9% 9/1/31 | 470,000 | 428,035 | |
3.65% 8/16/23 | 13,000 | 13,329 | |
3.75% 11/1/46 | 100,000 | 101,063 | |
3.95% 8/16/25 | 80,000 | 84,306 | |
4.125% 11/16/28 | 400,000 | 432,198 | |
4.35% 4/15/47 | 100,000 | 109,856 | |
4.45% 11/16/38 | 360,000 | 401,076 | |
4.5% 6/1/42 | 40,000 | 44,735 | |
5.7% 4/15/40 | 160,000 | 202,926 | |
The Boeing Co.: | |||
2.75% 2/1/26 | 140,000 | 140,102 | |
2.8% 3/1/23 | 270,000 | 272,830 | |
2.95% 2/1/30 | 220,000 | 210,614 | |
3.2% 3/1/29 | 320,000 | 316,363 | |
3.75% 2/1/50 | 70,000 | 65,045 | |
4.875% 5/1/25 | 1,090,000 | 1,158,760 | |
5.705% 5/1/40 | 700,000 | 815,426 | |
5.805% 5/1/50 | 220,000 | 261,362 | |
6.875% 3/15/39 | 160,000 | 203,260 | |
8,197,718 | |||
Air Freight & Logistics - 0.2% | |||
FedEx Corp.: | |||
2.4% 5/15/31 | 200,000 | 190,151 | |
4.05% 2/15/48 | 80,000 | 81,628 | |
4.1% 2/1/45 | 130,000 | 132,238 | |
4.25% 5/15/30 | 130,000 | 140,817 | |
4.9% 1/15/34 | 100,000 | 114,672 | |
4.95% 10/17/48 | 80,000 | 91,231 | |
5.25% 5/15/50 | 98,000 | 117,531 | |
United Parcel Service, Inc.: | |||
3.05% 11/15/27 | 150,000 | 156,347 | |
3.9% 4/1/25 | 350,000 | 368,470 | |
4.45% 4/1/30 | 150,000 | 169,405 | |
5.3% 4/1/50 | 82,000 | 110,112 | |
6.2% 1/15/38 | 234,000 | 316,835 | |
1,989,437 | |||
Airlines - 0.1% | |||
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36 | 210,000 | 202,056 | |
Southwest Airlines Co. 5.125% 6/15/27 | 251,000 | 278,259 | |
United Airlines 2020-1 Class B Pass Through Trust 4.875% 7/15/27 | 169,344 | 172,837 | |
653,152 | |||
Building Products - 0.1% | |||
Carrier Global Corp.: | |||
2.242% 2/15/25 | 300,000 | 299,155 | |
2.493% 2/15/27 | 100,000 | 99,481 | |
2.722% 2/15/30 | 100,000 | 97,251 | |
3.377% 4/5/40 | 150,000 | 140,981 | |
3.577% 4/5/50 | 100,000 | 95,103 | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75% 9/15/30 | 300,000 | 273,398 | |
Masco Corp.: | |||
2% 2/15/31 | 90,000 | 81,592 | |
3.125% 2/15/51 | 50,000 | 43,475 | |
Owens Corning 4.3% 7/15/47 | 110,000 | 116,135 | |
1,246,571 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc.: | |||
1.45% 2/15/31 | 400,000 | 354,155 | |
3.95% 5/15/28 | 200,000 | 212,455 | |
Waste Management, Inc.: | |||
2.4% 5/15/23 | 250,000 | 251,698 | |
2.5% 11/15/50 | 150,000 | 125,649 | |
3.15% 11/15/27 | 50,000 | 51,449 | |
995,406 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp. 4.15% 11/2/42 | 100,000 | 107,373 | |
Industrial Conglomerates - 0.2% | |||
3M Co.: | |||
2.375% 8/26/29 | 270,000 | 263,828 | |
2.875% 10/15/27 | 210,000 | 215,778 | |
3.25% 8/26/49 | 100,000 | 95,366 | |
3.375% 3/1/29 | 110,000 | 114,538 | |
3.7% 4/15/50 | 96,000 | 98,535 | |
General Electric Co.: | |||
4.25% 5/1/40 | 50,000 | 54,257 | |
4.35% 5/1/50 | 170,000 | 190,481 | |
4.5% 3/11/44 | 200,000 | 222,853 | |
Honeywell International, Inc.: | |||
1.35% 6/1/25 | 100,000 | 97,882 | |
1.95% 6/1/30 | 100,000 | 94,257 | |
2.3% 8/15/24 | 190,000 | 192,425 | |
2.7% 8/15/29 | 110,000 | 110,883 | |
2.8% 6/1/50 | 200,000 | 189,090 | |
Roper Technologies, Inc.: | |||
1% 9/15/25 | 60,000 | 57,071 | |
1.4% 9/15/27 | 60,000 | 55,968 | |
1.75% 2/15/31 | 60,000 | 53,047 | |
2% 6/30/30 | 400,000 | 364,219 | |
2,470,478 | |||
Machinery - 0.3% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 190,000 | 186,661 | |
0.45% 5/17/24 | 670,000 | 650,353 | |
1.1% 9/14/27 | 540,000 | 506,896 | |
2.55% 11/29/22 | 518,000 | 523,568 | |
Caterpillar, Inc.: | |||
2.6% 4/9/30 | 210,000 | 209,823 | |
3.25% 9/19/49 | 170,000 | 167,306 | |
3.25% 4/9/50 | 130,000 | 127,825 | |
Cummins, Inc. 1.5% 9/1/30 | 190,000 | 170,531 | |
Deere & Co. 2.875% 9/7/49 | 190,000 | 174,309 | |
Illinois Tool Works, Inc.: | |||
3.5% 3/1/24 | 450,000 | 463,242 | |
3.9% 9/1/42 | 100,000 | 106,013 | |
Ingersoll-Rand Luxembourg Finance SA 3.8% 3/21/29 | 180,000 | 188,753 | |
Otis Worldwide Corp.: | |||
2.565% 2/15/30 | 100,000 | 96,667 | |
3.362% 2/15/50 | 80,000 | 74,556 | |
Parker Hannifin Corp.: | |||
2.7% 6/14/24 | 300,000 | 303,719 | |
3.25% 6/14/29 | 210,000 | 214,037 | |
4% 6/14/49 | 110,000 | 115,520 | |
Stanley Black & Decker, Inc. 2.75% 11/15/50 | 151,000 | 126,933 | |
4,406,712 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 4.3% 11/23/23 | 170,000 | 175,780 | |
Road & Rail - 0.5% | |||
Burlington Northern Santa Fe LLC: | |||
3.05% 2/15/51 | 30,000 | 27,816 | |
3.25% 6/15/27 | 550,000 | 577,773 | |
3.3% 9/15/51 | 140,000 | 136,183 | |
4.05% 6/15/48 | 182,000 | 197,544 | |
4.15% 12/15/48 | 100,000 | 110,371 | |
4.45% 3/15/43 | 151,000 | 170,741 | |
5.75% 5/1/40 | 100,000 | 128,361 | |
Canadian National Railway Co.: | |||
2.45% 5/1/50 | 150,000 | 125,148 | |
3.65% 2/3/48 | 100,000 | 102,398 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 200,000 | 193,973 | |
2.45% 12/2/31 | 200,000 | 191,946 | |
3.1% 12/2/51 | 200,000 | 181,320 | |
4.8% 8/1/45 | 230,000 | 264,839 | |
CSX Corp.: | |||
3.35% 11/1/25 | 250,000 | 258,505 | |
3.8% 3/1/28 | 50,000 | 52,731 | |
4.25% 3/15/29 | 150,000 | 162,915 | |
4.3% 3/1/48 | 210,000 | 229,576 | |
4.75% 11/15/48 | 160,000 | 186,568 | |
6.15% 5/1/37 | 100,000 | 129,818 | |
Kansas City Southern/Old 3.5% 5/1/50 | 160,000 | 152,782 | |
Norfolk Southern Corp.: | |||
2.9% 6/15/26 | 370,000 | 378,695 | |
3.155% 5/15/55 | 100,000 | 91,808 | |
3.8% 8/1/28 | 72,000 | 76,194 | |
3.95% 10/1/42 | 305,000 | 318,396 | |
4.15% 2/28/48 | 100,000 | 106,905 | |
Union Pacific Corp.: | |||
2.15% 2/5/27 | 120,000 | 118,363 | |
2.75% 3/1/26 | 360,000 | 365,461 | |
2.891% 4/6/36 | 390,000 | 377,253 | |
3.25% 2/5/50 | 270,000 | 259,273 | |
3.646% 2/15/24 | 180,000 | 185,652 | |
3.799% 4/6/71 | 170,000 | 171,298 | |
4% 4/15/47 | 90,000 | 96,053 | |
6,126,659 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 680,000 | 658,886 | |
3.625% 12/1/27 | 140,000 | 141,687 | |
4.625% 10/1/28 | 350,000 | 371,178 | |
W.W. Grainger, Inc. 3.75% 5/15/46 | 120,000 | 124,589 | |
1,296,340 | |||
TOTAL INDUSTRIALS | 27,665,626 | ||
INFORMATION TECHNOLOGY - 2.4% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc. 5.5% 1/15/40 | 192,000 | 246,989 | |
Electronic Equipment & Components - 0.1% | |||
Corning, Inc. 5.35% 11/15/48 | 300,000 | 375,163 | |
Dell International LLC/EMC Corp.: | |||
4.9% 10/1/26 | 450,000 | 487,430 | |
5.3% 10/1/29 | 90,000 | 100,369 | |
5.45% 6/15/23 | 60,000 | 62,455 | |
8.1% 7/15/36 | 310,000 | 429,278 | |
8.35% 7/15/46 | 92,000 | 139,516 | |
1,594,211 | |||
IT Services - 0.6% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 430,000 | 420,433 | |
Fidelity National Information Services, Inc.: | |||
1.15% 3/1/26 | 246,000 | 232,253 | |
2.25% 3/1/31 | 200,000 | 182,102 | |
Fiserv, Inc.: | |||
2.25% 6/1/27 | 100,000 | 97,694 | |
2.75% 7/1/24 | 370,000 | 373,765 | |
3.5% 7/1/29 | 520,000 | 526,894 | |
4.4% 7/1/49 | 100,000 | 106,592 | |
Global Payments, Inc.: | |||
1.2% 3/1/26 | 350,000 | 330,360 | |
2.9% 5/15/30 | 310,000 | 298,269 | |
IBM Corp.: | |||
1.95% 5/15/30 | 100,000 | 93,904 | |
2.85% 5/15/40 | 110,000 | 100,196 | |
2.95% 5/15/50 | 100,000 | 89,646 | |
3% 5/15/24 | 100,000 | 102,278 | |
3.5% 5/15/29 | 170,000 | 178,191 | |
3.625% 2/12/24 | 1,460,000 | 1,513,645 | |
4.15% 5/15/39 | 100,000 | 106,706 | |
4.7% 2/19/46 | 204,000 | 238,028 | |
5.6% 11/30/39 | 180,000 | 225,150 | |
MasterCard, Inc. 3.85% 3/26/50 | 310,000 | 336,952 | |
PayPal Holdings, Inc.: | |||
1.65% 6/1/25 | 80,000 | 78,389 | |
2.3% 6/1/30 | 130,000 | 123,834 | |
2.85% 10/1/29 | 280,000 | 278,869 | |
The Western Union Co. 2.85% 1/10/25 | 100,000 | 101,244 | |
Visa, Inc.: | |||
2.05% 4/15/30 | 430,000 | 416,439 | |
2.15% 9/15/22 | 480,000 | 483,010 | |
2.7% 4/15/40 | 120,000 | 112,832 | |
3.15% 12/14/25 | 160,000 | 165,800 | |
4.3% 12/14/45 | 402,000 | 465,278 | |
7,778,753 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Analog Devices, Inc.: | |||
2.8% 10/1/41 | 150,000 | 138,265 | |
2.95% 4/1/25 | 240,000 | 245,764 | |
Applied Materials, Inc.: | |||
4.35% 4/1/47 | 90,000 | 103,518 | |
5.1% 10/1/35 | 120,000 | 144,836 | |
Broadcom Corp./Broadcom Cayman LP 3.875% 1/15/27 | 100,000 | 104,120 | |
Broadcom, Inc.: | |||
2.45% 2/15/31 (b) | 160,000 | 147,803 | |
2.6% 2/15/33 (b) | 100,000 | 91,262 | |
3.137% 11/15/35 (b) | 100,000 | 92,622 | |
3.15% 11/15/25 | 230,000 | 234,318 | |
3.459% 9/15/26 | 432,000 | 444,745 | |
3.469% 4/15/34 (b) | 230,000 | 222,025 | |
3.75% 2/15/51 (b) | 280,000 | 261,269 | |
4.3% 11/15/32 | 300,000 | 316,083 | |
5% 4/15/30 | 292,000 | 322,419 | |
Intel Corp.: | |||
2% 8/12/31 | 50,000 | 46,483 | |
2.45% 11/15/29 | 720,000 | 703,047 | |
3.05% 8/12/51 | 50,000 | 45,409 | |
3.25% 11/15/49 | 180,000 | 168,608 | |
3.734% 12/8/47 | 110,000 | 110,901 | |
4.6% 3/25/40 | 110,000 | 124,525 | |
4.75% 3/25/50 | 390,000 | 455,955 | |
Lam Research Corp. 2.875% 6/15/50 | 150,000 | 133,789 | |
Micron Technology, Inc.: | |||
4.663% 2/15/30 | 120,000 | 128,988 | |
5.327% 2/6/29 | 190,000 | 211,711 | |
NVIDIA Corp.: | |||
2% 6/15/31 | 480,000 | 451,372 | |
3.5% 4/1/50 | 167,000 | 171,989 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.65% 2/15/32 (b) | 300,000 | 282,329 | |
3.25% 5/11/41 (b) | 190,000 | 174,033 | |
3.875% 6/18/26 (b) | 140,000 | 146,471 | |
Qualcomm, Inc.: | |||
2.6% 1/30/23 | 430,000 | 435,160 | |
4.3% 5/20/47 | 213,000 | 240,518 | |
Texas Instruments, Inc. 3.875% 3/15/39 | 210,000 | 228,637 | |
7,128,974 | |||
Software - 0.6% | |||
Adobe, Inc. 2.15% 2/1/27 | 240,000 | 238,791 | |
Microsoft Corp.: | |||
2.4% 8/8/26 | 520,000 | 527,969 | |
2.525% 6/1/50 | 280,000 | 248,455 | |
2.675% 6/1/60 | 200,000 | 176,311 | |
2.921% 3/17/52 | 170,000 | 162,320 | |
3.45% 8/8/36 | 610,000 | 654,224 | |
3.75% 2/12/45 | 100,000 | 107,308 | |
5.3% 2/8/41 | 280,000 | 363,103 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 1,290,000 | 1,288,266 | |
2.65% 7/15/26 | 100,000 | 99,315 | |
2.875% 3/25/31 | 470,000 | 448,595 | |
3.25% 11/15/27 | 260,000 | 262,963 | |
3.6% 4/1/40 | 100,000 | 90,575 | |
3.6% 4/1/50 | 210,000 | 182,557 | |
3.8% 11/15/37 | 100,000 | 95,038 | |
3.85% 4/1/60 | 70,000 | 60,329 | |
3.9% 5/15/35 | 100,000 | 97,997 | |
3.95% 3/25/51 | 200,000 | 183,208 | |
4% 11/15/47 | 388,000 | 354,102 | |
4.1% 3/25/61 | 140,000 | 126,897 | |
4.375% 5/15/55 | 200,000 | 189,667 | |
5.375% 7/15/40 | 120,000 | 132,060 | |
6.125% 7/8/39 | 114,000 | 135,809 | |
Salesforce.com, Inc.: | |||
1.95% 7/15/31 | 100,000 | 94,483 | |
2.9% 7/15/51 | 300,000 | 272,032 | |
3.7% 4/11/28 | 140,000 | 149,282 | |
VMware, Inc. 1.4% 8/15/26 | 690,000 | 653,978 | |
7,395,634 | |||
Technology Hardware, Storage & Peripherals - 0.6% | |||
Apple, Inc.: | |||
1.125% 5/11/25 | 500,000 | 487,547 | |
1.7% 8/5/31 | 280,000 | 259,545 | |
2.1% 9/12/22 | 100,000 | 100,588 | |
2.375% 2/8/41 | 440,000 | 391,895 | |
2.4% 1/13/23 | 1,242,000 | 1,253,524 | |
2.55% 8/20/60 | 110,000 | 91,143 | |
2.85% 8/5/61 | 490,000 | 435,334 | |
2.95% 9/11/49 | 180,000 | 167,805 | |
3% 2/9/24 | 650,000 | 665,658 | |
3% 11/13/27 | 890,000 | 925,244 | |
3.35% 2/9/27 | 240,000 | 252,546 | |
3.75% 11/13/47 | 90,000 | 96,157 | |
4.375% 5/13/45 | 120,000 | 137,178 | |
4.5% 2/23/36 | 110,000 | 129,309 | |
4.65% 2/23/46 | 201,000 | 243,877 | |
Hewlett Packard Enterprise Co. 4.9% 10/15/25 (a) | 1,108,000 | 1,188,573 | |
HP, Inc.: | |||
2.2% 6/17/25 | 190,000 | 188,769 | |
2.65% 6/17/31 | 100,000 | 93,865 | |
3.4% 6/17/30 | 250,000 | 252,435 | |
7,360,992 | |||
TOTAL INFORMATION TECHNOLOGY | 31,505,553 | ||
MATERIALS - 0.8% | |||
Chemicals - 0.5% | |||
Air Products & Chemicals, Inc.: | |||
1.5% 10/15/25 | 100,000 | 97,910 | |
2.05% 5/15/30 | 40,000 | 38,246 | |
2.7% 5/15/40 | 40,000 | 36,420 | |
2.8% 5/15/50 | 40,000 | 35,841 | |
CF Industries Holdings, Inc. 5.375% 3/15/44 | 130,000 | 146,466 | |
DuPont de Nemours, Inc.: | |||
4.205% 11/15/23 | 100,000 | 103,573 | |
4.493% 11/15/25 | 320,000 | 340,889 | |
4.725% 11/15/28 | 100,000 | 110,653 | |
5.319% 11/15/38 | 310,000 | 368,530 | |
Eastman Chemical Co. 4.5% 12/1/28 | 226,000 | 244,714 | |
Ecolab, Inc.: | |||
1.3% 1/30/31 | 400,000 | 355,834 | |
2.125% 8/15/50 | 150,000 | 114,413 | |
International Flavors & Fragrances, Inc. 4.45% 9/26/28 | 130,000 | 141,104 | |
Linde, Inc./Connecticut 3.2% 1/30/26 | 230,000 | 238,921 | |
LYB International Finance BV 4% 7/15/23 | 87,000 | 89,484 | |
LYB International Finance II BV 3.5% 3/2/27 | 680,000 | 706,581 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 110,000 | 102,949 | |
3.625% 4/1/51 | 110,000 | 103,876 | |
3.8% 10/1/60 | 100,000 | 89,455 | |
Nutrien Ltd.: | |||
3.95% 5/13/50 | 170,000 | 176,930 | |
4.2% 4/1/29 | 32,000 | 34,567 | |
5% 4/1/49 | 56,000 | 67,586 | |
Rohm & Haas Co. 7.85% 7/15/29 | 120,000 | 156,824 | |
Sherwin-Williams Co.: | |||
2.75% 6/1/22 | 4,000 | 4,009 | |
3.125% 6/1/24 | 160,000 | 163,426 | |
3.45% 6/1/27 | 210,000 | 218,464 | |
4.5% 6/1/47 | 200,000 | 219,380 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 450,000 | 419,607 | |
3.6% 11/15/50 | 170,000 | 162,573 | |
3.625% 5/15/26 | 150,000 | 156,588 | |
5.55% 11/30/48 | 80,000 | 100,833 | |
The Mosaic Co. 4.05% 11/15/27 | 170,000 | 179,715 | |
Westlake Corp. 3.6% 8/15/26 | 548,000 | 569,150 | |
6,095,511 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 4.25% 12/15/47 | 120,000 | 125,673 | |
Containers & Packaging - 0.1% | |||
International Paper Co. 5% 9/15/35 | 328,000 | 385,784 | |
WRKCo, Inc.: | |||
3.9% 6/1/28 | 170,000 | 177,118 | |
4.65% 3/15/26 | 400,000 | 432,046 | |
994,948 | |||
Metals & Mining - 0.2% | |||
Barrick North America Finance LLC 5.7% 5/30/41 | 142,000 | 176,733 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 100,000 | 126,078 | |
BHP Billiton Financial (U.S.A.) Ltd.: | |||
4.125% 2/24/42 | 100,000 | 108,582 | |
5% 9/30/43 | 151,000 | 182,183 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 160,000 | 149,511 | |
4.875% 3/15/42 | 100,000 | 115,070 | |
5.45% 6/9/44 | 100,000 | 121,695 | |
Nucor Corp. 2.979% 12/15/55 | 110,000 | 94,645 | |
Rio Tinto Finance (U.S.A.) Ltd. 5.2% 11/2/40 | 324,000 | 394,520 | |
Southern Copper Corp.: | |||
3.875% 4/23/25 | 210,000 | 215,486 | |
5.875% 4/23/45 | 178,000 | 220,484 | |
7.5% 7/27/35 | 110,000 | 145,221 | |
Vale Overseas Ltd.: | |||
3.75% 7/8/30 | 500,000 | 491,000 | |
6.875% 11/21/36 | 120,000 | 146,100 | |
2,687,308 | |||
Paper & Forest Products - 0.0% | |||
Suzano Austria GmbH: | |||
2.5% 9/15/28 | 320,000 | 291,120 | |
6% 1/15/29 | 230,000 | 251,103 | |
542,223 | |||
TOTAL MATERIALS | 10,445,663 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 250,000 | 226,168 | |
4.85% 4/15/49 | 140,000 | 163,626 | |
American Tower Corp.: | |||
1.3% 9/15/25 | 120,000 | 114,853 | |
2.1% 6/15/30 | 120,000 | 108,659 | |
3.1% 6/15/50 | 120,000 | 100,618 | |
3.6% 1/15/28 | 70,000 | 71,809 | |
3.8% 8/15/29 | 100,000 | 103,253 | |
AvalonBay Communities, Inc. 2.3% 3/1/30 | 408,000 | 396,168 | |
Boston Properties, Inc.: | |||
2.75% 10/1/26 | 100,000 | 100,302 | |
3.25% 1/30/31 | 227,000 | 226,597 | |
4.5% 12/1/28 | 100,000 | 109,186 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 90,000 | 86,337 | |
2.25% 1/15/31 | 100,000 | 90,125 | |
3.25% 1/15/51 | 190,000 | 163,017 | |
3.65% 9/1/27 | 464,000 | 479,834 | |
Duke Realty LP 1.75% 2/1/31 | 340,000 | 306,134 | |
Equinix, Inc.: | |||
1.45% 5/15/26 | 200,000 | 190,300 | |
2.5% 5/15/31 | 210,000 | 194,199 | |
ERP Operating LP: | |||
1.85% 8/1/31 | 240,000 | 222,476 | |
2.5% 2/15/30 | 160,000 | 156,450 | |
3.5% 3/1/28 | 160,000 | 168,299 | |
Federal Realty Investment Trust 1.25% 2/15/26 | 200,000 | 191,250 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 310,000 | 326,659 | |
Healthpeak Properties, Inc.: | |||
2.875% 1/15/31 | 430,000 | 422,653 | |
3% 1/15/30 | 320,000 | 318,479 | |
Kilroy Realty LP 2.65% 11/15/33 | 100,000 | 91,029 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 610,000 | 576,582 | |
2.8% 10/1/26 | 216,000 | 217,374 | |
National Retail Properties, Inc. 3% 4/15/52 | 200,000 | 166,614 | |
Omega Healthcare Investors, Inc.: | |||
4.5% 4/1/27 | 140,000 | 147,775 | |
4.75% 1/15/28 | 201,000 | 210,514 | |
Prologis LP: | |||
1.625% 3/15/31 | 150,000 | 136,380 | |
2.125% 4/15/27 | 170,000 | 167,223 | |
2.125% 10/15/50 | 100,000 | 76,882 | |
Realty Income Corp.: | |||
2.85% 12/15/32 | 148,000 | 143,925 | |
3.25% 1/15/31 | 238,000 | 241,304 | |
Regency Centers LP 3.7% 6/15/30 | 150,000 | 156,434 | |
Simon Property Group LP: | |||
2% 9/13/24 | 420,000 | 418,651 | |
2.2% 2/1/31 | 250,000 | 233,862 | |
2.65% 7/15/30 | 138,000 | 134,336 | |
3.375% 12/1/27 | 150,000 | 154,634 | |
3.5% 9/1/25 | 230,000 | 237,474 | |
4.25% 11/30/46 | 116,000 | 125,547 | |
4.75% 3/15/42 | 110,000 | 124,427 | |
UDR, Inc.: | |||
2.1% 6/15/33 | 100,000 | 88,386 | |
3% 8/15/31 | 100,000 | 98,502 | |
Ventas Realty LP: | |||
4% 3/1/28 | 184,000 | 195,545 | |
4.875% 4/15/49 | 160,000 | 184,145 | |
Welltower, Inc.: | |||
2.75% 1/15/32 | 110,000 | 105,223 | |
4.25% 4/15/28 | 174,000 | 187,221 | |
Weyerhaeuser Co. 4% 11/15/29 | 130,000 | 138,793 | |
9,796,233 | |||
Real Estate Management & Development - 0.0% | |||
Essex Portfolio LP: | |||
2.65% 3/15/32 | 210,000 | 200,858 | |
3.875% 5/1/24 | 120,000 | 123,961 | |
324,819 | |||
TOTAL REAL ESTATE | 10,121,052 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.4% | |||
AEP Texas, Inc. 3.45% 5/15/51 | 70,000 | 63,554 | |
AEP Transmission Co. LLC: | |||
2.75% 8/15/51 | 100,000 | 85,356 | |
3.65% 4/1/50 | 139,000 | 137,783 | |
Alabama Power Co. 1.45% 9/15/30 | 800,000 | 716,929 | |
American Electric Power Co., Inc.: | |||
3.25% 3/1/50 | 174,000 | 152,286 | |
4.3% 12/1/28 | 194,000 | 208,186 | |
Appalachian Power Co. 7% 4/1/38 | 100,000 | 134,156 | |
Arizona Public Service Co. 3.35% 5/15/50 | 200,000 | 178,365 | |
Baltimore Gas & Electric Co. 2.9% 6/15/50 | 120,000 | 108,159 | |
CenterPoint Energy Houston Electric LLC: | |||
3.35% 4/1/51 | 70,000 | 67,438 | |
4.25% 2/1/49 | 185,000 | 204,004 | |
Cincinnati Gas & Electric Co.: | |||
3.65% 2/1/29 | 210,000 | 220,063 | |
4.3% 2/1/49 | 65,000 | 70,610 | |
Commonwealth Edison Co.: | |||
2.75% 9/1/51 | 200,000 | 173,451 | |
4% 3/1/48 | 208,000 | 221,862 | |
DTE Electric Co.: | |||
3.95% 3/1/49 | 56,000 | 59,380 | |
4.05% 5/15/48 | 100,000 | 109,000 | |
Duke Energy Carolinas LLC: | |||
4% 9/30/42 | 179,000 | 186,764 | |
4.25% 12/15/41 | 130,000 | 139,630 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 200,000 | 190,031 | |
3.15% 8/15/27 | 352,000 | 359,299 | |
3.3% 6/15/41 | 390,000 | 356,970 | |
3.75% 9/1/46 | 110,000 | 105,087 | |
4.2% 6/15/49 | 310,000 | 317,065 | |
Duke Energy Industries, Inc. 6.35% 8/15/38 | 170,000 | 219,837 | |
Edison International 4.125% 3/15/28 | 100,000 | 102,914 | |
Entergy Corp.: | |||
0.9% 9/15/25 | 500,000 | 473,312 | |
3.75% 6/15/50 | 190,000 | 183,526 | |
Entergy, Inc.: | |||
3.35% 6/15/52 | 100,000 | 94,685 | |
3.55% 9/30/49 | 194,000 | 186,167 | |
Eversource Energy: | |||
2.55% 3/15/31 | 200,000 | 190,769 | |
3.45% 1/15/50 | 120,000 | 112,453 | |
Exelon Corp.: | |||
3.95% 6/15/25 | 163,000 | 169,551 | |
4.05% 4/15/30 | 370,000 | 392,628 | |
4.7% 4/15/50 | 110,000 | 124,689 | |
5.1% 6/15/45 | 160,000 | 184,684 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 97,000 | 91,180 | |
2.25% 9/1/30 | 150,000 | 137,321 | |
5.35% 7/15/47 | 150,000 | 158,498 | |
Florida Power & Light Co.: | |||
3.99% 3/1/49 | 133,000 | 143,523 | |
4.05% 6/1/42 | 210,000 | 225,061 | |
4.05% 10/1/44 | 170,000 | 182,468 | |
4.125% 2/1/42 | 240,000 | 261,009 | |
Indiana Michigan Power Co. 3.25% 5/1/51 | 80,000 | 73,640 | |
Interstate Power and Light Co. 2.3% 6/1/30 | 104,000 | 99,806 | |
Kentucky Utilities Co. 5.125% 11/1/40 | 170,000 | 199,956 | |
MidAmerican Energy Co.: | |||
3.65% 8/1/48 | 280,000 | 283,136 | |
3.95% 8/1/47 | 100,000 | 106,487 | |
4.25% 7/15/49 | 100,000 | 111,572 | |
Mississippi Power Co. 3.95% 3/30/28 | 120,000 | 126,417 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.875% 1/15/27 | 300,000 | 290,204 | |
2.44% 1/15/32 | 400,000 | 374,247 | |
Northern States Power Co. 2.6% 6/1/51 | 300,000 | 256,721 | |
Oglethorpe Power Corp. 5.95% 11/1/39 | 110,000 | 135,483 | |
Oncor Electric Delivery Co. LLC: | |||
3.1% 9/15/49 | 100,000 | 92,494 | |
3.8% 6/1/49 | 280,000 | 293,242 | |
Pacific Gas & Electric Co.: | |||
2.5% 2/1/31 | 320,000 | 284,948 | |
3.15% 1/1/26 | 110,000 | 109,385 | |
3.3% 8/1/40 | 100,000 | 84,256 | |
3.5% 6/15/25 | 506,000 | 511,691 | |
3.75% 2/15/24 | 320,000 | 325,139 | |
4.55% 7/1/30 | 603,000 | 619,403 | |
4.75% 2/15/44 | 100,000 | 95,651 | |
4.95% 7/1/50 | 230,000 | 227,830 | |
PacifiCorp 6% 1/15/39 | 100,000 | 126,715 | |
PPL Capital Funding, Inc. 4% 9/15/47 | 90,000 | 93,749 | |
PPL Electric Utilities Corp. 3% 10/1/49 | 70,000 | 64,596 | |
Public Service Co. of Colorado: | |||
3.2% 3/1/50 | 110,000 | 102,311 | |
6.25% 9/1/37 | 130,000 | 175,657 | |
Public Service Electric & Gas Co.: | |||
2.45% 1/15/30 | 80,000 | 78,019 | |
3% 5/15/25 | 220,000 | 224,625 | |
3.15% 1/1/50 | 80,000 | 75,368 | |
Puget Sound Energy, Inc. 4.3% 5/20/45 | 130,000 | 141,019 | |
Southern California Edison Co.: | |||
2.95% 2/1/51 | 100,000 | 84,404 | |
3.5% 10/1/23 | 566,000 | 576,975 | |
3.65% 2/1/50 | 220,000 | 207,991 | |
4.05% 3/15/42 | 100,000 | 97,830 | |
4.65% 10/1/43 | 158,000 | 168,076 | |
6.05% 3/15/39 | 100,000 | 121,289 | |
Southern Co.: | |||
3.25% 7/1/26 | 765,000 | 784,431 | |
4.4% 7/1/46 | 253,000 | 265,080 | |
Tampa Electric Co. 4.45% 6/15/49 | 140,000 | 160,859 | |
Virginia Electric & Power Co.: | |||
2.45% 12/15/50 | 100,000 | 81,503 | |
3.8% 4/1/28 | 90,000 | 95,630 | |
3.8% 9/15/47 | 180,000 | 186,128 | |
4.6% 12/1/48 | 208,000 | 238,124 | |
6% 5/15/37 | 120,000 | 154,521 | |
Wisconsin Electric Power Co. 1.7% 6/15/28 | 490,000 | 461,865 | |
Xcel Energy, Inc.: | |||
3.35% 12/1/26 | 316,000 | 326,401 | |
3.4% 6/1/30 | 73,000 | 75,382 | |
18,069,959 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp.: | |||
2.85% 2/15/52 | 100,000 | 85,945 | |
4.125% 10/15/44 | 210,000 | 218,644 | |
CenterPoint Energy Resources Corp. 1.75% 10/1/30 | 100,000 | 90,224 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 80,000 | 80,062 | |
Southern California Gas Co. 4.3% 1/15/49 | 130,000 | 142,258 | |
Southern Co. Gas Capital Corp. 3.15% 9/30/51 | 250,000 | 222,279 | |
839,412 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Emera U.S. Finance LP 4.75% 6/15/46 | 100,000 | 105,535 | |
Exelon Generation Co. LLC: | |||
3.25% 6/1/25 | 100,000 | 102,105 | |
5.6% 6/15/42 | 130,000 | 143,999 | |
351,639 | |||
Multi-Utilities - 0.4% | |||
Ameren Corp. 3.5% 1/15/31 | 250,000 | 256,954 | |
Berkshire Hathaway Energy Co.: | |||
1.65% 5/15/31 | 160,000 | 143,419 | |
3.25% 4/15/28 | 250,000 | 259,883 | |
4.45% 1/15/49 | 100,000 | 110,523 | |
4.5% 2/1/45 | 180,000 | 198,268 | |
5.95% 5/15/37 | 120,000 | 150,979 | |
6.125% 4/1/36 | 110,000�� | 139,319 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.85% 6/15/46 | 100,000 | 99,063 | |
3.95% 4/1/50 | 245,000 | 252,046 | |
4.5% 5/15/58 | 220,000 | 238,104 | |
4.65% 12/1/48 | 80,000 | 89,244 | |
6.75% 4/1/38 | 110,000 | 148,697 | |
Consumers Energy Co.: | |||
2.65% 8/15/52 | 200,000 | 171,802 | |
3.1% 8/15/50 | 200,000 | 189,654 | |
Dominion Energy, Inc. 3.375% 4/1/30 | 340,000 | 346,446 | |
DTE Energy Co. 3.8% 3/15/27 | 90,000 | 92,865 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 370,000 | 349,558 | |
1.7% 2/15/31 | 370,000 | 323,816 | |
3.49% 5/15/27 | 442,000 | 455,759 | |
Public Service Enterprise Group, Inc. 2.65% 11/15/22 | 80,000 | 80,632 | |
Puget Energy, Inc. 4.1% 6/15/30 | 253,000 | 262,408 | |
Sempra Energy: | |||
3.4% 2/1/28 | 50,000 | 51,486 | |
3.8% 2/1/38 | 270,000 | 273,096 | |
4% 2/1/48 | 136,000 | 136,624 | |
4,820,645 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp.: | |||
2.3% 6/1/31 | 220,000 | 207,573 | |
3.75% 9/1/47 | 213,000 | 212,416 | |
4.3% 12/1/42 | 100,000 | 106,863 | |
526,852 | |||
TOTAL UTILITIES | 24,608,507 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $342,176,952) | 329,015,795 | ||
U.S. Government and Government Agency Obligations - 42.0% | |||
U.S. Government Agency Obligations - 0.8% | |||
Fannie Mae: | |||
0.375% 8/25/25 | $238,000 | $226,924 | |
0.5% 6/17/25 | 650,000 | 623,928 | |
0.625% 4/22/25 | 90,000 | 87,072 | |
0.75% 10/8/27 | 250,000 | 234,941 | |
0.875% 8/5/30 | 108,000 | 97,876 | |
1.75% 7/2/24 | 930,000 | 932,949 | |
2% 10/5/22 | 190,000 | 191,304 | |
2.375% 1/19/23 | 655,000 | 662,438 | |
2.875% 9/12/23 | 150,000 | 153,375 | |
6.625% 11/15/30 | 650,000 | 880,930 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 175,000 | 166,798 | |
0.5% 4/14/25 | 390,000 | 375,696 | |
1.5% 8/15/24 | 125,000 | 124,822 | |
2% 9/9/22 | 200,000 | 201,282 | |
2.5% 2/13/24 | 230,000 | 234,595 | |
3.25% 6/9/28 | 210,000 | 226,777 | |
3.25% 11/16/28 | 30,000 | 32,417 | |
Freddie Mac: | |||
0.25% 8/24/23 | 450,000 | 443,027 | |
0.25% 12/4/23 | 958,000 | 938,395 | |
0.375% 7/21/25 | 480,000 | 458,813 | |
0.375% 9/23/25 | 370,000 | 352,286 | |
1.5% 2/12/25 | 630,000 | 626,878 | |
2.75% 6/19/23 | 50,000 | 50,958 | |
6.25% 7/15/32 | 110,000 | 151,912 | |
6.75% 3/15/31 | 390,000 | 537,617 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 560,000 | 542,773 | |
2.875% 2/1/27 | 145,000 | 152,064 | |
4.25% 9/15/65 | 210,000 | 277,592 | |
5.25% 9/15/39 | 420,000 | 563,333 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 10,549,772 | ||
U.S. Treasury Obligations - 41.2% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 2,000 | 1,663 | |
1.125% 8/15/40 | 76,000 | 62,967 | |
1.25% 5/15/50 | 6,768,000 | 5,399,066 | |
1.375% 11/15/40 | 6,856,000 | 5,928,298 | |
1.375% 8/15/50 | 3,300,000 | 2,716,699 | |
1.625% 11/15/50 | 6,241,000 | 5,468,189 | |
1.75% 8/15/41 | 7,217,000 | 6,614,832 | |
1.875% 2/15/41 | 14,910,000 | 14,016,565 | |
1.875% 2/15/51 | 9,063,000 | 8,437,087 | |
1.875% 11/15/51 | 5,344,000 | 4,985,785 | |
2% 11/15/41 | 4,170,000 | 3,992,123 | |
2% 2/15/50 | 1,673,000 | 1,602,094 | |
2% 8/15/51 | 8,552,000 | 8,203,239 | |
2.25% 5/15/41 | 10,405,000 | 10,372,078 | |
2.25% 8/15/46 | 148,000 | 146,445 | |
2.25% 8/15/49 | 267,000 | 269,222 | |
2.25% 2/15/52 | 1,662,000 | 1,693,163 | |
2.375% 11/15/49 | 358,000 | 371,201 | |
2.375% 5/15/51 | 2,305,000 | 2,403,413 | |
2.5% 2/15/45 | 763,000 | 787,708 | |
2.5% 2/15/46 | 329,000 | 340,708 | |
2.5% 5/15/46 | 122,000 | 126,346 | |
2.75% 11/15/42 | 1,059,000 | 1,139,666 | |
2.75% 8/15/47 | 177,000 | 193,746 | |
2.75% 11/15/47 | 157,000 | 172,124 | |
2.875% 5/15/43 | 1,420,000 | 1,556,786 | |
2.875% 8/15/45 | 268,000 | 295,638 | |
2.875% 11/15/46 | 359,000 | 398,406 | |
2.875% 5/15/49 | 361,000 | 410,144 | |
3% 5/15/42 | 238,000 | 266,579 | |
3% 11/15/44 | 1,614,000 | 1,811,274 | |
3% 11/15/45 | 76,000 | 85,717 | |
3% 2/15/47 | 1,543,000 | 1,752,510 | |
3% 5/15/47 | 197,000 | 224,341 | |
3% 2/15/48 | 121,000 | 139,202 | |
3% 8/15/48 | 188,000 | 216,920 | |
3% 2/15/49 | 264,000 | 306,374 | |
3.125% 11/15/41 | 229,000 | 260,818 | |
3.125% 2/15/42 | 264,000 | 301,238 | |
3.125% 8/15/44 | 1,405,000 | 1,606,639 | |
3.125% 5/15/48 | 48,000 | 56,574 | |
3.375% 5/15/44 | 856,000 | 1,016,166 | |
3.375% 11/15/48 | 68,000 | 83,964 | |
3.625% 8/15/43 | 86,000 | 105,431 | |
3.625% 2/15/44 | 1,464,000 | 1,798,547 | |
3.75% 8/15/41 | 225,000 | 278,824 | |
3.75% 11/15/43 | 4,124,000 | 5,152,584 | |
3.875% 8/15/40 | 126,000 | 158,228 | |
4.375% 2/15/38 | 81,000 | 107,404 | |
4.375% 11/15/39 | 5,000 | 6,676 | |
4.375% 5/15/41 | 433,000 | 579,408 | |
4.5% 2/15/36 | 223,000 | 295,092 | |
4.5% 5/15/38 | 69,000 | 92,789 | |
5% 5/15/37 | 391,000 | 547,415 | |
U.S. Treasury Notes: | |||
0.125% 4/30/22 | 52,000 | 51,982 | |
0.125% 5/31/22 | 6,000 | 5,995 | |
0.125% 6/30/22 | 3,000 | 2,996 | |
0.125% 10/31/22 | 16,000 | 15,928 | |
0.125% 12/31/22 | 1,371,000 | 1,361,039 | |
0.125% 2/28/23 | 10,000 | 9,905 | |
0.125% 3/31/23 | 1,084,000 | 1,072,017 | |
0.125% 4/30/23 | 700,000 | 691,305 | |
0.125% 5/15/23 | 6,317,000 | 6,236,804 | |
0.125% 5/31/23 | 3,856,000 | 3,803,131 | |
0.125% 6/30/23 | 2,838,000 | 2,795,541 | |
0.125% 7/15/23 | 2,227,000 | 2,192,725 | |
0.125% 7/31/23 | 5,909,000 | 5,811,825 | |
0.125% 8/15/23 | 9,368,000 | 9,207,353 | |
0.125% 8/31/23 | 10,460,000 | 10,274,907 | |
0.125% 9/15/23 | 3,272,000 | 3,211,545 | |
0.125% 12/15/23 | 684,000 | 668,289 | |
0.125% 1/15/24 | 5,985,000 | 5,837,947 | |
0.125% 2/15/24 | 8,876,000 | 8,646,125 | |
0.25% 4/15/23 | 2,109,000 | 2,087,169 | |
0.25% 6/15/23 | 2,007,000 | 1,981,913 | |
0.25% 9/30/23 | 7,970,000 | 7,832,082 | |
0.25% 11/15/23 | 2,984,000 | 2,926,068 | |
0.25% 3/15/24 | 1,012,000 | 986,660 | |
0.25% 5/15/24 | 1,778,000 | 1,728,619 | |
0.25% 5/31/25 | 3,401,000 | 3,247,424 | |
0.25% 6/30/25 | 4,190,000 | 3,994,412 | |
0.25% 7/31/25 | 2,494,000 | 2,374,950 | |
0.25% 8/31/25 | 7,956,000 | 7,561,619 | |
0.25% 9/30/25 | 4,049,000 | 3,843,070 | |
0.375% 3/31/22 | 7,000 | 7,001 | |
0.375% 10/31/23 | 3,740,000 | 3,676,303 | |
0.375% 4/15/24 | 7,883,000 | 7,695,471 | |
0.375% 8/15/24 | 1,560,000 | 1,515,150 | |
0.375% 9/15/24 | 2,850,000 | 2,763,721 | |
0.375% 4/30/25 | 8,731,000 | 8,383,465 | |
0.375% 11/30/25 | 7,467,000 | 7,102,400 | |
0.375% 12/31/25 | 8,153,000 | 7,747,898 | |
0.375% 1/31/26 | 9,105,000 | 8,636,235 | |
0.375% 7/31/27 | 3,005,000 | 2,789,837 | |
0.375% 9/30/27 | 3,744,000 | 3,464,955 | |
0.5% 3/15/23 | 1,955,000 | 1,942,552 | |
0.5% 11/30/23 | 11,760,000 | 11,572,116 | |
0.5% 3/31/25 | 6,279,000 | 6,061,933 | |
0.5% 2/28/26 | 5,602,000 | 5,334,811 | |
0.5% 4/30/27 | 546,000 | 512,344 | |
0.5% 5/31/27 | 4,423,000 | 4,143,453 | |
0.5% 6/30/27 | 856,000 | 801,029 | |
0.5% 8/31/27 | 2,377,000 | 2,217,852 | |
0.5% 10/31/27 | 8,045,000 | 7,487,821 | |
0.625% 10/15/24 | 10,240,000 | 9,984,800 | |
0.625% 7/31/26 | 3,960,000 | 3,770,972 | |
0.625% 3/31/27 | 884,000 | 835,794 | |
0.625% 11/30/27 | 2,407,000 | 2,253,084 | |
0.625% 12/31/27 | 1,696,000 | 1,586,356 | |
0.625% 5/15/30 | 4,618,000 | 4,196,608 | |
0.625% 8/15/30 | 644,000 | 583,600 | |
0.75% 11/15/24 | 3,910,000 | 3,819,887 | |
0.75% 3/31/26 | 6,314,000 | 6,068,593 | |
0.75% 4/30/26 | 3,206,000 | 3,078,010 | |
0.75% 5/31/26 | 3,183,000 | 3,053,193 | |
0.75% 8/31/26 | 5,654,000 | 5,410,613 | |
0.75% 1/31/28 | 4,807,000 | 4,523,274 | |
0.875% 6/30/26 | 894,000 | 861,558 | |
0.875% 9/30/26 | 6,070,000 | 5,835,499 | |
0.875% 11/15/30 | 9,362,000 | 8,648,513 | |
1% 12/15/24 | 2,830,000 | 2,782,465 | |
1% 7/31/28 | 1,260,000 | 1,197,246 | |
1.125% 1/15/25 | 2,730,000 | 2,691,396 | |
1.125% 2/28/25 | 748,000 | 736,780 | |
1.125% 10/31/26 | 10,110,000 | 9,824,077 | |
1.125% 2/29/28 | 8,720,000 | 8,389,594 | |
1.125% 8/31/28 | 5,215,000 | 4,990,918 | |
1.125% 2/15/31 | 9,966,000 | 9,389,451 | |
1.25% 8/31/24 | 3,036,000 | 3,011,570 | |
1.25% 12/31/26 | 3,550,000 | 3,467,906 | |
1.25% 3/31/28 | 5,759,000 | 5,574,982 | |
1.25% 4/30/28 | 3,357,000 | 3,248,160 | |
1.25% 5/31/28 | 2,807,000 | 2,713,908 | |
1.25% 6/30/28 | 7,024,000 | 6,784,196 | |
1.25% 9/30/28 | 2,821,000 | 2,719,400 | |
1.25% 8/15/31 | 8,207,000 | 7,792,803 | |
1.375% 10/15/22 | 217,000 | 217,805 | |
1.375% 1/31/25 | 975,000 | 967,992 | |
1.375% 8/31/26 | 366,000 | 360,081 | |
1.375% 10/31/28 | 12,960,000 | 12,587,906 | |
1.375% 12/31/28 | 680,000 | 660,238 | |
1.375% 11/15/31 | 1,895,000 | 1,816,535 | |
1.5% 8/15/22 | 469,000 | 470,887 | |
1.5% 9/30/24 | 3,446,000 | 3,437,385 | |
1.5% 10/31/24 | 3,676,000 | 3,665,805 | |
1.5% 11/30/24 | 2,663,000 | 2,654,366 | |
1.5% 8/15/26 | 283,000 | 279,993 | |
1.5% 1/31/27 | 3,509,000 | 3,467,605 | |
1.5% 11/30/28 | 3,722,000 | 3,644,071 | |
1.5% 2/15/30 | 724,000 | 707,201 | |
1.625% 11/15/22 | 576,000 | 579,083 | |
1.625% 2/15/26 | 702,000 | 698,929 | |
1.625% 9/30/26 | 1,345,000 | 1,337,539 | |
1.625% 11/30/26 | 454,000 | 451,446 | |
1.625% 8/15/29 | 2,954,000 | 2,916,844 | |
1.625% 5/15/31 | 3,843,000 | 3,776,198 | |
1.75% 6/30/24 | 1,417,000 | 1,423,642 | |
1.75% 7/31/24 | 1,867,000 | 1,875,606 | |
1.75% 12/31/24 | 3,742,000 | 3,755,594 | |
1.75% 12/31/26 | 415,000 | 414,984 | |
1.75% 11/15/29 | 407,000 | 405,680 | |
1.875% 3/31/22 | 1,000 | 1,001 | |
1.875% 8/31/24 | 501,000 | 504,699 | |
1.875% 7/31/26 | 800,000 | 804,125 | |
1.875% 2/15/32 | 3,007,000 | 3,019,687 | |
2% 11/30/22 | 552,000 | 556,313 | |
2% 5/31/24 | 5,025,000 | 5,077,017 | |
2% 6/30/24 | 210,000 | 212,207 | |
2% 11/15/26 | 562,000 | 568,257 | |
2.125% 12/31/22 | 92,000 | 92,848 | |
2.125% 2/29/24 | 551,000 | 558,038 | |
2.125% 3/31/24 | 612,000 | 619,817 | |
2.125% 7/31/24 | 150,000 | 152,027 | |
2.125% 11/30/24 | 320,000 | 324,313 | |
2.25% 12/31/23 | 50,000 | 50,730 | |
2.25% 4/30/24 | 1,173,000 | 1,191,236 | |
2.25% 12/31/24 | 30,000 | 30,526 | |
2.25% 2/15/27 | 817,000 | 836,276 | |
2.25% 8/15/27 | 1,371,000 | 1,404,900 | |
2.25% 11/15/27 | 255,000 | 261,275 | |
2.375% 3/15/22 | 5,000 | 5,004 | |
2.375% 1/31/23 | 86,000 | 87,028 | |
2.375% 2/29/24 | 2,090,000 | 2,126,820 | |
2.375% 5/15/27 | 1,576,000 | 1,623,711 | |
2.375% 5/15/29 | 473,000 | 490,682 | |
2.5% 3/31/23 | 693,000 | 702,989 | |
2.5% 1/31/24 | 2,144,000 | 2,186,043 | |
2.5% 1/31/25 | 37,000 | 37,912 | |
2.5% 2/28/26 | 273,000 | 280,977 | |
2.625% 2/28/23 | 1,495,000 | 1,517,425 | |
2.625% 12/31/23 | 75,000 | 76,614 | |
2.625% 12/31/25 | 118,000 | 121,955 | |
2.625% 1/31/26 | 420,000 | 434,142 | |
2.625% 2/15/29 | 1,038,000 | 1,092,414 | |
2.75% 4/30/23 | 21,000 | 21,373 | |
2.75% 5/31/23 | 1,025,000 | 1,044,379 | |
2.75% 7/31/23 | 1,141,000 | 1,164,489 | |
2.75% 8/31/23 | 738,000 | 753,452 | |
2.75% 2/28/25 | 280,000 | 288,969 | |
2.75% 6/30/25 | 237,000 | 245,147 | |
2.75% 8/31/25 | 304,000 | 314,688 | |
2.75% 2/15/28 | 629,000 | 662,882 | |
2.875% 10/31/23 | 698,000 | 714,796 | |
2.875% 11/30/23 | 1,156,000 | 1,185,126 | |
2.875% 4/30/25 | 81,000 | 83,996 | |
2.875% 7/31/25 | 258,000 | 268,139 | |
2.875% 11/30/25 | 288,000 | 300,026 | |
2.875% 5/15/28 | 231,000 | 245,329 | |
2.875% 8/15/28 | 1,186,000 | 1,261,932 | |
3% 10/31/25 | 535,000 | 559,221 | |
3.125% 11/15/28 | 331,000 | 358,010 | |
TOTAL U.S. TREASURY OBLIGATIONS | 528,593,390 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $551,653,336) | 539,143,162 | ||
U.S. Government Agency - Mortgage Securities - 27.6% | |||
Fannie Mae - 12.4% | |||
1.5% 10/1/36 to 2/1/52 | 14,746,228 | 14,004,436 | |
2% 6/1/27 to 3/1/52 | 51,826,026 | 50,141,005 | |
2.5% 4/1/30 to 3/1/52 | 29,794,150 | 29,630,354 | |
3% 12/1/26 to 2/1/52 | 29,314,321 | 29,837,854 | |
3.5% 5/1/24 to 8/1/50 | 16,833,701 | 17,568,239 | |
4% 4/1/26 to 5/1/51 | 8,796,528 | 9,239,521 | |
4.5% 10/1/39 to 12/1/50 | 4,333,828 | 4,601,291 | |
5% 11/1/44 to 10/1/50 | 3,908,207 | 4,258,862 | |
5.5% 9/1/40 to 6/1/49 | 434,341 | 475,597 | |
TOTAL FANNIE MAE | 159,757,159 | ||
Freddie Mac - 8.5% | |||
1.5% 10/1/36 to 11/1/51 | 6,311,681 | 6,024,512 | |
2% 3/1/28 to 2/1/52 | 40,791,120 | 39,446,882 | |
2% 9/1/35 | 1,478,080 | 1,470,720 | |
2% 11/1/35 | 333,852 | 332,086 | |
2% 11/1/35 | 418,713 | 416,497 | |
2.5% 2/1/30 to 2/1/52 | 32,840,355 | 32,554,465 | |
3% 2/1/29 to 1/1/52 | 8,319,280 | 8,462,361 | |
3.5% 12/1/25 to 1/1/52 | 6,773,897 | 7,037,425 | |
4% 6/1/34 to 10/1/49 | 8,521,767 | 8,938,738 | |
4% 4/1/48 | 905 | 953 | |
4.5% 7/1/41 to 10/1/50 | 3,651,151 | 3,868,049 | |
5% 8/1/48 to 5/1/50 | 459,014 | 495,212 | |
5.5% 6/1/49 | 182,582 | 196,522 | |
TOTAL FREDDIE MAC | 109,244,422 | ||
Ginnie Mae - 5.7% | |||
1.5% 4/20/51 to 5/20/51 | 212,188 | 199,044 | |
2% 3/20/51 to 1/20/52 | 17,647,756 | 17,274,455 | |
2% 3/1/52 (d) | 450,000 | 439,847 | |
2% 3/1/52 (d) | 450,000 | 439,847 | |
2% 3/1/52 (d) | 700,000 | 684,206 | |
2.5% 3/20/47 to 2/20/52 | 17,491,911 | 17,511,628 | |
2.5% 3/1/52 (d) | 1,100,000 | 1,099,207 | |
2.5% 3/1/52 (d) | 900,000 | 899,351 | |
3% 7/20/42 to 5/20/51 | 13,165,443 | 13,452,247 | |
3% 3/1/52 (d) | 600,000 | 609,832 | |
3.5% 5/20/44 to 5/20/51 | 10,973,104 | 11,364,960 | |
4% 12/20/45 to 6/20/51 | 5,254,743 | 5,476,978 | |
4.5% 6/20/45 to 4/20/51 | 2,536,548 | 2,669,430 | |
5% 11/20/45 to 11/20/50 | 892,063 | 953,192 | |
5.5% 12/20/44 to 12/20/48 | 105,887 | 115,686 | |
TOTAL GINNIE MAE | 73,189,910 | ||
Uniform Mortgage Backed Securities - 1.0% | |||
1.5% 3/1/37 (d) | 400,000 | 389,250 | |
1.5% 3/1/52 (d) | 150,000 | 139,044 | |
1.5% 3/1/52 (d) | 400,000 | 370,784 | |
2% 3/1/37 (d) | 1,300,000 | 1,290,047 | |
2% 3/1/52 (d) | 4,500,000 | 4,314,077 | |
2.5% 3/1/37 (d) | 400,000 | 404,750 | |
2.5% 3/1/52 (d) | 300,000 | 295,922 | |
2.5% 3/1/52 (d) | 4,200,000 | 4,142,905 | |
3% 3/1/52 (d) | 900,000 | 908,790 | |
3.5% 3/1/52 (d) | 150,000 | 154,500 | |
3.5% 3/1/52 (d) | 100,000 | 103,000 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 12,513,069 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $365,203,238) | 354,704,560 | ||
Asset-Backed Securities - 0.2% | |||
Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/28 | $111,000 | $109,306 | |
CarMax Auto Owner Trust: | |||
Series 2018-3 Class A3, 3.13% 6/15/23 | 2,181 | 2,184 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 360,000 | 352,706 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A6 Class A6, 3.21% 12/7/24 | 200,000 | 202,975 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 250,000 | 277,178 | |
Discover Card Execution Note Trust Series 2018-A1 Class A1, 3.03% 8/15/25 | 100,000 | 101,638 | |
Ford Credit Auto Lease Trust Series 2021-A Class A3, 0.26% 2/15/24 | 360,000 | 358,080 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2018-2 Class A, 3.17% 3/15/25 | 50,000 | 50,341 | |
Series 2018-4 Class A, 4.06% 11/15/30 | 60,000 | 64,995 | |
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25 | 355,000 | 350,679 | |
Mercedes-Benz Auto Lease Trust Series 2021-A Class A3, 0.25% 1/16/24 | 360,000 | 357,278 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $2,259,786) | 2,227,360 | ||
Commercial Mortgage Securities - 1.4% | |||
BANK sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 279,999 | 287,352 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 240,000 | 235,962 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 380,000 | 350,223 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 700,000 | 663,762 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2021-C10 Class A5, 2.492% 7/15/54 | 450,000 | 435,500 | |
Series 2021-C11 Class A5, 2.322% 9/15/54 | 450,000 | 428,307 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2020-B19 Class A5, 1.85% 9/15/53 | 350,000 | 323,280 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 450,000 | 437,724 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 235,000 | 238,291 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 160,000 | 171,033 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2015-GC29 Class A4, 3.192% 4/10/48 | 500,000 | 507,454 | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | 480,000 | 490,471 | |
Series 2018-B2 Class A4, 4.009% 3/10/51 | 250,000 | 265,886 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR13 Class A3, 3.928% 11/10/46 | 44,440 | 45,138 | |
Series 2014-LC15 Class A4, 4.006% 4/10/47 | 50,000 | 51,355 | |
Series 2013-CR6 Class A4, 3.101% 3/10/46 | 200,000 | 200,828 | |
CSAIL Commercial Mortgage Trust sequential payer Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 200,000 | 198,040 | |
Class A5, 3.0161% 9/15/52 | 200,000 | 201,353 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-K104 Class A2, 2.253% 1/25/30 | 760,000 | 760,045 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 640,000 | 596,476 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 710,000 | 664,250 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 430,000 | 403,944 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 70,000 | 65,870 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 450,000 | 432,724 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 180,000 | 176,363 | |
Series 2021-K128 Class A2, 2.02% 3/25/31 | 540,000 | 526,199 | |
Series 2021-K129 Class A2, 1.914% 5/25/31 | 540,000 | 520,829 | |
Series 2021-K130 Class A2, 1.723% 6/25/31 | 650,000 | 616,309 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 1,090,000 | 1,065,787 | |
Series 2021-K057 Class A2, 2.57% 7/25/26 | 330,000 | 336,900 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 60,000 | 61,071 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 540,000 | 510,526 | |
Series K-1510 Class A2, 3.718% 1/25/31 | 165,000 | 182,297 | |
Series K064 Class A2, 3.224% 3/25/27 | 250,000 | 262,505 | |
Series K068 Class A2, 3.244% 8/25/27 | 570,000 | 600,712 | |
Series K094 Class A2, 2.903% 6/25/29 | 430,000 | 448,483 | |
Series K730 Class A2, 3.59% 1/25/25 | 50,000 | 51,859 | |
GS Mortgage Securities Trust sequential payer: | |||
Series 2014-GC26 Class A4, 3.364% 11/10/47 | 282,594 | 286,454 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 300,000 | 298,825 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2014-C21 Class A5, 3.7748% 8/15/47 | 50,000 | 51,442 | |
Series 2014-C24 Class A5, 3.6385% 11/15/47 | 400,000 | 410,492 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2020-COR7 Class A5, 2.1798% 5/13/53 | 500,000 | 472,667 | |
Morgan Stanley BAML Trust sequential payer Series 2013-C11 Class A4, 4.1509% 8/15/46 (a) | 160,000 | 162,633 | |
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53 | 150,000 | 147,968 | |
UBS Commercial Mortgage Trust sequential payer Series 2019-C16 Class A4, 3.6048% 4/15/52 | 350,000 | 364,721 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C52 Class A5, 2.892% 8/15/52 | 200,000 | 199,595 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 500,000 | 508,811 | |
Series 2020-C55 Class A5, 2.725% 2/15/53 | 135,000 | 133,250 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 240,000 | 260,368 | |
WF-RBS Commercial Mortgage Trust sequential payer Series 2013-C14 Class A4, 3.073% 6/15/46 | 303,376 | 305,693 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $18,093,834) | 17,418,027 | ||
Municipal Securities - 0.5% | |||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 7.834% 2/15/41 | 170,000 | 269,545 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $55,000 | $83,632 | |
Series 2010 S1, 7.043% 4/1/50 | 55,000 | 89,740 | |
California Gen. Oblig.: | |||
Series 2009, 7.55% 4/1/39 | 160,000 | 251,657 | |
Series 2010, 7.6% 11/1/40 | 350,000 | 560,131 | |
Series 2018, 3.5% 4/1/28 | 175,000 | 186,387 | |
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52 | 280,000 | 261,352 | |
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2021 A, 3.204% 1/15/51 | 150,000 | 152,202 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40 | 300,000 | 434,490 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48 | 300,000 | 273,040 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2019 A, 3.144% 11/1/45 | 20,000 | 19,861 | |
Series 2021 C, 2.843% 11/1/46 | 250,000 | 237,433 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B: | |||
2.746% 6/1/34 | 112,000 | 109,488 | |
3.293% 6/1/42 | 60,000 | 58,831 | |
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46 | 75,000 | 72,575 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 750,000 | 827,410 | |
Series 2010-3, 7.35% 7/1/35 | 100,000 | 120,881 | |
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45 | 140,000 | 174,623 | |
Massachusetts Gen. Oblig. Series 2009 E, 5.456% 12/1/39 | 145,000 | 188,936 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2019 B, 3.395% 10/15/40 | 250,000 | 252,882 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41 | 300,000 | 292,022 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47 | 100,000 | 98,242 | |
New Jersey Tpk. Auth. Tpk. Rev. Series 2010 A, 7.102% 1/1/41 | 140,000 | 210,997 | |
New Jersey Trans. Trust Fund Auth. Series B: | |||
4.081% 6/15/39 | 30,000 | 31,517 | |
4.131% 6/15/42 | 30,000 | 30,988 | |
New York Metropolitan Trans. Auth. Rev. Series 2010 E, 6.814% 11/15/40 | 130,000 | 179,055 | |
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34 | 300,000 | 284,596 | |
Port Auth. of New York& New Jersey: | |||
Series 180, 4.96% 8/1/46 | 70,000 | 86,660 | |
Series 225, 3.175% 7/15/60 | 300,000 | 279,625 | |
Texas Gen. Oblig. Series 2015 C, 3.738% 10/1/31 | 190,000 | 203,645 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series N: | |||
3.006% 5/15/50 | 150,000 | 146,238 | |
3.256% 5/15/60 | 150,000 | 153,012 | |
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51 | 210,000 | 188,878 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $6,922,465) | 6,810,571 | ||
Foreign Government and Government Agency Obligations - 1.4% | |||
Alberta Province: | |||
1% 5/20/25 | $260,000 | $252,996 | |
2.95% 1/23/24 | 120,000 | 123,008 | |
3.3% 3/15/28 | 225,000 | 239,789 | |
British Columbia Province 2.25% 6/2/26 | 350,000 | 354,771 | |
Canadian Government 2% 11/15/22 | 155,000 | 156,074 | |
Chilean Republic: | |||
2.55% 7/27/33 | 530,000 | 482,300 | |
3.125% 3/27/25 | 840,000 | 865,095 | |
3.24% 2/6/28 | 200,000 | 202,850 | |
3.625% 10/30/42 | 194,000 | 184,276 | |
Export Development Canada 2.625% 2/21/24 | 500,000 | 510,720 | |
Hungarian Republic: | |||
5.375% 3/25/24 | 140,000 | 147,851 | |
7.625% 3/29/41 | 60,000 | 86,724 | |
Indonesian Republic: | |||
2.85% 2/14/30 | 200,000 | 197,538 | |
3.5% 2/14/50 | 400,000 | 369,825 | |
4.35% 1/11/48 | 250,000 | 255,340 | |
Israeli State: | |||
3.25% 1/17/28 | 760,000 | 796,100 | |
3.375% 1/15/50 | 275,000 | 268,458 | |
4.5% 1/30/43 | 200,000 | 235,436 | |
Italian Republic: | |||
1.25% 2/17/26 | 1,161,000 | 1,101,727 | |
2.375% 10/17/24 | 400,000 | 401,574 | |
3.875% 5/6/51 | 200,000 | 193,991 | |
Korean Republic 2.75% 1/19/27 | 570,000 | 587,117 | |
Manitoba Province 2.6% 4/16/24 | 870,000 | 886,930 | |
Ontario Province: | |||
1.125% 10/7/30 | 511,000 | 468,812 | |
2.3% 6/15/26 | 70,000 | 70,869 | |
2.5% 4/27/26 | 300,000 | 306,429 | |
3.05% 1/29/24 | 100,000 | 102,670 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 400,000 | 392,575 | |
4.5% 4/16/50 | 400,000 | 388,575 | |
6.7% 1/26/36 | 240,000 | 294,945 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 300,000 | 256,931 | |
2.78% 12/1/60 | 70,000 | 53,257 | |
3.55% 3/10/51 | 250,000 | 226,688 | |
4.125% 8/25/27 | 250,000 | 263,250 | |
6.55% 3/14/37 | 275,000 | 348,098 | |
7.35% 7/21/25 | 430,000 | 493,237 | |
Philippine Republic: | |||
2.65% 12/10/45 | 610,000 | 496,455 | |
3% 2/1/28 | 200,000 | 201,772 | |
6.375% 10/23/34 | 130,000 | 165,764 | |
9.5% 2/2/30 | 70,000 | 100,195 | |
Polish Government 5% 3/23/22 | 130,000 | 130,017 | |
Quebec Province: | |||
2.5% 4/9/24 | 130,000 | 132,387 | |
2.5% 4/20/26 | 590,000 | 603,080 | |
2.75% 4/12/27 | 320,000 | 332,029 | |
United Mexican States: | |||
3.5% 2/12/34 | 1,226,000 | 1,148,762 | |
4.6% 2/10/48 | 270,000 | 257,580 | |
4.75% 4/27/32 | 200,000 | 213,400 | |
5% 4/27/51 | 755,000 | 765,193 | |
5.55% 1/21/45 | 250,000 | 272,750 | |
6.05% 1/11/40 | 120,000 | 136,740 | |
Uruguay Republic: | |||
4.375% 10/27/27 | 140,000 | 151,489 | |
4.975% 4/20/55 | 242,000 | 285,530 | |
7.625% 3/21/36 | 130,000 | 185,234 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $19,199,545) | 18,145,203 | ||
Supranational Obligations - 1.4% | |||
African Development Bank: | |||
0.875% 7/22/26 | 200,000 | 192,038 | |
3% 9/20/23 | 80,000 | 81,939 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 700,000 | 666,141 | |
0.75% 10/8/30 | 150,000 | 136,432 | |
1.5% 10/18/24 | 200,000 | 199,277 | |
1.75% 9/13/22 | 83,000 | 83,371 | |
1.875% 1/24/30 | 1,139,000 | 1,131,761 | |
2.5% 11/2/27 | 20,000 | 20,646 | |
2.625% 1/30/24 | 430,000 | 439,188 | |
Asian Infrastructure Investment Bank 0.25% 9/29/23 | 600,000 | 589,408 | |
Council of Europe Development Bank 1.375% 2/27/25 | 2,279,000 | 2,256,939 | |
European Bank for Reconstruction & Development 0.25% 7/10/23 | 906,000 | 892,831 | |
European Investment Bank: | |||
0.25% 9/15/23 | 1,623,000 | 1,595,329 | |
0.75% 9/23/30 | 400,000 | 363,433 | |
0.875% 5/17/30 | 80,000 | 73,679 | |
1.25% 2/14/31 | 630,000 | 595,841 | |
2% 12/15/22 | 118,000 | 118,876 | |
2.25% 8/15/22 | 685,000 | 689,528 | |
2.25% 6/24/24 | 210,000 | 212,736 | |
3.125% 12/14/23 | 110,000 | 113,259 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 140,000 | 134,718 | |
0.875% 4/20/26 | 400,000 | 384,013 | |
1.5% 1/13/27 | 1,000,000 | 987,291 | |
2.5% 1/18/23 | 1,945,000 | 1,970,050 | |
4.375% 1/24/44 | 190,000 | 250,527 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 350,000 | 333,821 | |
0.5% 10/28/25 | 364,000 | 347,142 | |
0.75% 8/26/30 | 1,433,000 | 1,302,009 | |
0.875% 5/14/30 | 134,000 | 123,312 | |
1.5% 8/28/24 | 90,000 | 89,765 | |
1.625% 1/15/25 | 110,000 | 109,849 | |
1.875% 10/27/26 | 320,000 | 320,789 | |
2.5% 3/19/24 | 300,000 | 305,780 | |
International Finance Corp.: | |||
0.375% 7/16/25 | 160,000 | 152,696 | |
0.75% 8/27/30 | 100,000 | 91,334 | |
2.875% 7/31/23 | 39,000 | 39,825 | |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $17,850,286) | 17,395,573 | ||
Bank Notes - 0.1% | |||
Bank of Nova Scotia 2.45% 9/19/22 | 374,000 | 376,465 | |
Citizens Bank NA: | |||
2.25% 4/28/25 | $250,000 | $249,185 | |
3.75% 2/18/26 | 250,000 | 262,473 | |
Discover Bank: | |||
2.7% 2/6/30 | 500,000 | 481,734 | |
3.35% 2/6/23 | 250,000 | 253,322 | |
TOTAL BANK NOTES | |||
(Cost $1,628,605) | 1,623,179 | ||
Shares | Value�� | ||
Money Market Funds - 0.7% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $9,104,558) | 9,102,948 | 9,104,769 | |
TOTAL INVESTMENT IN SECURITIES - 100.9% | |||
(Cost $1,334,092,605) | 1,295,588,199 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (12,055,268) | ||
NET ASSETS - 100% | $1,283,532,931 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(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 $4,100,820 or 0.3% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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 0.07% | $49,152,407 | $195,378,329 | $235,425,967 | $6,646 | $-- | $-- | $9,104,769 | 0.0% |
Total | $49,152,407 | $195,378,329 | $235,425,967 | $6,646 | $-- | $-- | $9,104,769 |
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 February 28, 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 | $329,015,795 | $-- | $329,015,795 | $-- |
U.S. Government and Government Agency Obligations | 539,143,162 | -- | 539,143,162 | -- |
U.S. Government Agency - Mortgage Securities | 354,704,560 | -- | 354,704,560 | -- |
Asset-Backed Securities | 2,227,360 | -- | 2,227,360 | -- |
Commercial Mortgage Securities | 17,418,027 | -- | 17,418,027 | -- |
Municipal Securities | 6,810,571 | -- | 6,810,571 | -- |
Foreign Government and Government Agency Obligations | 18,145,203 | -- | 18,145,203 | -- |
Supranational Obligations | 17,395,573 | -- | 17,395,573 | -- |
Bank Notes | 1,623,179 | -- | 1,623,179 | -- |
Money Market Funds | 9,104,769 | 9,104,769 | -- | -- |
Total Investments in Securities: | $1,295,588,199 | $9,104,769 | $1,286,483,430 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,324,988,047) | $1,286,483,430 | |
Fidelity Central Funds (cost $9,104,558) | 9,104,769 | |
Total Investment in Securities (cost $1,334,092,605) | $1,295,588,199 | |
Receivable for investments sold | 2,728,339 | |
Receivable for fund shares sold | 3,853,320 | |
Interest receivable | 5,131,218 | |
Distributions receivable from Fidelity Central Funds | 347 | |
Total assets | 1,307,301,423 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $5,855,853 | |
Delayed delivery | 16,679,109 | |
Payable for fund shares redeemed | 1,232,357 | |
Distributions payable | 1,173 | |
Total liabilities | 23,768,492 | |
Net Assets | $1,283,532,931 | |
Net Assets consist of: | ||
Paid in capital | $1,324,435,386 | |
Total accumulated earnings (loss) | (40,902,455) | |
Net Assets | $1,283,532,931 | |
Net Asset Value, offering price and redemption price per share ($1,283,532,931 ÷ 126,332,402 shares) | $10.16 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $9,315,979 | |
Income from Fidelity Central Funds | 6,646 | |
Total income | 9,322,625 | |
Expenses | ||
Independent trustees' fees and expenses | $1,928 | |
Total expenses before reductions | 1,928 | |
Expense reductions | (141) | |
Total expenses after reductions | 1,787 | |
Net investment income (loss) | 9,320,838 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | $(1,287,448) | |
Total net realized gain (loss) | (1,287,448) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (60,515,807) | |
TBA sale commitments | 32,435 | |
Total change in net unrealized appreciation (depreciation) | (60,483,372) | |
Net gain (loss) | (61,770,820) | |
Net increase (decrease) in net assets resulting from operations | $(52,449,982) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $9,320,838 | $12,537,254 |
Net realized gain (loss) | (1,287,448) | (1,211,838) |
Change in net unrealized appreciation (depreciation) | (60,483,372) | (8,523,130) |
Net increase (decrease) in net assets resulting from operations | (52,449,982) | 2,802,286 |
Distributions to shareholders | (9,598,373) | (17,786,390) |
Share transactions | ||
Proceeds from sales of shares | 360,438,700 | 745,765,366 |
Reinvestment of distributions | 9,589,075 | 17,761,481 |
Cost of shares redeemed | (171,092,017) | (186,862,389) |
Net increase (decrease) in net assets resulting from share transactions | 198,935,758 | 576,664,458 |
Total increase (decrease) in net assets | 136,887,403 | 561,680,354 |
Net Assets | ||
Beginning of period | 1,146,645,528 | 584,965,174 |
End of period | $1,283,532,931 | $1,146,645,528 |
Other Information | ||
Shares | ||
Sold | 34,461,691 | 69,856,317 |
Issued in reinvestment of distributions | 919,120 | 1,654,413 |
Redeemed | (16,393,374) | (17,480,061) |
Net increase (decrease) | 18,987,437 | 54,030,669 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Flex U.S. Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.68 | $10.97 | $10.57 | $9.86 | $10.29 | $10.00 |
Income from Investment Operations | ||||||
Net investment income (loss)B,C | .080 | .159 | .256 | .306 | .275 | .110 |
Net realized and unrealized gain (loss) | (.518) | (.192) | .420 | .688 | (.390) | .288 |
Total from investment operations | (.438) | (.033) | .676 | .994 | (.115) | .398 |
Distributions from net investment income | (.082) | (.163) | (.256) | (.284) | (.258) | (.108) |
Distributions from net realized gain | – | (.094) | (.020) | – | (.057) | – |
Total distributions | (.082) | (.257) | (.276) | (.284) | (.315) | (.108) |
Net asset value, end of period | $10.16 | $10.68 | $10.97 | $10.57 | $9.86 | $10.29 |
Total ReturnD,E | (4.12)% | (.29)% | 6.50% | 10.28% | (1.12)% | 3.99% |
Ratios to Average Net AssetsC,F,G | ||||||
Expenses before reductionsH | - %I | -% | -% | -% | -% | - %I |
Expenses net of fee waivers, if anyH | - %I | -% | -% | -% | -% | - %I |
Expenses net of all reductionsH | - %I | -% | -% | -% | -% | - %I |
Net investment income (loss) | 1.54%I | 1.50% | 2.40% | 3.06% | 2.82% | 2.24%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $1,283,533 | $1,146,646 | $584,965 | $354,791 | $229,769 | $66,429 |
Portfolio turnover rateJ | 75%I | 115% | 79% | 85% | 102% | 129%K |
A For the period March 9, 2017 (commencement of operations) through August 31, 2017.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Amount represents less than .005%.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Flex U.S. Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund is available only to certain fee-based accounts and advisory programs offered by Fidelity.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, 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. 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 February 28, 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 market discount and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $9,201,269 |
Gross unrealized depreciation | (46,788,895) |
Net unrealized appreciation (depreciation) | $(37,587,626) |
Tax cost | $1,333,175,825 |
The Fund elected to defer to its next fiscal year approximately $1,084,448 of capital losses recognized during the period November 1, 2020 to August 31, 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.
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. 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 Flex U.S. Bond Index Fund | 224,816,095 | 217,727,706 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. 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 $141.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Flex U.S. Bond Index Fund | - %-C | |||
Actual | $1,000.00 | $958.80 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Flex U.S. Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. The Board did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is available exclusively to certain fee-based accounts and advisor programs offered by Fidelity, including certain employer-sponsored plans and discretionary investment programs. The Board noted that there was a portfolio management change for the fund in October 2020.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the fund is available exclusively through certain Fidelity fee-based accounts and advisory programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of Fidelity fee-based account and advisory program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
ZUB-SANN-0422
1.9881610.104
Fidelity Flex® Funds
Fidelity Flex® Short-Term Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants) to request a free copy of the proxy voting guidelines.
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 52.6% | |
AAA | 8.2% | |
AA | 0.8% | |
A | 19.5% | |
BBB | 15.6% | |
BB and Below | 0.7% | |
Short-Term Investments and Net Other Assets | 2.6% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 37.0% | |
U.S. Government and U.S. Government Agency Obligations | 52.6% | |
Asset-Backed Securities | 6.3% | |
CMOs and Other Mortgage Related Securities | 1.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.6% |
* Foreign investments - 8.0%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 37.0% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.4% | |||
Diversified Telecommunication Services - 0.6% | |||
AT&T, Inc. 0.9% 3/25/24 | $20,000 | $19,656 | |
Verizon Communications, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (a)(b) | 11,000 | 11,028 | |
0.75% 3/22/24 | 8,000 | 7,830 | |
38,514 | |||
Media - 0.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 25,000 | 25,183 | |
Wireless Telecommunication Services - 0.4% | |||
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (a)(b) | 15,000 | 15,002 | |
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 10,000 | 10,280 | |
25,282 | |||
TOTAL COMMUNICATION SERVICES | 88,979 | ||
CONSUMER DISCRETIONARY - 1.7% | |||
Automobiles - 1.4% | |||
BMW U.S. Capital LLC 3.45% 4/12/23 (c) | 25,000 | 25,465 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (a)(b) | 50,000 | 50,468 | |
1.25% 1/8/26 | 15,000 | 14,154 | |
90,087 | |||
Distributors - 0.1% | |||
Genuine Parts Co. 1.75% 2/1/25 | 10,000 | 9,830 | |
Textiles, Apparel & Luxury Goods - 0.2% | |||
VF Corp. 2.05% 4/23/22 | 14,000 | 14,025 | |
TOTAL CONSUMER DISCRETIONARY | 113,942 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 20,000 | 19,503 | |
Food & Staples Retailing - 0.1% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (c) | 3,000 | 2,976 | |
0.8% 2/10/24 (c) | 4,000 | 3,904 | |
6,880 | |||
Food Products - 0.2% | |||
Conagra Brands, Inc. 0.5% 8/11/23 | 11,000 | 10,783 | |
Tobacco - 1.0% | |||
BAT Capital Corp. 3.222% 8/15/24 | 25,000 | 25,299 | |
BAT International Finance PLC 1.668% 3/25/26 | 20,000 | 18,993 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 11,000 | 10,962 | |
2.875% 5/1/24 | 10,000 | 10,195 | |
65,449 | |||
TOTAL CONSUMER STAPLES | 102,615 | ||
ENERGY - 2.9% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 1.231% 12/15/23 | 3,000 | 2,970 | |
Oil, Gas & Consumable Fuels - 2.9% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 8,000 | 7,857 | |
Chevron Corp. 1.141% 5/11/23 | 11,000 | 10,960 | |
ConocoPhillips Co. 2.4% 3/7/25 (d) | 7,000 | 7,007 | |
Enbridge, Inc.: | |||
0.55% 10/4/23 | 25,000 | 24,471 | |
2.15% 2/16/24 | 3,000 | 3,004 | |
2.5% 2/14/25 | 3,000 | 3,010 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 7,000 | 7,074 | |
4.2% 9/15/23 | 4,000 | 4,113 | |
4.25% 3/15/23 | 10,000 | 10,191 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 7,000 | 7,128 | |
MPLX LP: | |||
1.75% 3/1/26 | 19,000 | 18,209 | |
4.5% 7/15/23 | 2,000 | 2,053 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 5,000 | 5,006 | |
Phillips 66 Co.: | |||
0.9% 2/15/24 | 20,000 | 19,648 | |
3.7% 4/6/23 | 31,000 | 31,669 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 13,000 | 12,832 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 9,000 | 9,000 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (a)(b) | 5,000 | 4,981 | |
188,213 | |||
TOTAL ENERGY | 191,183 | ||
FINANCIALS - 18.2% | |||
Banks - 11.9% | |||
Bank of America Corp.: | |||
0.81% 10/24/24 (a) | 20,000 | 19,520 | |
0.976% 4/22/25 (a) | 20,000 | 19,382 | |
3.004% 12/20/23 (a) | 100,000 | 100,889 | |
Bank of Montreal 1.85% 5/1/25 | 25,000 | 24,705 | |
Bank of Nova Scotia: | |||
0.55% 9/15/23 | 25,000 | 24,551 | |
2% 11/15/22 | 25,000 | 25,166 | |
BNP Paribas SA 3.25% 3/3/23 | 25,000 | 25,388 | |
Canadian Imperial Bank of Commerce: | |||
0.45% 6/22/23 | 25,000 | 24,576 | |
0.95% 6/23/23 | 20,000 | 19,792 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (a) | 9,000 | 8,742 | |
3.106% 4/8/26 (a) | 25,000 | 25,327 | |
JPMorgan Chase & Co.: | |||
0.697% 3/16/24 (a) | 10,000 | 9,874 | |
0.824% 6/1/25 (a) | 13,000 | 12,578 | |
1.514% 6/1/24 (a) | 35,000 | 34,864 | |
Mizuho Financial Group, Inc. 0.849% 9/8/24 (a) | 200,000 | 195,937 | |
Royal Bank of Canada: | |||
1.6% 4/17/23 | 25,000 | 25,027 | |
2.55% 7/16/24 | 15,000 | 15,160 | |
Santander Holdings U.S.A., Inc. 3.5% 6/7/24 | 10,000 | 10,194 | |
Synovus Financial Corp. 3.125% 11/1/22 | 30,000 | 30,183 | |
The Toronto-Dominion Bank: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (a)(b) | 25,000 | 25,048 | |
0.25% 1/6/23 | 20,000 | 19,835 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (a) | 60,000 | 59,792 | |
2.164% 2/11/26 (a) | 25,000 | 24,696 | |
781,226 | |||
Capital Markets - 2.1% | |||
Bank of New York Mellon Corp.: | |||
1.6% 4/24/25 | 8,000 | 7,878 | |
2.95% 1/29/23 | 20,000 | 20,254 | |
Goldman Sachs Group, Inc.: | |||
0.523% 3/8/23 | 10,000 | 9,930 | |
0.627% 11/17/23 (a) | 20,000 | 19,835 | |
2.905% 7/24/23 (a) | 10,000 | 10,052 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 13,000 | 12,843 | |
Morgan Stanley: | |||
0.529% 1/25/24 (a) | 15,000 | 14,825 | |
0.731% 4/5/24 (a) | 15,000 | 14,793 | |
4% 7/23/25 | 25,000 | 26,184 | |
136,594 | |||
Consumer Finance - 2.1% | |||
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 2,000 | 1,975 | |
5.125% 9/30/24 | 10,000 | 10,597 | |
American Express Co. 2.65% 12/2/22 | 30,000 | 30,330 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (a) | 25,000 | 24,624 | |
2.6% 5/11/23 | 8,000 | 8,067 | |
Hyundai Capital America 1% 9/17/24 (c) | 16,000 | 15,386 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 21,000 | 21,764 | |
4.375% 3/19/24 | 14,000 | 14,477 | |
Toyota Motor Credit Corp. 0.5% 8/14/23 | 8,000 | 7,882 | |
135,102 | |||
Diversified Financial Services - 0.8% | |||
Athene Global Funding: | |||
0.95% 1/8/24 (c) | 15,000 | 14,660 | |
1% 4/16/24 (c) | 10,000 | 9,736 | |
1.716% 1/7/25 (c) | 10,000 | 9,755 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 2,000 | 2,046 | |
Jackson Financial, Inc. 1.125% 11/22/23 (c) | 18,000 | 17,708 | |
53,905 | |||
Insurance - 1.3% | |||
Equitable Financial Life Global Funding: | |||
0.5% 11/17/23 (c) | 25,000 | 24,474 | |
1.1% 11/12/24 (c) | 25,000 | 24,159 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (c) | 7,000 | 6,650 | |
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3792% 3/25/24 (a)(b)(c) | 17,000 | 17,011 | |
Pacific Life Global Funding II 1.2% 6/24/25 (c) | 10,000 | 9,656 | |
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (a)(b)(c) | 7,000 | 7,013 | |
88,963 | |||
TOTAL FINANCIALS | 1,195,790 | ||
HEALTH CARE - 2.9% | |||
Biotechnology - 0.7% | |||
AbbVie, Inc.: | |||
2.3% 11/21/22 | 20,000 | 20,123 | |
2.9% 11/6/22 | 25,000 | 25,248 | |
45,371 | |||
Health Care Providers & Services - 0.9% | |||
Anthem, Inc.: | |||
0.45% 3/15/23 | 17,000 | 16,819 | |
3.125% 5/15/22 | 10,000 | 10,046 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 4,000 | 3,898 | |
3.05% 11/30/22 | 10,000 | 10,125 | |
Humana, Inc. 0.65% 8/3/23 | 17,000 | 16,734 | |
57,622 | |||
Life Sciences Tools & Services - 0.7% | |||
PerkinElmer, Inc. 0.85% 9/15/24 | 20,000 | 19,295 | |
Thermo Fisher Scientific, Inc. 1.215% 10/18/24 | 25,000 | 24,419 | |
43,714 | |||
Pharmaceuticals - 0.6% | |||
AstraZeneca Finance LLC 0.7% 5/28/24 | 13,000 | 12,653 | |
Bristol-Myers Squibb Co. 3.25% 2/20/23 | 18,000 | 18,312 | |
Mylan NV 3.125% 1/15/23 (c) | 12,000 | 12,119 | |
43,084 | |||
TOTAL HEALTH CARE | 189,791 | ||
INDUSTRIALS - 2.4% | |||
Aerospace & Defense - 0.5% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 10,000 | 9,959 | |
1.95% 2/1/24 | 10,000 | 9,960 | |
4.875% 5/1/25 | 10,000 | 10,631 | |
30,550 | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. 2.9% 10/28/24 | 15,000 | 14,810 | |
Commercial Services & Supplies - 0.3% | |||
Republic Services, Inc. 0.875% 11/15/25 | 20,000 | 18,863 | |
Machinery - 0.4% | |||
Caterpillar Financial Services Corp. 0.25% 3/1/23 | 25,000 | 24,741 | |
Road & Rail - 0.4% | |||
Canadian Pacific Railway Co. 1.35% 12/2/24 | 26,000 | 25,365 | |
Trading Companies & Distributors - 0.6% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 7,000 | 6,783 | |
0.8% 8/18/24 | 7,000 | 6,729 | |
International Lease Finance Corp. 5.875% 8/15/22 | 25,000 | 25,484 | |
38,996 | |||
Transportation Infrastructure - 0.0% | |||
Avolon Holdings Funding Ltd. 3.625% 5/1/22 (c) | 2,000 | 2,004 | |
TOTAL INDUSTRIALS | 155,329 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 8,000 | 8,327 | |
IT Services - 0.1% | |||
PayPal Holdings, Inc. 1.35% 6/1/23 | 6,000 | 5,981 | |
The Western Union Co. 2.85% 1/10/25 | 3,000 | 3,037 | |
9,018 | |||
Semiconductors& Semiconductor Equipment - 0.3% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (a)(b) | 8,000 | 7,998 | |
Microchip Technology, Inc. 0.983% 9/1/24 (c) | 9,000 | 8,660 | |
16,658 | |||
Software - 0.4% | |||
VMware, Inc.: | |||
0.6% 8/15/23 | 17,000 | 16,691 | |
1% 8/15/24 | 11,000 | 10,682 | |
27,373 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Apple, Inc. 0.75% 5/11/23 | 13,000 | 12,915 | |
TOTAL INFORMATION TECHNOLOGY | 74,291 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.3% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (c) | 6,000 | 6,107 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (c) | 2,000 | 1,994 | |
The Mosaic Co. 3.25% 11/15/22 | 5,000 | 5,062 | |
Westlake Corp. 0.875% 8/15/24 | 5,000 | 4,847 | |
18,010 | |||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
American Tower Corp. 1.3% 9/15/25 | 5,000 | 4,786 | |
Crown Castle International Corp. 1.35% 7/15/25 | 2,000 | 1,919 | |
Welltower, Inc. 3.625% 3/15/24 | 6,000 | 6,163 | |
12,868 | |||
UTILITIES - 4.3% | |||
Electric Utilities - 2.9% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 14,000 | 13,991 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (a)(b) | 13,000 | 12,970 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (a)(b) | 25,000 | 24,963 | |
Exelon Corp. 3.497% 6/1/22 (a) | 20,000 | 20,062 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 2,000 | 1,880 | |
2.05% 3/1/25 | 7,000 | 6,808 | |
Florida Power & Light Co. 2.85% 4/1/25 | 4,000 | 4,085 | |
ITC Holdings Corp. 2.7% 11/15/22 | 6,000 | 6,050 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (a)(b) | 25,000 | 24,973 | |
0.65% 3/1/23 | 20,000 | 19,808 | |
PPL Electric Utilities Corp. 3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (a)(b) | 8,000 | 7,979 | |
Southern California Edison Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (a)(b) | 25,000 | 25,019 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (a)(b) | 13,000 | 12,989 | |
0.6% 2/26/24 | 6,000 | 5,819 | |
187,396 | |||
Gas Utilities - 0.6% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (a)(b) | 11,000 | 10,990 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (a)(b) | 8,000 | 8,000 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 3,000 | 3,002 | |
ONE Gas, Inc. 0.85% 3/11/23 | 20,000 | 19,833 | |
41,825 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP 0.833% 6/15/24 | 8,000 | 7,715 | |
Multi-Utilities - 0.7% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (a)(b) | 12,000 | 12,002 | |
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (a)(b) | 10,000 | 10,001 | |
DTE Energy Co. 2.25% 11/1/22 | 20,000 | 20,120 | |
NiSource, Inc. 0.95% 8/15/25 | 6,000 | 5,669 | |
47,792 | |||
TOTAL UTILITIES | 284,728 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,449,735) | 2,427,526 | ||
U.S. Treasury Obligations - 52.4% | |||
U.S. Treasury Notes: | |||
0.25% 5/15/24 | $1,458,000 | $1,417,507 | |
0.25% 7/31/25 | 300,000 | 285,680 | |
0.375% 10/31/23 | 545,000 | 535,718 | |
0.375% 8/15/24 | 150,000 | 145,688 | |
0.375% 4/30/25 | 418,000 | 401,362 | |
0.75% 12/31/23 | 300,000 | 296,250 | |
2.125% 3/31/24 | 350,000 | 354,471 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $3,502,995) | 3,436,676 | ||
U.S. Government Agency - Mortgage Securities - 0.2% | |||
Freddie Mac - 0.2% | |||
3% 2/1/34 | |||
(Cost $10,291) | 9,816 | 10,092 | |
Asset-Backed Securities - 6.3% | |||
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26 | $16,000 | $15,714 | |
Bank of America Credit Card Master Trust: | |||
Series 2020-A1 Class A1, 0.34% 5/15/26 | 20,000 | 19,532 | |
Series 2021-A1 Class A1, 0.44% 9/15/26 | 18,000 | 17,500 | |
Capital One Multi-Asset Execution Trust Series 2021-A3 Class A3, 1.04% 11/15/26 | 21,000 | 20,550 | |
CarMax Auto Owner Trust: | |||
Series 2018-4 Class A3, 3.36% 9/15/23 | 1,106 | 1,112 | |
Series 2020-4 Class A3, 0.5% 8/15/25 | 10,000 | 9,880 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 10,000 | 9,797 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A3, 0.49% 3/10/26 | 15,000 | 14,801 | |
Series 2021-P3 Class A3, 0.7% 11/10/26 | 13,000 | 12,674 | |
Discover Card Execution Note Trust Series 2021-A1 Class A1, 0.58% 9/15/26 | 20,000 | 19,379 | |
Drive Auto Receivables Trust Series 2021-2 Class A2, 0.36% 5/15/24 | 9,887 | 9,869 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A Class A3, 0.3% 10/15/24 | 6,000 | 5,989 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 4,314 | 4,311 | |
Ford Credit Auto Lease Trust Series 2020-B Class A3, 0.62% 8/15/23 | 8,732 | 8,732 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 24,000 | 23,604 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 12,000 | 11,842 | |
GM Financial Securitized Term Automobile Receivables Trust Series 2019-1 Class A3, 2.97% 11/16/23 | 1,046 | 1,049 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (c) | 100,000 | 98,400 | |
Hyundai Auto Receivables Trust Series 2020-C Class A3, 0.38% 5/15/25 | 13,000 | 12,835 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2019-B Class A3, 2% 10/17/22 | 366 | 367 | |
Series 2020-A Class A3, 1.84% 12/15/22 | 1,929 | 1,932 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (c) | 11,000 | 10,895 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (c) | 15,000 | 14,793 | |
Series 2021-A Class A3, 0.51% 7/22/24 (c) | 9,000 | 8,871 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (c) | 7,000 | 6,970 | |
Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (c) | 13,000 | 12,729 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 12,000 | 11,661 | |
Series 2021-2 Class A, 0.99% 4/20/28 | 20,000 | 19,561 | |
Volvo Financial Equipment LLC Series 2019-1A Class A3, 3% 3/15/23 (c) | 32 | 32 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24 | 9,000 | 8,923 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $421,394) | 414,304 | ||
Commercial Mortgage Securities - 1.5% | |||
Benchmark Mortgage Trust Series 2018-B7 Class A1, 3.436% 5/15/53 | 4,304 | 4,346 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 7,842 | 7,978 | |
COMM Mortgage Trust: | |||
sequential payer Series 2014-CR18 Class ASB, 3.452% 7/15/47 | 12,818 | 12,986 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 1,313 | 1,316 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (a)(b)(c) | 10,000 | 9,750 | |
GS Mortgage Securities Trust Series 2017-GS8 Class A1, 2.222% 11/10/50 | 2,215 | 2,221 | |
JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 2,873 | 2,881 | |
Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (c) | 10,000 | 10,025 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (a)(b)(c) | 20,000 | 19,217 | |
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class ASB, 2.7877% 4/10/46 | 8,067 | 8,099 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 7,133 | 7,285 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 10,000 | 10,222 | |
WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C20 Class ASB, 3.638% 5/15/47 | 4,314 | 4,386 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $102,995) | 100,712 | ||
Shares | Value | ||
Money Market Funds - 1.8% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $115,022) | 114,999 | 115,022 | |
TOTAL INVESTMENT IN SECURITIES - 99.2% | |||
(Cost $6,602,432) | 6,504,332 | ||
NET OTHER ASSETS (LIABILITIES) - 0.8% | 54,976 | ||
NET ASSETS - 100% | $6,559,308 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $425,110 or 6.5% of net assets.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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 0.07% | $72,074 | $923,169 | $880,221 | $54 | $-- | $-- | $115,022 | 0.0% |
Total | $72,074 | $923,169 | $880,221 | $54 | $-- | $-- | $115,022 |
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 February 28, 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 | $2,427,526 | $-- | $2,427,526 | $-- |
U.S. Government and Government Agency Obligations | 3,436,676 | -- | 3,436,676 | -- |
U.S. Government Agency - Mortgage Securities | 10,092 | -- | 10,092 | -- |
Asset-Backed Securities | 414,304 | -- | 414,304 | -- |
Commercial Mortgage Securities | 100,712 | -- | 100,712 | -- |
Money Market Funds | 115,022 | 115,022 | -- | -- |
Total Investments in Securities: | $6,504,332 | $115,022 | $6,389,310 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $6,487,410) | $6,389,310 | |
Fidelity Central Funds (cost $115,022) | 115,022 | |
Total Investment in Securities (cost $6,602,432) | $6,504,332 | |
Cash | 46,136 | |
Receivable for investments sold | 177,974 | |
Receivable for fund shares sold | 11,511 | |
Interest receivable | 16,806 | |
Distributions receivable from Fidelity Central Funds | 9 | |
Total assets | 6,756,768 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $190,468 | |
Delayed delivery | 6,992 | |
Total liabilities | 197,460 | |
Net Assets | $6,559,308 | |
Net Assets consist of: | ||
Paid in capital | $6,646,186 | |
Total accumulated earnings (loss) | (86,878) | |
Net Assets | $6,559,308 | |
Net Asset Value, offering price and redemption price per share ($6,559,308 ÷ 664,344 shares) | $9.87 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $33,506 | |
Income from Fidelity Central Funds | 54 | |
Total income | 33,560 | |
Expenses | ||
Independent trustees' fees and expenses | $11 | |
Total expenses | 11 | |
Net investment income (loss) | 33,549 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 12,020 | |
Total net realized gain (loss) | 12,020 | |
Change in net unrealized appreciation (depreciation) on investment securities | (165,262) | |
Net gain (loss) | (153,242) | |
Net increase (decrease) in net assets resulting from operations | $(119,693) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $33,549 | $99,054 |
Net realized gain (loss) | 12,020 | 37,426 |
Change in net unrealized appreciation (depreciation) | (165,262) | (91,219) |
Net increase (decrease) in net assets resulting from operations | (119,693) | 45,261 |
Distributions to shareholders | (73,910) | (166,142) |
Share transactions | ||
Proceeds from sales of shares | 123,611 | 481,353 |
Reinvestment of distributions | 73,909 | 166,142 |
Cost of shares redeemed | (240,888) | (412,915) |
Net increase (decrease) in net assets resulting from share transactions | (43,368) | 234,580 |
Total increase (decrease) in net assets | (236,971) | 113,699 |
Net Assets | ||
Beginning of period | 6,796,279 | 6,682,580 |
End of period | $6,559,308 | $6,796,279 |
Other Information | ||
Shares | ||
Sold | 12,359 | 47,148 |
Issued in reinvestment of distributions | 7,359 | 16,241 |
Redeemed | (23,874) | (40,449) |
Net increase (decrease) | (4,156) | 22,940 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Flex Short-Term Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.17 | $10.35 | $10.14 | $9.89 | $10.04 | $10.00 |
Income from Investment Operations | ||||||
Net investment income (loss)B,C | .051 | .150 | .220 | .251 | .206 | .085 |
Net realized and unrealized gain (loss) | (.239) | (.076) | .205 | .227 | (.148) | .038 |
Total from investment operations | (.188) | .074 | .425 | .478 | .058 | .123 |
Distributions from net investment income | (.061) | (.160) | (.215) | (.228) | (.196) | (.083) |
Distributions from net realized gain | (.051) | (.094) | – | – | (.012) | – |
Total distributions | (.112) | (.254) | (.215) | (.228) | (.208) | (.083) |
Net asset value, end of period | $9.87 | $10.17 | $10.35 | $10.14 | $9.89 | $10.04 |
Total ReturnD | (1.86)% | .72% | 4.24% | 4.90% | .59% | 1.24% |
Ratios to Average Net AssetsC,E,F | ||||||
Expenses before reductions | - %G | -% | -% | -% | -% | - %G |
Expenses net of fee waivers, if any | - %G | -% | -% | -% | -% | - %G |
Expenses net of all reductions | - %G | -% | -% | -% | -% | - %G |
Net investment income (loss) | 1.02%G | 1.47% | 2.16% | 2.52% | 2.08% | 1.74%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $6,559 | $6,796 | $6,683 | $6,080 | $5,696 | $5,081 |
Portfolio turnover rateH | 65%G | 72% | 84% | 62% | 61% | 96%I |
A For the period March 7, 2017 (commencement of operations) through August 31, 2017.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
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 Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
I Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Flex Short-Term Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund is available only to certain fee-based accounts and advisory programs offered by Fidelity.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 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, 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. 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 February 28, 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. 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 market discount.
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 | $10,937 |
Gross unrealized depreciation | (105,295) |
Net unrealized appreciation (depreciation) | $(94,358) |
Tax cost | $6,598,690 |
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.
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. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Flex Short-Term Bond Fund | 405,674 | 1,099,868 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
Fund | Affiliated % |
Fidelity Flex Short-Term Bond Fund | 84% |
In March 2022, the Board of Trustees approved a Plan of Liquidation and Dissolution. The Fund will distribute all of its net assets to its shareholders on or about June 10, 2022. The Fund will be closed to new accounts on or about June 3, 2022, with certain exceptions.
8. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Flex Short-Term Bond Fund | -- %C | |||
Actual | $1,000.00 | $981.40 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Flex Short-Term Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity’s global investment organization, and that Fidelity’s analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. The Board did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is available exclusively to certain fee-based accounts and advisor programs offered by Fidelity, including certain employer-sponsored plans and discretionary investment programs.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the fund is available exclusively through certain Fidelity fee-based accounts and advisory programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of Fidelity fee-based account and advisory program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
ZSB-SANN-0422
1.9881602.104
Fidelity® Sustainability Bond Index Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 69.8% | |
AAA | 3.2% | |
AA | 1.6% | |
A | 11.9% | |
BBB | 14.0% | |
Short-Term Investments and Net Other Assets* | (0.5)% |
* Short-Term Investments and Net Other Assets (Liabilities) 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.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 26.2% | |
U.S. Government and U.S. Government Agency Obligations | 69.8% | |
Asset-Backed Securities | 0.2% | |
CMOs and Other Mortgage Related Securities | 0.7% | |
Other Investments | 3.6% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (0.5)% |
* Foreign investments - 8.7%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 26.2% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.7% | |||
Diversified Telecommunication Services - 1.4% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | $100,000 | $94,271 | |
2.75% 6/1/31 | 150,000 | 145,983 | |
3.5% 9/15/53 | 321,000 | 293,521 | |
3.55% 9/15/55 | 254,000 | 230,323 | |
3.65% 9/15/59 | 125,000 | 113,396 | |
3.85% 6/1/60 | 60,000 | 55,862 | |
3.9% 3/11/24 | 800,000 | 827,695 | |
4.65% 6/1/44 | 20,000 | 21,148 | |
5.15% 3/15/42 | 60,000 | 67,882 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 55,000 | 77,557 | |
Orange SA 5.5% 2/6/44 | 60,000 | 74,576 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 150,000 | 158,504 | |
7.045% 6/20/36 | 106,000 | 137,714 | |
Verizon Communications, Inc.: | |||
0.85% 11/20/25 | 135,000 | 128,410 | |
1.5% 9/18/30 | 400,000 | 353,305 | |
2.355% 3/15/32 (b) | 201,000 | 187,682 | |
2.85% 9/3/41 | 50,000 | 44,732 | |
2.987% 10/30/56 | 123,000 | 104,873 | |
3.55% 3/22/51 | 140,000 | 135,588 | |
4% 3/22/50 | 38,000 | 38,996 | |
4.016% 12/3/29 | 200,000 | 214,631 | |
4.75% 11/1/41 | 189,000 | 211,585 | |
3,718,234 | |||
Entertainment - 0.2% | |||
The Walt Disney Co.: | |||
2% 9/1/29 | 50,000 | 47,728 | |
2.65% 1/13/31 | 50,000 | 49,518 | |
3.6% 1/13/51 | 20,000 | 20,236 | |
3.8% 3/22/30 | 80,000 | 85,740 | |
4.7% 3/23/50 | 20,000 | 23,652 | |
6.2% 12/15/34 | 225,000 | 290,531 | |
517,405 | |||
Interactive Media & Services - 0.0% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 50,000 | 47,382 | |
1.1% 8/15/30 | 60,000 | 54,157 | |
2.05% 8/15/50 | 60,000 | 48,418 | |
149,957 | |||
Media - 0.6% | |||
Comcast Corp.: | |||
1.5% 2/15/31 | 300,000 | 266,674 | |
1.95% 1/15/31 | 180,000 | 165,760 | |
2.45% 8/15/52 | 100,000 | 80,574 | |
2.65% 2/1/30 | 100,000 | 97,949 | |
2.937% 11/1/56 (b) | 190,000 | 159,918 | |
2.987% 11/1/63 (b) | 95,000 | 79,096 | |
3.4% 4/1/30 | 30,000 | 30,945 | |
3.45% 2/1/50 | 100,000 | 93,293 | |
3.75% 4/1/40 | 10,000 | 10,098 | |
4.65% 7/15/42 | 50,000 | 56,654 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 69,000 | 69,380 | |
4.65% 5/15/50 | 70,000 | 71,559 | |
5.3% 5/15/49 | 20,000 | 21,707 | |
Fox Corp. 4.709% 1/25/29 | 130,000 | 141,887 | |
Grupo Televisa SA de CV 6.625% 1/15/40 | 60,000 | 75,293 | |
Paramount Global: | |||
4.95% 1/15/31 | 100,000 | 110,006 | |
4.95% 5/19/50 | 90,000 | 98,229 | |
TWDC Enterprises 18 Corp. 4.125% 12/1/41 | 55,000 | 58,661 | |
1,687,683 | |||
Wireless Telecommunication Services - 0.5% | |||
Rogers Communications, Inc. 4.3% 2/15/48 | 100,000 | 99,442 | |
T-Mobile U.S.A., Inc.: | |||
3.5% 4/15/25 | 530,000 | 544,851 | |
3.875% 4/15/30 | 230,000 | 237,841 | |
4.5% 4/15/50 | 62,000 | 64,639 | |
Vodafone Group PLC: | |||
4.125% 5/30/25 | 120,000 | 126,082 | |
4.375% 5/30/28 | 25,000 | 27,042 | |
5% 5/30/38 | 43,000 | 48,809 | |
5.125% 6/19/59 | 60,000 | 68,405 | |
5.25% 5/30/48 | 20,000 | 22,925 | |
6.15% 2/27/37 | 50,000 | 61,380 | |
1,301,416 | |||
TOTAL COMMUNICATION SERVICES | 7,374,695 | ||
CONSUMER DISCRETIONARY - 1.8% | |||
Auto Components - 0.0% | |||
Lear Corp. 3.5% 5/30/30 | 50,000 | 50,295 | |
Automobiles - 0.5% | |||
American Honda Finance Corp. 1.2% 7/8/25 | 360,000 | 348,770 | |
General Motors Co. 5.2% 4/1/45 | 120,000 | 129,967 | |
General Motors Financial Co., Inc.: | |||
1.25% 1/8/26 | 555,000 | 523,686 | |
2.7% 8/20/27 | 145,000 | 141,911 | |
5.65% 1/17/29 | 80,000 | 89,932 | |
Toyota Motor Corp. 2.358% 7/2/24 | 60,000 | 60,429 | |
1,294,695 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.3% 2/21/48 | 62,000 | 66,341 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Expedia, Inc. 3.8% 2/15/28 | 100,000 | 102,799 | |
Marriott International, Inc. 3.5% 10/15/32 | 80,000 | 79,764 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 11,000 | 11,317 | |
3.5% 7/1/27 | 20,000 | 20,954 | |
3.6% 7/1/30 | 165,000 | 173,078 | |
3.7% 1/30/26 | 155,000 | 163,188 | |
4.2% 4/1/50 | 18,000 | 19,243 | |
4.45% 9/1/48 | 64,000 | 70,118 | |
6.3% 3/1/38 | 60,000 | 78,356 | |
Starbucks Corp.: | |||
2% 3/12/27 | 170,000 | 166,259 | |
2.55% 11/15/30 | 100,000 | 96,040 | |
3.8% 8/15/25 | 50,000 | 52,370 | |
4.5% 11/15/48 | 32,000 | 34,691 | |
1,068,177 | |||
Internet & Direct Marketing Retail - 0.5% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 200,000 | 179,696 | |
Amazon.com, Inc.: | |||
1% 5/12/26 | 193,000 | 185,853 | |
2.1% 5/12/31 | 193,000 | 185,795 | |
3.1% 5/12/51 | 193,000 | 186,558 | |
3.15% 8/22/27 | 240,000 | 250,804 | |
4.25% 8/22/57 | 50,000 | 57,833 | |
eBay, Inc. 1.4% 5/10/26 | 118,000 | 112,942 | |
1,159,481 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3.9% 11/19/29 | 65,000 | 68,030 | |
Multiline Retail - 0.0% | |||
Target Corp.: | |||
3.9% 11/15/47 | 25,000 | 27,368 | |
4% 7/1/42 | 50,000 | 55,439 | |
82,807 | |||
Specialty Retail - 0.4% | |||
AutoZone, Inc. 3.75% 6/1/27 | 50,000 | 52,734 | |
Lowe's Companies, Inc.: | |||
1.7% 10/15/30 | 100,000 | 89,972 | |
3% 10/15/50 | 60,000 | 52,141 | |
3.1% 5/3/27 | 34,000 | 35,015 | |
4.05% 5/3/47 | 62,000 | 63,634 | |
4.5% 4/15/30 | 50,000 | 55,149 | |
5.125% 4/15/50 | 20,000 | 24,186 | |
The Home Depot, Inc.: | |||
2.375% 3/15/51 | 113,000 | 92,961 | |
2.95% 6/15/29 | 280,000 | 286,358 | |
3.3% 4/15/40 | 100,000 | 100,040 | |
4.2% 4/1/43 | 50,000 | 55,258 | |
4.5% 12/6/48 | 70,000 | 81,166 | |
TJX Companies, Inc. 1.6% 5/15/31 | 125,000 | 113,241 | |
1,101,855 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 13,000 | 13,169 | |
2.85% 3/27/30 | 20,000 | 20,326 | |
3.375% 3/27/50 | 20,000 | 20,413 | |
53,908 | |||
TOTAL CONSUMER DISCRETIONARY | 4,945,589 | ||
CONSUMER STAPLES - 1.2% | |||
Beverages - 0.4% | |||
Dr. Pepper Snapple Group, Inc.: | |||
3.8% 5/1/50 | 90,000 | 88,541 | |
5.085% 5/25/48 | 60,000 | 70,015 | |
PepsiCo, Inc.: | |||
1.4% 2/25/31 | 200,000 | 180,085 | |
1.625% 5/1/30 | 83,000 | 77,410 | |
2.375% 10/6/26 | 220,000 | 221,927 | |
3.6% 8/13/42 | 105,000 | 108,154 | |
The Coca-Cola Co.: | |||
1.45% 6/1/27 | 20,000 | 19,170 | |
1.65% 6/1/30 | 10,000 | 9,261 | |
2.25% 1/5/32 | 205,000 | 197,739 | |
2.5% 6/1/40 | 10,000 | 9,063 | |
2.6% 6/1/50 | 10,000 | 8,772 | |
2.75% 6/1/60 | 10,000 | 8,725 | |
3.45% 3/25/30 | 60,000 | 63,404 | |
4.2% 3/25/50 | 50,000 | 57,482 | |
1,119,748 | |||
Food & Staples Retailing - 0.4% | |||
Costco Wholesale Corp. 1.375% 6/20/27 | 370,000 | 355,627 | |
Kroger Co.: | |||
1.7% 1/15/31 | 100,000 | 90,513 | |
4.65% 1/15/48 | 30,000 | 33,443 | |
Sysco Corp.: | |||
3.3% 2/15/50 | 50,000 | 44,857 | |
4.5% 4/1/46 | 50,000 | 53,067 | |
5.95% 4/1/30 | 53,000 | 63,379 | |
Walgreens Boots Alliance, Inc. 3.2% 4/15/30 | 70,000 | 70,723 | |
Walmart, Inc.: | |||
2.5% 9/22/41 | 150,000 | 137,653 | |
3.3% 4/22/24 | 120,000 | 123,887 | |
4.05% 6/29/48 | 130,000 | 147,236 | |
1,120,385 | |||
Food Products - 0.2% | |||
Archer Daniels Midland Co. 4.016% 4/16/43 | 75,000 | 82,776 | |
Campbell Soup Co.: | |||
3.65% 3/15/23 | 8,000 | 8,152 | |
3.95% 3/15/25 | 100,000 | 104,169 | |
Conagra Brands, Inc.: | |||
4.3% 5/1/24 | 30,000 | 31,124 | |
4.85% 11/1/28 | 55,000 | 60,546 | |
5.4% 11/1/48 | 22,000 | 26,618 | |
General Mills, Inc.: | |||
2.6% 10/12/22 | 50,000 | 50,336 | |
2.875% 4/15/30 | 13,000 | 12,995 | |
Kellogg Co. 4.3% 5/15/28 | 50,000 | 54,471 | |
Tyson Foods, Inc.: | |||
4% 3/1/26 | 40,000 | 41,905 | |
5.1% 9/28/48 | 40,000 | 48,030 | |
521,122 | |||
Household Products - 0.1% | |||
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 53,000 | 49,725 | |
3.1% 3/26/30 | 7,000 | 7,239 | |
Procter & Gamble Co.: | |||
3% 3/25/30 | 36,000 | 37,511 | |
3.6% 3/25/50 | 180,000 | 197,956 | |
292,431 | |||
Personal Products - 0.1% | |||
Estee Lauder Companies, Inc. 1.95% 3/15/31 | 75,000 | 70,578 | |
TOTAL CONSUMER STAPLES | 3,124,264 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 3.337% 12/15/27 | 150,000 | 154,598 | |
Halliburton Co.: | |||
2.92% 3/1/30 | 80,000 | 78,632 | |
5% 11/15/45 | 86,000 | 95,629 | |
328,859 | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Enbridge Energy Partners LP 7.5% 4/15/38 | 50,000 | 69,068 | |
Enbridge, Inc. 3.4% 8/1/51 | 80,000 | 72,429 | |
Energy Transfer LP 4.95% 5/15/28 | 55,000 | 58,856 | |
Enterprise Products Operating LP: | |||
3.3% 2/15/53 | 250,000 | 219,056 | |
7.55% 4/15/38 | 55,000 | 74,600 | |
Magellan Midstream Partners LP 4.85% 2/1/49 | 50,000 | 53,632 | |
Marathon Petroleum Corp. 4.75% 9/15/44 | 88,000 | 92,578 | |
MPLX LP: | |||
4.5% 4/15/38 | 48,000 | 49,395 | |
4.875% 12/1/24 | 152,000 | 161,065 | |
4.9% 4/15/58 | 50,000 | 51,262 | |
ONEOK Partners LP 6.65% 10/1/36 | 50,000 | 60,466 | |
ONEOK, Inc.: | |||
6.35% 1/15/31 | 187,000 | 221,859 | |
7.5% 9/1/23 | 119,000 | 127,000 | |
Phillips 66 Co. 5.875% 5/1/42 | 54,000 | 68,110 | |
Sabine Pass Liquefaction LLC 5% 3/15/27 | 160,000 | 173,598 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 215,000 | 224,725 | |
The Williams Companies, Inc.: | |||
3.75% 6/15/27 | 26,000 | 27,102 | |
4.3% 3/4/24 | 149,000 | 154,498 | |
TransCanada PipeLines Ltd. 4.1% 4/15/30 | 300,000 | 316,770 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 20,000 | 20,148 | |
3.95% 5/15/50 | 50,000 | 49,466 | |
4.45% 8/1/42 | 105,000 | 110,507 | |
Valero Energy Corp.: | |||
3.4% 9/15/26 | 50,000 | 51,419 | |
4% 4/1/29 | 155,000 | 161,944 | |
2,669,553 | |||
TOTAL ENERGY | 2,998,412 | ||
FINANCIALS - 10.5% | |||
Banks - 6.1% | |||
Banco Santander SA 1.849% 3/25/26 | 200,000 | 191,809 | |
Bank of America Corp.: | |||
0.981% 9/25/25 (a) | 600,000 | 576,810 | |
1.734% 7/22/27 (a) | 43,000 | 41,046 | |
2.087% 6/14/29 (a) | 310,000 | 293,100 | |
2.651% 3/11/32 (a) | 80,000 | 76,499 | |
2.676% 6/19/41 (a) | 235,000 | 206,350 | |
2.687% 4/22/32 (a) | 43,000 | 41,356 | |
3.004% 12/20/23 (a) | 200,000 | 201,777 | |
3.458% 3/15/25 (a) | 120,000 | 122,303 | |
3.55% 3/5/24 (a) | 250,000 | 253,960 | |
3.974% 2/7/30 (a) | 35,000 | 36,656 | |
4.083% 3/20/51 (a) | 130,000 | 139,485 | |
4.183% 11/25/27 | 95,000 | 99,810 | |
4.271% 7/23/29 (a) | 60,000 | 63,913 | |
4.33% 3/15/50 (a) | 50,000 | 55,478 | |
4.75% 4/21/45 | 55,000 | 62,848 | |
5.875% 2/7/42 | 135,000 | 175,020 | |
Bank of Montreal 4.338% 10/5/28 (a) | 170,000 | 174,972 | |
Bank of Nova Scotia 4.5% 12/16/25 | 85,000 | 90,574 | |
Barclays PLC: | |||
2.852% 5/7/26 (a) | 200,000 | 199,927 | |
3.932% 5/7/25 (a) | 200,000 | 205,679 | |
4.338% 5/16/24 (a) | 400,000 | 411,046 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (a)(c) | 190,000 | 195,239 | |
2.976% 11/5/30 (a) | 290,000 | 286,142 | |
3.106% 4/8/26 (a) | 110,000 | 111,440 | |
3.2% 10/21/26 | 191,000 | 194,745 | |
3.875% 3/26/25 | 430,000 | 445,511 | |
4.125% 7/25/28 | 154,000 | 161,895 | |
4.65% 7/30/45 | 42,000 | 47,858 | |
4.65% 7/23/48 | 65,000 | 75,980 | |
5.875% 1/30/42 | 65,000 | 83,673 | |
6.625% 6/15/32 | 60,000 | 75,375 | |
Fifth Third Bancorp 3.95% 3/14/28 | 50,000 | 53,174 | |
HSBC Holdings PLC: | |||
2.804% 5/24/32 (a) | 40,000 | 37,759 | |
4.041% 3/13/28 (a) | 211,000 | 218,638 | |
4.292% 9/12/26 (a) | 850,000 | 886,647 | |
6.8% 6/1/38 | 100,000 | 130,202 | |
7.625% 5/17/32 | 55,000 | 71,659 | |
HSBC U.S.A., Inc. 3.5% 6/23/24 | 100,000 | 102,948 | |
Japan Bank International Cooperation 1.25% 1/21/31 | 262,000 | 243,608 | |
JPMorgan Chase & Co.: | |||
0.653% 9/16/24(a) | 1,200,000 | 1,176,914 | |
0.969% 6/23/25 (a) | 180,000 | 174,360 | |
1.47% 9/22/27 (a) | 170,000 | 160,445 | |
2.069% 6/1/29 (a) | 150,000 | 142,029 | |
2.083% 4/22/26 (a) | 20,000 | 19,701 | |
2.525% 11/19/41 (a) | 110,000 | 94,833 | |
2.545% 11/8/32 (a) | 180,000 | 171,971 | |
2.956% 5/13/31 (a) | 50,000 | 48,620 | |
3.559% 4/23/24 (a) | 285,000 | 290,357 | |
4.203% 7/23/29 (a) | 30,000 | 31,910 | |
4.452% 12/5/29 (a) | 185,000 | 200,012 | |
4.493% 3/24/31 (a) | 200,000 | 219,527 | |
4.95% 6/1/45 | 92,000 | 110,216 | |
6.4% 5/15/38 | 86,000 | 115,271 | |
KeyCorp 4.1% 4/30/28 | 55,000 | 58,989 | |
Lloyds Banking Group PLC: | |||
4.45% 5/8/25 | 200,000 | 210,515 | |
4.65% 3/24/26 | 221,000 | 233,085 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.538% 7/20/27 (a) | 200,000 | 189,723 | |
2.801% 7/18/24 | 200,000 | 202,619 | |
3.455% 3/2/23 | 260,000 | 264,744 | |
4.286% 7/26/38 | 73,000 | 81,207 | |
Mizuho Financial Group, Inc. 2.226% 5/25/26 (a) | 400,000 | 394,764 | |
NatWest Group PLC: | |||
3.875% 9/12/23 | 200,000 | 204,836 | |
4.519% 6/25/24 (a) | 600,000 | 618,117 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 42,000 | 39,902 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 203,000 | 194,332 | |
2.2% 11/1/24 | 80,000 | 80,318 | |
Rabobank Nederland 5.25% 5/24/41 | 54,000 | 69,770 | |
Rabobank Nederland New York Branch 0.375% 1/12/24 | 500,000 | 487,232 | |
Royal Bank of Canada: | |||
2.3% 11/3/31 | 55,000 | 52,001 | |
2.55% 7/16/24 | 100,000 | 101,069 | |
Santander Holdings U.S.A., Inc. 4.4% 7/13/27 | 73,000 | 76,890 | |
Santander UK Group Holdings PLC 1.089% 3/15/25 (a) | 200,000 | 194,012 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 200,000 | 193,025 | |
2.142% 9/23/30 | 64,000 | 58,339 | |
2.174% 1/14/27 | 270,000 | 263,533 | |
2.348% 1/15/25 | 200,000 | 199,284 | |
3.936% 10/16/23 | 120,000 | 123,828 | |
SVB Financial Group 2.1% 5/15/28 | 67,000 | 64,158 | |
The Toronto-Dominion Bank 0.55% 3/4/24 | 400,000 | 388,460 | |
Truist Financial Corp.: | |||
1.2% 8/5/25 | 200,000 | 192,676 | |
1.267% 3/2/27 (a) | 53,000 | 50,701 | |
U.S. Bancorp: | |||
1.375% 7/22/30 | 380,000 | 339,839 | |
3.9% 4/26/28 | 94,000 | 100,507 | |
Westpac Banking Corp.: | |||
2.894% 2/4/30 (a) | 100,000 | 98,791 | |
3.35% 3/8/27 | 115,000 | 120,083 | |
4.11% 7/24/34 (a) | 200,000 | 206,507 | |
16,252,933 | |||
Capital Markets - 2.0% | |||
Bank of New York Mellon Corp.: | |||
0.35% 12/7/23 | 370,000 | 362,064 | |
1.8% 7/28/31 | 47,000 | 43,158 | |
BlackRock, Inc. 3.2% 3/15/27 | 150,000 | 156,677 | |
Charles Schwab Corp.: | |||
1.65% 3/11/31 | 50,000 | 45,416 | |
2% 3/20/28 | 115,000 | 111,617 | |
CI Financial Corp. 3.2% 12/17/30 | 55,000 | 51,820 | |
Credit Suisse AG 0.495% 2/2/24 | 400,000 | 387,284 | |
Deutsche Bank AG 4.1% 1/13/26 | 85,000 | 88,650 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (a) | 150,000 | 143,331 | |
3.3% 11/16/22 | 100,000 | 101,067 | |
3.7% 5/30/24 | 100,000 | 102,574 | |
Goldman Sachs Group, Inc.: | |||
0.855% 2/12/26 (a) | 230,000 | 219,702 | |
1.093% 12/9/26 (a) | 100,000 | 94,068 | |
1.948% 10/21/27 (a) | 260,000 | 249,119 | |
2.383% 7/21/32 (a) | 100,000 | 92,697 | |
2.615% 4/22/32 (a) | 65,000 | 61,454 | |
3.436% 2/24/43 (a) | 85,000 | 81,822 | |
3.691% 6/5/28 (a) | 260,000 | 269,157 | |
4.411% 4/23/39 (a) | 90,000 | 96,900 | |
6.25% 2/1/41 | 75,000 | 98,363 | |
6.75% 10/1/37 | 180,000 | 236,502 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 140,000 | 124,588 | |
2.65% 9/15/40 | 90,000 | 79,631 | |
3.75% 9/21/28 | 20,000 | 21,128 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.: | |||
4.15% 1/23/30 | 60,000 | 62,981 | |
4.85% 1/15/27 | 50,000 | 54,437 | |
Moody's Corp. 4.875% 12/17/48 | 40,000 | 46,528 | |
Morgan Stanley: | |||
1.512% 7/20/27 (a) | 70,000 | 66,315 | |
1.593% 5/4/27 (a) | 60,000 | 57,062 | |
1.794% 2/13/32 (a) | 195,000 | 174,058 | |
2.239% 7/21/32 (a) | 70,000 | 64,446 | |
2.699% 1/22/31 (a) | 360,000 | 348,321 | |
3.217% 4/22/42 (a) | 175,000 | 167,047 | |
3.625% 1/20/27 | 268,000 | 279,191 | |
3.737% 4/24/24(a) | 200,000 | 203,730 | |
5.597% 3/24/51 (a) | 50,000 | 66,632 | |
NASDAQ, Inc. 1.65% 1/15/31 | 55,000 | 48,428 | |
Nomura Holdings, Inc. 1.653% 7/14/26 | 215,000 | 203,990 | |
Northern Trust Corp. 1.95% 5/1/30 | 50,000 | 47,540 | |
State Street Corp. 1.684% 11/18/27 (a) | 70,000 | 67,818 | |
5,277,313 | |||
Consumer Finance - 1.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.45% 10/29/26 | 150,000 | 144,717 | |
3.4% 10/29/33 | 150,000 | 141,643 | |
3.5% 1/15/25 | 150,000 | 152,166 | |
Ally Financial, Inc.: | |||
3.05% 6/5/23 | 90,000 | 91,068 | |
5.125% 9/30/24 | 250,000 | 264,913 | |
5.8% 5/1/25 | 50,000 | 54,108 | |
American Express Co.: | |||
2.5% 7/30/24 | 124,000 | 125,760 | |
3.4% 2/22/24 | 80,000 | 82,304 | |
Capital One Financial Corp.: | |||
3.75% 7/28/26 | 85,000 | 87,869 | |
3.8% 1/31/28 | 160,000 | 166,595 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 141,000 | 143,448 | |
4.5% 1/30/26 | 102,000 | 108,552 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 325,000 | 365,361 | |
John Deere Capital Corp.: | |||
3.35% 6/12/24 | 140,000 | 144,051 | |
3.45% 3/7/29 | 60,000 | 63,434 | |
Synchrony Financial 4.5% 7/23/25 | 68,000 | 71,382 | |
Toyota Motor Credit Corp.: | |||
2.15% 9/8/22 | 500,000 | 502,718 | |
3% 4/1/25 | 330,000 | 337,857 | |
3,047,946 | |||
Diversified Financial Services - 0.6% | |||
AB Svensk Exportkredit 0.25% 9/29/23 | 200,000 | 196,268 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 12,000 | 12,449 | |
4.125% 5/15/29 | 9,000 | 9,517 | |
DH Europe Finance II SARL: | |||
2.2% 11/15/24 | 30,000 | 30,015 | |
2.6% 11/15/29 | 20,000 | 19,516 | |
3.4% 11/15/49 | 20,000 | 19,600 | |
Equitable Holdings, Inc.: | |||
4.35% 4/20/28 | 100,000 | 107,048 | |
5% 4/20/48 | 16,000 | 17,777 | |
KfW: | |||
0% 4/18/36 | 125,000 | 92,338 | |
2.375% 12/29/22 | 863,000 | 872,537 | |
2.625% 2/28/24 | 230,000 | 235,033 | |
Landwirtschaftliche Rentenbank 3.125% 11/14/23 | 30,000 | 30,839 | |
1,642,937 | |||
Insurance - 0.7% | |||
ACE INA Holdings, Inc.: | |||
1.375% 9/15/30 | 50,000 | 44,749 | |
3.05% 12/15/61 | 50,000 | 44,664 | |
3.35% 5/3/26 | 144,000 | 149,562 | |
Allstate Corp. 1.45% 12/15/30 | 230,000 | 206,475 | |
American International Group, Inc.: | |||
4.375% 6/30/50 | 50,000 | 55,252 | |
4.5% 7/16/44 | 127,000 | 140,901 | |
5.75% 4/1/48 (a) | 60,000 | 61,650 | |
Aon PLC 4.75% 5/15/45 | 68,000 | 75,610 | |
Hartford Financial Services Group, Inc. 2.8% 8/19/29 | 135,000 | 133,821 | |
Lincoln National Corp.: | |||
3.8% 3/1/28 | 76,000 | 80,267 | |
4.375% 6/15/50 | 80,000 | 87,372 | |
Marsh & McLennan Companies, Inc.: | |||
4.75% 3/15/39 | 55,000 | 63,028 | |
4.9% 3/15/49 | 33,000 | 39,495 | |
MetLife, Inc.: | |||
4.125% 8/13/42 | 60,000 | 64,038 | |
4.55% 3/23/30 | 200,000 | 224,429 | |
Progressive Corp.: | |||
4.125% 4/15/47 | 50,000 | 54,928 | |
4.2% 3/15/48 | 10,000 | 11,134 | |
Prudential Financial, Inc.: | |||
3.7% 10/1/50 (a) | 55,000 | 50,600 | |
4.35% 2/25/50 | 140,000 | 156,540 | |
The Travelers Companies, Inc. 5.35% 11/1/40 | 125,000 | 155,107 | |
Willis Group North America, Inc. 2.95% 9/15/29 | 93,000 | 91,094 | |
1,990,716 | |||
TOTAL FINANCIALS | 28,211,845 | ||
HEALTH CARE - 2.8% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 10,000 | 10,095 | |
2.95% 11/21/26 | 10,000 | 10,181 | |
3.2% 11/21/29 | 20,000 | 20,255 | |
3.6% 5/14/25 | 180,000 | 185,916 | |
4.05% 11/21/39 | 10,000 | 10,496 | |
4.25% 11/21/49 | 310,000 | 329,633 | |
4.7% 5/14/45 | 50,000 | 55,422 | |
4.875% 11/14/48 | 120,000 | 137,835 | |
Amgen, Inc.: | |||
3.15% 2/21/40 | 105,000 | 98,104 | |
3.375% 2/21/50 | 30,000 | 27,503 | |
4.4% 5/1/45 | 178,000 | 189,123 | |
Biogen, Inc. 3.25% 2/15/51 (b) | 67,000 | 56,309 | |
Gilead Sciences, Inc.: | |||
2.8% 10/1/50 | 110,000 | 93,017 | |
3.65% 3/1/26 | 175,000 | 182,485 | |
4.8% 4/1/44 | 52,000 | 59,053 | |
1,465,427 | |||
Health Care Equipment & Supplies - 0.3% | |||
Abbott Laboratories 5.3% 5/27/40 | 140,000 | 174,872 | |
Baxter International, Inc.: | |||
1.915% 2/1/27 (b) | 60,000 | 58,170 | |
2.539% 2/1/32 (b) | 50,000 | 48,030 | |
Becton, Dickinson & Co.: | |||
2.823% 5/20/30 | 140,000 | 137,566 | |
3.363% 6/6/24 | 25,000 | 25,614 | |
Boston Scientific Corp. 2.65% 6/1/30 | 161,000 | 156,123 | |
Medtronic, Inc. 4.375% 3/15/35 | 157,000 | 178,991 | |
779,366 | |||
Health Care Providers & Services - 1.2% | |||
Aetna, Inc. 4.75% 3/15/44 | 40,000 | 45,325 | |
Anthem, Inc.: | |||
2.375% 1/15/25 | 190,000 | 190,697 | |
3.65% 12/1/27 | 240,000 | 251,652 | |
3.7% 9/15/49 | 10,000 | 9,893 | |
4.101% 3/1/28 | 100,000 | 106,986 | |
4.65% 1/15/43 | 65,000 | 72,892 | |
Cigna Corp.: | |||
1.25% 3/15/26 | 85,000 | 81,312 | |
2.375% 3/15/31 | 100,000 | 94,256 | |
3.75% 7/15/23 | 8,000 | 8,207 | |
4.125% 11/15/25 | 12,000 | 12,644 | |
4.375% 10/15/28 | 20,000 | 21,677 | |
4.8% 8/15/38 | 69,000 | 76,868 | |
4.8% 7/15/46 | 120,000 | 133,931 | |
4.9% 12/15/48 | 19,000 | 21,582 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 310,000 | 270,597 | |
4.3% 3/25/28 | 150,000 | 161,933 | |
4.78% 3/25/38 | 42,000 | 46,967 | |
4.875% 7/20/35 | 60,000 | 69,049 | |
5.05% 3/25/48 | 60,000 | 70,060 | |
HCA Holdings, Inc.: | |||
4.125% 6/15/29 | 289,000 | 302,890 | |
5.5% 6/15/47 | 50,000 | 58,495 | |
Humana, Inc.: | |||
3.125% 8/15/29 | 50,000 | 50,257 | |
4.875% 4/1/30 | 114,000 | 128,190 | |
UnitedHealth Group, Inc.: | |||
1.25% 1/15/26 | 25,000 | 24,172 | |
2% 5/15/30 | 80,000 | 75,612 | |
2.3% 5/15/31 | 286,000 | 275,529 | |
2.375% 8/15/24 | 50,000 | 50,664 | |
2.9% 5/15/50 | 36,000 | 32,952 | |
3.7% 8/15/49 | 20,000 | 20,708 | |
4.375% 3/15/42 | 55,000 | 61,360 | |
5.8% 3/15/36 | 50,000 | 63,959 | |
6.875% 2/15/38 | 185,000 | 263,067 | |
3,154,383 | |||
Life Sciences Tools & Services - 0.1% | |||
Danaher Corp. 2.6% 10/1/50 | 80,000 | 68,641 | |
PerkinElmer, Inc. 2.25% 9/15/31 | 30,000 | 27,444 | |
Thermo Fisher Scientific, Inc. 2.6% 10/1/29 | 150,000 | 147,774 | |
243,859 | |||
Pharmaceuticals - 0.7% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 90,000 | 86,250 | |
2.25% 5/28/31 | 90,000 | 86,465 | |
AstraZeneca PLC 4.375% 8/17/48 | 66,000 | 75,542 | |
Bristol-Myers Squibb Co.: | |||
2.35% 11/13/40 | 160,000 | 137,306 | |
3.25% 2/20/23 | 124,000 | 126,147 | |
3.4% 7/26/29 | 50,000 | 52,632 | |
4.125% 6/15/39 | 50,000 | 54,801 | |
4.55% 2/20/48 | 70,000 | 81,203 | |
Eli Lilly & Co. 2.25% 5/15/50 | 70,000 | 58,346 | |
GlaxoSmithKline Capital, Inc.: | |||
3.375% 5/15/23 | 150,000 | 153,218 | |
6.375% 5/15/38 | 62,000 | 84,709 | |
Johnson & Johnson: | |||
0.55% 9/1/25 | 60,000 | 57,193 | |
1.3% 9/1/30 | 60,000 | 54,713 | |
2.1% 9/1/40 | 60,000 | 51,381 | |
2.45% 9/1/60 | 60,000 | 49,989 | |
Merck & Co., Inc.: | |||
2.45% 6/24/50 | 180,000 | 153,878 | |
2.9% 3/7/24 | 150,000 | 153,425 | |
Mylan NV 5.2% 4/15/48 | 83,000 | 89,362 | |
Novartis Capital Corp. 3.7% 9/21/42 | 110,000 | 116,424 | |
Viatris, Inc. 2.3% 6/22/27 | 105,000 | 100,740 | |
1,823,724 | |||
TOTAL HEALTH CARE | 7,466,759 | ||
INDUSTRIALS - 1.5% | |||
Air Freight & Logistics - 0.2% | |||
FedEx Corp.: | |||
3.25% 4/1/26 | 152,000 | 158,562 | |
4.1% 4/15/43 | 50,000 | 50,697 | |
4.95% 10/17/48 | 78,000 | 88,951 | |
United Parcel Service, Inc.: | |||
3.75% 11/15/47 | 58,000 | 62,682 | |
5.3% 4/1/50 | 110,000 | 147,711 | |
508,603 | |||
Building Products - 0.3% | |||
Carrier Global Corp. 2.242% 2/15/25 | 620,000 | 618,253 | |
Johnson Controls International PLC 5.125% 9/14/45 | 50,000 | 60,531 | |
Masco Corp.: | |||
2% 2/15/31 | 29,000 | 26,291 | |
3.125% 2/15/51 | 14,000 | 12,173 | |
717,248 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc. 1.75% 2/15/32 | 200,000 | 178,366 | |
Waste Management, Inc. 2.5% 11/15/50 | 70,000 | 58,636 | |
237,002 | |||
Electrical Equipment - 0.1% | |||
Eaton Corp.: | |||
2.75% 11/2/22 | 137,000 | 138,327 | |
4% 11/2/32 | 50,000 | 54,576 | |
192,903 | |||
Industrial Conglomerates - 0.1% | |||
3M Co.: | |||
2.375% 8/26/29 | 86,000 | 84,034 | |
2.65% 4/15/25 | 8,000 | 8,126 | |
3.05% 4/15/30 | 7,000 | 7,165 | |
3.7% 4/15/50 | 8,000 | 8,211 | |
4% 9/14/48 | 50,000 | 53,424 | |
Roper Technologies, Inc.: | |||
1% 9/15/25 | 30,000 | 28,536 | |
1.4% 9/15/27 | 30,000 | 27,984 | |
1.75% 2/15/31 | 30,000 | 26,524 | |
2% 6/30/30 | 110,000 | 100,160 | |
344,164 | |||
Machinery - 0.2% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 40,000 | 39,297 | |
1.1% 9/14/27 | 40,000 | 37,548 | |
2.4% 8/9/26 | 140,000 | 141,439 | |
Caterpillar, Inc.: | |||
3.25% 9/19/49 | 50,000 | 49,208 | |
5.2% 5/27/41 | 50,000 | 62,599 | |
Deere & Co. 2.875% 9/7/49 | 80,000 | 73,393 | |
Otis Worldwide Corp. 3.112% 2/15/40 | 50,000 | 46,173 | |
Parker Hannifin Corp.: | |||
2.7% 6/14/24 | 60,000 | 60,744 | |
4.2% 11/21/34 | 75,000 | 80,762 | |
Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 50,000 | 51,799 | |
642,962 | |||
Road & Rail - 0.4% | |||
Canadian National Railway Co.: | |||
2.45% 5/1/50 | 40,000 | 33,373 | |
2.75% 3/1/26 | 141,000 | 143,697 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 130,000 | 126,083 | |
2.45% 12/2/31 | 130,000 | 124,765 | |
4.8% 8/1/45 | 60,000 | 69,088 | |
CSX Corp.: | |||
2.5% 5/15/51 | 115,000 | 94,755 | |
4.5% 3/15/49 | 70,000 | 78,932 | |
Kansas City Southern/Old 3.5% 5/1/50 | 50,000 | 47,744 | |
Norfolk Southern Corp.: | |||
2.9% 6/15/26 | 100,000 | 102,350 | |
3.155% 5/15/55 | 85,000 | 78,037 | |
Union Pacific Corp.: | |||
3.6% 9/15/37 | 145,000 | 148,887 | |
3.839% 3/20/60 | 132,000 | 135,603 | |
1,183,314 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
1.875% 8/15/26 | 60,000 | 56,879 | |
2.875% 1/15/26 | 50,000 | 49,807 | |
3% 2/1/30 | 55,000 | 52,522 | |
4.625% 10/1/28 | 52,000 | 55,146 | |
214,354 | |||
TOTAL INDUSTRIALS | 4,040,550 | ||
INFORMATION TECHNOLOGY - 2.6% | |||
Communications Equipment - 0.1% | |||
Cisco Systems, Inc. 5.5% 1/15/40 | 135,000 | 173,664 | |
Electronic Equipment & Components - 0.2% | |||
Corning, Inc. 5.35% 11/15/48 | 20,000 | 25,011 | |
Dell International LLC/EMC Corp.: | |||
4% 7/15/24 | 144,000 | 149,412 | |
4.9% 10/1/26 | 30,000 | 32,495 | |
5.3% 10/1/29 | 80,000 | 89,217 | |
8.1% 7/15/36 | 40,000 | 55,391 | |
8.35% 7/15/46 | 134,000 | 203,209 | |
554,735 | |||
IT Services - 0.5% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 60,000 | 58,665 | |
Fidelity National Information Services, Inc.: | |||
1.15% 3/1/26 | 68,000 | 64,200 | |
2.25% 3/1/31 | 50,000 | 45,525 | |
Fiserv, Inc.: | |||
3.5% 7/1/29 | 40,000 | 40,530 | |
4.4% 7/1/49 | 120,000 | 127,911 | |
Global Payments, Inc. 1.2% 3/1/26 | 122,000 | 115,154 | |
IBM Corp.: | |||
2.85% 5/15/40 | 135,000 | 122,968 | |
2.95% 5/15/50 | 100,000 | 89,646 | |
3.45% 2/19/26 | 166,000 | 173,490 | |
MasterCard, Inc.: | |||
3.3% 3/26/27 | 13,000 | 13,656 | |
3.35% 3/26/30 | 18,000 | 18,853 | |
3.85% 3/26/50 | 65,000 | 70,651 | |
PayPal Holdings, Inc.: | |||
1.65% 6/1/25 | 20,000 | 19,597 | |
2.3% 6/1/30 | 50,000 | 47,628 | |
The Western Union Co. 2.85% 1/10/25 | 20,000 | 20,249 | |
Visa, Inc.: | |||
1.9% 4/15/27 | 43,000 | 42,382 | |
2.05% 4/15/30 | 70,000 | 67,792 | |
2.7% 4/15/40 | 50,000 | 47,013 | |
2.75% 9/15/27 | 205,000 | 210,025 | |
4.3% 12/14/45 | 65,000 | 75,232 | |
1,471,167 | |||
Semiconductors & Semiconductor Equipment - 0.6% | |||
Analog Devices, Inc. 2.8% 10/1/41 | 50,000 | 46,088 | |
Applied Materials, Inc. 4.35% 4/1/47 | 26,000 | 29,905 | |
Broadcom, Inc. 3.469% 4/15/34 (b) | 400,000 | 386,130 | |
Intel Corp.: | |||
2.45% 11/15/29 | 50,000 | 48,823 | |
3.7% 7/29/25 | 140,000 | 146,646 | |
4.6% 3/25/40 | 100,000 | 113,205 | |
4.75% 3/25/50 | 150,000 | 175,367 | |
Lam Research Corp. 2.875% 6/15/50 | 50,000 | 44,596 | |
NVIDIA Corp. 2% 6/15/31 | 215,000 | 202,177 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.65% 2/15/32 (b) | 80,000 | 75,288 | |
4.3% 6/18/29 (b) | 125,000 | 133,165 | |
Qualcomm, Inc. 4.65% 5/20/35 | 145,000 | 167,871 | |
1,569,261 | |||
Software - 0.7% | |||
Microsoft Corp.: | |||
2.525% 6/1/50 | 180,000 | 159,721 | |
2.921% 3/17/52 | 276,000 | 263,532 | |
3.3% 2/6/27 | 270,000 | 285,719 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 60,000 | 59,919 | |
2.65% 7/15/26 | 242,000 | 240,342 | |
2.95% 4/1/30 | 80,000 | 77,325 | |
3.6% 4/1/50 | 310,000 | 269,488 | |
3.85% 4/1/60 | 170,000 | 146,512 | |
Salesforce.com, Inc. 1.95% 7/15/31 | 195,000 | 184,242 | |
VMware, Inc. 1.4% 8/15/26 | 97,000 | 91,936 | |
1,778,736 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Apple, Inc.: | |||
0.55% 8/20/25 | 200,000 | 190,397 | |
0.7% 2/8/26 | 160,000 | 153,001 | |
1.25% 8/20/30 | 200,000 | 180,185 | |
1.7% 9/11/22 | 120,000 | 120,558 | |
1.7% 8/5/31 | 52,000 | 48,201 | |
2.375% 2/8/41 | 160,000 | 142,507 | |
2.85% 5/11/24 | 50,000 | 51,095 | |
2.85% 8/5/61 | 51,000 | 45,310 | |
2.95% 9/11/49 | 90,000 | 83,903 | |
3.85% 5/4/43 | 177,000 | 190,328 | |
HP, Inc. 6% 9/15/41 | 170,000 | 203,088 | |
1,408,573 | |||
TOTAL INFORMATION TECHNOLOGY | 6,956,136 | ||
MATERIALS - 0.6% | |||
Chemicals - 0.5% | |||
Air Products & Chemicals, Inc.: | |||
1.5% 10/15/25 | 50,000 | 48,955 | |
2.05% 5/15/30 | 20,000 | 19,123 | |
2.8% 5/15/50 | 20,000 | 17,920 | |
CF Industries Holdings, Inc. 5.15% 3/15/34 | 50,000 | 55,950 | |
DuPont de Nemours, Inc.: | |||
4.205% 11/15/23 | 20,000 | 20,715 | |
4.725% 11/15/28 | 20,000 | 22,131 | |
5.419% 11/15/48 | 62,000 | 77,808 | |
Ecolab, Inc. 1.3% 1/30/31 | 125,000 | 111,198 | |
LYB International Finance BV 4% 7/15/23 | 77,000 | 79,198 | |
LYB International Finance II BV 3.5% 3/2/27 | 90,000 | 93,518 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 50,000 | 46,795 | |
3.625% 4/1/51 | 50,000 | 47,216 | |
Nutrien Ltd.: | |||
3.95% 5/13/50 | 100,000 | 104,076 | |
4.2% 4/1/29 | 6,000 | 6,481 | |
5% 4/1/49 | 11,000 | 13,276 | |
Sherwin-Williams Co.: | |||
3.45% 6/1/27 | 300,000 | 312,092 | |
4.5% 6/1/47 | 54,000 | 59,233 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 100,000 | 93,246 | |
4.8% 5/15/49 | 40,000 | 45,225 | |
5.55% 11/30/48 | 30,000 | 37,812 | |
The Mosaic Co. 4.25% 11/15/23 | 131,000 | 135,438 | |
1,447,406 | |||
Containers & Packaging - 0.0% | |||
International Paper Co.: | |||
4.35% 8/15/48 | 30,000 | 32,629 | |
7.3% 11/15/39 | 50,000 | 70,470 | |
103,099 | |||
Metals & Mining - 0.1% | |||
Newmont Corp. 5.45% 6/9/44 | 50,000 | 60,847 | |
Rio Tinto Finance (U.S.A.) Ltd. 5.2% 11/2/40 | 50,000 | 60,883 | |
Rio Tinto Finance (U.S.A.) PLC 4.125% 8/21/42 | 50,000 | 54,568 | |
176,298 | |||
TOTAL MATERIALS | 1,726,803 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Alexandria Real Estate Equities, Inc. 3% 5/18/51 | 100,000 | 87,690 | |
American Tower Corp.: | |||
1.3% 9/15/25 | 40,000 | 38,284 | |
2.1% 6/15/30 | 60,000 | 54,329 | |
3.1% 6/15/50 | 60,000 | 50,309 | |
3.6% 1/15/28 | 110,000 | 112,842 | |
Boston Properties, Inc. 3.25% 1/30/31 | 107,000 | 106,810 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 23,000 | 22,064 | |
2.25% 1/15/31 | 145,000 | 130,682 | |
3.15% 7/15/23 | 100,000 | 101,530 | |
3.25% 1/15/51 | 47,000 | 40,325 | |
Duke Realty LP 1.75% 2/1/31 | 100,000 | 90,039 | |
ERP Operating LP 4.5% 7/1/44 | 50,000 | 57,132 | |
Healthpeak Properties, Inc. 2.875% 1/15/31 | 210,000 | 206,412 | |
Kilroy Realty LP 3.05% 2/15/30 | 50,000 | 48,982 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 110,000 | 103,974 | |
2.8% 10/1/26 | 150,000 | 150,954 | |
National Retail Properties, Inc. 3% 4/15/52 | 50,000 | 41,653 | |
Prologis LP 1.625% 3/15/31 | 100,000 | 90,920 | |
Realty Income Corp. 2.85% 12/15/32 | 55,000 | 53,486 | |
Regency Centers LP 3.7% 6/15/30 | 50,000 | 52,145 | |
Simon Property Group LP: | |||
2.2% 2/1/31 | 100,000 | 93,545 | |
2.65% 7/15/30 | 50,000 | 48,673 | |
2.75% 6/1/23 | 75,000 | 75,762 | |
3.375% 12/1/27 | 75,000 | 77,317 | |
4.75% 3/15/42 | 55,000 | 62,213 | |
UDR, Inc. 2.1% 6/15/33 | 35,000 | 30,935 | |
Ventas Realty LP 4.875% 4/15/49 | 80,000 | 92,072 | |
Welltower, Inc. 4.95% 9/1/48 | 36,000 | 42,715 | |
2,163,794 | |||
Real Estate Management & Development - 0.0% | |||
Digital Realty Trust LP 3.7% 8/15/27 | 26,000 | 27,196 | |
Essex Portfolio LP 2.65% 3/15/32 | 70,000 | 66,953 | |
94,149 | |||
TOTAL REAL ESTATE | 2,257,943 | ||
UTILITIES - 0.6% | |||
Electric Utilities - 0.3% | |||
Baltimore Gas & Electric Co. 3.5% 8/15/46 | 50,000 | 49,601 | |
CenterPoint Energy Houston Electric LLC 3.35% 4/1/51 | 90,000 | 86,706 | |
Commonwealth Edison Co.: | |||
3.8% 10/1/42 | 125,000 | 129,654 | |
4% 3/1/48 | 86,000 | 91,732 | |
Eversource Energy: | |||
2.55% 3/15/31 | 125,000 | 119,231 | |
2.9% 10/1/24 | 70,000 | 70,967 | |
Oncor Electric Delivery Co. LLC: | |||
0.55% 10/1/25 | 83,000 | 77,793 | |
5.3% 6/1/42 | 85,000 | 104,433 | |
PPL Electric Utilities Corp. 3% 10/1/49 | 30,000 | 27,684 | |
Public Service Electric & Gas Co. 3.6% 12/1/47 | 87,000 | 88,015 | |
845,816 | |||
Gas Utilities - 0.0% | |||
Atmos Energy Corp. 4.125% 10/15/44 | 75,000 | 78,087 | |
Multi-Utilities - 0.2% | |||
Consolidated Edison Co. of New York, Inc.: | |||
3.875% 6/15/47 | 44,000 | 43,926 | |
3.95% 4/1/50 | 130,000 | 133,739 | |
5.3% 3/1/35 | 50,000 | 58,448 | |
5.5% 12/1/39 | 50,000 | 59,810 | |
Sempra Energy: | |||
3.4% 2/1/28 | 26,000 | 26,773 | |
3.8% 2/1/38 | 30,000 | 30,344 | |
4% 2/1/48 | 86,000 | 86,395 | |
439,435 | |||
Water Utilities - 0.1% | |||
American Water Capital Corp.: | |||
3.75% 9/1/47 | 50,000 | 49,863 | |
6.593% 10/15/37 | 64,000 | 86,420 | |
136,283 | |||
TOTAL UTILITIES | 1,499,621 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $73,200,902) | 70,602,617 | ||
U.S. Government and Government Agency Obligations - 41.5% | |||
U.S. Government Agency Obligations - 1.0% | |||
Fannie Mae: | |||
0.375% 8/25/25 | $95,000 | $90,579 | |
0.5% 6/17/25 | 240,000 | 230,373 | |
0.625% 4/22/25 | 82,000 | 79,333 | |
0.75% 10/8/27 | 125,000 | 117,470 | |
0.875% 8/5/30 | 83,000 | 75,220 | |
1.625% 10/15/24 | 70,000 | 69,988 | |
1.75% 7/2/24 | 220,000 | 220,698 | |
2.875% 9/12/23 | 150,000 | 153,375 | |
6.625% 11/15/30 | 229,000 | 310,359 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 70,000 | 66,719 | |
0.5% 4/14/25 | 105,000 | 101,149 | |
1.5% 8/15/24 | 50,000 | 49,929 | |
2.5% 2/13/24 | 80,000 | 81,598 | |
3.25% 6/9/28 | 55,000 | 59,394 | |
3.25% 11/16/28 | 10,000 | 10,806 | |
Freddie Mac: | |||
0.25% 8/24/23 | 250,000 | 246,126 | |
0.25% 12/4/23 | 375,000 | 367,326 | |
0.375% 7/21/25 | 160,000 | 152,938 | |
0.375% 9/23/25 | 93,000 | 88,548 | |
1.5% 2/12/25 | 120,000 | 119,405 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,691,333 | ||
U.S. Treasury Obligations - 40.5% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 1,303,000 | 1,083,628 | |
1.125% 8/15/40 | 1,715,000 | 1,420,904 | |
1.25% 5/15/50 | 1,807,000 | 1,441,506 | |
1.375% 11/15/40 | 1,019,000 | 881,117 | |
1.375% 8/15/50 | 1,239,000 | 1,019,997 | |
1.625% 11/15/50 | 1,136,000 | 995,331 | |
1.75% 8/15/41 | 1,982,000 | 1,816,627 | |
1.875% 2/15/41 | 1,559,000 | 1,465,582 | |
1.875% 2/15/51 | 771,000 | 717,753 | |
1.875% 11/15/51 | 1,399,000 | 1,305,223 | |
2% 11/15/41 | 1,136,000 | 1,087,543 | |
2% 2/15/50 | 140,000 | 134,066 | |
2% 8/15/51 | 1,784,000 | 1,711,246 | |
2.25% 5/15/41 | 161,000 | 160,491 | |
2.25% 8/15/46 | 6,000 | 5,937 | |
2.25% 8/15/49 | 34,000 | 34,283 | |
2.25% 2/15/52 | 410,000 | 417,688 | |
2.375% 11/15/49 | 1,000 | 1,037 | |
2.375% 5/15/51 | 612,000 | 638,130 | |
2.5% 2/15/45 | 410,000 | 423,277 | |
2.5% 2/15/46 | 89,000 | 92,167 | |
2.5% 5/15/46 | 83,000 | 85,957 | |
2.75% 8/15/42 | 41,000 | 44,150 | |
2.75% 11/15/42 | 4,000 | 4,305 | |
2.75% 11/15/47 | 23,000 | 25,216 | |
2.875% 5/15/43 | 177,000 | 194,050 | |
2.875% 8/15/45 | 165,000 | 182,016 | |
2.875% 5/15/49 | 12,000 | 13,634 | |
3% 5/15/42 | 13,000 | 14,561 | |
3% 11/15/44 | 397,000 | 445,524 | |
3% 5/15/45 | 1,171,000 | 1,316,277 | |
3% 11/15/45 | 188,000 | 212,036 | |
3% 5/15/47 | 17,000 | 19,359 | |
3% 2/15/48 | 4,000 | 4,602 | |
3% 8/15/48 | 28,000 | 32,307 | |
3% 2/15/49 | 20,000 | 23,210 | |
3.125% 11/15/41 | 75,000 | 85,421 | |
3.125% 2/15/43 | 185,000 | 210,633 | |
3.125% 8/15/44 | 863,000 | 986,854 | |
3.125% 5/15/48 | 57,000 | 67,182 | |
3.375% 5/15/44 | 198,000 | 235,048 | |
3.375% 11/15/48 | 32,000 | 39,513 | |
3.625% 8/15/43 | 332,000 | 407,011 | |
3.625% 2/15/44 | 136,000 | 167,078 | |
3.75% 8/15/41 | 48,000 | 59,483 | |
3.75% 11/15/43 | 39,000 | 48,727 | |
3.875% 8/15/40 | 20,000 | 25,116 | |
4.375% 11/15/39 | 24,000 | 32,046 | |
4.375% 5/15/40 | 45,000 | 60,140 | |
4.5% 2/15/36 | 1,000 | 1,323 | |
4.5% 5/15/38 | 45,000 | 60,514 | |
5% 5/15/37 | 10,000 | 14,000 | |
U.S. Treasury Notes: | |||
0.125% 4/30/22 | 1,000 | 1,000 | |
0.125% 5/31/22 | 1,000 | 999 | |
0.125% 7/31/22 | 112,000 | 111,773 | |
0.125% 9/30/22 | 3,000 | 2,989 | |
0.125% 11/30/22 | 20,000 | 19,880 | |
0.125% 1/31/23 | 11,000 | 10,905 | |
0.125% 5/15/23 | 261,000 | 257,687 | |
0.125% 7/15/23 | 2,064,000 | 2,032,234 | |
0.125% 7/31/23 | 1,171,000 | 1,151,743 | |
0.125% 8/15/23 | 1,059,000 | 1,040,840 | |
0.125% 8/31/23 | 1,289,000 | 1,266,191 | |
0.125% 9/15/23 | 1,000 | 982 | |
0.125% 10/15/23 | 1,596,000 | 1,563,831 | |
0.125% 2/15/24 | 65,000 | 63,317 | |
0.25% 6/15/23 | 381,000 | 376,238 | |
0.25% 9/30/23 | 2,555,000 | 2,510,787 | |
0.25% 11/15/23 | 252,000 | 247,108 | |
0.25% 3/15/24 | 108,000 | 105,296 | |
0.25% 5/15/24 | 1,055,000 | 1,025,699 | |
0.25% 5/31/25 | 1,383,000 | 1,320,549 | |
0.25% 6/30/25 | 277,000 | 264,070 | |
0.25% 7/31/25 | 2,639,000 | 2,513,029 | |
0.25% 8/31/25 | 753,000 | 715,674 | |
0.25% 9/30/25 | 1,104,000 | 1,047,851 | |
0.25% 10/31/25 | 1,359,000 | 1,288,130 | |
0.375% 3/31/22 | 206,000 | 206,032 | |
0.375% 10/31/23 | 940,000 | 923,991 | |
0.375% 4/15/24 | 301,000 | 293,839 | |
0.375% 7/15/24 | 100,000 | 97,262 | |
0.375% 8/15/24 | 285,000 | 276,806 | |
0.375% 9/15/24 | 185,000 | 179,399 | |
0.375% 4/30/25 | 1,070,000 | 1,027,409 | |
0.375% 11/30/25 | 1,261,000 | 1,199,428 | |
0.375% 12/31/25 | 497,000 | 472,305 | |
0.375% 1/31/26 | 781,000 | 740,791 | |
0.375% 7/31/27 | 1,248,000 | 1,158,641 | |
0.375% 9/30/27 | 723,000 | 669,114 | |
0.5% 11/30/23 | 2,905,000 | 2,858,588 | |
0.5% 3/31/25 | 1,512,000 | 1,459,730 | |
0.5% 5/31/27 | 1,798,000 | 1,684,361 | |
0.5% 6/30/27 | 1,571,000 | 1,470,112 | |
0.5% 8/31/27 | 1,129,000 | 1,053,410 | |
0.5% 10/31/27 | 289,000 | 268,984 | |
0.625% 10/15/24 | 3,970,000 | 3,871,060 | |
0.625% 3/31/27 | 808,000 | 763,939 | |
0.625% 11/30/27 | 789,000 | 738,547 | |
0.625% 12/31/27 | 338,000 | 316,149 | |
0.625% 5/15/30 | 2,665,000 | 2,421,819 | |
0.625% 8/15/30 | 204,000 | 184,867 | |
0.75% 12/31/23 | 839,000 | 828,513 | |
0.75% 11/15/24 | 1,280,000 | 1,250,500 | |
0.75% 3/31/26 | 1,215,000 | 1,167,776 | |
0.75% 4/30/26 | 1,041,000 | 999,441 | |
0.75% 8/31/26 | 1,695,000 | 1,622,036 | |
0.75% 1/31/28 | 263,000 | 247,477 | |
0.875% 1/31/24 | 1,630,000 | 1,612,363 | |
0.875% 6/30/26 | 430,000 | 414,396 | |
0.875% 9/30/26 | 1,510,000 | 1,451,664 | |
0.875% 11/15/30 | 1,744,000 | 1,611,088 | |
1% 12/15/24 | 555,000 | 545,678 | |
1% 7/31/28 | 852,000 | 809,566 | |
1.125% 2/28/25 | 328,000 | 323,080 | |
1.125% 10/31/26 | 975,000 | 947,426 | |
1.125% 2/28/27 | 231,000 | 224,115 | |
1.125% 2/29/28 | 1,011,000 | 972,693 | |
1.125% 8/31/28 | 1,175,000 | 1,124,512 | |
1.125% 2/15/31 | 1,212,000 | 1,141,884 | |
1.25% 8/31/24 | 511,000 | 506,888 | |
1.25% 12/31/26 | 485,000 | 473,784 | |
1.25% 3/31/28 | 653,000 | 632,135 | |
1.25% 4/30/28 | 659,000 | 637,634 | |
1.25% 6/30/28 | 1,267,000 | 1,223,744 | |
1.25% 9/30/28 | 1,345,000 | 1,296,559 | |
1.25% 8/15/31 | 1,609,000 | 1,527,796 | |
1.375% 2/15/23 | 29,000 | 29,080 | |
1.375% 1/31/25 | 956,000 | 949,129 | |
1.375% 8/31/26 | 695,000 | 683,761 | |
1.375% 10/31/28 | 1,360,000 | 1,320,953 | |
1.375% 12/31/28 | 995,000 | 966,083 | |
1.375% 11/15/31 | 265,000 | 254,027 | |
1.5% 9/30/24 | 905,000 | 902,738 | |
1.5% 10/31/24 | 556,000 | 554,458 | |
1.5% 11/30/24 | 573,000 | 571,142 | |
1.5% 8/15/26 | 574,000 | 567,901 | |
1.5% 1/31/27 | 648,000 | 640,356 | |
1.5% 11/30/28 | 329,000 | 322,112 | |
1.625% 12/15/22 | 50,000 | 50,266 | |
1.625% 9/30/26 | 463,000 | 460,432 | |
1.625% 10/31/26 | 215,000 | 213,816 | |
1.625% 11/30/26 | 136,000 | 135,235 | |
1.625% 8/15/29 | 176,000 | 173,786 | |
1.625% 5/15/31 | 610,000 | 599,396 | |
1.75% 6/15/22 | 173,000 | 173,637 | |
1.75% 7/15/22 | 101,000 | 101,450 | |
1.75% 6/30/24 | 251,000 | 252,177 | |
1.75% 7/31/24 | 661,000 | 664,047 | |
1.75% 12/31/24 | 707,000 | 709,568 | |
1.75% 12/31/26 | 188,000 | 187,993 | |
1.75% 11/15/29 | 85,000 | 84,724 | |
1.875% 7/31/22 | 90,000 | 90,475 | |
1.875% 6/30/26 | 88,000 | 88,478 | |
1.875% 7/31/26 | 238,000 | 239,227 | |
1.875% 2/15/32 | 653,000 | 655,755 | |
2% 10/31/22 | 7,000 | 7,054 | |
2% 5/31/24 | 108,000 | 109,118 | |
2% 11/15/26 | 110,000 | 111,225 | |
2.125% 5/15/22 | 168,000 | 168,596 | |
2.125% 12/31/22 | 140,000 | 141,291 | |
2.125% 3/31/24 | 269,000 | 272,436 | |
2.25% 4/30/24 | 309,000 | 313,804 | |
2.25% 3/31/26 | 92,000 | 93,815 | |
2.25% 2/15/27 | 134,000 | 137,162 | |
2.25% 8/15/27 | 535,000 | 548,229 | |
2.25% 11/15/27 | 100,000 | 102,461 | |
2.375% 2/29/24 | 867,000 | 882,274 | |
2.375% 5/15/27 | 22,000 | 22,666 | |
2.375% 5/15/29 | 16,000 | 16,598 | |
2.5% 3/31/23 | 163,000 | 165,349 | |
2.5% 1/31/24 | 495,000 | 504,707 | |
2.625% 6/30/23 | 10,000 | 10,179 | |
2.625% 12/31/23 | 800,000 | 817,219 | |
2.625% 12/31/25 | 5,000 | 5,168 | |
2.625% 2/15/29 | 57,000 | 59,988 | |
2.75% 5/31/23 | 142,000 | 144,685 | |
2.75% 7/31/23 | 232,000 | 236,776 | |
2.75% 8/31/23 | 85,000 | 86,780 | |
2.75% 6/30/25 | 82,000 | 84,819 | |
2.75% 2/15/28 | 492,000 | 518,503 | |
2.875% 9/30/23 | 177,000 | 181,197 | |
2.875% 10/31/23 | 712,000 | 729,133 | |
2.875% 11/30/23 | 244,000 | 250,148 | |
2.875% 5/31/25 | 10,000 | 10,373 | |
2.875% 11/30/25 | 31,000 | 32,294 | |
2.875% 5/15/28 | 323,000 | 343,036 | |
2.875% 8/15/28 | 61,000 | 64,905 | |
3% 10/31/25 | 74,000 | 77,350 | |
3.125% 11/15/28 | 155,000 | 167,648 | |
TOTAL U.S. TREASURY OBLIGATIONS | 108,898,147 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $114,837,051) | 111,589,480 | ||
U.S. Government Agency - Mortgage Securities - 27.7% | |||
Fannie Mae - 12.1% | |||
1.5% 10/1/36 to 11/1/51 | 2,187,078 | 2,116,836 | |
2% 7/1/35 to 12/1/51 | 10,659,533 | 10,322,213 | |
2.5% 1/1/27 to 3/1/52 | 6,698,073 | 6,670,663 | |
3% 8/1/32 to 1/1/52 | 6,079,733 | 6,198,642 | |
3.5% 5/1/29 to 8/1/50 | 3,338,287 | 3,482,654 | |
4% 6/1/34 to 8/1/50 | 1,765,447 | 1,852,860 | |
4.5% 10/1/39 to 11/1/50 | 886,850 | 939,513 | |
5% 5/1/29 to 12/1/49 | 879,216 | 954,750 | |
5.5% 1/1/49 | 86,431 | 93,637 | |
TOTAL FANNIE MAE | 32,631,768 | ||
Freddie Mac - 8.9% | |||
1.5% 12/1/36 to 11/1/51 | 2,145,784 | 2,005,154 | |
2% 2/1/36 to 2/1/52 | 9,361,940 | 9,054,938 | |
2.5% 3/1/33 to 2/1/52 | 6,533,717 | 6,471,003 | |
3% 11/1/26 to 4/1/51 | 1,700,158 | 1,729,187 | |
3.5% 9/1/33 to 3/1/51 | 1,652,000 | 1,715,618 | |
4% 2/1/34 to 10/1/50 | 1,878,056 | 1,970,783 | |
4.5% 7/1/41 to 4/1/50 | 815,161 | 863,714 | |
5% 12/1/48 to 5/1/50 | 80,064 | 86,367 | |
5.5% 6/1/49 | 76,100 | 81,910 | |
TOTAL FREDDIE MAC | 23,978,674 | ||
Ginnie Mae - 5.8% | |||
1.5% 5/20/51 | 48,149 | 45,167 | |
2% 3/20/51 to 1/20/52 | 3,746,443 | 3,667,413 | |
2% 3/1/52 (d) | 50,000 | 48,872 | |
2% 3/1/52 (d) | 100,000 | 97,744 | |
2% 3/1/52 (d) | 200,000 | 195,488 | |
2.5% 12/20/49 to 2/20/52 | 3,657,484 | 3,661,312 | |
2.5% 3/1/52 (d) | 250,000 | 249,820 | |
2.5% 3/1/52 (d) | 200,000 | 199,856 | |
3% 7/20/42 to 4/20/51 | 2,794,151 | 2,854,689 | |
3% 3/1/52 (d) | 100,000 | 101,639 | |
3.5% 2/20/46 to 5/20/51 | 2,325,259 | 2,408,796 | |
4% 4/20/47 to 6/20/51 | 1,102,967 | 1,148,913 | |
4.5% 8/20/48 to 4/20/51 | 588,843 | 618,201 | |
5% 12/20/47 to 3/20/50 | 188,863 | 201,276 | |
5.5% 12/20/48 | 17,801 | 19,066 | |
TOTAL GINNIE MAE | 15,518,252 | ||
Uniform Mortgage Backed Securities - 0.9% | |||
1.5% 3/1/37 (d) | 100,000 | 97,313 | |
1.5% 3/1/52 (d) | 100,000 | 92,696 | |
2% 3/1/37 (d) | 200,000 | 198,469 | |
2% 3/1/52 (d) | 800,000 | 766,947 | |
2.5% 3/1/52 (d) | 100,000 | 98,641 | |
2.5% 3/1/52 (d) | 800,000 | 789,125 | |
3% 3/1/52 (d) | 100,000 | 100,977 | |
3.5% 3/1/52 (d) | 200,000 | 206,000 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 2,350,168 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $76,715,638) | 74,478,862 | ||
Asset-Backed Securities - 0.2% | |||
Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/28 | $32,000 | $31,512 | |
CarMax Auto Owner Trust: | |||
Series 2018-3 Class A3, 3.13% 6/15/23 | 436 | 437 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 110,000 | 107,771 | |
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | 100,000 | 110,871 | |
Ford Credit Auto Lease Trust Series 2021-A Class A3, 0.26% 2/15/24 | 110,000 | 109,413 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 15,000 | 16,249 | |
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25 | 107,000 | 105,698 | |
Mercedes-Benz Auto Lease Trust Series 2021-A Class A3, 0.25% 1/16/24 | 110,000 | 109,168 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $604,373) | 591,119 | ||
Commercial Mortgage Securities - 1.3% | |||
BANK sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 100,000 | 102,626 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 80,000 | 78,654 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 120,000 | 110,597 | |
BBCMS Mortgage Trust sequential payer Series 2021-C11 Class A5, 2.322% 9/15/54 | 100,000 | 95,179 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2020-B19 Class A5, 1.85% 9/15/53 | 140,000 | 129,312 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 50,000 | 48,636 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 50,000 | 50,700 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 60,000 | 64,137 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2018-B2 Class A4, 4.009% 3/10/51 | 250,000 | 265,886 | |
COMM Mortgage Trust sequential payer Series 2013-CR13 Class A3, 3.928% 11/10/46 | 115,543 | 117,359 | |
CSAIL Commercial Mortgage Trust sequential payer Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 75,000 | 74,265 | |
Class A5, 3.0161% 9/15/52 | 75,000 | 75,507 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-K104 Class A2, 2.253% 1/25/30 | 200,000 | 200,012 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 260,000 | 242,318 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 200,000 | 187,113 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 200,000 | 187,881 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 40,000 | 37,640 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 50,000 | 48,080 | |
Series 2021-K128 Class A2, 2.02% 3/25/31 | 50,000 | 48,722 | |
Series 2021-K130 Class A2, 1.723% 6/25/31 | 100,000 | 94,817 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 100,000 | 97,779 | |
Series K057 Class A2, 2.57% 7/25/26 | 80,000 | 81,673 | |
Series K080 Class A2, 3.926% 7/25/28 | 60,000 | 65,998 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 130,000 | 122,904 | |
Series K-1510 Class A2, 3.718% 1/25/31 | 41,000 | 45,298 | |
Series K068 Class A2, 3.244% 8/25/27 | 70,000 | 73,772 | |
Series K094 Class A2, 2.903% 6/25/29 | 110,000 | 114,728 | |
GS Mortgage Securities Trust sequential payer Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 100,000 | 99,608 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C24 Class A5, 3.6385% 11/15/47 | 100,000 | 102,623 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2020-COR7 Class A5, 2.1798% 5/13/53 | 116,000 | 109,659 | |
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53 | 30,000 | 29,594 | |
UBS Commercial Mortgage Trust sequential payer Series 2019-C16 Class A4, 3.6048% 4/15/52 | 100,000 | 104,206 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C52 Class A5, 2.892% 8/15/52 | 75,000 | 74,848 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 100,000 | 101,762 | |
Series 2020-C55 Class A5, 2.725% 2/15/53 | 27,000 | 26,650 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 65,000 | 70,516 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $3,744,692) | 3,581,059 | ||
Foreign Government and Government Agency Obligations - 2.2% | |||
Alberta Province: | |||
1.3% 7/22/30 | 216,000 | 200,573 | |
2.95% 1/23/24 | 110,000 | 112,758 | |
Chilean Republic: | |||
2.55% 7/27/33 | 200,000 | 182,000 | |
3.24% 2/6/28 | 230,000 | 233,278 | |
Export Development Canada 2.625% 2/21/24 | 100,000 | 102,144 | |
Hungarian Republic: | |||
5.375% 2/21/23 | 134,000 | 137,924 | |
5.375% 3/25/24 | 32,000 | 33,795 | |
Indonesian Republic: | |||
1.85% 3/12/31 | 200,000 | 182,022 | |
2.85% 2/14/30 | 400,000 | 395,075 | |
Israeli State 3.375% 1/15/50 | 100,000 | 97,621 | |
Italian Republic: | |||
1.25% 2/17/26 | 455,000 | 431,771 | |
2.375% 10/17/24 | 200,000 | 200,787 | |
Korean Republic 2.75% 1/19/27 | 200,000 | 206,006 | |
Manitoba Province 2.6% 4/16/24 | 180,000 | 183,503 | |
Ontario Province: | |||
1.125% 10/7/30 | 224,000 | 205,507 | |
2.3% 6/15/26 | 107,000 | 108,329 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 200,000 | 176,725 | |
3.16% 1/23/30 | 400,000 | 392,575 | |
4% 9/22/24 | 48,000 | 49,599 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 185,000 | 158,441 | |
2.78% 12/1/60 | 65,000 | 49,453 | |
3.3% 3/11/41 | 70,000 | 62,370 | |
3.55% 3/10/51 | 55,000 | 49,871 | |
7.35% 7/21/25 | 113,000 | 129,618 | |
Philippine Republic: | |||
1.648% 6/10/31 | 205,000 | 180,679 | |
2.65% 12/10/45 | 200,000 | 162,772 | |
Polish Government: | |||
3.25% 4/6/26 | 53,000 | 54,644 | |
5% 3/23/22 | 136,000 | 136,018 | |
Quebec Province 2.5% 4/20/26 | 130,000 | 132,882 | |
United Mexican States: | |||
3.25% 4/16/30 | 200,000 | 194,300 | |
3.5% 2/12/34 | 217,000 | 203,329 | |
3.771% 5/24/61 | 250,000 | 201,500 | |
4.6% 2/10/48 | 50,000 | 47,700 | |
5.55% 1/21/45 | 45,000 | 49,095 | |
7.5% 4/8/33 | 55,000 | 72,408 | |
Uruguay Republic: | |||
4.125% 11/20/45 | 20,000 | 21,729 | |
4.375% 10/27/27 | 15,000�� | 16,231 | |
4.375% 1/23/31 | 128,116 | 141,032 | |
4.975% 4/20/55 | 63,000 | 74,332 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $6,170,870) | 5,770,396 | ||
Supranational Obligations - 1.3% | |||
African Development Bank 0.875% 7/22/26 | 80,000 | 76,815 | |
Asian Development Bank: | |||
0.5% 2/4/26 | 200,000 | 189,839 | |
2.5% 11/2/27 | 156,000 | 161,040 | |
2.75% 3/17/23 | 540,000 | 548,786 | |
Corporacion Andina de Fomento 1.625% 9/23/25 | 193,000 | 188,260 | |
European Investment Bank: | |||
1.25% 2/14/31 | 83,000 | 78,500 | |
1.375% 5/15/23 | 320,000 | 320,492 | |
2% 12/15/22 | 470,000 | 473,490 | |
2.25% 6/24/24 | 50,000 | 50,652 | |
2.875% 8/15/23 | 90,000 | 91,918 | |
3.125% 12/14/23 | 90,000 | 92,666 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 125,000 | 120,284 | |
1.75% 3/14/25 | 66,000 | 66,071 | |
2.25% 6/18/29 | 30,000 | 30,629 | |
3.125% 9/18/28 | 60,000 | 64,351 | |
3.2% 8/7/42 | 123,000 | 136,776 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 130,000 | 123,990 | |
0.5% 10/28/25 | 145,000 | 138,285 | |
0.75% 8/26/30 | 70,000 | 63,601 | |
0.875% 5/14/30 | 67,000 | 61,656 | |
1.25% 2/10/31 | 100,000 | 94,429 | |
1.5% 8/28/24 | 50,000 | 49,869 | |
1.625% 1/15/25 | 63,000 | 62,913 | |
1.875% 6/19/23 | 20,000 | 20,150 | |
2.5% 3/19/24 | 120,000 | 122,312 | |
International Finance Corp. 0.75% 8/27/30 | 40,000 | 36,534 | |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $3,520,610) | 3,464,308 | ||
Bank Notes - 0.1% | |||
Citizens Bank NA 2.25% 4/28/25 | |||
(Cost $279,602) | 279,000 | 278,090 | |
Shares | Value | ||
Money Market Funds - 0.2% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $521,964) | 521,860 | 521,964 | |
TOTAL INVESTMENT IN SECURITIES - 100.7% | |||
(Cost $279,595,702) | 270,877,895 | ||
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (1,804,612) | ||
NET ASSETS - 100% | $269,073,283 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,183,788 or 0.4% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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 0.07% | $5,805,017 | $42,526,161 | $47,809,214 | $888 | $83 | $(83) | $521,964 | 0.0% |
Total | $5,805,017 | $42,526,161 | $47,809,214 | $888 | $83 | $(83) | $521,964 |
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 February 28, 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 | $70,602,617 | $-- | $70,602,617 | $-- |
U.S. Government and Government Agency Obligations | 111,589,480 | -- | 111,589,480 | -- |
U.S. Government Agency - Mortgage Securities | 74,478,862 | -- | 74,478,862 | -- |
Asset-Backed Securities | 591,119 | -- | 591,119 | -- |
Commercial Mortgage Securities | 3,581,059 | -- | 3,581,059 | -- |
Foreign Government and Government Agency Obligations | 5,770,396 | -- | 5,770,396 | -- |
Supranational Obligations | 3,464,308 | -- | 3,464,308 | -- |
Bank Notes | 278,090 | -- | 278,090 | -- |
Money Market Funds | 521,964 | 521,964 | -- | -- |
Total Investments in Securities: | $270,877,895 | $521,964 | $270,355,931 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $279,073,738) | $270,355,931 | |
Fidelity Central Funds (cost $521,964) | 521,964 | |
Total Investment in Securities (cost $279,595,702) | $270,877,895 | |
Receivable for investments sold | 2,444,138 | |
Receivable for fund shares sold | 373,777 | |
Interest receivable | 1,092,067 | |
Distributions receivable from Fidelity Central Funds | 66 | |
Total assets | 274,787,943 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $1,575,019 | |
Delayed delivery | 3,242,420 | |
Payable for fund shares redeemed | 845,585 | |
Distributions payable | 29,357 | |
Accrued management fee | 22,279 | |
Total liabilities | 5,714,660 | |
Net Assets | $269,073,283 | |
Net Assets consist of: | ||
Paid in capital | $278,379,828 | |
Total accumulated earnings (loss) | (9,306,545) | |
Net Assets | $269,073,283 | |
Net Asset Value, offering price and redemption price per share ($269,073,283 ÷ 26,072,979 shares) | $10.32 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $1,946,622 | |
Income from Fidelity Central Funds | 888 | |
Total income | 1,947,510 | |
Expenses | ||
Management fee | $127,904 | |
Independent trustees' fees and expenses | 413 | |
Total expenses before reductions | 128,317 | |
Expense reductions | (81) | |
Total expenses after reductions | 128,236 | |
Net investment income (loss) | 1,819,274 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (461,601) | |
Fidelity Central Funds | 83 | |
Total net realized gain (loss) | (461,518) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (12,414,935) | |
Fidelity Central Funds | (83) | |
TBA sale commitments | 5,403 | |
Total change in net unrealized appreciation (depreciation) | (12,409,615) | |
Net gain (loss) | (12,871,133) | |
Net increase (decrease) in net assets resulting from operations | $(11,051,859) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $1,819,274 | $2,828,240 |
Net realized gain (loss) | (461,518) | 354,770 |
Change in net unrealized appreciation (depreciation) | (12,409,615) | (4,069,918) |
Net increase (decrease) in net assets resulting from operations | (11,051,859) | (886,908) |
Distributions to shareholders | (2,054,093) | (3,718,019) |
Share transactions | ||
Proceeds from sales of shares | 71,913,911 | 141,403,584 |
Reinvestment of distributions | 1,864,208 | 3,460,595 |
Cost of shares redeemed | (32,216,767) | (68,596,747) |
Net increase (decrease) in net assets resulting from share transactions | 41,561,352 | 76,267,432 |
Total increase (decrease) in net assets | 28,455,400 | 71,662,505 |
Net Assets | ||
Beginning of period | 240,617,883 | 168,955,378 |
End of period | $269,073,283 | $240,617,883 |
Other Information | ||
Shares | ||
Sold | 6,771,928 | 12,960,639 |
Issued in reinvestment of distributions | 175,857 | 317,264 |
Redeemed | (3,044,509) | (6,319,183) |
Net increase (decrease) | 3,903,276 | 6,958,720 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Sustainability Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.85 | $11.11 | $10.71 | $10.02 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .076 | .144 | .234 | .307 | .058 |
Net realized and unrealized gain (loss) | (.520) | (.207) | .453 | .680 | .018 |
Total from investment operations | (.444) | (.063) | .687 | .987 | .076 |
Distributions from net investment income | (.078) | (.148) | (.239) | (.295) | (.056) |
Distributions from net realized gain | (.008) | (.049) | (.048) | (.002) | – |
Total distributions | (.086) | (.197) | (.287) | (.297) | (.056) |
Net asset value, end of period | $10.32 | $10.85 | $11.11 | $10.71 | $10.02 |
Total ReturnD,E | (4.12)% | (.56)% | 6.53% | 10.04% | .76% |
Ratios to Average Net AssetsC,F,G | |||||
Expenses before reductions | .10%H | .10% | .10% | .10% | .10%H |
Expenses net of fee waivers, if any | .10%H | .10% | .10% | .10% | .10%H |
Expenses net of all reductions | .10%H | .10% | .10% | .10% | .10%H |
Net investment income (loss) | 1.43%H | 1.32% | 2.17% | 3.03% | 2.92%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $269,073 | $240,618 | $168,955 | $76,897 | $8,474 |
Portfolio turnover rateI | 76%H | 97% | 92% | 89% | 36%J |
A For the period June 19, 2018 (commencement of operations) through August 31, 2018.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Sustainability Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, 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. 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 February 28, 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 market discount 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 | $1,840,902 |
Gross unrealized depreciation | (10,418,381) |
Net unrealized appreciation (depreciation) | $(8,577,479) |
Tax cost | $279,455,374 |
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.
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. 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 Sustainability Bond Index Fund | 50,158,688 | 45,650,725 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .10% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. 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 $81.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Sustainability Bond Index Fund | .10% | |||
Actual | $1,000.00 | $958.80 | $.49 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.50 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Sustainability Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high-quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in October 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track and an appropriate peer group of funds with similar objectives (peer group). The Board also periodically considers the fund's tracking error versus its benchmark index.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to a fund's benchmark index, over appropriate time periods, taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and its benchmark index and peer group for the most recent one-year period. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.The Board considered that effective August 1, 2019, the fund's management fee rate was increased from 0.09% to 0.10%, but that the fund no longer paid operating expenses under separate agreements. The Board considered that the chart below reflects the fund's higher management fee rate for 2019, as if the higher fee rate were in effect for the entire year.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.
SBI-I-SANN-0422
1.9887302.103
Fidelity Flex® Funds
Fidelity Flex® Conservative Income Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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You may also call 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants) to request a free copy of the proxy voting guidelines.
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This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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)
Effective Maturity Diversification
Days | % of Fund's investments 02/28/2022 |
0 - 30 | 28.1% |
31 - 90 | 11.7% |
91 - 180 | 14.8% |
181 - 397 | 18.7% |
> 397 | 26.7% |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 63.6% | |
U.S. Government and U.S. Government Agency Obligations | 6.2% | |
Other Investments | 2.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 27.7% |
* Foreign investments - 25.6%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 63.6% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 1.3% | |||
AT&T, Inc.: | |||
2.625% 12/1/22 | $500,000 | $503,350 | |
3% 6/30/22 | 1,500,000 | 1,504,550 | |
NTT Finance Corp. 0.373% 3/3/23 (a) | 1,000,000 | 989,335 | |
Verizon Communications, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (b)(c) | 262,000 | 262,665 | |
3,259,900 | |||
Entertainment - 0.4% | |||
The Walt Disney Co. 3% 9/15/22 | 1,100,000 | 1,111,694 | |
Media - 0.8% | |||
TWDC Enterprises 18 Corp.: | |||
3 month U.S. LIBOR + 0.390% 0.5701% 3/4/22 (b)(c) | 1,550,000 | 1,550,038 | |
2.35% 12/1/22 | 500,000 | 504,137 | |
2,054,175 | |||
Wireless Telecommunication Services - 0.3% | |||
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (b)(c) | 750,000 | 750,119 | |
TOTAL COMMUNICATION SERVICES | 7,175,888 | ||
CONSUMER DISCRETIONARY - 4.2% | |||
Automobiles - 3.7% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 0.6296% 2/22/23 (b)(c) | 339,000 | 339,188 | |
0.4% 10/21/22 | 231,000 | 230,143 | |
2.2% 6/27/22 | 1,000,000 | 1,004,091 | |
BMV Finance NV 2.25% 8/12/22 (a) | 1,050,000 | 1,056,383 | |
BMW U.S. Capital LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5792% 4/1/24 (a)(b)(c) | 624,000 | 627,529 | |
2.7% 4/6/22 (a) | 793,000 | 794,232 | |
3.8% 4/6/23 (a) | 1,000,000 | 1,023,500 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8093% 3/8/24 (b)(c) | 432,000 | 432,957 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) | 400,000 | 403,746 | |
Volkswagen Group of America Finance LLC: | |||
0.75% 11/23/22 (a) | 1,100,000 | 1,092,792 | |
2.7% 9/26/22 (a) | 1,500,000 | 1,508,821 | |
2.9% 5/13/22 (a) | 900,000 | 903,273 | |
9,416,655 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.420% 0.47% 2/14/24 (b)(c) | 621,000 | 621,478 | |
Textiles, Apparel & Luxury Goods - 0.2% | |||
VF Corp. 2.05% 4/23/22 | 598,000 | 599,046 | |
TOTAL CONSUMER DISCRETIONARY | 10,637,179 | ||
CONSUMER STAPLES - 0.6% | |||
Food & Staples Retailing - 0.0% | |||
7-Eleven, Inc. 0.625% 2/10/23 (a) | 72,000 | 71,424 | |
Tobacco - 0.6% | |||
BAT Capital Corp. 2.764% 8/15/22 | 1,500,000 | 1,506,304 | |
TOTAL CONSUMER STAPLES | 1,577,728 | ||
ENERGY - 2.2% | |||
Oil, Gas & Consumable Fuels - 2.2% | |||
Chevron Corp. 3 month U.S. LIBOR + 0.900% 1.2774% 5/11/23 (b)(c) | 400,000 | 403,865 | |
Enbridge, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 0.68% 2/16/24 (b)(c) | 616,000 | 617,577 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (b)(c) | 257,000 | 256,743 | |
2.9% 7/15/22 | 1,300,000 | 1,306,496 | |
Exxon Mobil Corp. 3 month U.S. LIBOR + 0.330% 0.7886% 8/16/22 (b)(c) | 350,000 | 350,605 | |
Kinder Morgan Energy Partners LP 3.95% 9/1/22 | 500,000 | 503,077 | |
Phillips 66 Co. 4.3% 4/1/22 | 498,000 | 499,328 | |
The Williams Companies, Inc. 3.35% 8/15/22 | 1,000,000 | 1,004,701 | |
TransCanada PipeLines Ltd. 2.5% 8/1/22 | 500,000 | 502,358 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 61,000 | 60,768 | |
5,505,518 | |||
FINANCIALS - 38.9% | |||
Banks - 23.0% | |||
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 0.7093% 2/4/25 (b)(c) | 1,000,000 | 1,000,690 | |
0.523% 6/14/24 (b) | 600,000 | 589,091 | |
2.816% 7/21/23 (b) | 196,000 | 197,013 | |
2.881% 4/24/23 (b) | 500,000 | 500,967 | |
3.004% 12/20/23 (b) | 1,000,000 | 1,008,887 | |
3.3% 1/11/23 | 200,000 | 203,361 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.570% 0.7898% 3/26/22 (b)(c) | 300,000 | 300,138 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3142% 9/15/23 (b)(c) | 650,000 | 649,142 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3189% 4/14/23 (b)(c) | 1,100,000 | 1,098,114 | |
2.9% 3/26/22 | 400,000 | 400,607 | |
Bank of Nova Scotia: | |||
3 month U.S. LIBOR + 0.640% 0.8276% 3/7/22 (b)(c) | 500,000 | 500,062 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3092% 9/15/23 (b)(c) | 850,000 | 849,208 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4294% 7/31/24 (b)(c) | 700,000 | 699,146 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4939% 4/15/24 (b)(c) | 650,000 | 650,765 | |
Banque Federative du Credit Mutuel SA: | |||
3 month U.S. LIBOR + 0.730% 0.984% 7/20/22 (a)(b)(c) | 250,000 | 250,491 | |
2.125% 11/21/22 (a) | 1,500,000 | 1,507,647 | |
Barclays Bank PLC 1.7% 5/12/22 | 700,000 | 700,605 | |
BNP Paribas SA 3.5% 3/1/23 (a) | 1,400,000 | 1,422,370 | |
BPCE SA: | |||
3 month U.S. LIBOR + 1.220% 1.6996% 5/22/22 (a)(b)(c) | 500,000 | 501,131 | |
3 month U.S. LIBOR + 1.240% 1.4409% 9/12/23 (a)(b)(c) | 400,000 | 404,939 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6189% 1/14/25 (a)(b)(c) | 506,000 | 505,271 | |
3% 5/22/22 (a) | 1,450,000 | 1,455,278 | |
Canadian Imperial Bank of Commerce: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3891% 6/22/23 (b)(c) | 1,432,000 | 1,430,840 | |
2.606% 7/22/23 (b) | 800,000 | 802,991 | |
Capital One NA 3 month U.S. LIBOR + 0.820% 1.159% 8/8/22 (b)(c) | 300,000 | 300,595 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 0.960% 1.2177% 4/25/22 (b)(c) | 800,000 | 799,886 | |
3 month U.S. LIBOR + 1.430% 1.6009% 9/1/23 (b)(c) | 250,000 | 251,238 | |
2.7% 10/27/22 | 753,000 | 759,343 | |
2.876% 7/24/23 (b) | 800,000 | 804,382 | |
Credit Agricole SA 3.75% 4/24/23 (a) | 1,000,000 | 1,022,132 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 1,350,000 | 1,367,495 | |
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (a)(b)(c) | 610,000 | 609,698 | |
First Republic Bank 2.5% 6/6/22 | 720,000 | 721,640 | |
HSBC Holdings PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (b)(c) | 700,000 | 700,706 | |
3.262% 3/13/23 (b) | 2,000,000 | 2,001,041 | |
3.95% 5/18/24 (b) | 400,000 | 408,849 | |
ING Groep NV: | |||
3 month U.S. LIBOR + 1.150% 1.3698% 3/29/22 (b)(c) | 2,250,000 | 2,251,616 | |
3.15% 3/29/22 | 315,000 | 315,574 | |
Intesa Sanpaolo SpA 3.125% 7/14/22 (a) | 1,750,000 | 1,759,001 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 1.230% 1.4889% 10/24/23 (b)(c) | 400,000 | 402,323 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6292% 3/16/24 (b)(c) | 700,000 | 701,093 | |
0.697% 3/16/24 (b) | 700,000 | 691,191 | |
2.776% 4/25/23 (b) | 900,000 | 901,587 | |
3.207% 4/1/23 (b) | 1,100,000 | 1,101,621 | |
3.559% 4/23/24 (b) | 700,000 | 713,157 | |
3.797% 7/23/24 (b) | 300,000 | 307,177 | |
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (b)(c) | 400,000 | 398,567 | |
Lloyds Banking Group PLC: | |||
1.326% 6/15/23 (b) | 325,000 | 324,594 | |
2.858% 3/17/23 (b) | 600,000 | 600,343 | |
2.907% 11/7/23 (b) | 600,000 | 604,226 | |
M&T Bank Corp. 3 month U.S. LIBOR + 0.680% 0.9471% 7/26/23 (b)(c) | 300,000 | 301,881 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.700% 0.8876% 3/7/22 (b)(c) | 250,000 | 250,019 | |
3 month U.S. LIBOR + 0.740% 0.9133% 3/2/23 (b)(c) | 500,000 | 502,429 | |
3 month U.S. LIBOR + 0.860% 1.1271% 7/26/23 (b)(c) | 400,000 | 403,165 | |
2.623% 7/18/22 | 1,450,000 | 1,459,045 | |
2.665% 7/25/22 | 500,000 | 503,272 | |
3.218% 3/7/22 | 500,000 | 500,176 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.840% 1.0813% 7/16/23 (b)(c) | 500,000 | 500,970 | |
3 month U.S. LIBOR + 0.850% 1.0509% 9/13/23 (b)(c) | 800,000 | 802,299 | |
3 month U.S. LIBOR + 0.880% 1.0809% 9/11/22 (b)(c) | 200,000 | 200,687 | |
2.721% 7/16/23 (b) | 1,050,000 | 1,054,478 | |
3.549% 3/5/23 | 500,000 | 510,154 | |
Morgan Stanley Domestic Hold 2.95% 8/24/22 | 2,301,000 | 2,317,965 | |
NatWest Markets PLC 3.625% 9/29/22 (a) | 2,050,000 | 2,078,524 | |
Rabobank Nederland 3.95% 11/9/22 | 750,000 | 763,792 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (b)(c) | 950,000 | 950,258 | |
Sumitomo Mitsui Banking Corp. 3.2% 7/18/22 | 800,000 | 806,435 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.780% 1.0183% 7/12/22 (b)(c) | 500,000 | 501,332 | |
3 month U.S. LIBOR + 0.860% 1.108% 7/19/23 (b)(c) | 500,000 | 504,349 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 0.7009% 12/1/22 (b)(c) | 250,000 | 250,607 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2693% 6/2/23 (b)(c) | 750,000 | 748,671 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4043% 3/4/24 (b)(c) | 700,000 | 698,516 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (b)(c) | 1,200,000 | 1,202,297 | |
0.25% 1/6/23 | 600,000 | 595,053 | |
Truist Bank: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2489% 1/17/24 (b)(c) | 850,000 | 848,948 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.730% 0.7793% 3/9/23 (b)(c) | 523,000 | 525,404 | |
58,228,555 | |||
Capital Markets - 7.7% | |||
Charles Schwab Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5492% 3/18/24 (b)(c) | 500,000 | 500,774 | |
Credit Suisse AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4295% 8/9/23 (b)(c) | 600,000 | 598,955 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4396% 2/2/24 (b)(c) | 1,000,000 | 998,878 | |
2.8% 4/8/22 | 250,000 | 250,565 | |
Credit Suisse Group AG 3.8% 6/9/23 | 500,000 | 511,028 | |
Deutsche Bank AG New York Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5496% 11/8/23 (b)(c) | 1,150,000 | 1,147,612 | |
3.3% 11/16/22 | 672,000 | 679,172 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.750% 1.2139% 2/23/23 (b)(c) | 1,297,000 | 1,301,536 | |
3 month U.S. LIBOR + 1.000% 1.2589% 7/24/23 (b)(c) | 150,000 | 150,330 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/8/23 (b)(c) | 675,000 | 674,486 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6693% 12/6/23 (b)(c) | 600,000 | 600,691 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7495% 1/24/25 (b)(c) | 1,000,000 | 1,000,760 | |
0.627% 11/17/23 (b) | 900,000 | 892,583 | |
2.905% 7/24/23 (b) | 500,000 | 502,591 | |
2.908% 6/5/23 (b) | 850,000 | 853,344 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 500,000 | 493,978 | |
Morgan Stanley: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6743% 1/24/25 (b)(c) | 1,000,000 | 1,001,020 | |
0.529% 1/25/24 (b) | 337,000 | 333,068 | |
0.56% 11/10/23 (b) | 410,000 | 406,795 | |
2.75% 5/19/22 | 800,000 | 803,163 | |
3.737% 4/24/24 (b) | 400,000 | 407,460 | |
4.875% 11/1/22 | 500,000 | 511,367 | |
NASDAQ, Inc. 0.445% 12/21/22 | 1,000,000 | 993,651 | |
UBS AG London Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/1/23 (a)(b)(c) | 1,250,000 | 1,250,316 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.4095% 2/9/24 (a)(b)(c) | 650,000 | 648,838 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5194% 1/13/25 (a)(b)(c) | 750,000 | 749,715 | |
1.75% 4/21/22 (a) | 350,000 | 350,246 | |
UBS Group AG 3 month U.S. LIBOR + 0.950% 1.4564% 8/15/23 (a)(b)(c) | 800,000 | 802,545 | |
19,415,467 | |||
Consumer Finance - 3.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (b)(c) | 651,000 | 649,249 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.620% 1.1% 5/20/22 (b)(c) | 1,350,000 | 1,350,695 | |
2.75% 5/20/22 | 650,000 | 651,586 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (b) | 600,000 | 590,968 | |
3.2% 1/30/23 | 1,500,000 | 1,521,029 | |
John Deere Capital Corp. 2.75% 3/15/22 | 100,000 | 100,066 | |
Toyota Motor Credit Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (b)(c) | 550,000 | 550,030 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.3691% 4/6/23 (b)(c) | 900,000 | 899,793 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 6/13/23 (b)(c) | 1,000,000 | 1,000,000 | |
0.45% 7/22/22 | 342,000 | 341,283 | |
1.15% 5/26/22 | 400,000 | 400,084 | |
8,054,783 | |||
Diversified Financial Services - 0.8% | |||
Athene Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (a)(b)(c) | 800,000 | 800,808 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.710% 0.7641% 1/7/25 (a)(b)(c) | 1,150,000 | 1,149,840 | |
1,950,648 | |||
Insurance - 4.2% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 300,000 | 302,791 | |
Aon Corp. 2.2% 11/15/22 | 1,300,000 | 1,307,010 | |
Equitable Financial Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4383% 4/6/23 (a)(b)(c) | 700,000 | 699,922 | |
Marsh & McLennan Companies, Inc. 3.3% 3/14/23 | 122,000 | 123,905 | |
Metropolitan Life Global Funding I: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.619% 1/13/23 (a)(b)(c) | 1,142,000 | 1,145,506 | |
3.875% 4/11/22 (a) | 150,000 | 150,483 | |
Metropolitan Tower Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5989% 1/17/23 (a)(b)(c) | 2,000,000 | 2,006,654 | |
0.55% 7/13/22 (a) | 450,000 | 449,571 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 0.5113% 1/10/23 (a)(b)(c) | 279,000 | 279,232 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2696% 2/2/23 (a)(b)(c) | 650,000 | 649,916 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.310% 0.3589% 4/26/24 (a)(b)(c) | 550,000 | 550,513 | |
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4281% 4/12/24 (a)(b)(c) | 700,000 | 700,299 | |
Principal Financial Group, Inc. 3.3% 9/15/22 | 1,000,000 | 1,011,201 | |
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (a)(b)(c) | 438,000 | 438,842 | |
Protective Life Global Funding 0.502% 4/12/23 (a) | 1,000,000 | 987,382 | |
10,803,227 | |||
TOTAL FINANCIALS | 98,452,680 | ||
HEALTH CARE - 4.2% | |||
Biotechnology - 1.1% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.1296% 11/21/22 (b)(c) | 350,000 | 351,264 | |
2.3% 11/21/22 | 400,000 | 402,466 | |
2.9% 11/6/22 | 1,250,000 | 1,262,375 | |
3.25% 10/1/22 | 700,000 | 704,662 | |
2,720,767 | |||
Health Care Equipment & Supplies - 0.6% | |||
Boston Scientific Corp. 3.375% 5/15/22 | 1,500,000 | 1,507,571 | |
Health Care Providers & Services - 1.7% | |||
Anthem, Inc.: | |||
2.95% 12/1/22 | 1,000,000 | 1,011,357 | |
3.3% 1/15/23 | 1,000,000 | 1,015,233 | |
CVS Health Corp.: | |||
2.75% 12/1/22 | 1,000,000 | 1,007,358 | |
3.5% 7/20/22 | 1,300,000 | 1,306,330 | |
4,340,278 | |||
Life Sciences Tools & Services - 0.1% | |||
Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.5789% 10/18/24 (b)(c) | 324,000 | 324,239 | |
Pharmaceuticals - 0.7% | |||
AstraZeneca PLC 2.375% 6/12/22 | 500,000 | 501,520 | |
Bristol-Myers Squibb Co. 2.6% 5/16/22 | 400,000 | 401,517 | |
Viatris, Inc. 1.125% 6/22/22 | 700,000 | 700,297 | |
1,603,334 | |||
TOTAL HEALTH CARE | 10,496,189 | ||
INDUSTRIALS - 3.2% | |||
Aerospace & Defense - 0.1% | |||
The Boeing Co. 1.167% 2/4/23 | 274,000 | 272,889 | |
Industrial Conglomerates - 1.3% | |||
Honeywell International, Inc.: | |||
3 month U.S. LIBOR + 0.370% 0.709% 8/8/22 (b)(c) | 720,000 | 720,951 | |
0.483% 8/19/22 | 214,000 | 213,723 | |
Roper Technologies, Inc. 3.125% 11/15/22 | 1,000,000 | 1,009,287 | |
Siemens Financieringsmaatschappij NV: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/11/24 (a)(b)(c) | 500,000 | 500,894 | |
0.4% 3/11/23 (a) | 902,000 | 891,093 | |
3,335,948 | |||
Machinery - 1.3% | |||
Caterpillar Financial Services Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (b)(c) | 740,000 | 739,735 | |
0.25% 3/1/23 | 500,000 | 494,817 | |
0.95% 5/13/22 | 400,000 | 400,152 | |
1.9% 9/6/22 | 200,000 | 200,845 | |
Daimler Trucks Finance North America LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5493% 6/14/23 (a)(b)(c) | 700,000 | 699,834 | |
1.125% 12/14/23 (a) | 600,000 | 591,109 | |
3,126,492 | |||
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
3 month U.S. LIBOR + 0.350% 0.5528% 12/15/22 (b)(c) | 750,000 | 749,579 | |
2.625% 7/1/22 | 500,000 | 501,216 | |
1,250,795 | |||
TOTAL INDUSTRIALS | 7,986,124 | ||
INFORMATION TECHNOLOGY - 1.3% | |||
IT Services - 0.1% | |||
IBM Corp. 2.85% 5/13/22 | 200,000 | 200,900 | |
Semiconductors & Semiconductor Equipment - 0.1% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (b)(c) | 274,000 | 273,948 | |
Software - 0.8% | |||
Oracle Corp.: | |||
2.5% 5/15/22 | 1,000,000 | 1,001,072 | |
2.5% 10/15/22 | 1,000,000 | 1,007,376 | |
2,008,448 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 750,000 | 760,931 | |
TOTAL INFORMATION TECHNOLOGY | 3,244,227 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 46,000 | 45,851 | |
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Kimco Realty Corp. 3.4% 11/1/22 | 1,557,000 | 1,575,322 | |
Simon Property Group LP U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.4794% 1/11/24 (b)(c) | 511,000 | 511,447 | |
2,086,769 | |||
UTILITIES - 5.4% | |||
Electric Utilities - 4.9% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 438,000 | 437,721 | |
Duke Energy Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (b)(c) | 341,000 | 340,212 | |
3.05% 8/15/22 | 1,500,000 | 1,506,331 | |
Entergy Corp. 4% 7/15/22 | 1,000,000 | 1,005,693 | |
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2995% 5/10/23 (b)(c) | 399,000 | 399,000 | |
ITC Holdings Corp. 2.7% 11/15/22 | 1,000,000 | 1,008,378 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (b)(c) | 900,000 | 899,034 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4496% 11/3/23 (b)(c) | 900,000 | 900,005 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (b)(c) | 357,000 | 357,790 | |
0.65% 3/1/23 | 800,000 | 792,301 | |
PPL Electric Utilities Corp.: | |||
3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 145,000 | 144,612 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3793% 6/24/24 (b)(c) | 726,000 | 723,461 | |
Southern California Edison Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (b)(c) | 1,400,000 | 1,401,067 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6892% 4/3/23 (b)(c) | 500,000 | 500,128 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.830% 0.8792% 4/1/24 (b)(c) | 500,000 | 500,965 | |
Southern Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (b)(c) | 444,000 | 443,622 | |
Virginia Electric & Power Co. 3.45% 9/1/22 | 1,000,000 | 1,005,782 | |
12,366,102 | |||
Gas Utilities - 0.1% | |||
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.8109% 3/11/23 (b)(c) | 324,000 | 324,014 | |
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5483% 9/14/23 (b)(c) | 72,000 | 71,842 | |
395,856 | |||
Multi-Utilities - 0.4% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 325,000 | 325,060 | |
Dominion Energy, Inc.: | |||
3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (b)(c) | 186,000 | 186,017 | |
2.75% 9/15/22 | 500,000 | 502,399 | |
1,013,476 | |||
TOTAL UTILITIES | 13,775,434 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $161,418,576) | 160,983,587 | ||
U.S. Government and Government Agency Obligations - 6.2% | |||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (b)(c) | 400,000 | 400,232 | |
U.S. Treasury Obligations - 6.0% | |||
U.S. Treasury Notes: | |||
0.125% 5/31/22 | $1,813,000 | $1,811,428 | |
0.125% 6/30/22 | 2,539,000 | 2,535,653 | |
0.125% 12/31/22 | 4,500,000 | 4,467,306 | |
0.25% 6/15/23 | 4,400,000 | 4,345,000 | |
0.375% 10/31/23 | 2,185,000 | 2,147,787 | |
TOTAL U.S. TREASURY OBLIGATIONS | 15,307,174 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $15,831,626) | 15,707,406 | ||
Bank Notes - 2.5% | |||
Capital One NA 2.15% 9/6/22 | 1,373,000 | 1,380,711 | |
Citizens Bank NA 2.65% 5/26/22 | 1,000,000 | 1,002,864 | |
Huntington National Bank 2.5% 8/7/22 | 1,100,000 | 1,105,861 | |
MUFG Union Bank NA 3.15% 4/1/22 | 850,000 | 850,000 | |
PNC Bank NA 2.875% 6/29/22 | 1,000,000 | 1,004,535 | |
Truist Bank 2.8% 5/17/22 | 1,100,000 | 1,102,823 | |
TOTAL BANK NOTES | |||
(Cost $6,455,495) | 6,446,794 | ||
Certificates of Deposit - 5.6% | |||
Barclays Bank PLC yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 2/2/23 (b)(c) | 1,250,000 | 1,249,612 | |
0.28% 5/17/22 | 800,000 | 799,610 | |
Canadian Imperial Bank of Commerce yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.170% 0.22% 8/19/22 (b)(c) | 1,200,000 | 1,199,960 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 3/3/23 (b)(c) | 1,200,000 | 1,199,731 | |
Credit Suisse AG yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 3/20/23 (b)(c) | 1,200,000 | 1,199,142 | |
Lloyds Bank Corporate Markets PLC yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/13/23 (b)(c) | 1,200,000 | 1,199,569 | |
Mizuho Corporate Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 7/25/22 (b)(c) | 1,200,000 | 1,199,990 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 1,200,000 | 1,199,827 | |
Sumitomo Mitsui Banking Corp. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 8/4/22 (b)(c) | 1,200,000 | 1,199,953 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 1,200,000 | 1,199,654 | |
Sumitomo Mitsui Trust Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 8/1/22 (b)(c) | 1,200,000 | 1,199,959 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.190% 0.24% 8/19/22 (b)(c) | 1,200,000 | 1,199,920 | |
TOTAL CERTIFICATES OF DEPOSIT | |||
(Cost $14,050,000) | 14,046,927 | ||
Commercial Paper - 10.6% | |||
American Electric Power Co., Inc. 0.8% 4/27/22 | 1,200,000 | 1,198,768 | |
AT&T, Inc. 0.53% 6/14/22 | 1,200,000 | 1,196,997 | |
Bank of Montreal yankee 0.22% 8/9/22 (b)(c) | 1,200,000 | 1,200,000 | |
Bank of Nova Scotia yankee 0.34% 6/15/22 | 1,200,000 | 1,198,092 | |
Cigna Corp. 0.8% 4/25/22 | 1,000,000 | 999,031 | |
Enel Finance America LLC: | |||
yankee: | |||
0.37% 7/11/22 | 800,000 | 797,302 | |
0.4% 9/22/22 | 900,000 | 894,052 | |
0.63% 7/14/22 | 1,000,000 | 996,513 | |
0.4% 8/11/22 | 700,000 | 696,779 | |
General Motors Financial Co., Inc.: | |||
0.4% 3/28/22 | 300,000 | 299,875 | |
0.45% 3/22/22 | 300,000 | 299,909 | |
HSBC U.S.A., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 2/1/23 (b)(c) | 1,250,000 | 1,249,052 | |
yankee 0.35% 5/13/22 | 750,000 | 749,194 | |
0.33% 9/13/22 | 800,000 | 795,456 | |
0.33% 10/4/22 | 900,000 | 894,087 | |
National Bank of Canada yankee 0.22% 8/30/22 (b)(c) | 1,200,000 | 1,199,872 | |
NatWest Markets PLC yankee: | |||
0.3% 6/21/22 | 800,000 | 798,021 | |
0.35% 4/19/22 | 700,000 | 699,482 | |
0.6% 7/26/22 | 1,000,000 | 996,419 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 8/22/22 (b)(c) | 1,000,000 | 1,000,000 | |
Sempra Energy 1% 5/23/22 | 1,200,000 | 1,197,782 | |
Societe Generale yankee 0.25% 8/31/22 (b)(c) | 1,200,000 | 1,199,933 | |
Thermo Fisher Scientific, Inc. 0.51% 6/1/22 | 1,000,000 | 997,944 | |
Toyota Motor Credit Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.170% 0.22% 8/9/22 (b)(c) | 1,000,000 | 999,982 | |
UBS AG London Branch yankee: | |||
0.35% 6/15/22 | 1,200,000 | 1,197,871 | |
0.45% 9/7/22 | 1,500,000 | 1,493,641 | |
Viatris, Inc.: | |||
0.68% 4/26/22 | 600,000 | 599,208 | |
0.71% 3/22/22 | 1,000,000 | 999,666 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $26,870,000) | 26,844,928 | ||
Shares | Value | ||
Money Market Funds - 11.0% | |||
Fidelity Cash Central Fund 0.07% (d) | |||
(Cost $27,715,059) | 27,709,517 | 27,715,059 | |
TOTAL INVESTMENT IN SECURITIES - 99.5% | |||
(Cost $252,340,756) | 251,744,701 | ||
NET OTHER ASSETS (LIABILITIES) - 0.5% | 1,327,233 | ||
NET ASSETS - 100% | $253,071,934 |
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 $36,560,901 or 14.4% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 0.07% | $23,844,108 | $83,430,254 | $79,559,303 | $10,320 | $-- | $-- | $27,715,059 | 0.1% |
Total | $23,844,108 | $83,430,254 | $79,559,303 | $10,320 | $-- | $-- | $27,715,059 |
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 February 28, 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 | $160,983,587 | $-- | $160,983,587 | $-- |
U.S. Government and Government Agency Obligations | 15,707,406 | -- | 15,707,406 | -- |
Bank Notes | 6,446,794 | -- | 6,446,794 | -- |
Certificates of Deposit | 14,046,927 | -- | 14,046,927 | -- |
Commercial Paper | 26,844,928 | -- | 26,844,928 | -- |
Money Market Funds | 27,715,059 | 27,715,059 | -- | -- |
Total Investments in Securities: | $251,744,701 | $27,715,059 | $224,029,642 | $-- |
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 | 74.4% |
Canada | 7.8% |
United Kingdom | 6.8% |
Japan | 3.8% |
France | 3.0% |
Netherlands | 2.2% |
Others (Individually Less Than 1%) | 2.0% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $224,625,697) | $224,029,642 | |
Fidelity Central Funds (cost $27,715,059) | 27,715,059 | |
Total Investment in Securities (cost $252,340,756) | $251,744,701 | |
Cash | 4,668 | |
Receivable for fund shares sold | 1,338,623 | |
Interest receivable | 790,322 | |
Distributions receivable from Fidelity Central Funds | 1,754 | |
Total assets | 253,880,068 | |
Liabilities | ||
Payable for fund shares redeemed | $808,086 | |
Distributions payable | 48 | |
Total liabilities | 808,134 | |
Net Assets | $253,071,934 | |
Net Assets consist of: | ||
Paid in capital | $253,674,669 | |
Total accumulated earnings (loss) | (602,735) | |
Net Assets | $253,071,934 | |
Net Asset Value, offering price and redemption price per share ($253,071,934 ÷ 25,324,490 shares) | $9.99 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $442,480 | |
Income from Fidelity Central Funds | 10,320 | |
Total income | 452,800 | |
Expenses | ||
Independent trustees' fees and expenses | $365 | |
Total expenses before reductions | 365 | |
Expense reductions | (76) | |
Total expenses after reductions | 289 | |
Net investment income (loss) | 452,511 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 4,129 | |
Total net realized gain (loss) | 4,129 | |
Change in net unrealized appreciation (depreciation) on investment securities | (813,594) | |
Net gain (loss) | (809,465) | |
Net increase (decrease) in net assets resulting from operations | $(356,954) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $452,511 | $868,131 |
Net realized gain (loss) | 4,129 | 18,535 |
Change in net unrealized appreciation (depreciation) | (813,594) | (185,239) |
Net increase (decrease) in net assets resulting from operations | (356,954) | 701,427 |
Distributions to shareholders | (475,801) | (894,244) |
Share transactions | ||
Proceeds from sales of shares | 81,166,074 | 147,570,342 |
Reinvestment of distributions | 475,432 | 893,334 |
Cost of shares redeemed | (40,603,145) | (58,711,655) |
Net increase (decrease) in net assets resulting from share transactions | 41,038,361 | 89,752,021 |
Total increase (decrease) in net assets | 40,205,606 | 89,559,204 |
Net Assets | ||
Beginning of period | 212,866,328 | 123,307,124 |
End of period | $253,071,934 | $212,866,328 |
Other Information | ||
Shares | ||
Sold | 8,106,298 | 14,711,509 |
Issued in reinvestment of distributions | 47,515 | 89,120 |
Redeemed | (4,056,060) | (5,853,071) |
Net increase (decrease) | 4,097,753 | 8,947,558 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Flex Conservative Income Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||||
February 28, February 28, | 2022 | 2021 | 2020 | 2019 | 2018 A |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.03 | $10.04 | $10.01 | $10.02 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .019 | .053 | .169 | .275 | .059 |
Net realized and unrealized gain (loss) | (.039) | (.006) | .039 | .002 | .007 |
Total from investment operations | (.020) | .047 | .208 | .277 | .066 |
Distributions from net investment income | (.019) | (.055) | (.178) | (.287) | (.046) |
Distributions from net realized gain | (.001) | (.002) | – | – | – |
Total distributions | (.020) | (.057) | (.178) | (.287) | (.046) |
Net asset value, end of period | $9.99 | $10.03 | $10.04 | $10.01 | $10.02 |
Total ReturnD,E | (.19)% | .47% | 2.10% | 2.80% | .66% |
Ratios to Average Net AssetsC,F,G | |||||
Expenses before reductionsH | - %I | -% | -% | -% | - %I |
Expenses net of fee waivers, if anyH | - %I | -% | -% | -% | - %I |
Expenses net of all reductionsH | - %I | -% | -% | -% | - %I |
Net investment income (loss) | .39%I | .53% | 1.69% | 2.76% | 2.32%I |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $253,072 | $212,866 | $123,307 | $75,592 | $50,887 |
Portfolio turnover rateJ | 61%I | 40% | 44% | 12% | 10%K |
A For the period May 31, 2018 (commencement of operations) through August 31, 2018.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Amount represents less than .005%.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Flex Conservative Income Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund is available only to certain fee-based accounts and advisory programs offered by Fidelity.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, U.S. government and government agency obligations, commercial paper and certificates of deposit 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 February 28, 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. 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.
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 | $52,702 |
Gross unrealized depreciation | (648,757) |
Net unrealized appreciation (depreciation) | $(596,055) |
Tax cost | $ 252,340,756 |
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.
New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other IBOR-based reference rates. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not expect the adoption of ASU 2020-04 to have a material impact on the Fund's financial statements.
4. 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 Flex Conservative Income Bond Fund | 42,861,760 | 40,017,332 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. 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 $76.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Flex Conservative Income Bond Fund | - %-C | |||
Actual | $1,000.00 | $998.10 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Flex Conservative Income Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. The Board did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is available exclusively to certain fee-based accounts and advisor programs offered by Fidelity, including certain employer-sponsored plans and discretionary investment programs. The Board noted that there was a portfolio management change for the fund in October 2020.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board noted that the fund is available exclusively through certain Fidelity fee-based accounts and advisory programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of Fidelity fee-based account and advisory program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
ZCI-SANN-0422
1.9887610.103
Fidelity® Series Corporate Bond Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 3.2% | |
AAA | 0.3% | |
AA | 0.5% | |
A | 15.4% | |
BBB | 63.7% | |
BB and Below | 11.8% | |
Short-Term Investments and Net Other Assets | 5.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 91.0% | |
U.S. Government and U.S. Government Agency Obligations | 3.2% | |
Other Investments | 0.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.1% |
* Foreign investments - 21.1%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 91.0% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 7.7% | |||
Diversified Telecommunication Services - 2.5% | |||
AT&T, Inc.: | |||
2.25% 2/1/32 | $650,000 | $599,867 | |
3.65% 6/1/51 | 2,300,000 | 2,169,743 | |
3.65% 9/15/59 | 223,000 | 202,299 | |
3.8% 12/1/57 | 1,354,000 | 1,270,327 | |
4.35% 3/1/29 | 900,000 | 978,207 | |
4.9% 6/15/42 | 250,000 | 276,288 | |
Level 3 Financing, Inc. 3.4% 3/1/27 (a) | 670,000 | 659,025 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 312,000 | 301,338 | |
2.55% 3/21/31 | 289,000 | 277,413 | |
3.15% 3/22/30 | 47,000 | 47,155 | |
3.7% 3/22/61 | 1,300,000 | 1,239,098 | |
4% 3/22/50 | 1,500,000 | 1,539,322 | |
4.016% 12/3/29 | 1,250,000 | 1,341,444 | |
10,901,526 | |||
Entertainment - 0.4% | |||
The Walt Disney Co.: | |||
3.8% 3/22/30 | 600,000 | 643,049 | |
4.7% 3/23/50 | 700,000 | 827,811 | |
4.75% 9/15/44 | 320,000 | 370,950 | |
1,841,810 | |||
Interactive Media & Services - 0.1% | |||
Tencent Holdings Ltd.: | |||
2.88% 4/22/31 (a) | 320,000 | 307,501 | |
3.575% 4/11/26 (a) | 260,000 | 269,636 | |
577,137 | |||
Media - 2.7% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
5.05% 3/30/29 | 1,600,000 | 1,739,186 | |
5.75% 4/1/48 | 1,950,000 | 2,155,477 | |
Comcast Corp.: | |||
2.937% 11/1/56 (a) | 679,000 | 571,496 | |
2.987% 11/1/63 (a) | 2,211,000 | 1,840,863 | |
COX Communications, Inc.: | |||
1.8% 10/1/30 (a) | 740,000 | 654,285 | |
3.15% 8/15/24 (a) | 35,000 | 35,696 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 1,583,000 | 1,591,721 | |
3.95% 3/20/28 | 600,000 | 618,888 | |
Fox Corp.: | |||
4.709% 1/25/29 | 4,000 | 4,366 | |
5.476% 1/25/39 | 504,000 | 587,606 | |
5.576% 1/25/49 | 3,000 | 3,609 | |
Time Warner Cable LLC: | |||
5.875% 11/15/40 | 1,200,000 | 1,342,731 | |
7.3% 7/1/38 | 500,000 | 625,847 | |
11,771,771 | |||
Wireless Telecommunication Services - 2.0% | |||
Rogers Communications, Inc. 5% 3/15/44 | 270,000 | 292,693 | |
T-Mobile U.S.A., Inc.: | |||
2.4% 3/15/29 (a) | 381,000 | 362,672 | |
2.7% 3/15/32 (a) | 1,382,000 | 1,299,440 | |
3.75% 4/15/27 | 3,950,000 | 4,101,282 | |
Vodafone Group PLC: | |||
4.375% 5/30/28 | 700,000 | 757,164 | |
5.25% 5/30/48 | 1,500,000 | 1,719,399 | |
8,532,650 | |||
TOTAL COMMUNICATION SERVICES | 33,624,894 | ||
CONSUMER DISCRETIONARY - 5.0% | |||
Automobiles - 1.7% | |||
Ford Motor Co. 3.25% 2/12/32 | 1,400,000 | 1,320,382 | |
General Motors Co. 5.95% 4/1/49 | 1,300,000 | 1,553,422 | |
General Motors Financial Co., Inc. 3.1% 1/12/32 | 1,400,000 | 1,336,189 | |
Volkswagen Group of America Finance LLC: | |||
1.625% 11/24/27 (a) | 750,000 | 705,939 | |
3.125% 5/12/23 (a) | 200,000 | 202,888 | |
4.75% 11/13/28 (a) | 1,900,000 | 2,101,290 | |
7,220,110 | |||
Distributors - 0.2% | |||
Genuine Parts Co. 2.75% 2/1/32 | 747,000 | 714,799 | |
Hotels, Restaurants & Leisure - 0.3% | |||
McDonald's Corp.: | |||
3.625% 9/1/49 | 600,000 | 589,116 | |
4.875% 12/9/45 | 470,000 | 532,903 | |
1,122,019 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 200,000 | 179,696 | |
Multiline Retail - 0.4% | |||
Dollar Tree, Inc.: | |||
3.375% 12/1/51 | 1,000,000 | 898,019 | |
4% 5/15/25 | 500,000 | 521,126 | |
4.2% 5/15/28 | 375,000 | 400,359 | |
1,819,504 | |||
Specialty Retail - 2.1% | |||
Advance Auto Parts, Inc.: | |||
1.75% 10/1/27 | 2,313,000 | 2,169,647 | |
3.9% 4/15/30 | 1,000,000 | 1,033,805 | |
AutoNation, Inc.: | |||
3.85% 3/1/32 | 1,900,000 | 1,919,685 | |
4.75% 6/1/30 | 20,000 | 21,551 | |
Lowe's Companies, Inc. 3.5% 4/1/51 | 975,000 | 923,451 | |
O'Reilly Automotive, Inc.: | |||
4.2% 4/1/30 | 800,000 | 856,870 | |
4.35% 6/1/28 | 75,000 | 80,893 | |
Ross Stores, Inc. 1.875% 4/15/31 | 600,000 | 542,700 | |
The Home Depot, Inc. 1.375% 3/15/31 | 575,000 | 514,858 | |
Triton Container International Ltd. 1.15% 6/7/24 (a) | 1,200,000 | 1,163,777 | |
9,227,237 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Tapestry, Inc. 3.05% 3/15/32 | 1,515,000 | 1,441,350 | |
TOTAL CONSUMER DISCRETIONARY | 21,724,715 | ||
CONSUMER STAPLES - 6.8% | |||
Beverages - 1.6% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 2,300,000 | 2,598,912 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.439% 10/6/48 | 500,000 | 534,997 | |
4.5% 6/1/50 | 325,000 | 357,624 | |
4.6% 4/15/48 | 700,000 | 767,416 | |
4.9% 1/23/31 | 525,000 | 601,920 | |
Constellation Brands, Inc.: | |||
2.25% 8/1/31 | 1,600,000 | 1,461,924 | |
2.875% 5/1/30 | 470,000 | 458,539 | |
6,781,332 | |||
Food & Staples Retailing - 0.0% | |||
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (a) | 138,000 | 135,731 | |
Food Products - 1.6% | |||
JBS Finance Luxembourg SARL 2.5% 1/15/27 (a) | 1,625,000 | 1,527,516 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (a) | 1,570,000 | 1,385,541 | |
4.375% 2/2/52 (a) | 680,000 | 608,056 | |
5.5% 1/15/30 (a) | 1,600,000 | 1,653,160 | |
JDE Peet's BV 2.25% 9/24/31 (a) | 545,000 | 494,051 | |
Smithfield Foods, Inc. 3% 10/15/30 (a) | 1,432,000 | 1,357,403 | |
7,025,727 | |||
Tobacco - 3.6% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 1,500,000 | 1,339,189 | |
3.4% 2/4/41 | 1,180,000 | 976,813 | |
4.25% 8/9/42 | 14,000 | 12,782 | |
4.8% 2/14/29 | 612,000 | 661,138 | |
BAT Capital Corp.: | |||
2.259% 3/25/28 | 1,225,000 | 1,143,499 | |
2.726% 3/25/31 | 2,800,000 | 2,566,081 | |
3.557% 8/15/27 | 2,500,000 | 2,516,073 | |
Imperial Tobacco Finance PLC: | |||
3.5% 7/26/26 (a) | 500,000 | 506,775 | |
3.75% 7/21/22 (a) | 900,000 | 903,718 | |
4.25% 7/21/25 (a) | 3,200,000 | 3,339,125 | |
Reynolds American, Inc. 4.45% 6/12/25 | 1,725,000 | 1,803,946 | |
15,769,139 | |||
TOTAL CONSUMER STAPLES | 29,711,929 | ||
ENERGY - 9.4% | |||
Oil, Gas & Consumable Fuels - 9.4% | |||
Canadian Natural Resources Ltd.: | |||
2.95% 7/15/30 | 472,000 | 468,176 | |
6.25% 3/15/38 | 1,075,000 | 1,315,603 | |
Cenovus Energy, Inc.: | |||
2.65% 1/15/32 | 159,000 | 147,705 | |
3.75% 2/15/52 | 480,000 | 433,092 | |
4.25% 4/15/27 | 3,350,000 | 3,542,574 | |
5.4% 6/15/47 | 64,000 | 72,015 | |
6.75% 11/15/39 | 351,000 | 439,827 | |
Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | 485,000 | 523,742 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 500,000 | 505,625 | |
5.125% 5/15/29 | 2,200,000 | 2,315,500 | |
5.375% 7/15/25 | 500,000 | 529,553 | |
Eastern Gas Transmission & Storage, Inc.: | |||
3% 11/15/29 (a) | 582,000 | 574,325 | |
3.9% 11/15/49 (a) | 1,000,000 | 977,456 | |
Enbridge, Inc.: | |||
3.4% 8/1/51 | 900,000 | 814,822 | |
4.5% 6/10/44 | 250,000 | 263,702 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 3,554,000 | 3,611,453 | |
4.25% 3/15/23 | 450,000 | 458,612 | |
4.25% 4/1/24 | 525,000 | 540,430 | |
4.95% 6/15/28 | 650,000 | 699,066 | |
Enterprise Products Operating LP: | |||
3.3% 2/15/53 | 1,500,000 | 1,314,334 | |
5.1% 2/15/45 | 375,000 | 419,415 | |
Equinor ASA: | |||
1.75% 1/22/26 | 61,000 | 59,819 | |
2.375% 5/22/30 | 550,000 | 535,676 | |
Hess Corp.: | |||
4.3% 4/1/27 | 2,575,000 | 2,722,292 | |
5.8% 4/1/47 | 510,000 | 610,293 | |
6% 1/15/40 | 575,000 | 679,230 | |
Magellan Midstream Partners LP 3.25% 6/1/30 | 500,000 | 497,251 | |
Marathon Petroleum Corp. 4.75% 9/15/44 | 300,000 | 315,606 | |
MPLX LP: | |||
1.75% 3/1/26 | 2,073,000 | 1,986,748 | |
2.65% 8/15/30 | 702,000 | 661,553 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 83,000 | 83,104 | |
3.2% 8/15/26 | 11,000 | 10,997 | |
3.4% 4/15/26 | 2,250,000 | 2,250,000 | |
4.3% 8/15/39 | 5,000 | 4,725 | |
4.4% 8/15/49 | 5,000 | 4,749 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 136,000 | 136,536 | |
8.125% 9/15/30 | 409,000 | 524,811 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 1,000,000 | 982,400 | |
6.49% 1/23/27 | 75,000 | 76,988 | |
6.5% 3/13/27 | 80,000 | 82,120 | |
Phillips 66 Co. 4.875% 11/15/44 | 300,000 | 341,142 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.8% 9/15/30 | 97,000 | 97,324 | |
4.65% 10/15/25 | 1,119,000 | 1,184,802 | |
Qatar Petroleum 2.25% 7/12/31 (a) | 1,640,000 | 1,545,700 | |
Suncor Energy, Inc. 6.5% 6/15/38 | 430,000 | 544,409 | |
The Williams Companies, Inc. 3.5% 11/15/30 | 913,000 | 928,120 | |
Total Capital International SA 3.127% 5/29/50 | 800,000 | 739,273 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 25,000 | 25,184 | |
Western Gas Partners LP: | |||
3.6% 2/1/25 | 1,500,000 | 1,503,750 | |
4.55% 2/1/30 | 1,870,000 | 1,923,407 | |
41,025,036 | |||
FINANCIALS - 30.4% | |||
Banks - 15.3% | |||
AIB Group PLC: | |||
4.263% 4/10/25 (a)(b) | 250,000 | 256,459 | |
4.75% 10/12/23 (a) | 1,000,000 | 1,035,644 | |
Banco Santander SA 2.749% 12/3/30 | 1,000,000 | 911,310 | |
Bank of America Corp.: | |||
2.299% 7/21/32 (b) | 1,500,000 | 1,391,479 | |
2.676% 6/19/41 (b) | 1,030,000 | 904,429 | |
3.483% 3/13/52 (b) | 950,000 | 919,800 | |
3.95% 4/21/25 | 1,100,000 | 1,140,694 | |
4.271% 7/23/29 (b) | 700,000 | 745,653 | |
Bank of Ireland Group PLC 4.5% 11/25/23 (a) | 200,000 | 206,699 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 307,000 | 299,208 | |
2.645% 6/24/31 (b) | 450,000 | 424,515 | |
2.894% 11/24/32 (b) | 2,250,000 | 2,131,936 | |
3.65% 3/16/25 | 1,000,000 | 1,024,815 | |
5.2% 5/12/26 | 1,750,000 | 1,875,878 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (a)(b)(c) | 1,182,000 | 1,111,182 | |
3.052% 1/13/31 (a)(b) | 875,000 | 851,499 | |
3.132% 1/20/33 (a)(b) | 1,250,000 | 1,209,229 | |
4.625% 3/13/27 (a) | 450,000 | 474,333 | |
BPCE SA: | |||
2.277% 1/20/32 (a)(b) | 600,000 | 544,653 | |
2.375% 1/14/25 (a) | 1,400,000 | 1,384,522 | |
4.875% 4/1/26 (a) | 200,000 | 211,671 | |
Citigroup, Inc.: | |||
1.462% 6/9/27 (b) | 2,000,000 | 1,891,011 | |
4.075% 4/23/29 (b) | 1,600,000 | 1,683,478 | |
4.4% 6/10/25 | 400,000 | 419,665 | |
4.45% 9/29/27 | 1,200,000 | 1,281,639 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 2,015,000 | 1,868,663 | |
Credit Agricole SA 2.811% 1/11/41 (a) | 444,000 | 381,679 | |
Danske Bank A/S 1.171% 12/8/23 (a)(b) | 1,050,000 | 1,042,430 | |
Fifth Third Bancorp 8.25% 3/1/38 | 300,000 | 451,448 | |
HSBC Holdings PLC: | |||
2.251% 11/22/27 (b) | 1,076,000 | 1,037,251 | |
2.357% 8/18/31 (b) | 1,002,000 | 920,283 | |
2.848% 6/4/31 (b) | 1,800,000 | 1,722,091 | |
Huntington Bancshares, Inc. 2.487% 8/15/36 (a)(b) | 1,287,000 | 1,178,047 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (a) | 1,126,000 | 1,186,880 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (b) | 104,000 | 101,130 | |
3.882% 7/24/38 (b) | 2,725,000 | 2,873,300 | |
4.203% 7/23/29 (b) | 600,000 | 638,196 | |
Lloyds Banking Group PLC: | |||
1.326% 6/15/23 (b) | 200,000 | 199,750 | |
4.65% 3/24/26 | 1,000,000 | 1,054,681 | |
Mizuho Financial Group, Inc. 1.234% 5/22/27 (b) | 1,900,000 | 1,778,909 | |
National Australia Bank Ltd. 2.99% 5/21/31 (a) | 1,200,000 | 1,145,555 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (b) | 228,000 | 228,536 | |
5.125% 5/28/24 | 1,220,000 | 1,283,779 | |
6% 12/19/23 | 1,400,000 | 1,485,041 | |
Rabobank Nederland 3.75% 7/21/26 | 300,000 | 309,320 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (b) | 335,000 | 325,409 | |
3.45% 6/2/25 | 4,750,000 | 4,828,770 | |
Societe Generale: | |||
1.488% 12/14/26 (a)(b) | 3,300,000 | 3,084,613 | |
3% 1/22/30 (a) | 430,000 | 412,624 | |
3.625% 3/1/41 (a) | 1,300,000 | 1,152,621 | |
3.875% 3/28/24 (a) | 700,000 | 717,751 | |
Standard Chartered PLC 3.785% 5/21/25 (a)(b) | 630,000 | 644,650 | |
Sumitomo Mitsui Financial Group, Inc. 0.948% 1/12/26 | 1,150,000 | 1,084,046 | |
SVB Financial Group: | |||
2.1% 5/15/28 | 1,050,000 | 1,005,458 | |
3.125% 6/5/30 | 170,000 | 170,895 | |
UniCredit SpA 1.982% 6/3/27 (a)(b) | 1,200,000 | 1,119,276 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (b) | 3,380,000 | 3,338,853 | |
2.393% 6/2/28 (b) | 800,000 | 781,854 | |
4.478% 4/4/31 (b) | 1,000,000 | 1,091,534 | |
5.013% 4/4/51 (b) | 700,000 | 861,973 | |
Zions Bancorp NA 3.25% 10/29/29 | 850,000 | 853,152 | |
66,691,849 | |||
Capital Markets - 5.5% | |||
Ares Capital Corp.: | |||
2.15% 7/15/26 | 750,000 | 707,558 | |
2.875% 6/15/27 | 1,100,000 | 1,050,017 | |
3.25% 7/15/25 | 1,775,000 | 1,757,864 | |
3.875% 1/15/26 | 240,000 | 243,322 | |
4.25% 3/1/25 | 75,000 | 76,741 | |
Blackstone Holdings Finance Co. LLC 2.8% 9/30/50 (a) | 523,000 | 435,288 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (a)(b) | 800,000 | 741,479 | |
3.091% 5/14/32 (a)(b) | 1,200,000 | 1,137,870 | |
3.75% 3/26/25 | 1,150,000 | 1,179,478 | |
4.194% 4/1/31 (a)(b) | 800,000 | 830,838 | |
Deutsche Bank AG 4.5% 4/1/25 | 3,029,000 | 3,113,856 | |
Deutsche Bank AG New York Branch: | |||
0.962% 11/8/23 | 725,000 | 711,557 | |
2.129% 11/24/26 (b) | 1,650,000 | 1,588,608 | |
2.222% 9/18/24 (b) | 1,000,000 | 997,628 | |
Goldman Sachs Group, Inc.: | |||
1.431% 3/9/27 (b) | 1,850,000 | 1,747,702 | |
4.223% 5/1/29 (b) | 900,000 | 954,063 | |
Moody's Corp. 2.55% 8/18/60 | 1,355,000 | 1,017,891 | |
Morgan Stanley: | |||
1.794% 2/13/32 (b) | 740,000 | 660,529 | |
2.239% 7/21/32 (b) | 1,500,000 | 1,380,982 | |
4.35% 9/8/26 | 1,085,000 | 1,152,190 | |
4.431% 1/23/30 (b) | 111,000 | 119,748 | |
5% 11/24/25 | 552,000 | 596,594 | |
UBS Group AG: | |||
2.095% 2/11/32 (a)(b) | 1,550,000 | 1,410,080 | |
3.126% 8/13/30 (a)(b) | 613,000 | 605,857 | |
24,217,740 | |||
Consumer Finance - 3.4% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 900,000 | 873,449 | |
2.45% 10/29/26 | 227,000 | 219,004 | |
3% 10/29/28 | 237,000 | 228,271 | |
3.3% 1/30/32 | 254,000 | 241,141 | |
3.4% 10/29/33 | 526,000 | 496,696 | |
3.85% 10/29/41 | 860,000 | 796,983 | |
4.125% 7/3/23 | 850,000 | 868,981 | |
Ally Financial, Inc.: | |||
2.2% 11/2/28 | 480,000 | 448,742 | |
5.75% 11/20/25 | 910,000 | 968,832 | |
8% 11/1/31 | 717,000 | 944,456 | |
Capital One Financial Corp.: | |||
2.359% 7/29/32 (b) | 1,785,000 | 1,593,126 | |
3.2% 2/5/25 | 2,700,000 | 2,756,189 | |
3.8% 1/31/28 | 11,000 | 11,453 | |
Discover Financial Services 4.1% 2/9/27 | 39,000 | 40,903 | |
Ford Motor Credit Co. LLC: | |||
3.096% 5/4/23 | 1,300,000 | 1,309,822 | |
3.625% 6/17/31 | 200,000 | 192,323 | |
4.271% 1/9/27 | 400,000 | 403,000 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 811,000 | 911,716 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 75,000 | 77,262 | |
4.25% 8/15/24 | 858,000 | 889,213 | |
4.375% 3/19/24 | 407,000 | 420,853 | |
14,692,415 | |||
Diversified Financial Services - 2.4% | |||
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 404,000 | 383,155 | |
Athene Global Funding: | |||
1.45% 1/8/26 (a) | 1,150,000 | 1,098,244 | |
1.985% 8/19/28 (a) | 1,355,000 | 1,250,690 | |
2.5% 3/24/28 (a) | 750,000 | 723,693 | |
Blackstone Private Credit Fund 2.7% 1/15/25 (a) | 1,500,000 | 1,463,519 | |
Brixmor Operating Partnership LP: | |||
2.25% 4/1/28 | 410,000 | 390,423 | |
4.05% 7/1/30 | 148,000 | 153,542 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 700,000 | 749,336 | |
Jackson Financial, Inc.: | |||
3.125% 11/23/31 (a) | 2,210,000 | 2,120,520 | |
4% 11/23/51 (a) | 800,000 | 718,547 | |
Rexford Industrial Realty LP 2.15% 9/1/31 | 599,000 | 539,591 | |
USAA Capital Corp. 2.125% 5/1/30 (a) | 150,000 | 144,890 | |
Voya Financial, Inc. 3.65% 6/15/26 | 650,000 | 684,430 | |
10,420,580 | |||
Insurance - 3.8% | |||
AIA Group Ltd.: | |||
3.2% 9/16/40 (a) | 950,000 | 889,134 | |
3.6% 4/9/29 (a) | 1,515,000 | 1,601,566 | |
American International Group, Inc. 3.4% 6/30/30 | 1,950,000 | 2,004,899 | |
AmFam Holdings, Inc. 2.805% 3/11/31 (a) | 950,000 | 913,214 | |
Assurant, Inc. 2.65% 1/15/32 | 2,100,000 | 1,936,504 | |
Athene Holding Ltd.: | |||
3.45% 5/15/52 | 700,000 | 612,872 | |
3.95% 5/25/51 | 316,000 | 301,498 | |
Empower Finance 2020 LP: | |||
1.776% 3/17/31 (a) | 324,000 | 294,727 | |
3.075% 9/17/51 (a) | 540,000 | 486,614 | |
Fairfax Financial Holdings Ltd. 3.375% 3/3/31 | 571,000 | 564,411 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 890,000 | 876,027 | |
Guardian Life Insurance Co. of America 4.85% 1/24/77 (a) | 400,000 | 462,052 | |
Hartford Financial Services Group, Inc. 4.3% 4/15/43 | 1,025,000 | 1,087,658 | |
Marsh & McLennan Companies, Inc.: | |||
3.875% 3/15/24 | 11,000 | 11,382 | |
4.375% 3/15/29 | 10,000 | 10,907 | |
4.9% 3/15/49 | 834,000 | 998,152 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (a) | 350,000 | 329,797 | |
New York Life Insurance Co. 4.45% 5/15/69 (a) | 54,000 | 60,135 | |
Pacific LifeCorp 3.35% 9/15/50 (a) | 700,000 | 668,608 | |
Principal Financial Group, Inc. 3.7% 5/15/29 | 96,000 | 102,189 | |
Reliance Standard Life Global Funding II 2.75% 5/7/25 (a) | 478,000 | 482,854 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 600,000 | 635,274 | |
Unum Group 4.125% 6/15/51 | 1,520,000 | 1,378,623 | |
16,709,097 | |||
TOTAL FINANCIALS | 132,731,681 | ||
HEALTH CARE - 8.3% | |||
Biotechnology - 1.2% | |||
AbbVie, Inc.: | |||
4.25% 11/21/49 | 700,000 | 744,332 | |
4.5% 5/14/35 | 3,150,000 | 3,500,494 | |
4.55% 3/15/35 | 75,000 | 82,607 | |
Amgen, Inc. 3.375% 2/21/50 | 700,000 | 641,741 | |
Regeneron Pharmaceuticals, Inc. 1.75% 9/15/30 | 400,000 | 357,278 | |
5,326,452 | |||
Health Care Equipment & Supplies - 0.3% | |||
Becton, Dickinson & Co. 2.823% 5/20/30 | 750,000 | 736,959 | |
Boston Scientific Corp. 2.65% 6/1/30 | 500,000 | 484,854 | |
1,221,813 | |||
Health Care Providers & Services - 3.5% | |||
Centene Corp.: | |||
2.625% 8/1/31 | 2,645,000 | 2,438,849 | |
3% 10/15/30 | 500,000 | 476,598 | |
4.25% 12/15/27 | 1,025,000 | 1,049,241 | |
4.625% 12/15/29 | 195,000 | 200,850 | |
Cigna Corp.: | |||
3.4% 3/15/50 | 500,000 | 457,381 | |
4.125% 11/15/25 | 4,000 | 4,215 | |
4.375% 10/15/28 | 561,000 | 608,048 | |
4.8% 8/15/38 | 1,907,000 | 2,124,457 | |
4.9% 12/15/48 | 7,000 | 7,951 | |
CVS Health Corp.: | |||
4.78% 3/25/38 | 1,300,000 | 1,453,741 | |
5.05% 3/25/48 | 350,000 | 408,683 | |
HCA Holdings, Inc.: | |||
5.125% 6/15/39 | 1,217,000 | 1,356,280 | |
5.25% 6/15/49 | 240,000 | 273,006 | |
Sabra Health Care LP 3.2% 12/1/31 | 588,000 | 546,860 | |
UnitedHealth Group, Inc. 4.75% 7/15/45 | 950,000 | 1,125,821 | |
Universal Health Services, Inc.: | |||
2.65% 10/15/30 (a) | 1,704,000 | 1,609,339 | |
2.65% 1/15/32 (a) | 1,072,000 | 997,695 | |
15,139,015 | |||
Pharmaceuticals - 3.3% | |||
AstraZeneca PLC 6.45% 9/15/37 | 1,435,000 | 1,947,536 | |
Bayer U.S. Finance II LLC: | |||
4.25% 12/15/25 (a) | 1,050,000 | 1,102,700 | |
4.875% 6/25/48 (a) | 1,150,000 | 1,259,346 | |
Bristol-Myers Squibb Co.: | |||
4.125% 6/15/39 | 138,000 | 151,251 | |
4.25% 10/26/49 | 480,000 | 536,779 | |
4.55% 2/20/48 | 425,000 | 493,016 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (b) | 700,000 | 721,000 | |
5.9% 8/28/28 (b) | 1,375,000 | 1,485,413 | |
Mylan NV 4.55% 4/15/28 | 1,004,000 | 1,070,091 | |
Perrigo Finance PLC 3.9% 6/15/30 | 600,000 | 550,219 | |
Utah Acquisition Sub, Inc. 5.25% 6/15/46 | 650,000 | 688,139 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 3,427,000 | 3,310,966 | |
2.7% 6/22/30 | 1,328,000 | 1,239,681 | |
4% 6/22/50 | 105,000 | 93,111 | |
14,649,248 | |||
TOTAL HEALTH CARE | 36,336,528 | ||
INDUSTRIALS - 5.1% | |||
Aerospace & Defense - 1.7% | |||
BAE Systems PLC: | |||
1.9% 2/15/31 (a) | 520,000 | 469,786 | |
3% 9/15/50 (a) | 433,000 | 380,861 | |
Northrop Grumman Corp. 4.03% 10/15/47 | 1,225,000 | 1,291,898 | |
The Boeing Co.: | |||
2.196% 2/4/26 | 1,200,000 | 1,170,847 | |
2.75% 2/1/26 | 900,000 | 900,657 | |
3.75% 2/1/50 | 1,150,000 | 1,068,603 | |
5.04% 5/1/27 | 900,000 | 977,713 | |
5.15% 5/1/30 | 885,000 | 977,521 | |
7,237,886 | |||
Airlines - 0.3% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 178,306 | 165,526 | |
British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (a) | 296,972 | 290,598 | |
Southwest Airlines Co. 5.125% 6/15/27 | 475,000 | 526,585 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 137,872 | 131,675 | |
United Airlines, Inc. 4.55% 2/25/33 | 171,394 | 182,188 | |
1,296,572 | |||
Building Products - 0.2% | |||
Carrier Global Corp. 2.7% 2/15/31 | 900,000 | 870,419 | |
Industrial Conglomerates - 0.4% | |||
Roper Technologies, Inc. 2% 6/30/30 | 2,035,000 | 1,852,965 | |
Machinery - 0.6% | |||
Daimler Trucks Finance North America LLC 2% 12/14/26 (a) | 1,276,000 | 1,231,099 | |
Ingersoll-Rand Luxembourg Finance SA 4.5% 3/21/49 | 300,000 | 331,175 | |
Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 1,000,000 | 1,035,983 | |
2,598,257 | |||
Professional Services - 0.0% | |||
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (a) | 25,000 | 24,471 | |
Leidos, Inc. 3.625% 5/15/25 | 70,000 | 71,978 | |
96,449 | |||
Road & Rail - 0.9% | |||
Burlington Northern Santa Fe LLC 4.7% 9/1/45 | 500,000 | 587,160 | |
Canadian Pacific Railway Co. 3.1% 12/2/51 | 885,000 | 802,342 | |
CSX Corp. 4.3% 3/1/48 | 1,125,000 | 1,229,869 | |
Norfolk Southern Corp. 3.155% 5/15/55 | 516,000 | 473,728 | |
Union Pacific Corp. 3.25% 2/5/50 | 800,000 | 768,217 | |
3,861,316 | |||
Trading Companies & Distributors - 0.6% | |||
Air Lease Corp.: | |||
2.3% 2/1/25 | 850,000 | 839,774 | |
2.875% 1/15/32 | 1,900,000 | 1,777,682 | |
2,617,456 | |||
Transportation Infrastructure - 0.4% | |||
Avolon Holdings Funding Ltd.: | |||
2.528% 11/18/27 (a) | 1,601,000 | 1,499,191 | |
4.375% 5/1/26 (a) | 110,000 | 113,275 | |
1,612,466 | |||
TOTAL INDUSTRIALS | 22,043,786 | ||
INFORMATION TECHNOLOGY - 5.2% | |||
Electronic Equipment & Components - 1.8% | |||
Dell International LLC/EMC Corp.: | |||
3.45% 12/15/51 (a) | 700,000 | 592,764 | |
6.02% 6/15/26 | 2,125,000 | 2,371,179 | |
6.2% 7/15/30 | 950,000 | 1,124,355 | |
Vontier Corp.: | |||
1.8% 4/1/26 | 3,000,000 | 2,796,690 | |
2.95% 4/1/31 | 1,169,000 | 1,059,488 | |
7,944,476 | |||
IT Services - 0.3% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 1,054,000 | 1,030,549 | |
Fiserv, Inc. 3.5% 7/1/29 | 271,000 | 274,593 | |
1,305,142 | |||
Semiconductors & Semiconductor Equipment - 1.9% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (a) | 854,000 | 805,120 | |
2.45% 2/15/31 (a) | 460,000 | 424,935 | |
2.6% 2/15/33 (a) | 1,617,000 | 1,475,699 | |
3.5% 2/15/41 (a) | 371,000 | 342,080 | |
3.75% 2/15/51 (a) | 174,000 | 162,360 | |
Marvell Technology, Inc. 2.45% 4/15/28 | 1,500,000 | 1,446,420 | |
Micron Technology, Inc.: | |||
2.703% 4/15/32 | 1,100,000 | 1,028,753 | |
4.185% 2/15/27 | 1,250,000 | 1,319,988 | |
NVIDIA Corp. 3.7% 4/1/60 | 1,050,000 | 1,096,387 | |
8,101,742 | |||
Software - 0.9% | |||
Oracle Corp.: | |||
2.3% 3/25/28 | 529,000 | 504,041 | |
2.875% 3/25/31 | 1,300,000 | 1,240,794 | |
3.95% 3/25/51 | 1,880,000 | 1,722,158 | |
4% 11/15/47 | 375,000 | 342,237 | |
3,809,230 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Apple, Inc.: | |||
2.8% 2/8/61 | 700,000 | 609,750 | |
3.85% 8/4/46 | 800,000 | 852,793 | |
1,462,543 | |||
TOTAL INFORMATION TECHNOLOGY | 22,623,133 | ||
MATERIALS - 1.0% | |||
Chemicals - 1.0% | |||
International Flavors & Fragrances, Inc.: | |||
1.832% 10/15/27 (a) | 1,825,000 | 1,725,528 | |
3.468% 12/1/50 (a) | 525,000 | 476,739 | |
5% 9/26/48 | 850,000 | 971,703 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 375,000 | 411,338 | |
Westlake Corp. 3.375% 6/15/30 | 900,000 | 916,632 | |
4,501,940 | |||
Containers & Packaging - 0.0% | |||
Avery Dennison Corp. 4.875% 12/6/28 | 50,000 | 55,744 | |
TOTAL MATERIALS | 4,557,684 | ||
REAL ESTATE - 5.4% | |||
Equity Real Estate Investment Trusts (REITs) - 5.1% | |||
Agree LP 2% 6/15/28 | 2,100,000 | 1,976,597 | |
Alexandria Real Estate Equities, Inc. 1.875% 2/1/33 | 950,000 | 839,834 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 44,000 | 40,454 | |
3.375% 7/15/51 | 68,000 | 58,308 | |
Camden Property Trust 2.8% 5/15/30 | 58,000 | 57,395 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 420,000 | 388,827 | |
2.25% 3/15/26 | 52,000 | 51,133 | |
2.9% 12/1/33 | 1,100,000 | 1,015,838 | |
Crown Castle International Corp. 3.25% 1/15/51 | 450,000 | 386,093 | |
Hudson Pacific Properties LP 3.95% 11/1/27 | 3,400,000 | 3,547,207 | |
Invitation Homes Operating Partnership LP 2% 8/15/31 | 600,000 | 534,408 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 14,000 | 14,397 | |
4.75% 9/15/30 | 277,000 | 298,347 | |
MPT Operating Partnership LP/MPT Finance Corp. 3.5% 3/15/31 | 1,725,000 | 1,625,390 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 278,000 | 255,323 | |
3.375% 2/1/31 | 1,402,000 | 1,326,197 | |
4.5% 1/15/25 | 600,000 | 624,866 | |
4.5% 4/1/27 | 1,000,000 | 1,055,534 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 86,000 | 79,896 | |
Realty Income Corp.: | |||
2.85% 12/15/32 | 30,000 | 29,174 | |
3.25% 1/15/31 | 30,000 | 30,417 | |
Spirit Realty LP 2.1% 3/15/28 | 516,000 | 485,821 | |
Store Capital Corp. 2.7% 12/1/31 | 1,675,000 | 1,554,218 | |
UDR, Inc.: | |||
2.1% 8/1/32 | 939,000 | 844,729 | |
2.1% 6/15/33 | 374,000 | 330,565 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 729,000 | 688,211 | |
4.4% 1/15/29 | 2,050,000 | 2,228,029 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 103,000 | 99,997 | |
3.4% 6/1/31 | 372,000 | 364,925 | |
Welltower, Inc.: | |||
3.625% 3/15/24 | 10,000 | 10,272 | |
4.125% 3/15/29 | 675,000 | 722,622 | |
WP Carey, Inc.: | |||
2.4% 2/1/31 | 348,000 | 326,267 | |
4.25% 10/1/26 | 450,000 | 479,685 | |
22,370,976 | |||
Real Estate Management & Development - 0.3% | |||
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 97,000 | 91,625 | |
2.7% 7/15/31 | 250,000 | 235,180 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 259,000 | 235,580 | |
3.125% 9/1/26 | 497,000 | 494,850 | |
1,057,235 | |||
TOTAL REAL ESTATE | 23,428,211 | ||
UTILITIES - 6.7% | |||
Electric Utilities - 2.8% | |||
American Transmission Systems, Inc. 2.65% 1/15/32 (a) | 1,148,000 | 1,102,126 | |
Cincinnati Gas & Electric Co. 2.125% 6/1/30 | 770,000 | 725,324 | |
Cleco Corporate Holdings LLC: | |||
3.743% 5/1/26 | 2,790,000 | 2,900,633 | |
4.973% 5/1/46 | 750,000 | 829,434 | |
Duke Energy Corp. 2.45% 6/1/30 | 70,000 | 66,511 | |
Duquesne Light Holdings, Inc.: | |||
2.775% 1/7/32 (a) | 266,000 | 250,395 | |
3.616% 8/1/27 (a) | 1,810,000 | 1,847,962 | |
Entergy Corp. 2.8% 6/15/30 | 72,000 | 69,191 | |
Exelon Corp.: | |||
4.7% 4/15/50 | 800,000 | 906,828 | |
5.1% 6/15/45 | 370,000 | 427,083 | |
FirstEnergy Corp.: | |||
2.25% 9/1/30 | 534,000 | 488,861 | |
2.65% 3/1/30 | 780,000 | 732,935 | |
4.4% 7/15/27 | 900,000 | 932,130 | |
Nevada Power Co. 3.7% 5/1/29 | 75,000 | 79,013 | |
Southern Co. 4.4% 7/1/46 | 700,000 | 733,422 | |
12,091,848 | |||
Gas Utilities - 0.2% | |||
ONE Gas, Inc. 2% 5/15/30 | 278,000 | 258,941 | |
Southern Co. Gas Capital Corp. 4.4% 5/30/47 | 625,000 | 658,979 | |
917,920 | |||
Independent Power and Renewable Electricity Producers - 2.2% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (a) | 1,215,000 | 1,169,438 | |
Emera U.S. Finance LP: | |||
3.55% 6/15/26 | 2,550,000 | 2,622,544 | |
4.75% 6/15/46 | 1,775,000 | 1,873,254 | |
The AES Corp.: | |||
1.375% 1/15/26 | 290,000 | 275,603 | |
2.45% 1/15/31 | 3,120,000 | 2,887,997 | |
3.3% 7/15/25 (a) | 216,000 | 217,037 | |
3.95% 7/15/30 (a) | 389,000 | 396,858 | |
9,442,731 | |||
Multi-Utilities - 1.5% | |||
Dominion Energy, Inc. 4.25% 6/1/28 | 775,000 | 827,118 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 229,000 | 225,784 | |
3.6% 5/1/30 | 671,000 | 685,688 | |
4.375% 5/15/47 | 650,000 | 679,660 | |
Puget Energy, Inc.: | |||
2.379% 6/15/28 | 2,000,000 | 1,901,399 | |
4.1% 6/15/30 | 885,000 | 917,910 | |
Sempra Energy 3.8% 2/1/38 | 1,500,000 | 1,517,201 | |
6,754,760 | |||
TOTAL UTILITIES | 29,207,259 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $416,032,611) | 397,014,856 | ||
U.S. Treasury Obligations - 3.2% | |||
U.S. Treasury Bonds: | |||
1.75% 8/15/41 | $2,500,000 | $2,291,406 | |
1.875% 2/15/41 | 2,943,000 | 2,766,650 | |
1.875% 11/15/51 | 3,850,000 | 3,591,930 | |
2% 11/15/41 | 2,000,000 | 1,914,688 | |
2% 8/15/51 | 927,000 | 889,196 | |
2.25% 2/15/52 | 2,250,000 | 2,292,188 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $14,181,867) | 13,746,058 | ||
Municipal Securities - 0.0% | |||
California Gen. Oblig. Series 2009, 7.55% 4/1/39 | |||
(Cost $107,723) | 75,000 | 117,964 | |
Foreign Government and Government Agency Obligations - 0.3% | |||
United Mexican States: | |||
3.25% 4/16/30 | 200,000 | 194,300 | |
4.5% 4/22/29 | 1,000,000 | 1,060,500 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,328,873) | 1,254,800 | ||
Preferred Securities - 0.4% | |||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Enbridge, Inc. 5.75% 7/15/80 (b) | 753,000 | 790,603 | |
FINANCIALS - 0.2% | |||
Capital Markets - 0.2% | |||
UBS Group AG 4.875% (a)(b)(d) | 950,000 | 924,672 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $1,705,128) | 1,715,275 | ||
Shares | Value | ||
Money Market Funds - 4.3% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $18,793,885) | 18,790,137 | 18,793,895 | |
TOTAL INVESTMENT IN SECURITIES - 99.2% | |||
(Cost $452,150,087) | 432,642,848 | ||
NET OTHER ASSETS (LIABILITIES) - 0.8% | 3,612,846 | ||
NET ASSETS - 100% | $436,255,694 |
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 $85,808,673 or 19.7% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security is perpetual in nature with no stated maturity date.
(e) 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 0.07% | $18,250,610 | $68,841,425 | $68,298,141 | $6,667 | $-- | $1 | $18,793,895 | 0.0% |
Total | $18,250,610 | $68,841,425 | $68,298,141 | $6,667 | $-- | $1 | $18,793,895 |
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 February 28, 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 | $397,014,856 | $-- | $397,014,856 | $-- |
U.S. Government and Government Agency Obligations | 13,746,058 | -- | 13,746,058 | -- |
Municipal Securities | 117,964 | -- | 117,964 | -- |
Foreign Government and Government Agency Obligations | 1,254,800 | -- | 1,254,800 | -- |
Preferred Securities | 1,715,275 | -- | 1,715,275 | -- |
Money Market Funds | 18,793,895 | 18,793,895 | -- | -- |
Total Investments in Securities: | $432,642,848 | $18,793,895 | $413,848,953 | $-- |
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 | 78.9% |
United Kingdom | 5.7% |
France | 3.0% |
Canada | 2.4% |
Switzerland | 1.6% |
Ireland | 1.6% |
Others (Individually Less Than 1%) | 6.8% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $433,356,202) | $413,848,953 | |
Fidelity Central Funds (cost $18,793,885) | 18,793,895 | |
Total Investment in Securities (cost $452,150,087) | $432,642,848 | |
Cash | 187,538 | |
Receivable for fund shares sold | 2,879,872 | |
Interest receivable | 3,636,083 | |
Distributions receivable from Fidelity Central Funds | 909 | |
Total assets | 439,347,250 | |
Liabilities | ||
Payable for investments purchased | $2,480,225 | |
Payable for fund shares redeemed | 609,915 | |
Distributions payable | 7 | |
Other payables and accrued expenses | 1,409 | |
Total liabilities | 3,091,556 | |
Net Assets | $436,255,694 | |
Net Assets consist of: | ||
Paid in capital | $456,208,743 | |
Total accumulated earnings (loss) | (19,953,049) | |
Net Assets | $436,255,694 | |
Net Asset Value, offering price and redemption price per share ($436,255,694 ÷ 41,908,270 shares) | $10.41 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $21,649 | |
Interest | 5,712,304 | |
Income from Fidelity Central Funds | 6,667 | |
Total income | 5,740,620 | |
Expenses | ||
Custodian fees and expenses | $2,705 | |
Independent trustees' fees and expenses | 743 | |
Total expenses before reductions | 3,448 | |
Expense reductions | (52) | |
Total expenses after reductions | 3,396 | |
Net investment income (loss) | 5,737,224 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 863,829 | |
Total net realized gain (loss) | 863,829 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (34,131,441) | |
Fidelity Central Funds | 1 | |
Total change in net unrealized appreciation (depreciation) | (34,131,440) | |
Net gain (loss) | (33,267,611) | |
Net increase (decrease) in net assets resulting from operations | $(27,530,387) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $5,737,224 | $8,733,319 |
Net realized gain (loss) | 863,829 | 94,183 |
Change in net unrealized appreciation (depreciation) | (34,131,440) | 1,974,803 |
Net increase (decrease) in net assets resulting from operations | (27,530,387) | 10,802,305 |
Distributions to shareholders | (6,859,663) | (10,858,407) |
Share transactions | ||
Proceeds from sales of shares | 74,893,352 | 302,307,229 |
Reinvestment of distributions | 6,859,663 | 10,857,338 |
Cost of shares redeemed | (54,522,661) | (78,111,439) |
Net increase (decrease) in net assets resulting from share transactions | 27,230,354 | 235,053,128 |
Total increase (decrease) in net assets | (7,159,696) | 234,997,026 |
Net Assets | ||
Beginning of period | 443,415,390 | 208,418,364 |
End of period | $436,255,694 | $443,415,390 |
Other Information | ||
Shares | ||
Sold | 6,844,437 | 27,040,787 |
Issued in reinvestment of distributions | 628,599 | 973,610 |
Redeemed | (5,015,463) | (6,991,750) |
Net increase (decrease) | 2,457,573 | 21,022,647 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Corporate Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.24 | $11.31 | $10.84 | $9.95 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .141 | .296 | .353 | .377 | .013 |
Net realized and unrealized gain (loss) | (.803) | .054 | .511 | .917 | (.050) |
Total from investment operations | (.662) | .350 | .864 | 1.294 | (.037) |
Distributions from net investment income | (.141) | (.304) | (.356) | (.397) | (.013) |
Distributions from net realized gain | (.027) | (.116) | (.038) | (.007) | – |
Total distributions | (.168) | (.420) | (.394) | (.404) | (.013) |
Net asset value, end of period | $10.41 | $11.24 | $11.31 | $10.84 | $9.95 |
Total ReturnD,E | (5.95)% | 3.18% | 8.19% | 13.38% | (.37)% |
Ratios to Average Net AssetsC,F,G | |||||
Expenses before reductions | - %H,I | - %I | - %I | .01% | - %H,I |
Expenses net of fee waivers, if any | - %H,I | - %I | - %I | .01% | - %H,I |
Expenses net of all reductions | - %H,I | - %I | - %I | - %I | - %H,I |
Net investment income (loss) | 2.60%H | 2.67% | 3.26% | 3.73% | 3.11%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $436,256 | $443,415 | $208,418 | $110,465 | $10,285 |
Portfolio turnover rateJ | 33%H | 38% | 37% | 32% | 43%K |
A For the period August 17, 2018 (commencement of operations) through August 31, 2018.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I Amount represents less than .005%.
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Series Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, foreign government and government agency obligations, municipal securities, preferred 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. 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 February 28, 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. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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 losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $3,301,677 |
Gross unrealized depreciation | (23,068,708) |
Net unrealized appreciation (depreciation) | $(19,767,031) |
Tax cost | $452,409,879 |
The Fund elected to defer to its next fiscal year approximately $159,461 of capital losses recognized during the period November 1, 2020 to August 31, 2021.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Series Corporate Bond Fund | 64,052,402 | 35,575,896 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. 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 $52.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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 and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Series Corporate Bond Fund | - % | |||
Actual | $1,000.00 | $940.50 | $- | |
Hypothetical-C | $1,000.00 | $1,024.79 | $- |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Corporate Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans. The Board noted that there was a portfolio management change for the fund in October 2020.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2023.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
XBC-SANN-0422
1.9891232.103
Fidelity® SAI Total Bond Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
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.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 49.7% | |
AAA | 5.6% | |
AA | 1.8% | |
A | 6.1% | |
BBB | 18.8% | |
BB and Below | 14.4% | |
Not Rated | 3.0% | |
Equities | 0.2% | |
Short-Term Investments and Net Other Assets | 0.4% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022*,** | ||
Corporate Bonds | 31.8% | |
U.S. Government and U.S. Government Agency Obligations | 49.7% | |
Asset-Backed Securities | 5.3% | |
CMOs and Other Mortgage Related Securities | 4.3% | |
Municipal Bonds | 0.6% | |
Stocks | 0.2% | |
Other Investments | 7.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.4% |
* Futures and Swaps - 0.1%
** Foreign investments - 14.2%
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 31.8% | |||
Principal Amount(a) | Value | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $2,511,000 | $2,389,217 | |
3.375% 8/15/26 | 3,905,000 | 3,541,835 | |
5,931,052 | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 521,057 | 2,813,708 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 899,094 | 4,378,588 | |
7,192,296 | |||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Colony Capital Operating Co. LLC 5.75% 7/15/25 (d) | 10,000 | 32,700 | |
Digitalbridge Group, Inc. 5% 4/15/23 | 10,000 | 10,186 | |
42,886 | |||
TOTAL CONVERTIBLE BONDS | 13,166,234 | ||
Nonconvertible Bonds - 31.7% | |||
COMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 1.1% | |||
Altice France SA: | |||
5.125% 1/15/29 (d) | 6,850,000 | 6,216,375 | |
5.125% 7/15/29 (d) | 4,460,000 | 4,036,300 | |
5.5% 1/15/28 (d) | 2,440,000 | 2,281,400 | |
5.5% 10/15/29 (d) | 4,465,000 | 4,091,056 | |
AT&T, Inc.: | |||
2.55% 12/1/33 | 3,443,000 | 3,193,469 | |
3% 6/30/22 | 4,553,000 | 4,566,809 | |
3.8% 12/1/57 | 8,798,000 | 8,254,308 | |
4.3% 2/15/30 | 5,781,000 | 6,293,545 | |
4.45% 4/1/24 | 855,000 | 892,595 | |
6.2% 3/15/40 | 4,280,000 | 5,219,237 | |
6.3% 1/15/38 | 6,048,000 | 7,754,732 | |
Axtel S.A.B. de CV 6.375% 11/14/24 (d) | 149,000 | 152,893 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 15,174,000 | 15,666,852 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27 (d) | 565,000 | 530,190 | |
5.625% 9/15/28 (d) | 445,000 | 402,725 | |
Colombia Telecomunicaciones SA 4.95% 7/17/30 (d) | 300,000 | 273,900 | |
Consolidated Communications, Inc. 5% 10/1/28 (d) | 690,000 | 653,775 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28 (d) | 6,500,000 | 6,309,875 | |
5.875% 10/15/27 (d) | 2,739,000 | 2,777,729 | |
5.875% 11/1/29 | 2,580,000 | 2,373,600 | |
6% 1/15/30 (d) | 1,500,000 | 1,397,250 | |
6.75% 5/1/29 (d) | 2,960,000 | 2,873,553 | |
IHS Holding Ltd. 5.625% 11/29/26 (d) | 830,000 | 811,325 | |
Iliad SA: | |||
0.75% 2/11/24 (Reg. S) | EUR | 7,000,000 | 7,483,783 |
1.5% 10/14/24 (Reg. S) | EUR | 900,000 | 971,900 |
1.875% 2/11/28 (Reg. S) | EUR | 900,000 | 874,447 |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (d) | 420,000 | 367,864 | |
4.25% 7/1/28 (d) | 4,430,000 | 4,090,618 | |
4.625% 9/15/27 (d) | 2,595,000 | 2,504,175 | |
Liquid Telecommunications Financing PLC 5.5% 9/4/26 (d) | 880,000 | 849,200 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (d) | 7,015,000 | 5,871,099 | |
5.125% 12/15/26 (d) | 4,580,000 | 4,261,072 | |
6.875% 1/15/28 | 494,000 | 476,246 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
6% 2/15/28 (d) | 415,000 | 363,125 | |
10.75% 6/1/28 (d) | 1,390,000 | 1,467,270 | |
Qtel International Finance Ltd.: | |||
2.625% 4/8/31 (d) | 670,000 | 639,850 | |
3.25% 2/21/23 (d) | 645,000 | 653,063 | |
5% 10/19/25 (d) | 360,000 | 390,780 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 1,090,000 | 1,112,481 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 2,499,000 | 2,967,488 | |
8.75% 3/15/32 | 2,134,000 | 2,960,925 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 1,165,000 | 1,106,750 | |
7.2% 7/18/36 | 1,334,000 | 1,354,010 | |
7.721% 6/4/38 | 300,000 | 310,574 | |
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (d) | 709,000 | 719,546 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 4,000,000 | 3,960,000 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 11,222,000 | 10,838,508 | |
2.55% 3/21/31 | 10,387,000 | 9,970,566 | |
2.987% 10/30/56 | 12,327,000 | 10,510,362 | |
3% 3/22/27 | 2,669,000 | 2,700,267 | |
4.862% 8/21/46 | 14,509,000 | 17,347,947 | |
5.012% 4/15/49 | 324,000 | 391,788 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 6,435,000 | 6,495,489 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27 (d) | 1,370,000 | 1,302,459 | |
6.125% 3/1/28 (d) | 1,239,000 | 1,151,316 | |
193,488,461 | |||
Entertainment - 0.1% | |||
Roblox Corp. 3.875% 5/1/30 (d) | 2,985,000 | 2,838,362 | |
The Walt Disney Co. 3.8% 3/22/30 | 20,840,000 | 22,335,232 | |
25,173,594 | |||
Interactive Media & Services - 0.0% | |||
Baidu, Inc.: | |||
1.72% 4/9/26 | 615,000 | 589,447 | |
2.375% 10/9/30 | 345,000 | 321,757 | |
Tencent Holdings Ltd.: | |||
1.81% 1/26/26 (d) | 350,000 | 339,894 | |
2.39% 6/3/30 (d) | 435,000 | 405,039 | |
2.88% 4/22/31 (d) | 285,000 | 273,868 | |
3.975% 4/11/29 (d) | 260,000 | 269,048 | |
2,199,053 | |||
Media - 1.3% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | 6,015,000 | 6,056,985 | |
Altice Financing SA: | |||
5% 1/15/28 (d) | 5,914,000 | 5,328,928 | |
5.75% 8/15/29 (d) | 11,765,000 | 10,720,856 | |
Altice France Holding SA 6% 2/15/28 (d) | 6,284,000 | 5,529,920 | |
Cable Onda SA 4.5% 1/30/30 (d) | 935,000 | 885,328 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (d) | 4,019,000 | 3,765,562 | |
4.5% 8/15/30 (d) | 1,520,000 | 1,463,882 | |
4.5% 5/1/32 | 3,429,000 | 3,257,550 | |
4.5% 6/1/33 (d) | 2,355,000 | 2,207,813 | |
5% 2/1/28 (d) | 6,950,000 | 6,992,360 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 7,411,000 | 7,465,225 | |
4.908% 7/23/25 | 7,411,000 | 7,855,899 | |
5.375% 5/1/47 | 18,624,000 | 19,653,176 | |
6.484% 10/23/45 | 5,093,000 | 6,085,330 | |
Comcast Corp. 6.45% 3/15/37 | 797,000 | 1,051,965 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (d) | 1,490,000 | 1,337,901 | |
4.625% 12/1/30 (d) | 5,107,000 | 4,256,059 | |
5.375% 2/1/28 (d) | 3,315,000 | 3,221,766 | |
5.75% 1/15/30 (d) | 2,455,000 | 2,170,809 | |
7.5% 4/1/28 (d) | 3,269,000 | 3,264,162 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) | 8,145,000 | 3,339,450 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 7,624,000 | 7,666,003 | |
4.65% 5/15/50 | 20,572,000 | 21,030,089 | |
Dolya Holdco 18 DAC 5% 7/15/28 (d) | 1,200,000 | 1,140,000 | |
Fox Corp.: | |||
4.03% 1/25/24 | 2,489,000 | 2,579,000 | |
4.709% 1/25/29 | 3,602,000 | 3,931,357 | |
5.476% 1/25/39 | 3,552,000 | 4,141,223 | |
Lagardere S.C.A.: | |||
1.75% 10/7/27 (Reg. S) | EUR | 1,100,000 | 1,202,083 |
2.125% 10/16/26 (Reg. S) | EUR | 1,100,000 | 1,235,235 |
LCPR Senior Secured Financing DAC 5.125% 7/15/29 (d) | 1,125,000 | 1,081,125 | |
News Corp. 5.125% 2/15/32 (d) | 1,225,000 | 1,252,563 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26 (d) | 4,485,000 | 4,285,395 | |
6.5% 9/15/28 (d) | 6,159,000 | 5,851,050 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27 (d) | 2,915,000 | 2,652,650 | |
5.5% 3/1/30 (d) | 1,260,000 | 1,105,650 | |
Sirius XM Radio, Inc.: | |||
4% 7/15/28 (d) | 1,905,000 | 1,831,181 | |
5.5% 7/1/29 (d) | 695,000 | 710,638 | |
Tegna, Inc.: | |||
4.625% 3/15/28 | 1,410,000 | 1,409,055 | |
5% 9/15/29 | 545,000 | 543,501 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 10,467,000 | 9,861,593 | |
5.5% 9/1/41 | 4,708,000 | 5,018,553 | |
5.875% 11/15/40 | 6,004,000 | 6,718,132 | |
6.55% 5/1/37 | 17,014,000 | 20,448,787 | |
7.3% 7/1/38 | 14,056,000 | 17,593,800 | |
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) (e) | 2,133,000 | 1,348,856 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29 (d) | 1,600,000 | 1,531,496 | |
6.625% 6/1/27 (d) | 1,690,000 | 1,757,600 | |
9.5% 5/1/25 (d) | 485,000 | 511,675 | |
Virgin Media Secured Finance PLC 4.5% 8/15/30 (d) | 4,900,000 | 4,632,803 | |
VTR Finance BV 6.375% 7/15/28 (d) | 450,000 | 452,250 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (d) | 1,895,000 | 1,767,088 | |
Ziggo BV 4.875% 1/15/30 (d) | 1,265,000 | 1,206,721 | |
242,408,078 | |||
Wireless Telecommunication Services - 0.3% | |||
AXIAN Telecom 7.375% 2/16/27 (d) | 730,000 | 715,400 | |
Bharti Airtel International BV 5.35% 5/20/24 (d) | 475,000 | 501,214 | |
CT Trust 5.125% 2/3/32 (d) | 870,000 | 870,544 | |
Digicel Group Ltd. 6.75% 3/1/23 (d) | 404,000 | 381,023 | |
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d) | 4,428,000 | 4,505,490 | |
Millicom International Cellular SA 4.5% 4/27/31 (d) | 835,000 | 777,385 | |
MTN (Mauritius) Investments Ltd.: | |||
4.755% 11/11/24 (d) | 405,000 | 405,000 | |
6.5% 10/13/26 (d) | 456,000 | 485,441 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 12,950,000 | 13,445,974 | |
3.875% 4/15/30 | 23,000,000 | 23,784,097 | |
4.375% 4/15/40 | 2,795,000 | 2,890,524 | |
4.5% 4/15/50 | 5,491,000 | 5,724,697 | |
VimpelCom Holdings BV 7.25% 4/26/23 (d) | 625,000 | 156,250 | |
Vodafone Group PLC: | |||
4.875% 10/3/78 (Reg. S) (f) | GBP | 2,300,000 | 3,089,393 |
6.25% 10/3/78 (Reg. S) (f) | 760,000 | 786,600 | |
VTR Comunicaciones SpA: | |||
4.375% 4/15/29 (d) | 370,000 | 352,425 | |
5.125% 1/15/28 (d) | 803,000 | 787,944 | |
59,659,401 | |||
TOTAL COMMUNICATION SERVICES | 522,928,587 | ||
CONSUMER DISCRETIONARY - 1.5% | |||
Auto Components - 0.0% | |||
Metalsa SA de CV 3.75% 5/4/31 (d) | 660,000 | 589,875 | |
Tupy Overseas SA 4.5% 2/16/31 (d) | 660,000 | 594,330 | |
Valeo SA 1% 8/3/28 (Reg. S) | EUR | 1,700,000 | 1,725,748 |
ZF Europe Finance BV 2% 2/23/26 (Reg. S) | EUR | 800,000 | 840,938 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 1,300,000 | 1,338,575 |
5,089,466 | |||
Automobiles - 0.2% | |||
General Motors Financial Co., Inc.: | |||
4% 1/15/25 | 6,564,000 | 6,793,409 | |
4.25% 5/15/23 | 1,967,000 | 2,023,759 | |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 6.625% 10/15/26 (d)(f)(g) | 6,555,000 | 6,587,775 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (d) | 12,516,000 | 12,561,523 | |
3.125% 5/12/23 (d) | 10,902,000 | 11,059,449 | |
39,025,915 | |||
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 6,730,000 | 6,019,514 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 6,830,000 | 6,914,521 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 3,073,000 | 3,166,934 | |
Service Corp. International: | |||
4% 5/15/31 | 1,850,000 | 1,752,875 | |
5.125% 6/1/29 | 2,440,000 | 2,501,000 | |
Sotheby's 7.375% 10/15/27 (d) | 5,695,000 | 5,930,260 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 4,345,000 | 4,379,717 | |
30,664,821 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4% 10/15/30 (d) | 2,089,000 | 1,929,714 | |
5.75% 4/15/25 (d) | 60,000 | 61,754 | |
Accor SA 2.375% 11/29/28 (Reg. S) | EUR | 1,300,000 | 1,401,302 |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 3,080,000 | 3,033,800 | |
Aramark Services, Inc.: | |||
5% 2/1/28 (d) | 4,963,000 | 4,971,859 | |
6.375% 5/1/25 (d) | 275,000 | 284,763 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29 (d) | 1,420,000 | 1,347,225 | |
6.25% 7/1/25 (d) | 2,405,000 | 2,493,745 | |
8.125% 7/1/27 (d) | 9,120,000 | 9,831,178 | |
Carnival Corp.: | |||
4% 8/1/28 (d) | 2,825,000 | 2,697,875 | |
5.75% 3/1/27 (d) | 5,150,000 | 5,008,375 | |
6% 5/1/29 (d) | 3,870,000 | 3,734,550 | |
6.65% 1/15/28 | 225,000 | 220,219 | |
7.625% 3/1/26 (d) | 5,645,000 | 5,803,004 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d) | 3,230,000 | 3,074,750 | |
GENM Capital Labuan Ltd. 3.882% 4/19/31 (d) | 860,000 | 783,568 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 5,550,000 | 5,702,625 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (d) | 2,775,000 | 2,637,915 | |
3.75% 5/1/29 (d) | 370,000 | 357,050 | |
4% 5/1/31 (d) | 1,345,000 | 1,314,623 | |
5.75% 5/1/28 (d) | 230,000 | 240,350 | |
Hilton Grand Vacations Borrower Escrow LLC 4.875% 7/1/31 (d) | 795,000 | 757,238 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 3,490,000 | 4,715,076 |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) | 700,000 | 702,625 | |
MajorDrive Holdings IV LLC 6.375% 6/1/29 (d) | 1,080,000 | 977,486 | |
Marriott Ownership Resorts, Inc.: | |||
4.5% 6/15/29 (d) | 225,000 | 213,188 | |
4.75% 1/15/28 | 775,000 | 757,349 | |
6.125% 9/15/25 (d) | 396,000 | 408,870 | |
McDonald's Corp.: | |||
3.5% 7/1/27 | 3,551,000 | 3,720,323 | |
3.6% 7/1/30 | 4,224,000 | 4,430,809 | |
Melco Resorts Finance Ltd.: | |||
5.375% 12/4/29 (d) | 1,374,000 | 1,192,371 | |
5.75% 7/21/28 (d) | 1,984,000 | 1,793,040 | |
NagaCorp Ltd. 7.95% 7/6/24 (Reg. S) | 1,200,000 | 1,101,600 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (d) | 2,730,000 | 2,560,098 | |
5.875% 3/15/26 (d) | 670,000 | 644,875 | |
7.75% 2/15/29 (d) | 1,460,000 | 1,503,508 | |
NCL Finance Ltd. 6.125% 3/15/28 (d) | 475,000 | 458,375 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29 (d) | 1,935,000 | 1,755,103 | |
5.875% 9/1/31 (d) | 916,000 | 824,400 | |
Royal Caribbean Cruises Ltd.: | |||
4.25% 7/1/26 (d) | 2,850,000 | 2,700,375 | |
5.375% 7/15/27 (d) | 1,095,000 | 1,075,684 | |
5.5% 8/31/26 (d) | 2,920,000 | 2,906,203 | |
5.5% 4/1/28 (d) | 3,635,000 | 3,562,627 | |
9.125% 6/15/23 (d) | 130,000 | 135,688 | |
10.875% 6/1/23 (d) | 615,000 | 660,123 | |
Scientific Games Corp. 5% 10/15/25 (d) | 684,000 | 690,840 | |
Station Casinos LLC 4.5% 2/15/28 (d) | 1,190,000 | 1,143,888 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (d) | 352,000 | 347,600 | |
Times Square Hotel Trust 8.528% 8/1/26 (c)(d) | 463,399 | 480,742 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | 475,000 | 445,814 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 1,460,000 | 1,390,650 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 900,000 | 1,162,618 |
3.375% 10/16/25 (Reg. S) | GBP | 3,300,000 | 4,494,939 |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | 1,345,000 | 1,324,825 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | 2,407,000 | 2,382,930 | |
Wynn Macau Ltd. 5.5% 10/1/27 (d) | 2,885,000 | 2,507,931 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 2,570,000 | 2,518,600 | |
115,378,655 | |||
Household Durables - 0.0% | |||
Adams Homes, Inc. 7.5% 2/15/25 (d) | 280,000 | 283,500 | |
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d) | 690,000 | 655,500 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,650,000 | 1,992,650 |
TopBuild Corp. 4.125% 2/15/32 (d) | 2,570,000 | 2,443,813 | |
5,375,463 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 635,000 | 570,535 | |
B2W Digital Lux SARL 4.375% 12/20/30 (d) | 1,260,000 | 1,086,750 | |
JD.com, Inc. 3.375% 1/14/30 | 965,000 | 967,885 | |
Meituan: | |||
2.125% 10/28/25 (d) | 745,000 | 685,273 | |
3.05% 10/28/30 (d) | 665,000 | 554,984 | |
Prosus NV: | |||
3.257% 1/19/27 (d) | 500,000 | 475,000 | |
3.68% 1/21/30 (d) | 615,000 | 551,117 | |
4.027% 8/3/50 (d) | 860,000 | 666,500 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 2,789,000 | 2,858,725 | |
8,416,769 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 8,864,000 | 9,015,276 | |
Multiline Retail - 0.1% | |||
John Lewis PLC 6.125% 1/21/25 | GBP | 4,391,000 | 6,304,454 |
Marks & Spencer PLC: | |||
3.75% 5/19/26 (Reg. S) | GBP | 1,860,000 | 2,483,557 |
4.5% 7/10/27 (Reg. S) | GBP | 1,600,000 | 2,145,005 |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 1,160,000 | 1,038,618 | |
4.375% 4/1/30 | 775,000 | 711,605 | |
12,683,239 | |||
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 1,671,000 | 1,800,608 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 2,398,000 | 2,481,080 | |
4% 4/15/30 | 11,145,000 | 11,843,006 | |
Bath & Body Works, Inc.: | |||
5.25% 2/1/28 | 295,000 | 306,987 | |
6.625% 10/1/30 (d) | 455,000 | 492,556 | |
6.694% 1/15/27 | 1,080,000 | 1,183,950 | |
Carvana Co.: | |||
4.875% 9/1/29 (d) | 950,000 | 792,025 | |
5.5% 4/15/27 (d) | 1,550,000 | 1,384,987 | |
5.625% 10/1/25 (d) | 1,785,000 | 1,712,261 | |
5.875% 10/1/28 (d) | 390,000 | 348,075 | |
Foot Locker, Inc. 4% 10/1/29 (d) | 4,105,000 | 3,735,550 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 490,000 | 454,059 | |
Lowe's Companies, Inc. 4.5% 4/15/30 | 8,031,000 | 8,858,016 | |
Michaels Companies, Inc.: | |||
5.25% 5/1/28 (d) | 1,020,000 | 953,700 | |
7.875% 5/1/29 (d) | 785,000 | 686,875 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 2,481,000 | 2,657,367 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 1,900,000 | 2,017,827 |
41,708,929 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Kontoor Brands, Inc. 4.125% 11/15/29 (d) | 410,000 | 386,425 | |
Levi Strauss & Co. 3.5% 3/1/31 (d) | 1,670,000 | 1,556,390 | |
Wolverine World Wide, Inc. 4% 8/15/29 (d) | 2,280,000 | 2,103,300 | |
4,046,115 | |||
TOTAL CONSUMER DISCRETIONARY | 271,404,648 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 1.0% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 13,110,000 | 14,510,862 | |
4.9% 2/1/46 | 16,343,000 | 18,279,959 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 18,100,000 | 18,909,716 | |
4.35% 6/1/40 | 7,470,000 | 7,966,297 | |
4.5% 6/1/50 | 20,000,000 | 22,007,621 | |
4.75% 4/15/58 | 10,214,000 | 11,289,529 | |
5.45% 1/23/39 | 9,200,000 | 10,960,119 | |
5.55% 1/23/49 | 21,036,000 | 26,046,967 | |
5.8% 1/23/59 (Reg. S) | 22,287,000 | 28,566,223 | |
Central American Bottling Corp. 5.25% 4/27/29 (d) | 485,000 | 491,208 | |
Constellation Brands, Inc. 4.25% 5/1/23 | 1,889,000 | 1,941,388 | |
Primo Water Holdings, Inc. 4.375% 4/30/29 (d) | 3,720,000 | 3,464,659 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 13,095,000 | 13,795,568 | |
3.45% 3/25/30 | 7,303,000 | 7,717,329 | |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 5,620,000 | 5,178,156 | |
191,125,601 | |||
Food & Staples Retailing - 0.2% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (d) | 7,345,000 | 6,830,850 | |
4.875% 2/15/30 (d) | 1,820,000 | 1,824,550 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 4,885,000 | 4,249,950 | |
NBM U.S. Holdings, Inc. 6.625% 8/6/29 (d) | 1,665,000 | 1,758,968 | |
Performance Food Group, Inc. 5.5% 10/15/27 (d) | 2,444,000 | 2,486,770 | |
Sysco Corp.: | |||
5.95% 4/1/30 | 4,765,000 | 5,698,105 | |
6.6% 4/1/50 | 7,190,000 | 10,003,320 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (d) | 580,000 | 563,980 | |
4.75% 2/15/29 (d) | 1,635,000 | 1,617,342 | |
35,033,835 | |||
Food Products - 0.4% | |||
Adecoagro SA 6% 9/21/27 (d) | 1,010,000 | 1,010,189 | |
Camposol SA 6% 2/3/27 (d) | 325,000 | 315,819 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (d) | 18,135,000 | 17,047,081 | |
3.625% 1/15/32 (d) | 3,395,000 | 3,080,453 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) | 2,460,000 | 2,589,175 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (d) | 18,025,000 | 15,907,243 | |
5.5% 1/15/30 (d) | 5,930,000 | 6,127,024 | |
6.5% 4/15/29 (d) | 4,330,000 | 4,595,213 | |
JDE Peet's BV 2.25% 9/24/31 (d) | 3,800,000 | 3,444,762 | |
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d) | 3,310,000 | 3,202,425 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (d) | 1,255,000 | 1,181,532 | |
5.5% 12/15/29 (d) | 2,944,000 | 2,968,685 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 1,810,000 | 1,651,625 | |
63,121,226 | |||
Household Products - 0.0% | |||
Diamond BC BV 4.625% 10/1/29 (d) | 2,565,000 | 2,334,689 | |
Personal Products - 0.0% | |||
Natura Cosmeticos SA 4.125% 5/3/28 (d) | 970,000 | 913,784 | |
Tobacco - 0.5% | |||
Altria Group, Inc.: | |||
4.25% 8/9/42 | 10,924,000 | 9,973,424 | |
4.5% 5/2/43 | 7,299,000 | 6,818,756 | |
4.8% 2/14/29 | 1,994,000 | 2,154,099 | |
5.375% 1/31/44 | 13,161,000 | 13,732,495 | |
5.95% 2/14/49 | 2,582,000 | 2,868,111 | |
BAT International Finance PLC 2.25% 6/26/28 (Reg. S) | GBP | 4,845,000 | 5,952,096 |
Imperial Tobacco Finance PLC: | |||
3.5% 7/26/26 (d) | 8,121,000 | 8,231,034 | |
3.75% 7/21/22 (d) | 7,367,000 | 7,397,432 | |
4.25% 7/21/25 (d) | 6,702,000 | 6,993,379 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 5,354,000 | 5,599,030 | |
5.7% 8/15/35 | 1,538,000 | 1,680,480 | |
5.85% 8/15/45 | 12,953,000 | 14,015,230 | |
6.15% 9/15/43 | 1,637,000 | 1,818,146 | |
7.25% 6/15/37 | 1,835,000 | 2,255,981 | |
89,489,693 | |||
TOTAL CONSUMER STAPLES | 382,018,828 | ||
ENERGY - 4.8% | |||
Energy Equipment & Services - 0.1% | |||
Guara Norte SARL 5.198% 6/15/34 (d) | 714,857 | 652,754 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 86,000 | 90,006 | |
4.85% 11/15/35 | 3,103,000 | 3,418,527 | |
Oleoducto Central SA 4% 7/14/27 (d) | 850,000 | 802,878 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (d) | 1,449,000 | 1,617,265 | |
State Oil Co. of Azerbaijan Republic: | |||
4.75% 3/13/23 (Reg. S) | 235,000 | 236,807 | |
6.95% 3/18/30 (Reg. S) | 400,000 | 461,000 | |
Technip Energies NV 1.125% 5/28/28 | EUR | 2,200,000 | 2,308,018 |
The Oil and Gas Holding Co.: | |||
7.5% 10/25/27 (d) | 903,000 | 936,863 | |
7.625% 11/7/24 (d) | 1,250,000 | 1,306,250 | |
8.375% 11/7/28 (d) | 260,000 | 281,372 | |
Transocean Guardian Ltd. 5.875% 1/15/24 (d) | 918,692 | 878,922 | |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) | 190,000 | 191,900 | |
Transocean Pontus Ltd. 6.125% 8/1/25 (d) | 467,400 | 460,389 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | 1,068,750 | 1,043,880 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (d) | 210,000 | 208,425 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (d) | 1,012,288 | 976,858 | |
15,872,114 | |||
Oil, Gas & Consumable Fuels - 4.7% | |||
Apache Corp.: | |||
4.25% 1/15/30 | 555,000 | 559,163 | |
4.375% 10/15/28 | 635,000 | 642,938 | |
Canacol Energy Ltd. 5.75% 11/24/28 (d) | 530,000 | 495,550 | |
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 9,072,000 | 9,416,682 | |
5.85% 2/1/35 | 3,955,000 | 4,651,927 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 2,040,000 | 1,840,642 | |
4.25% 4/15/27 | 12,993,000 | 13,739,898 | |
5.4% 6/15/47 | 2,296,000 | 2,583,546 | |
6.75% 11/15/39 | 4,278,000 | 5,360,629 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 2,765,000 | 2,824,890 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 675,000 | 678,375 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26 (d) | 8,535,000 | 8,469,281 | |
7% 6/15/25 (d) | 6,415,000 | 6,415,000 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (d) | 2,465,000 | 2,537,175 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,708,000 | 1,811,189 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30 (d) | 2,405,000 | 2,326,681 | |
6.75% 3/1/29 (d) | 3,025,000 | 3,078,089 | |
7.5% 5/15/25 (d) | 430,000 | 439,821 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (d) | 8,202,000 | 8,140,485 | |
5.75% 4/1/25 | 3,991,000 | 4,015,944 | |
6% 2/1/29 (d) | 5,915,000 | 5,961,551 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | 745,000 | 758,038 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (d) | 7,230,000 | 6,998,857 | |
5.75% 2/15/28 (d) | 5,298,000 | 4,993,365 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 2,008,000 | 2,030,590 | |
5.85% 5/21/43 (d)(f) | 9,176,000 | 8,533,680 | |
6.45% 11/3/36 (d) | 4,987,000 | 6,031,016 | |
Delek Logistics Partners LP 7.125% 6/1/28 (d) | 3,517,000 | 3,438,606 | |
Delek Overriding Royalty Levia 7.494% 12/30/23 (Reg. S) (d) | 1,270,000 | 1,295,400 | |
DT Midstream, Inc. 4.125% 6/15/29 (d) | 1,165,000 | 1,124,225 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (d) | 2,905,000 | 2,905,000 | |
8.5% 10/30/25 (d) | 4,855,000 | 4,903,550 | |
EIG Pearl Holdings SARL 3.545% 8/31/36 (d) | 905,000 | 883,325 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (d) | 3,283,000 | 3,398,521 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 5,655,000 | 5,801,008 | |
4.25% 12/1/26 | 2,805,000 | 2,988,885 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) | 2,199,000 | 2,277,482 | |
Energean Israel Finance Ltd. 4.875% 3/30/26 (Reg. S) (d) | 845,000 | 801,905 | |
Energean PLC 6.5% 4/30/27 (d) | 770,000 | 728,516 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 4,728,000 | 4,804,432 | |
3.9% 5/15/24 (f) | 1,542,000 | 1,581,624 | |
4.2% 9/15/23 | 2,098,000 | 2,157,416 | |
4.25% 3/15/23 | 2,044,000 | 2,083,119 | |
4.5% 4/15/24 | 2,483,000 | 2,581,564 | |
4.95% 6/15/28 | 7,159,000 | 7,699,403 | |
5% 5/15/50 | 10,571,000 | 10,994,737 | |
5.25% 4/15/29 | 4,040,000 | 4,434,076 | |
5.4% 10/1/47 | 18,419,000 | 19,710,109 | |
5.8% 6/15/38 | 3,992,000 | 4,430,257 | |
6% 6/15/48 | 2,599,000 | 2,916,047 | |
6.25% 4/15/49 | 2,774,000 | 3,203,389 | |
EnLink Midstream LLC 5.625% 1/15/28 (d) | 500,000 | 505,000 | |
EQM Midstream Partners LP 6.5% 7/1/27 (d) | 1,010,000 | 1,056,349 | |
EQT Corp.: | |||
3.9% 10/1/27 | 635,000 | 641,791 | |
5% 1/15/29 | 950,000 | 1,002,250 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 31,960,000 | 33,747,642 | |
FEL Energy VI SARL 5.75% 12/1/40 (d) | 400,397 | 376,373 | |
Galaxy Pipeline Assets BidCo Ltd. 2.625% 3/31/36 (d) | 850,000 | 765,956 | |
GeoPark Ltd. 6.5% 9/21/24 (d) | 720,000 | 732,285 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 2,565,000 | 2,604,014 | |
7% 8/1/27 | 3,737,000 | 3,765,028 | |
Harvest Midstream I LP 7.5% 9/1/28 (d) | 2,135,000 | 2,154,856 | |
Hess Corp.: | |||
4.3% 4/1/27 | 11,010,000 | 11,639,779 | |
5.6% 2/15/41 | 2,958,000 | 3,393,165 | |
5.8% 4/1/47 | 8,637,000 | 10,335,487 | |
7.125% 3/15/33 | 2,041,000 | 2,588,035 | |
7.3% 8/15/31 | 2,651,000 | 3,361,792 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30 (d) | 780,000 | 752,950 | |
5.125% 6/15/28 (d) | 2,915,000 | 2,977,192 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 2/1/29 (d) | 555,000 | 557,775 | |
6.25% 11/1/28 (d) | 555,000 | 565,734 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 2,885,000 | 2,755,175 | |
Indika Energy Capital IV Pte Ltd. 8.25% 10/22/25 (d) | 510,000 | 499,800 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33 (d) | 495,000 | 445,500 | |
4.75% 4/24/25 (d) | 152,000 | 156,731 | |
5.75% 4/19/47 (d) | 250,000 | 256,250 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 3,804,000 | 3,845,672 | |
5.5% 3/1/44 | 15,589,000 | 17,522,506 | |
6.55% 9/15/40 | 686,000 | 844,255 | |
Kinder Morgan, Inc.: | |||
5.05% 2/15/46 | 1,762,000 | 1,905,694 | |
5.55% 6/1/45 | 4,783,000 | 5,489,055 | |
Kosmos Energy Ltd. 7.125% 4/4/26 (d) | 2,305,000 | 2,183,699 | |
Leviathan Bond Ltd.: | |||
5.75% 6/30/23 (Reg. S) (d) | 535,000 | 538,055 | |
6.125% 6/30/25 (Reg. S) (d) | 885,000 | 902,700 | |
MC Brazil Downstream Trading SARL 7.25% 6/30/31 (d) | 895,000 | 825,638 | |
Medco Laurel Tree Pte Ltd. 6.95% 11/12/28 (d) | 890,000 | 858,405 | |
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (d) | 155,000 | 156,163 | |
Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (d) | 700,000 | 702,975 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (d) | 370,000 | 374,037 | |
7.125% 2/1/27 (d) | 2,110,000 | 2,201,047 | |
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e) | 4,592,000 | 0 | |
MPLX LP: | |||
4.5% 7/15/23 | 3,588,000 | 3,683,581 | |
4.8% 2/15/29 | 2,198,000 | 2,408,202 | |
4.875% 12/1/24 | 4,860,000 | 5,149,841 | |
5.5% 2/15/49 | 6,593,000 | 7,521,223 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | 505,000 | 468,388 | |
NAK Naftogaz Ukraine: | |||
7.375% 7/19/22 (Reg. S) | 955,000 | 286,500 | |
7.625% 11/8/26 (d) | 305,000 | 76,250 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26 (d) | 9,015,000 | 8,646,422 | |
6.75% 9/15/25 (d) | 8,889,000 | 8,544,462 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | 8,535,000 | 8,570,207 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 11/1/23 | 1,550,000 | 1,488,000 | |
Nostrum Oil & Gas Finance BV 8% 7/25/22 (d)(e) | 4,009,000 | 1,092,453 | |
Occidental Petroleum Corp.: | |||
3.2% 8/15/26 | 1,253,000 | 1,252,624 | |
3.5% 8/15/29 | 3,946,000 | 3,926,270 | |
4.3% 8/15/39 | 575,000 | 543,375 | |
4.4% 8/15/49 | 575,000 | 546,129 | |
4.5% 7/15/44 | 17,494,000 | 16,531,830 | |
5.55% 3/15/26 | 8,636,000 | 9,281,109 | |
6.125% 1/1/31 | 1,730,000 | 1,967,183 | |
6.45% 9/15/36 | 10,061,000 | 11,846,828 | |
6.6% 3/15/46 | 10,444,000 | 12,480,580 | |
7.5% 5/1/31 | 17,069,000 | 20,696,163 | |
7.875% 9/15/31 | 465,000 | 575,121 | |
8.875% 7/15/30 | 1,595,000 | 2,062,335 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | 8,070,000 | 8,150,700 | |
Petrobras Global Finance BV: | |||
6.75% 6/3/50 | 660,000 | 636,917 | |
6.875% 1/20/40 | 895,000 | 927,052 | |
8.75% 5/23/26 | 1,071,000 | 1,256,618 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 (e) | 353,900 | 13,271 | |
6% 5/16/24 (d)(e) | 1,847,331 | 69,275 | |
6% 11/15/26 (d)(e) | 1,619,833 | 56,694 | |
12.75% 12/31/49 (d)(e) | 98,000 | 3,675 | |
Petroleos Mexicanos: | |||
3 month U.S. LIBOR + 3.650% 3.8509% 3/11/22 (f)(g) | 640,000 | 639,680 | |
2.5% 11/24/22 (Reg. S) | EUR | 1,702,000 | 1,913,138 |
3.5% 1/30/23 | 890,000 | 891,157 | |
4.5% 1/23/26 | 13,054,000 | 12,824,250 | |
4.875% 1/18/24 | 2,674,000 | 2,731,491 | |
5.375% 3/13/22 | 320,000 | 319,808 | |
5.95% 1/28/31 | 36,690,000 | 34,119,866 | |
6.35% 2/12/48 | 31,726,000 | 25,370,965 | |
6.49% 1/23/27 | 14,935,000 | 15,330,778 | |
6.5% 3/13/27 | 41,764,000 | 42,870,746 | |
6.5% 6/2/41 | 255,000 | 212,925 | |
6.625% 6/15/35 | 2,892,000 | 2,609,307 | |
6.7% 2/16/32 (d) | 11,217,000 | 10,768,320 | |
6.75% 9/21/47 | 17,753,000 | 14,617,820 | |
6.84% 1/23/30 | 33,047,000 | 32,992,472 | |
6.875% 10/16/25 (d) | 575,000 | 608,063 | |
6.95% 1/28/60 | 15,538,000 | 12,828,173 | |
7.69% 1/23/50 | 30,133,000 | 26,969,035 | |
Petronas Capital Ltd. 3.5% 4/21/30 (d) | 335,000 | 343,782 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 1,014,000 | 1,035,892 | |
3.85% 4/9/25 | 1,307,000 | 1,358,282 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,653,882 | |
3.6% 11/1/24 | 2,794,000 | 2,859,361 | |
3.65% 6/1/22 | 2,592,000 | 2,592,000 | |
PT Adaro Indonesia 4.25% 10/31/24 (d) | 1,080,000 | 1,062,990 | |
Qatar Petroleum: | |||
1.375% 9/12/26 (d) | 770,000 | 732,463 | |
2.25% 7/12/31 (d) | 1,330,000 | 1,253,525 | |
3.125% 7/12/41 (d) | 880,000 | 830,500 | |
3.3% 7/12/51 (d) | 900,000 | 848,250 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (d) | 110,000 | 106,425 | |
4.95% 7/15/29 (d) | 1,290,000 | 1,248,075 | |
6.875% 4/15/40 (d) | 490,000 | 499,800 | |
SA Global Sukuk Ltd. 1.602% 6/17/26 (d) | 935,000 | 894,094 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 17,428,000 | 18,801,124 | |
Saudi Arabian Oil Co.: | |||
1.625% 11/24/25 (d) | 1,350,000 | 1,302,750 | |
3.5% 4/16/29 (d) | 2,980,000 | 3,063,082 | |
4.25% 4/16/39 (d) | 1,665,000 | 1,771,144 | |
4.375% 4/16/49 (d) | 555,000 | 590,381 | |
Sibur Securities DAC 2.95% 7/8/25 (d) | 330,000 | 82,500 | |
Sinopec Group Overseas Development Ltd.: | |||
1.45% 1/8/26 (d) | 530,000 | 513,252 | |
2.7% 5/13/30 (d) | 325,000 | 315,117 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 1,430,000 | 1,423,093 | |
6.5% 7/15/28 | 1,198,000 | 1,227,950 | |
6.75% 9/15/26 | 335,000 | 338,350 | |
Southwestern Energy Co. 4.75% 2/1/32 | 1,170,000 | 1,163,471 | |
SUEK Securities DAC 3.375% 9/15/26 (d) | 1,250,000 | 725,000 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 1,440,000 | 1,379,952 | |
5.875% 3/15/28 | 1,270,000 | 1,292,225 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28 (d) | 2,843,000 | 2,739,941 | |
6% 3/1/27 (d) | 6,105,000 | 6,105,000 | |
6% 12/31/30 (d) | 2,630,000 | 2,533,111 | |
6% 9/1/31 (d) | 2,615,000 | 2,464,638 | |
7.5% 10/1/25 (d) | 270,000 | 283,500 | |
Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (d) | 955,000 | 859,500 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 18,443,000 | 18,748,426 | |
3.9% 1/15/25 | 9,678,000 | 10,050,223 | |
4% 9/15/25 | 1,089,000 | 1,134,300 | |
4.3% 3/4/24 | 14,855,000 | 15,403,123 | |
4.5% 11/15/23 | 2,658,000 | 2,756,198 | |
4.55% 6/24/24 | 12,340,000 | 12,920,178 | |
5.75% 6/24/44 | 6,964,000 | 8,172,874 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 2,221,000 | 2,237,379 | |
Tullow Oil PLC: | |||
7% 3/1/25 (d) | 255,000 | 199,538 | |
10.25% 5/15/26 (d) | 1,500,000 | 1,455,000 | |
Uzbekneftegaz JSC 4.75% 11/16/28 (d) | 200,000 | 176,000 | |
Valero Energy Corp. 2.85% 4/15/25 | 506,000 | 509,707 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (d) | 1,500,000 | 1,468,425 | |
4.125% 8/15/31 (d) | 1,485,000 | 1,470,150 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,764,000 | 1,786,050 | |
4.65% 7/1/26 | 2,834,000 | 2,936,449 | |
4.75% 8/15/28 | 2,108,000 | 2,181,780 | |
YPF SA: | |||
4% 2/12/26 (d)(h) | 893,405 | 759,126 | |
8.5% 3/23/25 (d) | 745,500 | 663,402 | |
8.75% 4/4/24 (d) | 2,356,000 | 2,187,134 | |
872,351,544 | |||
TOTAL ENERGY | 888,223,658 | ||
FINANCIALS - 11.7% | |||
Banks - 4.5% | |||
Access Bank PLC 6.125% 9/21/26 (d) | 670,000 | 639,850 | |
AIB Group PLC: | |||
1.875% 11/19/29 (Reg. S) (f) | EUR | 4,000,000 | 4,418,514 |
2.875% 5/30/31 (Reg. S) (f) | EUR | 550,000 | 615,084 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (f) | EUR | 1,750,000 | 1,785,591 |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (d) | 143,000 | 146,039 | |
Bank of America Corp.: | |||
2.299% 7/21/32 (f) | 18,130,000 | 16,818,347 | |
3.3% 1/11/23 | 327,000 | 332,495 | |
3.419% 12/20/28 (f) | 8,456,000 | 8,644,902 | |
3.5% 4/19/26 | 7,461,000 | 7,728,076 | |
3.705% 4/24/28 (f) | 11,813,000 | 12,236,287 | |
3.864% 7/23/24 (f) | 24,740,000 | 25,299,100 | |
3.95% 4/21/25 | 6,226,000 | 6,456,331 | |
4.1% 7/24/23 | 4,167,000 | 4,304,963 | |
4.2% 8/26/24 | 14,710,000 | 15,316,027 | |
4.25% 10/22/26 | 5,344,000 | 5,642,451 | |
4.45% 3/3/26 | 3,050,000 | 3,249,855 | |
Bank of Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S) (f) | EUR | 3,300,000 | 3,493,562 |
2.029% 9/30/27 (d)(f) | 3,750,000 | 3,527,078 | |
2.375% 10/14/29 (Reg. S) (f) | EUR | 2,960,000 | 3,320,632 |
3.125% 9/19/27 (Reg. S) (f) | GBP | 4,405,000 | 5,918,290 |
Barclays Bank PLC 1.7% 5/12/22 | 6,251,000 | 6,256,404 | |
Barclays PLC: | |||
2% 2/7/28 (Reg. S) (f) | EUR | 1,600,000 | 1,807,222 |
2.852% 5/7/26 (f) | 17,739,000 | 17,732,501 | |
4.375% 1/12/26 | 9,104,000 | 9,591,953 | |
5.088% 6/20/30 (f) | 14,797,000 | 15,783,852 | |
5.2% 5/12/26 | 6,970,000 | 7,471,352 | |
BBVA Bancomer SA Texas Branch 6.75% 9/30/22 (d) | 435,000 | 444,244 | |
Biz Finance PLC 9.625% 4/27/22 (d) | 172,667 | 101,729 | |
BNP Paribas SA: | |||
2.159% 9/15/29 (d)(f) | 5,025,000 | 4,652,247 | |
2.219% 6/9/26 (d)(f) | 15,515,000 | 15,200,240 | |
BPCE SA 1.5% 1/13/42 (Reg. S) (f) | EUR | 3,400,000 | 3,607,486 |
Citigroup, Inc.: | |||
2.75% 4/25/22 | 9,073,000 | 9,085,528 | |
3.352% 4/24/25 (f) | 9,970,000 | 10,169,397 | |
4.05% 7/30/22 | 1,925,000 | 1,948,969 | |
4.3% 11/20/26 | 3,067,000 | 3,261,680 | |
4.4% 6/10/25 | 18,137,000 | 19,028,669 | |
4.412% 3/31/31 (f) | 22,342,000 | 24,206,837 | |
4.45% 9/29/27 | 10,486,000 | 11,199,393 | |
4.6% 3/9/26 | 4,812,000 | 5,131,913 | |
5.5% 9/13/25 | 8,473,000 | 9,236,336 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 5,802,000 | 5,380,635 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (d)(f) | 5,339,000 | 5,331,055 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 11,142,000 | 11,286,394 | |
Danske Bank A/S: | |||
2.25% 1/14/28 (Reg. S) (f) | GBP | 2,290,000 | 2,999,394 |
5.375% 1/12/24 (Reg. S) | 4,000,000 | 4,213,093 | |
Development Bank of Mongolia 7.25% 10/23/23 (d) | 159,000 | 164,247 | |
Discover Bank 4.2% 8/8/23 | 6,479,000 | 6,668,411 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (f) | 2,695,000 | 2,748,723 | |
Georgia Bank Joint Stock Co. 6% 7/26/23 (d) | 1,289,000 | 1,314,780 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 2,247,000 | 2,327,726 | |
4.95% 3/31/30 | 3,002,000 | 3,320,677 | |
Intesa Sanpaolo SpA: | |||
3.875% 7/14/27 (d) | 3,181,000 | 3,217,705 | |
4.198% 6/1/32 (d)(f) | 2,306,000 | 2,085,947 | |
5.017% 6/26/24 (d) | 9,000,000 | 9,268,961 | |
5.71% 1/15/26 (d) | 32,489,000 | 34,245,599 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (f) | 9,435,000 | 9,174,671 | |
3.25% 9/23/22 | 6,686,000 | 6,766,945 | |
3.797% 7/23/24 (f) | 25,215,000 | 25,818,210 | |
3.875% 9/10/24 | 12,990,000 | 13,471,173 | |
4.125% 12/15/26 | 11,765,000 | 12,514,663 | |
4.452% 12/5/29 (f) | 20,700,000 | 22,379,727 | |
4.493% 3/24/31 (f) | 30,800,000 | 33,807,181 | |
Lloyds Banking Group PLC 1.985% 12/15/31 (f) | GBP | 1,600,000 | 2,022,488 |
National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S) | 325,000 | 298,553 | |
NatWest Group PLC: | |||
2.105% 11/28/31 (Reg. S) (f) | GBP | 2,650,000 | 3,361,229 |
3.073% 5/22/28 (f) | 9,805,000 | 9,801,642 | |
3.622% 8/14/30 (Reg. S) (f) | GBP | 1,055,000 | 1,423,151 |
4.8% 4/5/26 | 9,111,000 | 9,768,432 | |
5.125% 5/28/24 | 25,230,000 | 26,548,973 | |
6% 12/19/23 | 41,587,000 | 44,113,151 | |
6.1% 6/10/23 | 15,243,000 | 15,975,605 | |
6.125% 12/15/22 | 15,445,000 | 15,957,062 | |
NatWest Markets PLC 2.375% 5/21/23 (d) | 18,955,000 | 19,083,173 | |
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (d) | 183,000 | 109,800 | |
Rabobank Nederland 4.375% 8/4/25 | 9,413,000 | 9,855,465 | |
Societe Generale: | |||
1.038% 6/18/25 (d)(f) | 36,500,000 | 35,120,729 | |
1.488% 12/14/26 (d)(f) | 18,670,000 | 17,451,433 | |
4.25% 4/14/25 (d) | 1,800,000 | 1,843,187 | |
4.75% 11/24/25 (d) | 400,000 | 417,016 | |
UniCredit SpA: | |||
2.731% 1/15/32 (Reg. S) (f) | EUR | 3,350,000 | 3,580,067 |
5.861% 6/19/32 (d)(f) | 1,500,000 | 1,518,408 | |
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (f) | GBP | 1,600,000 | 2,244,988 |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (f) | 9,442,000 | 9,411,440 | |
4.478% 4/4/31 (f) | 30,867,000 | 33,692,394 | |
5.013% 4/4/51 (f) | 34,319,000 | 42,260,054 | |
Westpac Banking Corp. 4.11% 7/24/34 (f) | 7,550,000 | 7,795,632 | |
837,971,415 | |||
Capital Markets - 3.2% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 7,624,000 | 7,887,489 | |
4.25% 2/15/24 | 5,321,000 | 5,547,634 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 25,763,000 | 26,119,645 | |
4.2% 6/10/24 | 17,909,000 | 18,499,125 | |
AssuredPartners, Inc. 5.625% 1/15/29 (d) | 1,015,000 | 933,597 | |
Coinbase Global, Inc. 3.375% 10/1/28 (d) | 3,175,000 | 2,892,870 | |
Credit Suisse Group AG: | |||
2.125% 11/15/29 (Reg. S) (f) | GBP | 2,000,000 | 2,521,194 |
2.593% 9/11/25 (d)(f) | 21,556,000 | 21,448,811 | |
3.75% 3/26/25 | 7,059,000 | 7,239,945 | |
3.8% 6/9/23 | 13,301,000 | 13,594,379 | |
3.869% 1/12/29 (d)(f) | 6,719,000 | 6,804,464 | |
4.194% 4/1/31 (d)(f) | 21,526,000 | 22,355,781 | |
4.207% 6/12/24 (d)(f) | 10,289,000 | 10,544,340 | |
4.282% 1/9/28 (d) | 3,350,000 | 3,483,990 | |
6.5% 8/8/23 (Reg. S) | 6,575,000 | 6,892,178 | |
Deutsche Bank AG: | |||
4.1% 1/13/26 | 3,085,000 | 3,217,472 | |
4.5% 4/1/25 | 43,904,000 | 45,133,946 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 17,274,000 | 17,458,371 | |
3.729% 1/14/32 (f) | 29,675,000 | 28,008,635 | |
5.882% 7/8/31 (f) | 4,150,000 | 4,500,804 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (f) | 18,352,000 | 17,011,681 | |
3.2% 2/23/23 | 6,170,000 | 6,245,632 | |
3.691% 6/5/28 (f) | 72,922,000 | 75,490,306 | |
3.75% 5/22/25 | 7,259,000 | 7,508,412 | |
3.8% 3/15/30 | 36,810,000 | 38,343,176 | |
6.75% 10/1/37 | 3,974,000 | 5,221,445 | |
Hightower Holding LLC 6.75% 4/15/29 (d) | 1,635,000 | 1,635,000 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | 680,000 | 663,000 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 4,181,000 | 4,330,242 | |
3.75% 3/24/25 | 10,682,000 | 11,145,863 | |
4.875% 2/15/24 | 3,926,000 | 4,117,008 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 4,718,000 | 4,785,402 | |
3.125% 7/27/26 | 39,505,000 | 40,269,609 | |
3.622% 4/1/31 (f) | 21,065,000 | 21,776,998 | |
3.737% 4/24/24 (f) | 45,366,000 | 46,212,103 | |
4.431% 1/23/30 (f) | 8,668,000 | 9,351,112 | |
4.875% 11/1/22 | 9,523,000 | 9,739,492 | |
5% 11/24/25 | 15,462,000 | 16,711,123 | |
State Street Corp. 2.825% 3/30/23 (f) | 1,428,000 | 1,429,254 | |
UBS Group AG: | |||
1.494% 8/10/27 (d)(f) | 11,454,000 | 10,803,598 | |
4.125% 9/24/25 (d) | 6,852,000 | 7,179,726 | |
595,054,852 | |||
Consumer Finance - 2.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 21,930,000 | 21,283,037 | |
2.45% 10/29/26 | 8,002,000 | 7,720,148 | |
2.875% 8/14/24 | 12,392,000 | 12,401,907 | |
3% 10/29/28 | 8,382,000 | 8,073,282 | |
3.3% 1/30/32 | 8,966,000 | 8,512,105 | |
3.5% 5/26/22 | 547,000 | 549,287 | |
4.125% 7/3/23 | 7,415,000 | 7,580,580 | |
4.45% 4/3/26 | 6,213,000 | 6,487,625 | |
4.875% 1/16/24 | 9,923,000 | 10,298,880 | |
6.5% 7/15/25 | 7,728,000 | 8,513,932 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 4,483,000 | 4,426,520 | |
3.05% 6/5/23 | 20,571,000 | 20,815,187 | |
5.125% 9/30/24 | 4,357,000 | 4,616,911 | |
5.75% 11/20/25 | 10,400,000 | 11,072,360 | |
5.8% 5/1/25 | 11,179,000 | 12,097,493 | |
8% 11/1/31 | 5,892,000 | 7,761,135 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 16,326,000 | 16,463,420 | |
3.65% 5/11/27 | 29,451,000 | 30,498,385 | |
3.8% 1/31/28 | 13,624,000 | 14,185,597 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 12,648,000 | 12,867,589 | |
3.95% 11/6/24 | 5,349,000 | 5,551,188 | |
4.1% 2/9/27 | 6,829,000 | 7,162,158 | |
4.5% 1/30/26 | 9,265,000 | 9,860,099 | |
5.2% 4/27/22 | 4,553,000 | 4,581,421 | |
Ford Motor Credit Co. LLC: | |||
2.9% 2/10/29 | 1,940,000 | 1,811,475 | |
3.815% 11/2/27 | 1,170,000 | 1,158,885 | |
4.063% 11/1/24 | 42,632,000 | 43,260,737 | |
5.584% 3/18/24 | 12,456,000 | 12,954,240 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 2,320,000 | 2,194,720 | |
3.875% 9/15/28 | 4,190,000 | 3,880,988 | |
7.125% 3/15/26 | 460,000 | 498,640 | |
Shriram Transport Finance Co. Ltd. 4.15% 7/18/25 (d) | 695,000 | 664,290 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 3,141,000 | 3,157,418 | |
3.95% 12/1/27 | 14,204,000 | 14,632,418 | |
4.25% 8/15/24 | 11,783,000 | 12,211,658 | |
4.375% 3/19/24 | 11,497,000 | 11,888,323 | |
5.15% 3/19/29 | 21,450,000 | 23,321,521 | |
Toyota Motor Credit Corp. 2.9% 3/30/23 | 16,253,000 | 16,509,821 | |
401,525,380 | |||
Diversified Financial Services - 0.6% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 5,200,000 | 5,059,600 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 5,199,000 | 5,395,640 | |
4.05% 7/1/30 | 10,439,000 | 10,829,877 | |
4.125% 6/15/26 | 8,538,000 | 9,022,951 | |
4.125% 5/15/29 | 10,374,000 | 10,970,356 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (d) | 608,000 | 488,794 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 1,202,000 | 1,229,938 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 2,375,000 | 2,202,813 | |
5.25% 5/15/27 | 8,219,000 | 8,157,358 | |
6.25% 5/15/26 | 4,930,000 | 4,972,965 | |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 2,800,000 | 2,985,665 |
M&G PLC: | |||
5.625% 10/20/51 (Reg. S) (f) | GBP | 2,650,000 | 3,844,599 |
6.5% 10/20/48 (Reg. S) (f) | 2,050,000 | 2,270,027 | |
MDGH GMTN RSC Ltd. 2.875% 11/7/29 (d) | 740,000 | 734,450 | |
OEC Finance Ltd. 4.375% 10/25/29 pay-in-kind (d) | 16,028 | 657 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (d) | 12,849,000 | 13,454,252 | |
Pine Street Trust I 4.572% 2/15/29 (d) | 11,350,000 | 12,211,306 | |
Pine Street Trust II 5.568% 2/15/49 (d) | 11,300,000 | 13,429,890 | |
PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (d) | 335,000 | 303,238 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) | 2,770,000 | 2,548,400 | |
110,112,776 | |||
Insurance - 1.2% | |||
AIA Group Ltd.: | |||
0.88% 9/9/33 (Reg. S) (f) | EUR | 1,000,000 | 1,039,347 |
3.375% 4/7/30 (d) | 15,590,000 | 16,183,979 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27 (d) | 3,470,000 | 3,348,550 | |
6.75% 10/15/27 (d) | 11,008,000 | 10,760,320 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 30,600,000 | 30,735,074 | |
3.4% 6/30/30 | 30,600,000 | 31,461,498 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 3,025,000 | 2,881,313 | |
Cloverie PLC 4.5% 9/11/44 (Reg. S) (f) | 2,620,000 | 2,636,585 | |
Credit Agricole Assurances SA 4.75% 9/27/48 (f) | EUR | 1,700,000 | 2,101,183 |
Demeter Investments BV: | |||
5.625% 8/15/52 (Reg. S) (f) | 2,769,000 | 2,905,789 | |
5.75% 8/15/50 (Reg. S) (f) | 7,415,000 | 7,695,139 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (f) | EUR | 1,200,000 | 1,355,282 |
Five Corners Funding Trust II 2.85% 5/15/30 (d) | 20,881,000 | 20,553,161 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (d) | 4,589,000 | 5,100,371 | |
Marsh & McLennan Companies, Inc. 4.375% 3/15/29 | 7,831,000 | 8,540,997 | |
Metropolitan Life Global Funding I 3% 1/10/23 (d) | 2,866,000 | 2,908,981 | |
Pacific LifeCorp 5.125% 1/30/43 (d) | 12,258,000 | 14,307,505 | |
Pricoa Global Funding I 5.375% 5/15/45 (f) | 6,348,000 | 6,498,194 | |
Prudential PLC 2.95% 11/3/33 (Reg. S) (f) | 5,500,000 | 5,135,625 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S) (f) | GBP | 2,600,000 | 3,154,764 |
6.75% 12/2/44 (Reg. S) (f) | 3,395,000 | 3,615,675 | |
Sagicor Financial Co. Ltd. 5.3% 5/13/28 (d) | 485,000 | 483,397 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (d)(f) | 4,600,000 | 4,870,434 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (d) | 2,195,000 | 2,293,940 | |
Unum Group: | |||
3.875% 11/5/25 | 7,835,000 | 8,139,944 | |
4% 3/15/24 | 7,259,000 | 7,516,842 | |
4% 6/15/29 | 8,872,000 | 9,372,748 | |
5.75% 8/15/42 | 9,271,000 | 10,340,163 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (f) | 2,500,000 | 2,315,350 | |
228,252,150 | |||
TOTAL FINANCIALS | 2,172,916,573 | ||
HEALTH CARE - 1.6% | |||
Biotechnology - 0.0% | |||
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | 2,470,000 | 2,209,440 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 2,130,000 | 2,007,525 | |
4,216,965 | |||
Health Care Equipment & Supplies - 0.1% | |||
Avantor Funding, Inc.: | |||
3.875% 11/1/29 (d) | 3,095,000 | 2,978,349 | |
4.625% 7/15/28 (d) | 3,565,000 | 3,618,475 | |
Embecta Corp. 5% 2/15/30 (d) | 800,000 | 789,000 | |
Hologic, Inc.: | |||
3.25% 2/15/29 (d) | 2,520,000 | 2,387,700 | |
4.625% 2/1/28 (d) | 252,000 | 260,190 | |
Mozart Debt Merger Sub, Inc.: | |||
3.875% 4/1/29 (d) | 2,090,000 | 1,983,065 | |
5.25% 10/1/29 (d) | 1,025,000 | 978,875 | |
Teleflex, Inc. 4.25% 6/1/28 (d) | 680,000 | 671,500 | |
13,667,154 | |||
Health Care Providers & Services - 1.0% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 1,805,000 | 1,732,800 | |
Aetna, Inc. 2.75% 11/15/22 | 729,000 | 733,640 | |
AMN Healthcare 4% 4/15/29 (d) | 2,270,000 | 2,154,457 | |
Anthem, Inc. 3.3% 1/15/23 | 2,338,000 | 2,373,615 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 1,415,000 | 1,256,279 | |
Centene Corp.: | |||
2.45% 7/15/28 | 15,480,000 | 14,579,683 | |
2.625% 8/1/31 | 7,320,000 | 6,749,479 | |
3.375% 2/15/30 | 7,780,000 | 7,464,677 | |
4.25% 12/15/27 | 8,475,000 | 8,675,434 | |
4.625% 12/15/29 | 13,170,000 | 13,565,100 | |
Cigna Corp.: | |||
3.05% 10/15/27 | 5,900,000 | 6,020,963 | |
4.375% 10/15/28 | 11,163,000 | 12,099,184 | |
4.8% 8/15/38 | 6,950,000 | 7,742,517 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31 (d) | 2,630,000 | 2,475,488 | |
5.25% 5/15/30 (d) | 2,765,000 | 2,678,207 | |
5.625% 3/15/27 (d) | 7,140,000 | 7,198,548 | |
6% 1/15/29 (d) | 2,670,000 | 2,673,338 | |
6.125% 4/1/30 (d) | 2,120,000 | 1,971,600 | |
6.875% 4/15/29 (d) | 2,610,000 | 2,530,917 | |
8% 3/15/26 (d) | 5,580,000 | 5,789,250 | |
CVS Health Corp.: | |||
3% 8/15/26 | 1,290,000 | 1,312,835 | |
3.625% 4/1/27 | 3,769,000 | 3,949,392 | |
4.78% 3/25/38 | 10,528,000 | 11,773,068 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (d) | 6,415,000 | 6,150,381 | |
HCA Holdings, Inc. 4.75% 5/1/23 | 216,000 | 222,271 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 3,725,000 | 3,545,641 | |
MEDNAX, Inc. 5.375% 2/15/30 (d) | 1,365,000 | 1,358,175 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 550,000 | 517,770 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (d) | 1,095,000 | 1,075,838 | |
Option Care Health, Inc. 4.375% 10/31/29 (d) | 2,320,000 | 2,238,800 | |
Owens & Minor, Inc. 4.5% 3/31/29 (d) | 750,000 | 707,203 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 2,795,000 | 2,788,013 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 3,985,000 | 3,895,338 | |
Sabra Health Care LP 3.2% 12/1/31 | 19,037,000 | 17,705,068 | |
Tenet Healthcare Corp.: | |||
4.25% 6/1/29 (d) | 2,965,000 | 2,861,818 | |
4.375% 1/15/30 (d) | 3,880,000 | 3,745,092 | |
4.625% 7/15/24 | 449,000 | 450,387 | |
4.625% 6/15/28 (d) | 2,985,000 | 2,925,300 | |
6.125% 10/1/28 (d) | 7,955,000 | 8,058,415 | |
6.25% 2/1/27 (d) | 1,129,000 | 1,161,120 | |
Toledo Hospital 5.325% 11/15/28 | 3,971,000 | 4,343,262 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 225,000 | 233,156 | |
191,483,519 | |||
Health Care Technology - 0.0% | |||
Minerva Merger Sub, Inc. 6.5% 2/15/30 (d) | 5,400,000 | 5,198,688 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (d) | 850,000 | 817,020 | |
4.25% 5/1/28 (d) | 280,000 | 277,550 | |
1,094,570 | |||
Pharmaceuticals - 0.5% | |||
Bausch Health Companies, Inc.: | |||
4.875% 6/1/28 (d) | 1,690,000 | 1,623,363 | |
5% 1/30/28 (d) | 1,835,000 | 1,536,813 | |
5.5% 11/1/25 (d) | 265,000 | 265,933 | |
7% 1/15/28 (d) | 2,960,000 | 2,707,364 | |
9% 12/15/25 (d) | 352,000 | 363,000 | |
Bayer AG: | |||
2.375% 4/2/75 (Reg. S) (f) | EUR | 7,460,000 | 8,364,525 |
3.75% 7/1/74 (Reg. S) (f) | EUR | 2,200,000 | 2,494,501 |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (d) | 8,579,000 | 9,009,587 | |
Catalent Pharma Solutions 3.5% 4/1/30 (d) | 2,980,000 | 2,774,082 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (f) | 5,786,000 | 5,959,580 | |
5.9% 8/28/28 (f) | 2,437,000 | 2,632,691 | |
Jazz Securities DAC 4.375% 1/15/29 (d) | 3,880,000 | 3,842,985 | |
Mylan NV 4.55% 4/15/28 | 7,694,000 | 8,200,479 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (d) | 3,935,000 | 3,870,505 | |
5.125% 4/30/31 (d) | 1,595,000 | 1,592,241 | |
Teva Pharmaceutical Finance Co. BV 2.95% 12/18/22 | 381,000 | 380,112 | |
Teva Pharmaceutical Finance Netherlands III BV 4.75% 5/9/27 | 385,000 | 371,044 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 4,038,000 | 4,169,525 | |
Valeant Pharmaceuticals International, Inc. 8.5% 1/31/27 (d) | 795,000 | 804,556 | |
Viatris, Inc.: | |||
1.125% 6/22/22 | 6,439,000 | 6,441,729 | |
1.65% 6/22/25 | 2,070,000 | 1,999,912 | |
2.7% 6/22/30 | 10,521,000 | 9,821,298 | |
3.85% 6/22/40 | 4,583,000 | 4,296,019 | |
Zoetis, Inc. 3.25% 2/1/23 | 1,775,000 | 1,792,157 | |
85,314,001 | |||
TOTAL HEALTH CARE | 300,974,897 | ||
INDUSTRIALS - 1.6% | |||
Aerospace & Defense - 0.5% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (d) | 3,311,000 | 3,431,883 | |
Bombardier, Inc.: | |||
6% 2/15/28 (d) | 2,490,000 | 2,377,975 | |
7.125% 6/15/26 (d) | 3,860,000 | 3,855,175 | |
7.5% 3/15/25 (d) | 6,011,000 | 6,071,110 | |
7.875% 4/15/27 (d) | 7,675,000 | 7,719,323 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 3,170,000 | 3,074,900 | |
DAE Funding LLC: | |||
1.55% 8/1/24 (d) | 905,000 | 869,931 | |
1.625% 2/15/24 (d) | 440,000 | 424,270 | |
Embraer Netherlands Finance BV 5.05% 6/15/25 | 1,035,000 | 1,048,455 | |
Moog, Inc. 4.25% 12/15/27 (d) | 2,545,000 | 2,495,042 | |
Rolls-Royce PLC 3.375% 6/18/26 | GBP | 2,430,000 | 3,095,549 |
The Boeing Co.: | |||
5.04% 5/1/27 | 7,640,000 | 8,299,698 | |
5.15% 5/1/30 | 7,640,000 | 8,438,713 | |
5.705% 5/1/40 | 7,640,000 | 8,899,790 | |
5.805% 5/1/50 | 7,600,000 | 9,028,868 | |
5.93% 5/1/60 | 7,640,000 | 9,071,875 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 4,080,000 | 3,850,337 | |
5.5% 11/15/27 | 8,759,000 | 8,715,205 | |
6.25% 3/15/26 (d) | 1,500,000 | 1,543,125 | |
7.5% 3/15/27 | 959,000 | 991,366 | |
8% 12/15/25 (d) | 150,000 | 156,633 | |
93,459,223 | |||
Air Freight & Logistics - 0.0% | |||
Aeropuerto Internacional de Tocumen SA: | |||
4% 8/11/41 (d) | 400,000 | 366,075 | |
5.125% 8/11/61 (d) | 295,000 | 267,399 | |
633,474 | |||
Airlines - 0.0% | |||
Aerovias de Mexico SA de CV 7% 2/5/25 (d)(e) | 210,000 | 206,850 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d) | 550,000 | 562,947 | |
Azul Investments LLP: | |||
5.875% 10/26/24 (d) | 1,107,000 | 1,018,440 | |
7.25% 6/15/26 (d) | 375,000 | 336,047 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (d) | 380,000 | 390,111 | |
2,514,395 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 6,100,000 | 6,145,506 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (d) | 1,585,000 | 1,521,465 | |
7,666,971 | |||
Commercial Services & Supplies - 0.2% | |||
ADT Corp. 4.125% 8/1/29 (d) | 2,850,000 | 2,687,151 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d) | 1,310,000 | 1,218,300 | |
APX Group, Inc. 6.75% 2/15/27 (d) | 915,000 | 939,595 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp. 4.625% 6/1/28 (d) | 1,863,000 | 1,743,265 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 6,519,000 | 5,981,183 | |
CoreCivic, Inc.: | |||
4.75% 10/15/27 | 1,598,000 | 1,414,230 | |
8.25% 4/15/26 | 6,570,000 | 6,668,550 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | 3,875,000 | 3,797,500 | |
Madison IAQ LLC: | |||
4.125% 6/30/28 (d) | 2,825,000 | 2,672,408 | |
5.875% 6/30/29 (d) | 5,730,000 | 5,199,975 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
4.5% 7/15/29 (d) | 1,410,000 | 1,266,737 | |
5.625% 10/1/28 (d) | 2,634,000 | 2,545,379 | |
5.875% 10/1/30 (d) | 1,149,000 | 1,112,761 | |
PowerTeam Services LLC 9.033% 12/4/25 (d) | 630,000 | 631,701 | |
Stericycle, Inc. 3.875% 1/15/29 (d) | 2,080,000 | 1,937,000 | |
The Bidvest Group UK PLC 3.625% 9/23/26 (d) | 475,000 | 453,625 | |
The GEO Group, Inc. 6% 4/15/26 | 1,220,000 | 1,006,500 | |
41,275,860 | |||
Construction & Engineering - 0.1% | |||
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) | 750,000 | 751,073 | |
Indika Energy Capital III Pte. Ltd. 5.875% 11/9/24 (d) | 370,000 | 358,276 | |
Pike Corp. 5.5% 9/1/28 (d) | 7,745,000 | 7,454,563 | |
Railworks Holdings LP 8.25% 11/15/28 (d) | 2,020,000 | 2,060,400 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28 (d) | 985,000 | 944,369 | |
6% 12/1/29 (d) | 870,000 | 822,150 | |
12,390,831 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 1,290,000 | 1,238,400 | |
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.: | |||
4.25% 2/1/27 (d) | 1,145,000 | 1,114,944 | |
4.75% 6/15/29 (d) | 2,020,000 | 1,956,875 | |
Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (d) | 645,000 | 635,325 | |
3,707,144 | |||
Machinery - 0.1% | |||
Mueller Water Products, Inc. 4% 6/15/29 (d) | 1,405,000 | 1,341,578 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 1,415,000 | 1,439,763 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 6,310,000 | 6,246,900 | |
9,028,241 | |||
Marine - 0.0% | |||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (d) | 310,000 | 325,694 | |
Seaspan Corp. 5.5% 8/1/29 (d) | 3,930,000 | 3,743,325 | |
4,069,019 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 1,290,000 | 1,273,875 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28 (d) | 7,030,000 | 6,881,175 | |
4% 7/1/29 (d) | 475,000 | 468,692 | |
Science Applications International Corp. 4.875% 4/1/28 (d) | 385,000 | 375,679 | |
Thomson Reuters Corp. 3.85% 9/29/24 | 1,266,000 | 1,303,814 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 2,865,000 | 2,695,191 | |
12,998,426 | |||
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 2,765,000 | 3,179,586 |
Kazakhstan Temir Zholy Finance BV 6.95% 7/10/42 (d) | 175,000 | 209,377 | |
Uber Technologies, Inc. 8% 11/1/26 (d) | 625,000 | 663,750 | |
4,052,713 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 2,669,000 | 2,682,445 | |
3% 9/15/23 | 1,163,000 | 1,175,082 | |
3.375% 7/1/25 | 13,572,000 | 13,730,024 | |
4.25% 2/1/24 | 11,266,000 | 11,632,980 | |
4.25% 9/15/24 | 4,366,000 | 4,524,697 | |
Travis Perkins PLC: | |||
3.75% 2/17/26 (Reg. S) | GBP | 700,000 | 927,237 |
4.5% 9/7/23 (Reg. S) | GBP | 1,329,000 | 1,779,288 |
36,451,753 | |||
Transportation Infrastructure - 0.4% | |||
Aeroporti di Roma SPA: | |||
1.625% 2/2/29 (Reg. S) | EUR | 1,015,000 | 1,103,984 |
1.75% 7/30/31 (Reg. S) | EUR | 750,000 | 787,393 |
Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S) | EUR | 2,750,000 | 2,838,366 |
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (d) | 12,030,000 | 11,921,269 | |
3.95% 7/1/24 (d) | 4,160,000 | 4,256,145 | |
4.25% 4/15/26 (d) | 3,220,000 | 3,309,131 | |
4.375% 5/1/26 (d) | 9,092,000 | 9,362,669 | |
5.25% 5/15/24 (d) | 7,670,000 | 8,014,774 | |
5.5% 1/15/26 (d) | 7,243,000 | 7,711,042 | |
DP World Crescent Ltd.: | |||
3.7495% 1/30/30 (d) | 1,115,000 | 1,133,119 | |
3.875% 7/18/29 (Reg. S) | 800,000 | 817,400 | |
DP World Ltd. 5.625% 9/25/48 (d) | 240,000 | 267,900 | |
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) | 3,645,000 | 3,444,498 | |
Heathrow Funding Ltd.: | |||
2.625% 3/16/28 (Reg. S) | GBP | 2,800,000 | 3,595,044 |
7.125% 2/14/24 | GBP | 2,980,000 | 4,334,602 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 1,000,000 | 1,044,175 |
63,941,511 | |||
TOTAL INDUSTRIALS | 293,427,961 | ||
INFORMATION TECHNOLOGY - 1.3% | |||
Communications Equipment - 0.0% | |||
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 3,500,000 | 3,584,344 |
CommScope, Inc.: | |||
4.75% 9/1/29 (d) | 1,006,000 | 938,095 | |
6% 3/1/26 (d) | 3,125,000 | 3,198,500 | |
7.125% 7/1/28 (d) | 1,780,000 | 1,679,092 | |
8.25% 3/1/27 (d) | 545,000 | 542,286 | |
HTA Group Ltd. 7% 12/18/25 (d) | 660,000 | 666,600 | |
SSL Robotics LLC 9.75% 12/31/23 (d) | 268,000 | 283,075 | |
10,891,992 | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 2,400,000 | 2,498,182 | |
5.85% 7/15/25 | 2,748,000 | 3,010,053 | |
6.02% 6/15/26 | 3,119,000 | 3,480,333 | |
6.1% 7/15/27 | 5,045,000 | 5,810,357 | |
6.2% 7/15/30 | 4,367,000 | 5,168,483 | |
II-VI, Inc. 5% 12/15/29 (d) | 3,115,000 | 3,111,636 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 5,530,000 | 5,101,425 | |
28,180,469 | |||
IT Services - 0.2% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 4,475,000 | 4,150,563 | |
Arches Buyer, Inc.: | |||
4.25% 6/1/28 (d) | 2,415,000 | 2,287,005 | |
6.125% 12/1/28 (d) | 3,175,000 | 2,984,500 | |
CA Magnum Holdings 5.375% (d)(i) | 945,000 | 946,181 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (d) | 685,000 | 664,608 | |
3.75% 10/1/30 (d) | 1,185,000 | 1,152,768 | |
4.5% 7/1/28 (d) | 1,835,000 | 1,858,910 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28 (d) | 2,245,000 | 2,037,338 | |
5.375% 12/1/28 (d) | 15,649,000 | 14,044,978 | |
Twilio, Inc. 3.875% 3/15/31 | 940,000 | 882,543 | |
31,009,394 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (d) | 3,204,000 | 3,020,614 | |
2.45% 2/15/31 (d) | 31,257,000 | 28,874,310 | |
2.6% 2/15/33 (d) | 27,706,000 | 25,284,918 | |
3.5% 2/15/41 (d) | 22,019,000 | 20,302,612 | |
3.75% 2/15/51 (d) | 10,333,000 | 9,641,758 | |
onsemi 3.875% 9/1/28 (d) | 1,385,000 | 1,372,881 | |
88,497,093 | |||
Software - 0.5% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 3,125,000 | 2,958,219 | |
CDK Global, Inc. 5.25% 5/15/29 (d) | 300,000 | 307,500 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28 (d) | 850,000 | 803,250 | |
4.875% 7/1/29 (d) | 805,000 | 758,036 | |
Elastic NV 4.125% 7/15/29 (d) | 2,820,000 | 2,587,350 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 1,455,000 | 1,427,719 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 4,195,000 | 4,121,588 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 1,660,000 | 1,593,600 | |
Open Text Corp. 3.875% 12/1/29 (d) | 3,095,000 | 2,920,984 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 169,000 | 161,818 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 12,241,000 | 11,727,077 | |
2.3% 3/25/28 | 19,340,000 | 18,427,524 | |
2.8% 4/1/27 | 14,371,000 | 14,286,954 | |
2.875% 3/25/31 | 24,420,000 | 23,307,833 | |
85,389,452 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Lenovo Group Ltd.: | |||
3.421% 11/2/30 (d) | 705,000 | 676,271 | |
5.875% 4/24/25 (Reg. S) | 200,000 | 215,090 | |
891,361 | |||
TOTAL INFORMATION TECHNOLOGY | 244,859,761 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.4% | |||
Axalta Coating Systems LLC 3.375% 2/15/29 (d) | 2,155,000 | 1,966,438 | |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | 3,600,000 | 3,609,000 | |
Braskem Idesa SAPI 7.45% 11/15/29 (d) | 180,000 | 178,740 | |
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (d) | 12,132,000 | 13,127,409 | |
CVR Partners LP 6.125% 6/15/28 (d) | 1,685,000 | 1,695,531 | |
Element Solutions, Inc. 3.875% 9/1/28 (d) | 1,770,000 | 1,678,739 | |
ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (d) | 890,000 | 868,257 | |
Equate Petrochemical BV 2.625% 4/28/28 (d) | 395,000 | 373,631 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26 (d) | 3,255,000 | 2,937,638 | |
7% 12/31/27 (d) | 330,000 | 279,246 | |
LSB Industries, Inc. 6.25% 10/15/28 (d) | 2,320,000 | 2,331,600 | |
MEGlobal Canada, Inc. 5% 5/18/25 (d) | 155,000 | 161,898 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 3,719,000 | 3,775,157 | |
5.65% 12/1/44 | 2,134,000 | 1,993,156 | |
NOVA Chemicals Corp.: | |||
4.25% 5/15/29 (d) | 1,435,000 | 1,344,711 | |
5% 5/1/25 (d) | 100,000 | 101,025 | |
5.25% 6/1/27 (d) | 2,815,000 | 2,822,038 | |
Nufarm Australia Ltd. 5% 1/27/30 (d) | 1,850,000 | 1,826,875 | |
OCP SA: | |||
3.75% 6/23/31 (d) | 745,000 | 652,806 | |
4.5% 10/22/25 (d) | 165,000 | 164,051 | |
5.625% 4/25/24 (d) | 235,000 | 240,478 | |
6.875% 4/25/44 (d) | 150,000 | 151,341 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28 (d) | 1,410,000 | 1,314,966 | |
6.25% 10/1/29 (d) | 1,635,000 | 1,500,113 | |
Orbia Advance Corp. S.A.B. de CV 1.875% 5/11/26 (d) | 395,000 | 370,757 | |
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (d) | 1,047,000 | 1,028,678 | |
SABIC Capital II BV 4% 10/10/23 (d) | 902,000 | 928,907 | |
Sasol Financing U.S.A. LLC: | |||
4.375% 9/18/26 | 915,000 | 887,550 | |
5.875% 3/27/24 | 970,000 | 985,520 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | 1,100,000 | 1,098,251 | |
The Chemours Co. LLC: | |||
4.625% 11/15/29 (d) | 2,555,000 | 2,366,569 | |
5.375% 5/15/27 | 4,251,000 | 4,266,325 | |
5.75% 11/15/28 (d) | 7,240,000 | 7,116,703 | |
Valvoline, Inc. 4.25% 2/15/30 (d) | 1,255,000 | 1,188,429 | |
W.R. Grace Holding LLC 5.625% 8/15/29 (d) | 2,205,000 | 2,111,288 | |
67,443,821 | |||
Construction Materials - 0.0% | |||
CEMEX S.A.B. de CV 3.875% 7/11/31 (d) | 340,000 | 302,600 | |
Containers & Packaging - 0.1% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28 (d) | 445,000 | 418,300 | |
4% 9/1/29 (d) | 2,110,000 | 1,978,758 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (d) | 1,490,000 | 1,441,575 | |
5.25% 8/15/27 (d) | 254,000 | 241,443 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | 610,000 | 581,254 | |
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d) | 2,510,000 | 2,378,853 | |
OI European Group BV 4.75% 2/15/30 (d) | 1,445,000 | 1,383,573 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (d) | 4,023,000 | 4,060,374 | |
8.5% 8/15/27 (d) | 4,905,000 | 5,030,960 | |
17,515,090 | |||
Metals & Mining - 0.2% | |||
Allegheny Technologies, Inc.: | |||
4.875% 10/1/29 | 2,115,000 | 2,046,241 | |
5.875% 12/1/27 | 8,930,000 | 9,113,065 | |
Antofagasta PLC 2.375% 10/14/30 (d) | 1,005,000 | 896,837 | |
Celtic Resources Holdings DAC 4.125% 10/9/24 (d) | 650,000 | 390,000 | |
Commercial Metals Co. 4.125% 1/15/30 | 1,175,000 | 1,136,813 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3% 9/30/29 (d) | 155,000 | 148,974 | |
3.15% 1/14/30 (d) | 405,000 | 391,913 | |
3.7% 1/30/50 (d) | 945,000 | 838,569 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 430,000 | 430,000 | |
Endeavour Mining PLC 5% 10/14/26 (d) | 485,000 | 450,080 | |
ERO Copper Corp. 6.5% 2/15/30 (d) | 3,170,000 | 3,067,355 | |
First Quantum Minerals Ltd.: | |||
6.875% 10/15/27 (d) | 2,855,000 | 3,021,646 | |
7.25% 4/1/23 (d) | 2,845,000 | 2,849,445 | |
7.5% 4/1/25 (d) | 375,000 | 382,617 | |
Fresnillo PLC 4.25% 10/2/50 (d) | 505,000 | 455,699 | |
Gcm Mining Corp. 6.875% 8/9/26 (d) | 930,000 | 870,489 | |
Gold Fields Orogen Holding BVI Ltd. 5.125% 5/15/24 (d) | 225,000 | 231,511 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (d) | 640,000 | 618,400 | |
Indonesia Asahan Aluminium Tbk PT 5.45% 5/15/30 (d) | 660,000 | 696,424 | |
JSW Steel Ltd. 3.95% 4/5/27 (d) | 645,000 | 612,750 | |
Kaiser Aluminum Corp.: | |||
4.5% 6/1/31 (d) | 1,415,000 | 1,274,377 | |
4.625% 3/1/28 (d) | 3,589,000 | 3,388,985 | |
Metinvest BV: | |||
7.75% 4/23/23 (d) | 927,000 | 185,400 | |
8.5% 4/23/26 (Reg. S) | 235,000 | 47,000 | |
PMHC II, Inc. 9% 2/15/30 (d) | 1,545,000 | 1,502,822 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | 2,085,000 | 2,012,025 | |
Stillwater Mining Co. 4% 11/16/26 (d) | 1,140,000 | 1,091,550 | |
TMK Capital SA 4.3% 2/12/27 (Reg. S) | 600,000 | 150,000 | |
Usiminas International SARL 5.875% 7/18/26 (d) | 825,000 | 843,810 | |
Vedanta Resources PLC 6.375% 7/30/22 (d) | 975,000 | 953,550 | |
VM Holding SA 6.5% 1/18/28 (d) | 765,000 | 796,700 | |
Volcan Compania Minera SAA 4.375% 2/11/26 (d) | 275,000 | 261,216 | |
41,156,263 | |||
Paper & Forest Products - 0.0% | |||
Glatfelter Corp. 4.75% 11/15/29 (d) | 980,000 | 930,138 | |
SPA Holdings 3 OY 4.875% 2/4/28 (d) | 3,275,000 | 3,093,238 | |
4,023,376 | |||
TOTAL MATERIALS | 130,441,150 | ||
REAL ESTATE - 2.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.7% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 8,767,000 | 10,082,575 | |
American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (d) | 795,000 | 740,741 | |
American Homes 4 Rent LP 2.375% 7/15/31 | 1,451,000 | 1,334,048 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 8,522,000 | 8,506,879 | |
4.5% 12/1/28 | 7,625,000 | 8,325,404 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 3,379,000 | 3,322,683 | |
2.75% 4/15/31 | 2,288,000 | 2,150,050 | |
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d) | 1,700,000 | 1,623,500 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (d) | 625,000 | 581,422 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 2,678,000 | 2,653,057 | |
3.5% 8/1/26 | 2,790,000 | 2,890,287 | |
Healthpeak Properties, Inc.: | |||
3.25% 7/15/26 | 1,156,000 | 1,194,703 | |
3.5% 7/15/29 | 1,322,000 | 1,368,304 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 15,534,000 | 16,881,283 | |
iStar Financial, Inc.: | |||
4.25% 8/1/25 | 560,000 | 559,205 | |
4.75% 10/1/24 | 680,000 | 684,250 | |
Kimco Realty Corp. 3.375% 10/15/22 | 990,000 | 997,482 | |
Kite Realty Group Trust 4.75% 9/15/30 | 764,000 | 822,876 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 3,649,000 | 3,478,436 | |
4.4% 6/15/24 | 1,672,000 | 1,727,487 | |
MPT Operating Partnership LP/MPT Finance Corp. 2.5% 3/24/26 | GBP | 1,450,000 | 1,880,478 |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 9,885,000 | 9,078,655 | |
3.375% 2/1/31 | 6,759,000 | 6,393,558 | |
3.625% 10/1/29 | 11,904,000 | 11,690,238 | |
4.375% 8/1/23 | 3,145,000 | 3,226,641 | |
4.5% 1/15/25 | 3,878,000 | 4,038,720 | |
4.5% 4/1/27 | 18,502,000 | 19,529,487 | |
4.75% 1/15/28 | 10,700,000 | 11,206,475 | |
4.95% 4/1/24 | 9,727,000 | 10,161,306 | |
5.25% 1/15/26 | 10,610,000 | 11,353,244 | |
Park Intermediate Holdings LLC 7.5% 6/1/25 (d) | 560,000 | 585,200 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 2,906,000 | 2,699,747 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 1,564,000 | 1,515,748 | |
2.85% 12/15/32 | 1,925,000 | 1,871,998 | |
3.25% 1/15/31 | 2,129,000 | 2,158,557 | |
3.4% 1/15/28 | 3,355,000 | 3,454,044 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 1,225,000 | 1,255,958 | |
5% 12/15/23 | 737,000 | 764,237 | |
RLJ Lodging Trust LP 3.75% 7/1/26 (d) | 675,000 | 657,221 | |
SBA Communications Corp. 3.125% 2/1/29 | 1,170,000 | 1,086,696 | |
Senior Housing Properties Trust 9.75% 6/15/25 | 385,000 | 406,656 | |
Service Properties Trust 7.5% 9/15/25 | 285,000 | 299,321 | |
Simon Property Group LP 2.45% 9/13/29 | 3,576,000 | 3,453,895 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 3,106,000 | 3,183,446 | |
4.25% 2/1/26 | 10,537,000 | 10,950,219 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 3,880,000 | 3,662,417 | |
4.625% 3/15/29 | 3,549,000 | 3,814,690 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28 (d) | 6,225,000 | 5,925,360 | |
6.5% 2/15/29 (d) | 18,695,000 | 17,325,965 | |
Uniti Group, Inc.: | |||
6% 1/15/30 (d) | 5,485,000 | 4,903,096 | |
7.875% 2/15/25 (d) | 4,129,000 | 4,301,489 | |
Ventas Realty LP: | |||
3% 1/15/30 | 15,631,000 | 15,464,472 | |
3.5% 2/1/25 | 2,163,000 | 2,228,253 | |
3.75% 5/1/24 | 9,073,000 | 9,339,422 | |
4% 3/1/28 | 3,986,000 | 4,236,091 | |
4.125% 1/15/26 | 2,017,000 | 2,136,247 | |
4.75% 11/15/30 | 21,238,000 | 23,724,516 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (d) | 90,000 | 90,211 | |
4.25% 12/1/26 (d) | 130,000 | 131,300 | |
4.625% 12/1/29 (d) | 270,000 | 275,400 | |
Vornado Realty LP 2.15% 6/1/26 | 3,551,000 | 3,447,470 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 2,566,000 | 2,705,678 | |
4% 2/1/25 | 12,346,000 | 12,888,410 | |
309,426,904 | |||
Real Estate Management & Development - 0.6% | |||
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 2,265,000 | 2,182,737 |
ADLER Group SA: | |||
1.875% 1/14/26 (Reg. S) | EUR | 8,100,000 | 7,523,923 |
2.25% 4/27/27 (Reg. S) | EUR | 900,000 | 836,444 |
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (f) | EUR | 1,950,000 | 2,216,829 |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 4,250,000 | 4,417,054 |
1.75% 3/12/29 (Reg. S) | EUR | 2,480,000 | 2,666,825 |
2.625% 10/20/28 (Reg. S) | GBP | 950,000 | 1,224,256 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 10,562,000 | 10,682,968 | |
3.95% 11/15/27 | 8,220,000 | 8,571,855 | |
4.1% 10/1/24 | 7,423,000 | 7,689,583 | |
4.55% 10/1/29 | 8,895,000 | 9,564,145 | |
CBRE Group, Inc. 2.5% 4/1/31 | 10,439,000 | 9,884,956 | |
Deutsche Annington Finance BV 5% 10/2/23 (d) | 2,105,000 | 2,180,464 | |
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 175,000 | 182,875 | |
Essex Portfolio LP 3.875% 5/1/24 | 3,195,000 | 3,300,454 | |
Greystar Real Estate Partners 5.75% 12/1/25 (d) | 261,000 | 264,367 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 2,050,000 | 2,111,505 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 2,000,000 | 2,118,041 |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (d) | 990,000 | 936,788 | |
4.375% 2/1/31 (d) | 990,000 | 933,075 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 4,175,000 | 3,992,344 | |
Post Apartment Homes LP 3.375% 12/1/22 | 467,000 | 471,017 | |
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d) | 3,520,000 | 3,480,400 | |
Samhallsbyggnadsbolaget I Norden AB: | |||
1% 8/12/27 (Reg. S) | EUR | 400,000 | 404,688 |
1.75% 1/14/25 (Reg. S) | EUR | 866,000 | 954,563 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 1,100,000 | 1,162,335 |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 3,294,000 | 3,111,476 | |
2.7% 7/15/31 | 8,306,000 | 7,813,624 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 8,621,000 | 7,841,438 | |
3.125% 9/1/26 | 4,970,000 | 4,948,500 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 840,000 | 910,080 |
114,579,609 | |||
TOTAL REAL ESTATE | 424,006,513 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.7% | |||
Adani Electricity Mumbai Ltd. 3.867% 7/22/31 (d) | 470,000 | 423,000 | |
American Electric Power Co., Inc. 2.95% 12/15/22 | 1,791,000 | 1,807,023 | |
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (f) | EUR | 550,000 | 579,686 |
Clearway Energy Operating LLC: | |||
3.75% 2/15/31 (d) | 1,290,000 | 1,200,145 | |
4.75% 3/15/28 (d) | 560,000 | 562,881 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 6,938,000 | 6,842,436 | |
Comision Federal de Electricid: | |||
3.348% 2/9/31 (d) | 175,000 | 155,236 | |
4.688% 5/15/29 (d) | 785,000 | 785,981 | |
Duke Energy Corp. 2.45% 6/1/30 | 6,067,000 | 5,764,596 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (d) | 2,680,000 | 2,497,773 | |
2.775% 1/7/32 (d) | 8,750,000 | 8,236,664 | |
EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (f) | EUR | 1,900,000 | 1,904,525 |
Enel SpA 3.375% (Reg. S) (f)(i) | EUR | 2,010,000 | 2,284,713 |
Entergy Corp. 2.8% 6/15/30 | 6,226,000 | 5,983,084 | |
Eskom Holdings SOC Ltd.: | |||
6.75% 8/6/23 (d) | 2,530,000 | 2,517,350 | |
7.125% 2/11/25 (d) | 135,000 | 132,157 | |
Eversource Energy 2.8% 5/1/23 | 5,482,000 | 5,530,878 | |
Exelon Corp. 4.05% 4/15/30 | 3,689,000 | 3,914,609 | |
FirstEnergy Corp. 7.375% 11/15/31 | 21,162,000 | 26,496,517 | |
InterGen NV 7% 6/30/23 (d) | 4,030,000 | 3,946,378 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 3,797,000 | 3,885,736 | |
Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (d) | 835,000 | 825,398 | |
Lamar Funding Ltd. 3.958% 5/7/25 (d) | 360,000 | 352,980 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (d) | 915,000 | 807,087 | |
Monongahela Power Co. 4.1% 4/15/24 (d) | 1,445,000 | 1,491,706 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (f) | EUR | 4,100,000 | 4,361,522 |
NRG Energy, Inc.: | |||
3.375% 2/15/29 (d) | 1,830,000 | 1,699,521 | |
3.625% 2/15/31 (d) | 1,040,000 | 956,186 | |
5.25% 6/15/29 (d) | 1,975,000 | 2,014,500 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 1,725,796 | 1,816,400 | |
PG&E Corp.: | |||
5% 7/1/28 | 3,340,000 | 3,306,600 | |
5.25% 7/1/30 | 5,870,000 | 5,830,847 | |
Southern Co. 1.875% 9/15/81 (f) | EUR | 4,300,000 | 4,329,653 |
SSE PLC 4.75% 9/16/77 (Reg. S) (f) | 9,915,000 | 9,979,646 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (d) | 1,875,000 | 1,888,922 | |
5.625% 2/15/27 (d) | 1,730,000 | 1,771,364 | |
126,883,700 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (d) | 679,371 | 806,456 | |
Promigas SA ESP/Gases del Pacifico SAC 3.75% 10/16/29 (d) | 485,000 | 431,589 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) | 860,000 | 820,225 | |
2,058,270 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 1,828,000 | 1,759,450 | |
Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (d) | 345,000 | 275,741 | |
Emera U.S. Finance LP 3.55% 6/15/26 | 2,935,000 | 3,018,497 | |
EnfraGen Energia Sur SA 5.375% 12/30/30 (d) | 880,000 | 719,409 | |
Investment Energy Resources Ltd. 6.25% 4/26/29 (d) | 705,000 | 726,150 | |
Termocandelaria Power Ltd. 7.875% 1/30/29 (d) | 718,250 | 689,520 | |
The AES Corp.: | |||
3.3% 7/15/25 (d) | 18,728,000 | 18,817,894 | |
3.95% 7/15/30 (d) | 16,328,000 | 16,657,826 | |
42,664,487 | |||
Multi-Utilities - 0.4% | |||
Abu Dhabi National Energy Co. PJSC: | |||
4% 10/3/49 (d) | 210,000 | 221,721 | |
4.875% 4/23/30 (d) | 135,000 | 153,335 | |
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 26,164,000 | 27,582,396 | |
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 1,658,000 | 1,702,749 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 17,668,000 | 17,419,847 | |
5.25% 2/15/43 | 4,623,000 | 5,227,024 | |
5.8% 2/1/42 | 2,300,000 | 2,748,775 | |
5.95% 6/15/41 | 3,281,000 | 4,035,886 | |
Puget Energy, Inc. 4.1% 6/15/30 | 7,332,000 | 7,604,653 | |
Sempra Energy 6% 10/15/39 | 5,447,000 | 6,922,916 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (f)(g) | 1,401,000 | 1,120,800 | |
74,740,102 | |||
Water Utilities - 0.0% | |||
Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S) | GBP | 725,000 | 920,503 |
Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S) | GBP | 883,000 | 1,140,349 |
2,060,852 | |||
TOTAL UTILITIES | 248,407,411 | ||
TOTAL NONCONVERTIBLE BONDS | 5,879,609,987 | ||
TOTAL CORPORATE BONDS | |||
(Cost $5,807,696,490) | 5,892,776,221 | ||
U.S. Treasury Obligations - 37.5% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | $86,364,000 | $71,823,811 | |
1.375% 8/15/50 (j) | 650,000 | 535,107 | |
1.75% 8/15/41 | 111,477,000 | 102,175,638 | |
1.875% 11/15/51 | 339,566,000 | 316,804,467 | |
2% 11/15/41 (k) | 219,450,000 | 210,089,086 | |
2% 8/15/51 | 772,798,000 | 741,282,266 | |
2.25% 8/15/46 | 148,800 | 147,236 | |
2.25% 2/15/52 | 127,950,000 | 130,349,063 | |
3% 2/15/47 | 245,214,000 | 278,509,463 | |
5% 5/15/37 | 9,400 | 13,160 | |
U.S. Treasury Notes: | |||
0.25% 7/31/25 | 95,151,000 | 90,609,026 | |
0.375% 12/31/25 | 149,230,000 | 141,815,134 | |
0.75% 3/31/26 (j) | 331,831,000 | 318,933,661 | |
0.75% 4/30/26 | 480,000,000 | 460,837,498 | |
0.75% 8/31/26 | 112,080,000 | 107,255,306 | |
0.875% 6/30/26 | 360,480,000 | 347,398,520 | |
1.125% 8/31/28 | 395,338,000 | 378,350,820 | |
1.125% 2/15/31 (l) | 136,465,000 | 128,570,287 | |
1.25% 5/31/28 | 731,141,000 | 706,893,396 | |
1.25% 9/30/28 | 158,340,000 | 152,637,287 | |
1.375% 11/15/31 (k) | 749,243,000 | 718,219,657 | |
1.5% 11/30/28 | 75,000,000 | 73,429,688 | |
1.625% 9/30/26 | 455,668,000 | 453,140,464 | |
1.75% 1/31/29 | 146,464,000 | 145,708,795 | |
2.125% 7/31/24 | 126,782,000 | 128,495,537 | |
2.125% 5/31/26 | 313,445,000 | 318,244,627 | |
2.25% 12/31/24 | 138,476,900 | 140,905,655 | |
2.375% 4/30/26 | 84,892,000 | 87,020,932 | |
2.625% 3/31/25 | 50,000,000 | 51,462,891 | |
2.75% 2/15/28 | 54,737,100 | 57,685,634 | |
2.875% 8/15/28 | 78,639,600 | 83,674,378 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $7,194,755,033) | 6,943,018,490 | ||
U.S. Government Agency - Mortgage Securities - 11.6% | |||
Fannie Mae - 3.8% | |||
12 month U.S. LIBOR + 1.440% 1.82% 4/1/37 (f)(g) | 6,929 | 7,199 | |
12 month U.S. LIBOR + 1.460% 1.856% 1/1/35 (f)(g) | 7,646 | 7,940 | |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (f)(g) | 2,389 | 2,485 | |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (f)(g) | 5,542 | 5,795 | |
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (f)(g) | 7,634 | 7,964 | |
12 month U.S. LIBOR + 1.620% 1.907% 5/1/35 (f)(g) | 16,148 | 16,850 | |
12 month U.S. LIBOR + 1.620% 1.922% 3/1/33 (f)(g) | 10,410 | 10,801 | |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (f)(g) | 6,760 | 7,058 | |
12 month U.S. LIBOR + 1.630% 1.945% 11/1/36 (f)(g) | 4,988 | 5,214 | |
12 month U.S. LIBOR + 1.640% 1.881% 5/1/36 (f)(g) | 14,801 | 15,507 | |
12 month U.S. LIBOR + 1.640% 1.944% 6/1/47 (f)(g) | 16,770 | 17,660 | |
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (f)(g) | 14,295 | 14,968 | |
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (f)(g) | 11,697 | 12,307 | |
12 month U.S. LIBOR + 1.730% 2.002% 3/1/40 (f)(g) | 15,864 | 16,581 | |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (f)(g) | 20,747 | 21,798 | |
12 month U.S. LIBOR + 1.750% 2.064% 7/1/35 (f)(g) | 5,372 | 5,611 | |
12 month U.S. LIBOR + 1.780% 2.163% 2/1/36 (f)(g) | 10,678 | 11,182 | |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (f)(g) | 9,472 | 9,946 | |
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (f)(g) | 537,487 | 564,464 | |
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (f)(g) | 55,422 | 57,936 | |
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (f)(g) | 11,728 | 12,272 | |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (f)(g) | 12,545 | 13,227 | |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (f)(g) | 5,015 | 5,279 | |
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (f)(g) | 22,783 | 23,880 | |
12 month U.S. LIBOR + 1.820% 2.195% 12/1/35 (f)(g) | 9,200 | 9,664 | |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (f)(g) | 4,505 | 4,606 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (f)(g) | 10,447 | 11,056 | |
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (f)(g) | 23,644 | 24,554 | |
6 month U.S. LIBOR + 1.530% 1.719% 12/1/34 (f)(g) | 2,966 | 3,080 | |
6 month U.S. LIBOR + 1.530% 1.736% 3/1/35 (f)(g) | 4,379 | 4,552 | |
6 month U.S. LIBOR + 1.550% 1.701% 10/1/33 (f)(g) | 1,495 | 1,552 | |
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (f)(g) | 2,294 | 2,389 | |
6 month U.S. LIBOR + 1.740% 1.865% 12/1/34 (f)(g) | 421 | 440 | |
6 month U.S. LIBOR + 1.960% 2.085% 9/1/35 (f)(g) | 5,127 | 5,404 | |
U.S. TREASURY 1 YEAR INDEX + 1.940% 1.87% 10/1/33 (f)(g) | 25,856 | 27,026 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (f)(g) | 4,354 | 4,572 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (f)(g) | 17,125 | 17,924 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.41% 10/1/33 (f)(g) | 9,625 | 10,065 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.528% 7/1/34 (f)(g) | 25,340 | 26,532 | |
1.5% 6/1/51 to 11/1/51 | 3,356,941 | 3,116,101 | |
2% 12/1/36 to 3/1/52 | 177,272,666 | 170,954,259 | |
2.5% 5/1/31 to 3/1/52 | 188,975,181 | 187,975,981 | |
3% 1/1/32 to 2/1/52 (j)(k) | 154,177,925 | 157,447,509 | |
3.5% 9/1/37 to 1/1/51 | 62,970,208 | 65,555,226 | |
4% 3/1/36 to 11/1/49 | 42,646,313 | 45,327,624 | |
4.5% to 4.5% 6/1/33 to 9/1/49 | 48,244,876 | 51,895,271 | |
5% 11/1/22 to 2/1/49 | 22,893,413 | 25,017,748 | |
5.237% 8/1/41 (f) | 402,822 | 439,678 | |
5.5% 3/1/22 to 12/1/23 | 825 | 838 | |
6% to 6% 9/1/29 to 1/1/42 | 1,729,469 | 1,960,634 | |
6.5% 8/1/22 to 4/1/37 | 731,117 | 823,724 | |
6.633% 2/1/39 (f) | 267,799 | 290,452 | |
7% to 7% 4/1/23 to 7/1/37 | 149,619 | 168,071 | |
7.5% to 7.5% 6/1/25 to 2/1/32 | 69,602 | 77,020 | |
8% 8/1/29 to 3/1/37 | 3,758 | 4,430 | |
TOTAL FANNIE MAE | 712,081,906 | ||
Freddie Mac - 2.9% | |||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (f)(g) | 8,153 | 8,411 | |
12 month U.S. LIBOR + 1.370% 1.646% 3/1/36 (f)(g) | 30,957 | 32,078 | |
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (f)(g) | 16,154 | 16,789 | |
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (f)(g) | 251,647 | 263,000 | |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (f)(g) | 50,283 | 52,785 | |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (f)(g) | 92,563 | 97,048 | |
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (f)(g) | 10,764 | 11,368 | |
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (f)(g) | 1,785 | 1,884 | |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (f)(g) | 7,170 | 7,518 | |
12 month U.S. LIBOR + 1.900% 2.167% 10/1/42 (f)(g) | 59,987 | 63,048 | |
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (f)(g) | 14,513 | 15,325 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (f)(g) | 19,198 | 20,264 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (f)(g) | 5,040 | 5,318 | |
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (f)(g) | 13,951 | 14,745 | |
12 month U.S. LIBOR + 2.020% 2.327% 4/1/38 (f)(g) | 12,302 | 12,933 | |
12 month U.S. LIBOR + 2.030% 2.285% 3/1/33 (f)(g) | 294 | 306 | |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (f)(g) | 14,125 | 14,859 | |
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (f)(g) | 21,122 | 22,182 | |
6 month U.S. LIBOR + 1.120% 1.325% 8/1/37 (f)(g) | 10,286 | 10,553 | |
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (f)(g)(m) | 873 | 909 | |
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (f)(g) | 3,427 | 3,586 | |
6 month U.S. LIBOR + 1.840% 1.97% 2/1/37 (f)(g) | 5,243 | 5,510 | |
6 month U.S. LIBOR + 1.880% 2.021% 10/1/36 (f)(g) | 35,475 | 37,160 | |
6 month U.S. LIBOR + 1.990% 2.164% 10/1/35 (f)(g) | 13,092 | 13,729 | |
6 month U.S. LIBOR + 2.020% 2.159% 6/1/37 (f)(g) | 7,800 | 8,187 | |
6 month U.S. LIBOR + 2.680% 2.841% 10/1/35 (f)(g) | 7,341 | 7,744 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (f)(g) | 24,151 | 25,277 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.387% 6/1/33 (f)(g) | 45,116 | 47,159 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.516% 3/1/35 (f)(g) | 83,020 | 86,995 | |
1.5% 11/1/50 to 10/1/51 | 2,372,588 | 2,202,713 | |
2% 12/1/36 to 2/1/52 | 151,687,446 | 145,998,812 | |
2.5% 2/1/30 to 3/1/52 | 118,831,140 | 118,062,003 | |
3% 4/1/32 to 3/1/52 | 83,866,229 | 85,486,726 | |
3.5% 1/1/32 to 3/1/52 (n) | 83,584,795 | 87,378,296 | |
3.5% 8/1/47 | 28,272 | 29,444 | |
4% 5/1/37 to 5/1/48 | 65,756,203 | 69,829,730 | |
4% 4/1/48 | 22,219 | 23,378 | |
4.5% 6/1/25 to 12/1/48 | 14,538,257 | 15,636,930 | |
5% 8/1/33 to 7/1/41 | 3,055,453 | 3,376,210 | |
5.5% 6/1/22 | 355 | 355 | |
6% 1/1/23 to 12/1/37 | 323,994 | 364,573 | |
6.5% 5/1/26 to 9/1/39 | 380,332 | 436,917 | |
7% 3/1/26 to 9/1/36 | 156,098 | 177,378 | |
7.5% 1/1/27 to 11/1/31 | 3,284 | 3,706 | |
8% 7/1/24 to 4/1/32 | 3,214 | 3,629 | |
8.5% 12/1/22 to 1/1/28 | 3,069 | 3,375 | |
TOTAL FREDDIE MAC | 529,920,845 | ||
Ginnie Mae - 2.3% | |||
3.5% 9/20/40 to 5/20/50 (j) | 37,482,837 | 39,291,192 | |
4% 5/20/33 to 5/20/49 | 37,244,771 | 39,502,931 | |
4.5% 6/20/33 to 8/15/41 | 6,732,648 | 7,337,774 | |
5% 12/15/32 to 4/20/48 | 7,624,091 | 8,344,364 | |
5.5% 7/15/33 to 9/15/39 | 228,546 | 253,976 | |
6% to 6% 10/15/30 to 11/15/39 | 85,975 | 95,665 | |
7% to 7% 11/15/22 to 3/15/33 | 165,376 | 184,435 | |
7.5% to 7.5% 9/15/22 to 9/15/31 | 39,429 | 42,783 | |
8% 5/15/22 to 11/15/29 | 8,424 | 9,060 | |
8.5% 11/15/27 to 1/15/31 | 3,283 | 3,719 | |
9% 1/15/23 | 12 | 12 | |
2% 1/20/52 | 20,593,165 | 20,153,398 | |
2% 3/1/52 (o) | 9,350,000 | 9,139,042 | |
2% 3/1/52 (o) | 9,350,000 | 9,139,043 | |
2% 3/1/52 (o) | 5,700,000 | 5,571,395 | |
2% 3/1/52 (o) | 19,000,000 | 18,571,316 | |
2% 3/1/52 (o) | 19,000,000 | 18,571,316 | |
2% 3/1/52 (o) | 13,200,000 | 12,902,178 | |
2% 3/1/52 (o) | 7,350,000 | 7,184,167 | |
2% 3/1/52 (o) | 7,650,000 | 7,477,398 | |
2.5% 7/20/51 to 12/20/51 | 20,985,329 | 21,001,177 | |
2.5% 3/1/52 (o) | 19,100,000 | 19,086,237 | |
2.5% 3/1/52 (o) | 19,050,000 | 19,036,273 | |
2.5% 3/1/52 (o) | 9,500,000 | 9,493,154 | |
2.5% 3/1/52 (o) | 9,500,000 | 9,493,154 | |
2.5% 3/1/52 (o) | 12,750,000 | 12,740,812 | |
2.5% 3/1/52 (o) | 10,825,000 | 10,817,200 | |
3% 5/20/42 to 10/20/51 | 44,169,347 | 45,104,079 | |
3% 3/1/52 (o) | 11,550,000 | 11,739,265 | |
3% 3/1/52 (o) | 12,250,000 | 12,450,736 | |
3% 3/1/52 (o) | 12,925,000 | 13,136,797 | |
3% 3/1/52 (o) | 8,300,000 | 8,436,009 | |
3.5% 3/1/52 (o) | 7,050,000 | 7,274,541 | |
3.5% 3/1/52 (o) | 2,950,000 | 3,043,957 | |
3.5% 3/1/52 (o) | 750,000 | 773,887 | |
3.5% 3/1/52 (o) | 4,200,000 | 4,333,769 | |
3.5% 3/1/52 (o) | 3,800,000 | 3,921,029 | |
3.5% 3/1/52 (o) | 650,000 | 670,702 | |
3.5% 3/1/52 (o) | 800,000 | 825,480 | |
3.5% 4/1/52 (o) | 4,050,000 | 4,165,228 | |
6.5% 3/20/31 to 6/15/37 | 64,192 | 72,617 | |
TOTAL GINNIE MAE | 421,391,267 | ||
Uniform Mortgage Backed Securities - 2.6% | |||
1.5% 3/1/37 (o) | 9,400,000 | 9,147,375 | |
1.5% 3/1/37 (o) | 1,050,000 | 1,021,781 | |
1.5% 3/1/37 (o) | 4,200,000 | 4,087,125 | |
1.5% 3/1/37 (o) | 5,200,000 | 5,060,250 | |
1.5% 3/1/52 (o) | 11,900,000 | 11,030,823 | |
1.5% 3/1/52 (o) | 9,550,000 | 8,852,467 | |
1.5% 3/1/52 (o) | 9,550,000 | 8,852,467 | |
1.5% 3/1/52 (o) | 9,900,000 | 9,176,903 | |
1.5% 3/1/52 (o) | 950,000 | 880,612 | |
1.5% 3/1/52 (o) | 2,700,000 | 2,502,792 | |
1.5% 4/1/52 (o) | 3,250,000 | 3,008,050 | |
2% 3/1/37 (o) | 13,400,000 | 13,297,407 | |
2% 3/1/37 (o) | 21,050,000 | 20,888,837 | |
2% 3/1/37 (o) | 7,800,000 | 7,740,282 | |
2% 3/1/37 (o) | 3,900,000 | 3,870,141 | |
2% 3/1/37 (o) | 3,900,000 | 3,870,141 | |
2% 3/1/37 (o) | 4,700,000 | 4,664,016 | |
2% 4/1/37 (o) | 13,400,000 | 13,273,851 | |
2% 4/1/37 (o) | 10,700,000 | 10,599,269 | |
2% 3/1/52 (o) | 3,800,000 | 3,642,998 | |
2% 3/1/52 (o) | 28,350,000 | 27,178,683 | |
2% 3/1/52 (o) | 28,150,000 | 26,986,946 | |
2% 3/1/52 (o) | 19,300,000 | 18,502,595 | |
2% 3/1/52 (o) | 2,800,000 | 2,684,314 | |
2% 3/1/52(o) | 4,100,000 | 3,930,603 | |
2% 3/1/52 (o) | 2,700,000 | 2,588,446 | |
2% 4/1/52 (o) | 13,750,000 | 13,160,417 | |
2.5% 3/1/37 (o) | 15,800,000 | 15,987,622 | |
2.5% 3/1/52 (o) | 19,000,000 | 18,741,714 | |
2.5% 3/1/52 (o) | 2,125,000 | 2,096,113 | |
2.5% 3/1/52 (o) | 2,125,000 | 2,096,113 | |
2.5% 3/1/52 (o) | 22,600,000 | 22,292,776 | |
2.5% 3/1/52 (o) | 11,425,000 | 11,269,689 | |
2.5% 3/1/52 (o) | 3,300,000 | 3,255,140 | |
2.5% 3/1/52 (o) | 5,900,000 | 5,819,795 | |
2.5% 3/1/52 (o) | 8,800,000 | 8,680,373 | |
2.5% 3/1/52 (o) | 2,900,000 | 2,860,577 | |
2.5% 3/1/52 (o) | 2,900,000 | 2,860,577 | |
2.5% 3/1/52 (o) | 2,900,000 | 2,860,577 | |
2.5% 3/1/52 (o) | 7,200,000 | 7,102,123 | |
2.5% 4/1/52 (o) | 17,000,000 | 16,733,707 | |
3% 3/1/52 (o) | 8,450,000 | 8,532,526 | |
3% 3/1/52 (o) | 8,450,000 | 8,532,526 | |
3% 3/1/52 (o) | 6,500,000 | 6,563,482 | |
3% 3/1/52 (o) | 6,500,000 | 6,563,482 | |
3% 3/1/52 (o) | 9,600,000 | 9,693,757 | |
3.5% 3/1/52 (o) | 4,950,000 | 5,098,499 | |
3.5% 3/1/52 (o) | 2,600,000 | 2,677,999 | |
3.5% 3/1/52 (o) | 4,225,000 | 4,351,749 | |
3.5% 3/1/52 (o) | 5,700,000 | 5,870,999 | |
3.5% 3/1/52 (o) | 3,500,000 | 3,604,999 | |
3.5% 3/1/52 (o) | 4,200,000 | 4,325,999 | |
3.5% 3/1/52 (o) | 13,300,000 | 13,698,997 | |
3.5% 3/1/52 (o) | 4,300,000 | 4,428,999 | |
3.5% 3/1/52 (o) | 3,500,000 | 3,604,999 | |
3.5% 3/1/52 (o) | 19,200,000 | 19,775,996 | |
3.5% 3/1/52 (o) | 3,700,000 | 3,810,999 | |
3.5% 3/1/52 (o) | 4,600,000 | 4,737,999 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 479,030,493 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $2,153,780,958) | 2,142,424,511 | ||
Asset-Backed Securities - 5.3% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (d) | $5,432,151 | $4,322,217 | |
Series 2019-1 Class A, 3.844% 5/15/39 (d) | 6,272,488 | 5,554,445 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (d) | 11,244,121 | 10,568,215 | |
Class B, 4.458% 10/16/39 (d) | 2,087,167 | 1,710,353 | |
Series 2021-1A Class A, 2.95% 11/16/41 (d) | 12,872,530 | 12,156,978 | |
Series 2021-2A Class A, 2.798% 1/15/47 (d) | 23,164,829 | 22,440,242 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (d) | 4,343,000 | 4,331,645 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (d)(f)(g) | 3,426,000 | 3,408,613 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.3713% 10/17/34 (d)(f)(g) | 8,253,000 | 8,183,931 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 1.244% 4/20/34 (d)(f)(g) | 19,226,000 | 18,936,514 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.394% 7/20/34 (d)(f)(g) | 9,447,000 | 9,375,883 | |
American Homes 4 Rent: | |||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (d) | 261,000 | 274,786 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (d) | 595,000 | 623,153 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/52 (d) | 611,000 | 646,865 | |
Class XS, 0% 10/17/52 (c)(d)(f)(p) | 412,772 | 4 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (d) | 4,901,271 | 4,552,538 | |
Class B, 4.335% 1/16/40 (d) | 972,650 | 697,382 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (d)(f)(g) | 11,120,000 | 11,085,317 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 1.2877% 4/25/34 (d)(f)(g) | 6,374,000 | 6,317,291 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3713% 7/15/34 (d)(f)(g) | 12,053,000 | 11,976,102 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, UNITED STATES 90 DAY AVERAGE S + 1.330% 1.5112% 1/15/35 (d)(f)(g) | 16,982,000 | 16,977,873 | |
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 (d)(f)(g) | 13,319,000 | 13,215,471 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4913% 4/17/33 (d)(f)(g) | 4,451,000 | 4,433,485 | |
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 3.8578% 6/26/34 (c)(d)(f)(g) | 1,149 | 6,016 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/36 (d)(f)(g) | 8,291,000 | 8,253,989 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 1.2777% 4/25/34 (d)(f)(g) | 14,004,000 | 13,858,989 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.474% 1/20/32 (d)(f)(g) | 15,650,000 | 15,583,722 | |
Beechwood Park CLO Ltd.: | |||
Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5713% 1/17/33 (d)(f)(g) | 11,415,000 | 11,415,000 | |
Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.3% 1/17/35 (d)(f)(g) | 17,449,000 | 17,444,725 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (d)(f)(g) | 12,522,000 | 12,451,651 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (d) | 11,460,288 | 11,123,055 | |
Class AA, 2.487% 12/16/41 (d)(f) | 1,467,813 | 1,439,431 | |
Series 2021-1A Class A, 2.443% 7/15/46 (d) | 16,933,684 | 16,271,575 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (d)(f)(g) | 13,314,000 | 13,283,444 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (d) | 9,137,782 | 9,044,372 | |
Class B, 5.095% 4/15/39 (d) | 4,356,038 | 4,032,203 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (d) | 7,061,957 | 6,884,117 | |
Series 2021-1A Class A, 3.474% 1/15/46 (d) | 3,692,306 | 3,684,617 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (d)(f)(g) | 10,038,000 | 9,972,231 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.32% 4/20/35 (d)(f)(g)(o) | 16,187,000 | 16,179,020 | |
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 (d)(f)(g) | 7,745,000 | 7,662,841 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 1.304% 4/20/34 (d)(f)(g) | 11,637,000 | 11,471,731 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.424% 10/20/34 (d)(f)(g) | 12,599,000 | 12,514,095 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5369% 10/25/37 (d)(f)(g) | 1,889,356 | 1,893,813 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.454% 4/20/34 (d)(f)(g) | 15,500,000 | 15,421,803 | |
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 (d)(f)(g) | 20,650,000 | 20,558,521 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (d) | 247,152 | 247,537 | |
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 3.9123% 1/28/40 (c)(d)(f)(g) | 205,664 | 21 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (d) | 10,251,840 | 10,503,010 | |
Diamond Infrastructure Funding LLC Series 2021-1A Class C, 3.475% 4/15/49 (d) | 214,000 | 208,370 | |
DigitalBridge Issuer, LLC / DigitalBridge Co.-Issuer, LLC Series 2021-1A Class A2, 3.933% 9/25/51 (d) | 557,000 | 550,266 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.3% 4/20/35 (d)(f)(g)(o) | 9,084,000 | 9,081,793 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (d)(f)(g) | 8,358,000 | 8,315,725 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4613% 1/18/32 (d)(f)(g) | 11,752,000 | 11,744,467 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4213% 4/17/33 (d)(f)(g) | 8,700,000 | 8,699,965 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/35 (d)(f)(g) | 11,160,000 | 11,097,113 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.2897% 2/20/35 (d)(f)(g) | 6,539,000 | 6,500,884 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (d)(f)(g) | 5,728,000 | 5,726,024 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 1/15/35 (d)(f)(g) | 15,072,000 | 14,994,002 | |
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 (d)(f)(g) | 3,200,000 | 3,187,152 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (d) | 5,631,049 | 5,553,304 | |
FirstKey Homes Trust: | |||
Series 2020-SFR1 Class F2, 4.284% 8/17/37 (d) | 420,000 | 411,608 | |
Series 2021-SFR1 Class F1, 3.238% 8/17/38 (d) | 265,000 | 244,588 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.358% 7/19/34 (d)(f)(g) | 8,589,000 | 8,510,771 | |
Class AR, 3 month U.S. LIBOR + 1.080% 1.5386% 11/16/34 (d)(f)(g) | 12,500,000 | 12,392,388 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.7796% 11/20/33 (d)(f)(g) | 15,400,000 | 15,362,963 | |
Home Partners of America Trust: | |||
Series 2019-2 Class F, 3.866% 10/19/39 (d) | 498,058 | 477,268 | |
Series 2021-2 Class G, 4.505% 12/17/26 (d) | 2,323,248 | 2,240,314 | |
Series 2021-3 Class F, 4.242% 1/17/41 (d) | 355,446 | 338,704 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (d) | 4,805,517 | 4,582,401 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (d) | 5,120,099 | 4,975,196 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.2485% 10/22/34 (d)(f)(g) | 8,865,000 | 8,815,081 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 1.33% 4/15/35 (d)(f)(g)(o) | 21,121,000 | 21,115,825 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4513% 1/15/33 (d)(f)(g) | 7,620,000 | 7,615,047 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1789% 1/22/28 (d)(f)(g) | 9,195,776 | 9,164,419 | |
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 (d)(f)(g) | 16,420,000 | 16,326,817 | |
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 (d)(f)(g) | 14,394,000 | 14,287,614 | |
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 (d)(f)(g) | 8,675,000 | 8,610,614 | |
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 (d)(f)(g) | 3,536,000 | 3,522,818 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.394% 10/20/34 (d)(f)(g) | 2,957,000 | 2,938,814 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 1.2622% 10/25/34 (d)(f)(g) | 15,155,000 | 15,069,738 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 1.274% 4/20/34 (d)(f)(g) | 11,245,000 | 11,112,084 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 1.251% 1/25/35 (d)(f)(g) | 10,754,000 | 10,660,150 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.2313% 1/15/34 (d)(f)(g) | 14,050,000 | 14,049,059 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/30 (d)(f)(g) | 13,378,000 | 13,303,779 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (f)(g) | 254,015 | 253,716 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.384% 10/20/34 (d)(f)(g) | 4,882,000 | 4,847,006 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (d) | 20,486,813 | 20,784,486 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (d) | 9,587,340 | 9,548,128 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (d) | 10,554,000 | 10,588,317 | |
Class A2II, 4.008% 12/5/51 (d) | 9,431,000 | 9,269,848 | |
Progress Residential Trust: | |||
Series 2019-SFR2 Class F, 4.837% 5/17/36 (d) | 116,000 | 114,651 | |
Series 2019-SFR3: | |||
Class F, 3.867% 9/17/36 (d) | 315,000 | 307,629 | |
Class G, 4.116% 9/17/36 (d) | 263,000 | 257,960 | |
Series 2019-SFR4 Class F, 3.684% 10/17/36 (d) | 1,082,000 | 1,056,021 | |
Series 2020-SFR1: | |||
Class G, 4.028% 4/17/37 (d) | 378,000 | 367,887 | |
Class H, 5.268% 4/17/37 (d) | 105,000 | 103,168 | |
Series 2020-SFR3 Class H, 6.234% 10/17/27 (d) | 273,000 | 255,227 | |
Series 2021-SFR2 Class H, 4.998% 4/19/38 (d) | 401,000 | 384,943 | |
Series 2021-SFR6: | |||
Class F, 3.422% 7/17/38 (d) | 315,000 | 295,387 | |
Class G, 4.003% 7/17/38 (d) | 168,000 | 157,590 | |
Series 2021-SFR8: | |||
Class F, 3.181% 10/17/38 (d) | 203,000 | 188,082 | |
Class G, 4.005% 10/17/38 (d) | 1,347,000 | 1,272,296 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (d) | 9,615,470 | 9,374,460 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.374% 4/20/34 (d)(f)(g) | 15,987,000 | 15,905,290 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (d)(f)(g) | 17,526,000 | 17,521,741 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (d) | 10,175,572 | 9,753,326 | |
Class B, 4.335% 3/15/40 (d) | 1,071,663 | 891,174 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (d) | 12,474,000 | 12,629,430 | |
1.884% 7/15/50 (d) | 4,985,000 | 4,872,652 | |
2.328% 7/15/52 (d) | 3,812,000 | 3,724,469 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.85% 4/23/35 (d)(f)(g)(o) | 18,277,000 | 18,267,862 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (d)(f)(g) | 1,661,000 | 1,654,999 | |
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 (d)(f)(g) | 14,155,000 | 14,015,460 | |
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 (d)(f)(g) | 12,250,000 | 12,136,210 | |
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 4.815% 12/5/36 (c)(d)(f)(g) | 383,576 | 29 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (f)(g) | 9,027 | 8,940 | |
Thunderbolt Aircraft Lease Ltd.: | |||
Series 2017-A Class A, 4.212% 5/17/32 (d) | 5,977,438 | 5,897,465 | |
Series 2018-A Class A, 4.147% 9/15/38 (d)(f) | 10,586,919 | 10,350,417 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (d) | 14,732,193 | 14,287,552 | |
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6411% 3/25/58 (d)(f) | 2,724,436 | 2,783,889 | |
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 (d)(f)(g) | 934,000 | 691,268 | |
Tricon American Homes: | |||
Series 2019-SFR1 Class F, 3.745% 3/17/38 (d) | 525,000 | 505,220 | |
Series 2020-SFR1 Class F, 4.882% 7/17/38 (d) | 151,000 | 147,990 | |
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (d) | 168,000 | 157,200 | |
Upstart Securitization Trust Series 2021-1 Class A, 0.87% 3/20/31 (d) | 740,886 | 736,556 | |
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (d) | 403,000 | 402,228 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.524% 7/20/32 (d)(f)(g) | 13,214,000 | 13,171,451 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.408% 7/19/34 (d)(f)(g) | 8,182,000 | 8,133,947 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (d)(f)(g) | 16,805,000 | 16,692,457 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 7/16/34 (d)(f)(g) | 8,180,000 | 8,127,656 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $987,365,882) | 977,671,637 | ||
Collateralized Mortgage Obligations - 0.8% | |||
Private Sponsor - 0.3% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (d) | 5,115,598 | 4,884,061 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (d)(f) | 6,822,086 | 6,724,339 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (d) | 7,394,656 | 7,349,514 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (d) | 8,922,007 | 8,877,233 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (d) | 5,553,718 | 5,527,035 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (d)(f) | 343,228 | 341,249 | |
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (c)(d)(f) | 1,802 | 292 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (d)(f)(g) | 749,634 | 738,447 | |
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (c)(d)(f)(g) | 86,634 | 9 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (d)(f) | 24,365,000 | 24,458,172 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (d) | 2,900,168 | 2,837,908 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (d) | 3,049,075 | 3,022,134 | |
RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (d) | 3,399,254 | 3,351,259 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (f)(g) | 1,859 | 1,813 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8269% 9/25/43 (f)(g) | 969,282 | 944,776 | |
TOTAL PRIVATE SPONSOR | 69,058,241 | ||
U.S. Government Agency - 0.5% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9869% 2/25/32 (f)(g) | 3,201 | 3,255 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1367% 3/18/32 (f)(g) | 5,933 | 6,055 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1869% 4/25/32 (f)(g) | 6,749 | 6,908 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1869% 10/25/32 (f)(g) | 8,854 | 9,045 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9369% 1/25/32 (f)(g) | 3,191 | 3,240 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9131% 12/25/33 (f)(p)(q) | 115,847 | 26,226 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.4931% 11/25/36 (f)(p)(q) | 81,871 | 14,002 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 320 | 325 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 13,838 | 14,151 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 5,504 | 5,644 | |
Series 1999-17 Class PG, 6% 4/25/29 | 37,076 | 39,847 | |
Series 1999-32 Class PL, 6% 7/25/29 | 41,105 | 44,338 | |
Series 1999-33 Class PK, 6% 7/25/29 | 30,943 | 33,376 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 4,608 | 4,974 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 5,318 | 5,433 | |
Series 2005-102 Class CO 11/25/35 (r) | 21,625 | 19,587 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.0642% 8/25/35 (f)(q) | 5,283 | 6,567 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 59,865 | 65,654 | |
Series 2006-12 Class BO 10/25/35 (r) | 98,327 | 89,315 | |
Series 2006-15 Class OP 3/25/36 (r) | 112,948 | 100,735 | |
Series 2006-37 Class OW 5/25/36 (r) | 11,095 | 9,682 | |
Series 2006-45 Class OP 6/25/36 (r) | 35,385 | 30,940 | |
Series 2006-62 Class KP 4/25/36 (r) | 57,903 | 51,918 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,096,906 | 1,079,352 | |
Class GA, 1.75% 6/25/42 | 1,194,964 | 1,179,350 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 7,648 | 8,214 | |
Series 1999-25 Class Z, 6% 6/25/29 | 34,563 | 36,558 | |
Series 2001-20 Class Z, 6% 5/25/31 | 41,844 | 45,352 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 22,168 | 23,691 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 14,405 | 15,583 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3631% 11/25/32 (f)(p)(q) | 46,952 | 4,567 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (p) | 134,988 | 6,552 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4531% 12/25/36 (f)(p)(q) | 57,930 | 11,903 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2531% 5/25/37 (f)(p)(q) | 28,347 | 5,934 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.2713% 9/25/23 (f)(q) | 697 | 751 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9131% 3/25/33 (f)(p)(q) | 7,060 | 1,432 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 455,459 | 481,937 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 342,063 | 379,781 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.4988% 6/25/37 (f)(q) | 26,364 | 49,050 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (f)(q) | 39,284 | 73,280 | |
Class SB, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (f)(q) | 12,585 | 20,327 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.3581% 8/25/37 (f)(p)(q) | 1,148,324 | 215,702 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1631% 3/25/38 (f)(p)(q) | 194,114 | 34,695 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.8631% 12/25/40 (f)(p)(q) | 195,577 | 30,838 | |
Class ZA, 4.5% 12/25/40 | 563,148 | 634,376 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (p) | 78,131 | 3,085 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,042,341 | 1,158,780 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,303,995 | 2,553,065 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 136,508 | 150,574 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 355,424 | 384,950 | |
Series 2011-67 Class AI, 4% 7/25/26 (p) | 23,434 | 918 | |
Series 2011-83 Class DI, 6% 9/25/26 (p) | 3,026 | 38 | |
Series 2012-100 Class WI, 3% 9/25/27 (p) | 614,145 | 40,179 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4631% 12/25/30 (f)(p)(q) | 101,141 | 3,961 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3631% 6/25/41 (f)(p)(q) | 76,243 | 2,314 | |
Series 2013-133 Class IB, 3% 4/25/32 (p) | 227,671 | 8,558 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8631% 1/25/44 (f)(p)(q) | 185,276 | 34,572 | |
Series 2013-51 Class GI, 3% 10/25/32 (p) | 740,851 | 50,395 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5331% 6/25/35 (f)(p)(q) | 162,208 | 24,845 | |
Series 2015-42 Class IL, 6% 6/25/45 (p) | 1,113,403 | 213,365 | |
Series 2015-70 Class JC, 3% 10/25/45 | 970,551 | 994,392 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (p) | 644,673 | 125,070 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (p) | 30,192 | 5,317 | |
Series 343 Class 16, 5.5% 5/25/34 (p) | 26,556 | 4,293 | |
Series 348 Class 14, 6.5% 8/25/34 (f)(p) | 18,644 | 3,968 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (f)(p) | 11,713 | 2,101 | |
Class 13, 6% 3/25/34 (p) | 16,985 | 3,019 | |
Series 359 Class 19, 6% 7/25/35 (f)(p) | 10,048 | 1,971 | |
Series 384 Class 6, 5% 7/25/37 (p) | 115,907 | 20,295 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9911% 1/15/32 (f)(g) | 2,464 | 2,508 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (f)(g) | 3,626 | 3,701 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1911% 3/15/32 (f)(g) | 3,636 | 3,713 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.0911% 6/15/31 (f)(g) | 6,492 | 6,607 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (f)(g) | 2,035 | 2,072 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.4411% 5/15/37 (f)(g) | 145,308 | 145,779 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 46,668 | 50,418 | |
Series 2101 Class PD, 6% 11/15/28 | 3,836 | 4,143 | |
Series 2121 Class MG, 6% 2/15/29 | 18,232 | 19,678 | |
Series 2131 Class BG, 6% 3/15/29 | 135,445 | 146,474 | |
Series 2137 Class PG, 6% 3/15/29 | 22,294 | 24,120 | |
Series 2154 Class PT, 6% 5/15/29 | 36,403 | 39,396 | |
Series 2162 Class PH, 6% 6/15/29 | 7,337 | 7,898 | |
Series 2520 Class BE, 6% 11/15/32 | 55,958 | 61,910 | |
Series 2693 Class MD, 5.5% 10/15/33 | 548,018 | 580,672 | |
Series 2802 Class OB, 6% 5/15/34 | 52,786 | 57,372 | |
Series 3002 Class NE, 5% 7/15/35 | 139,277 | 150,182 | |
Series 3110 Class OP 9/15/35 (r) | 49,514 | 47,062 | |
Series 3119 Class PO 2/15/36 (r) | 137,845 | 122,501 | |
Series 3121 Class KO 3/15/36 (r) | 21,262 | 19,108 | |
Series 3123 Class LO 3/15/36 (r) | 77,363 | 68,902 | |
Series 3145 Class GO 4/15/36 (r) | 79,744 | 71,304 | |
Series 3189 Class PD, 6% 7/15/36 | 119,685 | 134,188 | |
Series 3225 Class EO 10/15/36 (r) | 41,750 | 36,803 | |
Series 3258 Class PM, 5.5% 12/15/36 | 52,994 | 58,364 | |
Series 3415 Class PC, 5% 12/15/37 | 53,451 | 57,550 | |
Series 3806 Class UP, 4.5% 2/15/41 | 240,498 | 254,993 | |
Series 3832 Class PE, 5% 3/15/41 | 581,016 | 626,856 | |
Series 4135 Class AB, 1.75% 6/15/42 | 894,842 | 884,167 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 9,173 | 9,838 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 12,889 | 13,742 | |
Series 2281 Class ZB, 6% 3/15/30 | 26,210 | 28,212 | |
Series 2303 Class ZV, 6% 4/15/31 | 12,860 | 13,965 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 100,215 | 110,896 | |
Series 2502 Class ZC, 6% 9/15/32 | 25,394 | 28,064 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 36,615 | 39,996 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 3,592 | 3,669 | |
Series 2601 Class TB, 5.5% 4/15/23 | 1,665 | 1,702 | |
Series 2998 Class LY, 5.5% 7/15/25 | 16,269 | 17,368 | |
Series 3871 Class KB, 5.5% 6/15/41 | 853,007 | 950,262 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4089% 2/15/36 (f)(p)(q) | 37,769 | 6,063 | |
Series 2013-4281 Class AI, 4% 12/15/28 (p) | 198,507 | 6,679 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,524,597 | 1,554,463 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 45.5576% 8/15/24 (f)(q) | 3 | 3 | |
Class SD, 86.400% - 1 month U.S. LIBOR 83.9652% 8/15/24 (f)(q) | 4 | 4 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 709,758 | 792,828 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 590,771 | 651,217 | |
Series 2947 Class XZ, 6% 3/15/35 | 228,706 | 255,053 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 468,561 | 517,007 | |
Series 3237 Class C, 5.5% 11/15/36 | 652,260 | 710,542 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4689% 11/15/36 (f)(p)(q) | 173,425 | 33,446 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5589% 3/15/37 (f)(p)(q) | 253,540 | 55,579 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5689% 4/15/37 (f)(p)(q) | 365,874 | 72,334 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3889% 6/15/37 (f)(p)(q) | 129,929 | 22,215 | |
Series 3949 Class MK, 4.5% 10/15/34 | 101,049 | 107,344 | |
Series 4055 Class BI, 3.5% 5/15/31 (p) | 240,041 | 9,525 | |
Series 4149 Class IO, 3% 1/15/33 (p) | 381,868 | 34,296 | |
Series 4314 Class AI, 5% 3/15/34 (p) | 80,733 | 3,974 | |
Series 4427 Class LI, 3.5% 2/15/34 (p) | 633,342 | 53,478 | |
Series 4471 Class PA 4% 12/15/40 | 535,947 | 556,198 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 20,810 | 22,152 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0063% 2/15/24 (f)(g) | 3,912 | 3,925 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 15,116 | 16,264 | |
Series 2056 Class Z, 6% 5/15/28 | 40,335 | 43,513 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 1,213,381 | 1,299,959 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 3,092,972 | 3,311,075 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5643% 6/16/37 (f)(p)(q) | 70,788 | 13,186 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6579% 3/20/60 (f)(g)(s) | 930,103 | 932,142 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 7/20/60 (f)(g)(s) | 137,068 | 136,827 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4013% 9/20/60 (f)(g)(s) | 163,910 | 163,519 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4013% 8/20/60 (f)(g)(s) | 145,409 | 145,069 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4813% 12/20/60 (f)(g)(s) | 344,421 | 344,176 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 12/20/60 (f)(g)(s) | 353,212 | 353,719 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 2/20/61 (f)(g)(s) | 381,924 | 382,444 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5913% 2/20/61 (f)(g)(s) | 583,440 | 584,106 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 4/20/61 (f)(g)(s) | 327,079 | 327,606 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (f)(g)(s) | 504,101 | 504,856 | |
Class FC, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (f)(g)(s) | 386,914 | 387,525 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6313% 6/20/61 (f)(g)(s) | 457,947 | 458,824 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 10/20/61 (f)(g)(s) | 903,237 | 906,150 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 11/20/61 (f)(g)(s) | 519,671 | 522,303 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 1/20/62 (f)(g)(s) | 313,372 | 314,839 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 1/20/62 (f)(g)(s) | 448,083 | 449,830 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 3/20/62 (f)(g)(s) | 285,316 | 286,529 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7513% 5/20/61 (f)(g)(s) | 10,031 | 10,085 | |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 0.6213% 10/20/62 (f)(g)(s) | 227,084 | 227,493 | |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 0.4613% 3/20/63 (f)(g)(s) | 382,587 | 382,152 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 1/20/64 (f)(g)(s) | 370,640 | 371,623 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7013% 12/20/63 (f)(g)(s) | 1,561,884 | 1,565,485 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6013% 6/20/64 (f)(g)(s) | 1,885,486 | 1,888,064 | |
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 0.6013% 9/20/64 (f)(g)(s) | 6,255,928 | 6,264,898 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5013% 12/20/62 (f)(g)(s) | 26,192 | 26,155 | |
Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 0.5617% 1/20/49 (f)(g) | 2,716,528 | 2,738,576 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.6617% 10/20/49 (f)(g) | 851,307 | 855,646 | |
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.6117% 12/20/49 (f)(g) | 2,886,454 | 2,910,018 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.6117% 2/20/49 (f)(g) | 1,777,344 | 1,791,952 | |
Series 2019-65 Class BF, 1 month U.S. LIBOR + 0.400% 0.5617% 5/20/49 (f)(g) | 2,176,790 | 2,197,534 | |
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.6617% 8/20/49 (f)(g) | 1,315,080 | 1,328,589 | |
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5617% 3/20/50 (f)(g) | 2,654,258 | 2,666,225 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6766% 12/20/40 (f)(q) | 984,030 | 1,070,255 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (p) | 31,452 | 2,040 | |
Series 2016-69 Class WA, 3% 2/20/46 | 863,536 | 881,478 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,245,986 | 1,260,136 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 203,331 | 211,235 | |
Series 2010-160 Class DY, 4% 12/20/40 | 1,924,511 | 2,000,163 | |
Series 2010-170 Class B, 4% 12/20/40 | 433,726 | 450,866 | |
Series 2017-139 Class BA, 3% 9/20/47 | 4,139,080 | 4,231,850 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3743% 5/16/34 (f)(p)(q) | 42,619 | 6,583 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0743% 8/17/34 (f)(p)(q) | 41,281 | 8,057 | |
Series 2010-116 Class QB, 4% 9/16/40 | 4,574,682 | 4,780,848 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 5/20/60 (f)(g)(s) | 412,847 | 412,127 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9383% 7/20/41 (f)(p)(q) | 167,645 | 29,448 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5743% 6/16/42 (f)(p)(q) | 155,039 | 27,389 | |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.4511% 4/20/39 (f)(q) | 15,109 | 15,248 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,830,680 | 1,878,691 | |
Series 2014-2 Class BA, 3% 1/20/44 | 2,422,853 | 2,471,432 | |
Series 2014-21 Class HA, 3% 2/20/44 | 890,549 | 908,211 | |
Series 2014-25 Class HC, 3% 2/20/44 | 1,529,124 | 1,545,127 | |
Series 2014-5 Class A, 3% 1/20/44 | 1,347,793 | 1,361,353 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (s) | 12,485 | 12,551 | |
Series 2017-186 Class HK, 3% 11/16/45 | 2,187,115 | 2,225,751 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.72% 8/20/66 (f)(g)(s) | 3,934,473 | 3,901,180 | |
TOTAL U.S. GOVERNMENT AGENCY | 87,895,922 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $156,909,227) | 156,954,163 | ||
Commercial Mortgage Securities - 4.0% | |||
ALEN Mortgage Trust floater Series 2021-ACEN Class F, 1 month U.S. LIBOR + 5.000% 5.191% 4/15/34 (d)(f)(g) | 578,000 | 561,629 | |
Ashford Hospitality Trust floater Series 2018-ASHF Class E, 1 month U.S. LIBOR + 3.100% 3.291% 4/15/35 (d)(f)(g) | 397,000 | 376,109 | |
Atrium Hotel Portfolio Trust floater Series 2018-ATRM Class D, 1 month U.S. LIBOR + 2.300% 2.491% 6/15/35 (d)(f)(g) | 172,000 | 167,689 | |
BAMLL Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 3.391% 3/15/34 (d)(f)(g) | 567,000 | 542,858 | |
Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 2.141% 4/15/36 (d)(f)(g) | 1,045,000 | 1,011,900 | |
Series 2021-JACX Class E, 1 month U.S. LIBOR + 3.750% 3.941% 9/15/38 (d)(f)(g) | 627,000 | 615,136 | |
Series 2022-DKLX: | |||
Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (d)(f)(g) | 9,488,000 | 9,406,328 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.65% 1/15/39 (d)(f)(g) | 1,792,000 | 1,773,351 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.25% 1/15/39 (d)(f)(g) | 1,279,000 | 1,265,885 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (d) | 6,400,000 | 6,379,716 | |
Class ANM, 3.112% 11/5/32 (d) | 7,809,000 | 7,769,015 | |
Series 2015-200P Class F, 3.5958% 4/14/33 (d)(f) | 455,000 | 437,666 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (d) | 1,753,000 | 1,719,143 | |
Class CNM, 3.7186% 11/5/32 (d)(f) | 725,000 | 698,600 | |
BANK: | |||
sequential payer Series 2019-BN21 Class A5, 2.851% 10/17/52 | 1,355,000 | 1,350,950 | |
Series 2017-BNK4 Class D, 3.357% 5/15/50 (d) | 782,000 | 699,789 | |
Series 2017-BNK6 Class D, 3.1% 7/15/60 (d) | 455,000 | 391,530 | |
Series 2017-BNK8: | |||
Class D, 2.6% 11/15/50 (d) | 960,000 | 800,796 | |
Class E, 2.8% 11/15/50 (d) | 609,000 | 415,071 | |
Series 2018-BN12 Class D, 3% 5/15/61 (d) | 487,000 | 395,479 | |
Series 2018-BN15: | |||
Class D, 3% 11/15/61 (d) | 430,000 | 356,043 | |
Class E, 3% 11/15/61 (d) | 430,000 | 332,108 | |
Series 2019-BN18 Class D, 3% 5/15/62 (d) | 648,000 | 560,895 | |
Series 2019-BN19 Class D, 3% 8/15/61 (d) | 946,000 | 766,472 | |
Series 2020-BN27 Class D, 2.5% 4/15/63 (d) | 243,000 | 201,471 | |
Series 2020-BN28 Class E, 2.5% 3/15/63 (d) | 252,000 | 195,615 | |
Series 2020-BN29 Class E, 2.5% 11/15/53 (d) | 294,000 | 228,566 | |
Series 2020-BN30: | |||
Class E, 2.5% 12/15/53 (d) | 189,000 | 148,271 | |
Class MCDG, 2.9182% 12/15/53 (f) | 885,000 | 701,828 | |
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: | |||
Class C, 4.352% 2/15/50 (f) | 347,000 | 336,017 | |
Class D, 3.25% 2/15/50 (d) | 675,000 | 601,983 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.7633% 7/15/49 (f)(p) | 9,710,368 | 572,992 | |
Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (d) | 188,000 | 151,155 | |
BBCMS Mortgage Trust: | |||
sequential payer Series 2020-C8 Class E, 2.25% 10/15/53 (d) | 830,000 | 617,702 | |
Series 2016-ETC: | |||
Class D, 3.6089% 8/14/36 (d)(f) | 483,000 | 434,792 | |
Class E, 3.6089% 8/14/36 (c)(d)(f) | 363,000 | 306,999 | |
Series 2020-C6 Class E, 2.4% 2/15/53 (d) | 348,000 | 268,754 | |
Series 2020-C7 Class D, 3.6042% 4/15/53 (d)(f) | 210,000 | 189,397 | |
BCP Trust floater Series 2021-330N Class F, 1 month U.S. LIBOR + 4.630% 4.825% 6/15/38 (d)(f)(g) | 597,000 | 573,940 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 1,536,000 | 1,648,861 | |
Series 2019-B14: | |||
Class 225D, 3.2943% 12/15/62 (d)(f) | 399,000 | 361,542 | |
Class 225E, 3.2943% 12/15/62 (d)(f) | 269,000 | 234,998 | |
Series 2020-B20 Class E, 2% 10/15/53 (d) | 588,000 | 421,074 | |
Series 2018-B7: | |||
Class D, 3% 5/15/53 (d)(f) | 351,000 | 306,358 | |
Class E, 3% 5/15/53 (d)(f) | 351,000 | 286,763 | |
Series 2019-B14 Class XA, 0.7822% 12/15/62 (f)(p) | 16,852,559 | 707,777 | |
Series 2020-B18: | |||
Class AGNG, 4.3885% 7/15/53 (d)(f) | 1,113,000 | 1,058,642 | |
Class D, 2.25% 7/15/53 (d) | 777,000 | 612,082 | |
Series 2020-B21: | |||
Class D, 2% 12/17/53 (d) | 446,000 | 352,576 | |
Class E, 2% 12/17/53 (d) | 420,000 | 299,199 | |
Series 2020-B22 Class E, 2% 1/15/54 (d) | 502,000 | 355,999 | |
Series 2020-IG2: | |||
Class C, 3.2931% 9/15/48 (d)(f) | 315,000 | 287,711 | |
Class D, 3.2931% 9/15/48 (d)(f) | 379,000 | 313,883 | |
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (d)(f) | 789,000 | 631,212 | |
Series 2021-B25: | |||
Class 300D, 2.9942% 4/15/54 (d)(f) | 850,000 | 751,312 | |
Class 300E, 2.9942% 4/15/54 (d)(f) | 282,000 | 236,416 | |
BFLD Trust: | |||
floater Series 2020-EYP Class G, 1 month U.S. LIBOR + 4.850% 5.041% 10/15/35 (d)(f)(g) | 558,000 | 549,506 | |
floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.241% 11/15/28 (d)(f)(g) | 6,971,000 | 6,918,477 | |
BHP Trust floater Series 2019-BXHP Class F, 1 month U.S. LIBOR + 2.930% 3.129% 8/15/36 (d)(f)(g) | 319,900 | 309,901 | |
BMO Mortgage Trust Series 2022-C1: | |||
Class 360D, 3.947% 2/15/42 (d)(f) | 441,000 | 406,893 | |
Class 360E, 3.947% 2/15/42 (d)(f) | 546,000 | 468,523 | |
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 2.591% 6/15/35 (d)(f)(g) | 168,000 | 162,188 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2020-FOX Class G, 1 month U.S. LIBOR + 4.750% 4.941% 11/15/32 (d)(f)(g) | 450,900 | 444,921 | |
Series 2021-CIP Class G, 1 month U.S. LIBOR + 3.960% 4.16% 12/15/38 (d)(f)(g) | 4,562,000 | 4,438,987 | |
Series 2021-FOX Class F, 1 month U.S. LIBOR + 4.250% 4.441% 11/15/32 (d)(f)(g) | 283,182 | 280,345 | |
Series 2021-MC Class G, 1 month U.S. LIBOR + 3.080% 3.2778% 4/15/34 (d)(f)(g) | 397,500 | 379,081 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (d)(f)(g) | 17,147,000 | 16,760,623 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.0908% 10/15/36 (d)(f)(g) | 2,565,000 | 2,500,785 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.2906% 10/15/36 (d)(f)(g) | 3,433,000 | 3,329,856 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.4903% 10/15/36 (d)(f)(g) | 3,333,000 | 3,224,531 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.1395% 10/15/36 (d)(f)(g) | 11,589,000 | 11,211,849 | |
Class G, 1 month U.S. LIBOR + 2.940% 3.1381% 10/15/36 (d)(f)(g) | 798,000 | 766,009 | |
Series 2021-VINO Class G, 1 month U.S. LIBOR + 3.950% 4.1433% 5/15/38 (d)(f)(g) | 1,980,000 | 1,930,425 | |
Series 2022-LP2: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (d)(f)(g) | 23,975,000 | 23,734,991 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.310% 1.3623% 2/15/39 (d)(f)(g) | 7,224,000 | 7,146,178 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 1.560% 1.6117% 2/15/39(d)(f)(g) | 7,224,000 | 7,148,185 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 1.960% 2.0108% 2/15/39 (d)(f)(g) | 7,224,000 | 7,146,855 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.067% 11/15/32 (d)(f)(g) | 3,068,000 | 3,028,621 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.191% 11/15/32 (d)(f)(g) | 8,604,183 | 8,550,734 | |
Series 2020-VIVA: | |||
Class D, 3.5488% 3/11/44 (d)(f) | 2,936,000 | 2,658,443 | |
Class E, 3.5488% 3/11/44 (d)(f) | 1,770,000 | 1,567,450 | |
BX Trust: | |||
floater: | |||
Series 2017-APPL Class F, 1 month U.S. LIBOR + 4.250% 4.441% 7/15/34 (d)(f)(g) | 646,000 | 641,975 | |
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 2.816% 9/15/37 (d)(f)(g) | 3,274,122 | 2,768,285 | |
Series 2018-IND: | |||
Class F, 1 month U.S. LIBOR + 1.800% 1.991% 11/15/35 (d)(f)(g) | 3,875,200 | 3,860,436 | |
Class H, 1 month U.S. LIBOR + 3.000% 3.191% 11/15/35 (d)(f)(g) | 550,900 | 543,994 | |
Series 2019-ATL Class E, 1 month U.S. LIBOR + 2.230% 2.4276% 10/15/36 (d)(f)(g) | 546,000 | 526,180 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.491% 4/15/34 (d)(f)(g) | 6,526,000 | 6,427,759 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 4/15/34 (d)(f)(g) | 4,315,000 | 4,239,222 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.091% 4/15/34 (d)(f)(g) | 4,529,000 | 4,432,648 | |
Class G, 1 month U.S. LIBOR + 3.600% 3.791% 4/15/34 (d)(f)(g) | 861,000 | 841,560 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (d)(f)(g) | 5,334,600 | 5,287,521 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.441% 10/15/36 (d)(f)(g) | 6,706,500 | 6,643,289 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.641% 10/15/36 (d)(f)(g) | 9,499,600 | 9,404,334 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.991% 10/15/36 (d)(f)(g) | 13,346,700 | 13,196,802 | |
Class J, 1 month U.S. LIBOR + 2.650% 2.841% 10/15/36 (d)(f)(g) | 4,038,350 | 3,947,234 | |
Series 2021-21M Class H, 1 month U.S. LIBOR + 4.010% 4.201% 10/15/36 (d)(f)(g) | 567,000 | 547,354 | |
Series 2021-ACNT Class G, 1 month U.S. LIBOR + 3.290% 3.487% 11/15/38 (d)(f)(g) | 672,000 | 656,569 | |
Series 2021-ARIA: | |||
Class F, 1 month U.S. LIBOR + 2.590% 2.7845% 10/15/36 (d)(f)(g) | 1,385,000 | 1,346,860 | |
Class G, 1 month U.S. LIBOR + 3.140% 3.3331% 10/15/36 (d)(f)(g) | 1,579,000 | 1,527,615 | |
Series 2021-BXMF Class G, 1 month U.S. LIBOR + 3.340% 3.5405% 10/15/26 (d)(f)(g) | 1,869,000 | 1,803,495 | |
Series 2021-LBA: | |||
Class FJV, 1 month U.S. LIBOR + 2.400% 2.592% 2/15/36 (d)(f)(g) | 331,000 | 318,726 | |
Class FV, 1 month U.S. LIBOR + 2.400% 2.592% 2/15/36 (d)(f)(g) | 1,094,000 | 1,052,178 | |
Series 2021-MFM1: | |||
Class F, 1 month U.S. LIBOR + 3.000% 3.1911% 1/15/34 (d)(f)(g) | 2,119,000 | 2,080,052 | |
Class G, 1 month U.S. LIBOR + 3.900% 4.0911% 1/15/34 (d)(f)(g) | 114,000 | 111,475 | |
Series 2021-SDMF Class F, 1 month U.S. LIBOR + 1.930% 2.128% 9/15/34 (d)(f)(g) | 441,000 | 422,855 | |
Series 2021-SOAR: | |||
Class G, 2.991% 6/15/38 (d)(f) | 315,000 | 306,135 | |
Class J, 3.941% 6/15/38 (d)(f) | 630,000 | 610,193 | |
Series 2021-VOLT: | |||
Class F, 1 month U.S. LIBOR + 2.400% 2.5911% 9/15/36 (d)(f)(g) | 230,000 | 223,090 | |
Class G, 1 month U.S. LIBOR + 2.850% 3.0411% 9/15/36 (d)(f)(g) | 1,440,000 | 1,382,323 | |
Series 2021-XL2 Class J, 1 month U.S. LIBOR + 3.890% 4.081% 10/15/38 (d)(f)(g) | 4,185,000 | 4,066,923 | |
Series 2022-LBA6: | |||
Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.350% 3.4492% 1/15/39 (d)(f)(g) | 1,160,000 | 1,136,506 | |
Class G, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 4.200% 4.2992% 1/15/39 (d)(f)(g) | 378,000 | 370,500 | |
Series 2022-LP2 Class G, CME TERM SOFR 1 MONTH INDEX + 4.100% 4.1558% 2/15/39 (d)(f)(g) | 1,932,000 | 1,907,606 | |
floater sequential payer Series 2021-LGCY Class J, 1 month U.S. LIBOR + 3.190% 3.384% 10/15/23 (d)(f)(g) | 345,000 | 330,101 | |
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (d)(f)(g) | 8,333,000 | 8,239,334 | |
Series 2019-OC11: | |||
Class D, 4.0755% 12/9/41 (d)(f) | 84,000 | 80,993 | |
Class E, 4.0755% 12/9/41 (d)(f) | 2,479,000 | 2,225,748 | |
BXP Trust Series 2021-601L Class E, 2.7755% 1/15/44 (d)(f) | 189,000 | 146,810 | |
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (d)(f) | 976,000 | 871,684 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | |||
Class F, 1 month U.S. LIBOR + 2.550% 2.741% 12/15/37 (d)(f)(g) | 100,000 | 98,247 | |
Class G, 1 month U.S. LIBOR + 3.250% 3.441% 12/15/37 (d)(f)(g) | 2,992,000 | 2,924,960 | |
CD Mortgage Trust Series 2017-CD3: | |||
Class C, 4.5544% 2/10/50 (f) | 813,000 | 791,784 | |
Class D, 3.25% 2/10/50 (d) | 735,000 | 577,285 | |
CEDR Commercial Mortgage Trust floater Series 2022-SNAI Class F, CME TERM SOFR 1 MONTH INDEX + 3.610% 3.4347% 2/15/39 (d)(f)(g) | 2,211,000 | 2,180,504 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (d) | 18,269,660 | 17,385,771 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (d)(f)(g) | 5,780,000 | 5,707,555 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4411% 11/15/36 (d)(f)(g) | 1,600,000 | 1,575,936 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (d)(f)(g) | 15,928,734 | 15,749,756 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.691% 6/15/34 (d)(f)(g) | 3,136,109 | 3,081,048 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.941% 6/15/34 (d)(f)(g) | 3,542,146 | 3,444,424 | |
Class E, 1 month U.S. LIBOR + 2.350% 2.541% 6/15/34 (d)(f)(g) | 1,646,979 | 1,584,790 | |
Class F, 1 month U.S. LIBOR + 2.600% 2.7992% 6/15/34 (d)(f)(g) | 2,126,479 | 2,010,170 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (d)(f)(g) | 10,315,766 | 10,140,346 | |
Class B, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/36 (d)(f)(g) | 3,176,106 | 3,097,327 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.492% 8/15/36 (d)(f)(g) | 2,362,345 | 2,292,131 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.242% 8/15/36 (d)(f)(g) | 2,917,846 | 2,816,888 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-375P Class E, 3.5176% 5/10/35 (d)(f) | 715,000 | 700,272 | |
Series 2013-GC15 Class D, 5.1749% 9/10/46 (d)(f) | 1,200,000 | 1,171,935 | |
Series 2015-GC29 Class XA, 1.0214% 4/10/48 (f)(p) | 18,696,512 | 498,965 | |
Series 2015-GC33 Class XA, 0.8805% 9/10/58 (f)(p) | 30,598,878 | 820,178 | |
Series 2016-C3 Class D, 3% 11/15/49 (d) | 829,000 | 638,865 | |
Series 2016-P6 Class XA, 0.5702% 12/10/49 (f)(p) | 21,873,939 | 513,718 | |
Series 2019-GC41: | |||
Class D, 3% 8/10/56 (d) | 546,000 | 468,623 | |
Class E, 3% 8/10/56 (d) | 462,000 | 370,517 | |
Series 2019-GC43 Class E, 3% 11/10/52 (d) | 651,000 | 535,172 | |
Series 2020-420K Class E, 3.3118% 11/10/42 (d)(f) | 567,000 | 484,474 | |
Series 2020-GC46: | |||
Class D, 2.6% 2/15/53 (d) | 673,000 | 538,105 | |
Class E, 2.6% 2/15/53 (d) | 76,000 | 57,326 | |
COMM Mortgage Trust: | |||
floater Series 2018-HCLV: | |||
Class F, 1 month U.S. LIBOR + 3.050% 3.241% 9/15/33 (d)(f)(g) | 267,000 | 240,931 | |
Class G, 1 month U.S. LIBOR + 5.050% 5.2473% 9/15/33 (d)(f)(g) | 300,000 | 257,787 | |
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (d) | 3,375,249 | 3,409,940 | |
Series 2013-LC6 Class E, 3.5% 1/10/46 (d) | 527,000 | 448,110 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 2,605,000 | 2,682,911 | |
Series 2012-CR1: | |||
Class C, 5.4371% 5/15/45 (f) | 426,000 | 420,224 | |
Class D, 5.4371% 5/15/45 (d)(f) | 1,160,000 | 1,055,135 | |
Class G, 2.462% 5/15/45 (c)(d) | 425,000 | 85,635 | |
Series 2012-LC4 Class C, 5.4309% 12/10/44 (f) | 94,000 | 92,883 | |
Series 2013-CR10 Class D, 4.8998% 8/10/46 (d)(f) | 825,000 | 821,002 | |
Series 2013-CR9 Class C, 4.2791% 7/10/45 (d)(f) | 190,538 | 178,530 | |
Series 2013-LC6 Class D, 4.2881% 1/10/46 (d)(f) | 909,000 | 894,579 | |
Series 2014-CR15 Class D, 4.6897% 2/10/47 (d)(f) | 173,000 | 173,891 | |
Series 2014-CR20 Class XA, 0.9843% 11/10/47 (f)(p) | 35,717,423 | 753,009 | |
Series 2014-LC17 Class XA, 0.7008% 10/10/47 (f)(p) | 23,574,365 | 357,963 | |
Series 2014-UBS2 Class D, 5.0039% 3/10/47 (d)(f) | 542,000 | 528,458 | |
Series 2014-UBS6 Class XA, 0.8554% 12/10/47 (f)(p) | 43,310,093 | 855,690 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (d)(f) | 845,000 | 806,557 | |
Series 2017-CD4 Class D, 3.3% 5/10/50 (d) | 593,000 | 512,996 | |
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (d) | 202,000 | 176,896 | |
Commercial Mortgage Trust Series 2016-CD2: | |||
Class C, 3.9825% 11/10/49 (f) | 352,000 | 341,409 | |
Class D, 2.7325% 11/10/49 (f) | 299,000 | 231,981 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class D, 4.8305% 8/15/45 (d)(f) | 210,000 | 206,893 | |
Class E, 4.8305% 8/15/45 (d)(f) | 1,009,000 | 901,441 | |
Class F, 4.25% 8/15/45 (d) | 1,110,000 | 884,637 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (c)(d) | 286,000 | 157,843 | |
Core Industrial Trust floater Series 2019-CORE Class E, 1 month U.S. LIBOR + 1.900% 2.091% 12/15/31 (d)(f)(g) | 655,200 | 628,881 | |
CPT Mortgage Trust sequential payer Series 2019-CPT Class F, 2.9968% 11/13/39 (d)(f) | 651,000 | 560,874 | |
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, 1 month U.S. LIBOR + 4.210% 4.408% 6/15/34 (d)(g) | 680,696 | 661,948 | |
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (c)(d) | 31,239 | 10,906 | |
Credit Suisse Mortgage Trust: | |||
floater: | |||
Series 2019-ICE4: | |||
Class B, 1 month U.S. LIBOR + 1.230% 1.421% 5/15/36 (d)(f)(g) | 7,203,000 | 7,130,719 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (d)(f)(g) | 1,734,000 | 1,716,602 | |
Class F, 1 month U.S. LIBOR + 2.650% 2.841% 5/15/36 (d)(f)(g) | 378,000 | 371,856 | |
Series 2020-FACT Class F, 1 month U.S. LIBOR + 6.150% 6.348% 10/15/37 (d)(f)(g) | 588,000 | 590,754 | |
Series 2021-4SZN Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.960% 4.0665% 11/15/23 (d)(f)(g) | 2,667,000 | 2,647,612 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (d) | 4,014,637 | 3,918,434 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (d) | 7,384,000 | 7,425,288 | |
Class B, 4.5349% 4/15/36 (d) | 2,263,000 | 2,250,905 | |
Class C, 4.782% 4/15/36 (d)(f) | 1,523,000 | 1,505,179 | |
Class D, 4.782% 4/15/36 (d)(f) | 3,047,000 | 2,942,286 | |
Series 2019-UVIL Class E, 3.2833% 12/15/41 (d)(f) | 525,000 | 435,472 | |
Series 2021-BRIT Class A, 1 month U.S. LIBOR + 3.450% 3.7092% 5/15/23 (d)(f)(g) | 929,160 | 913,666 | |
CRSNT Trust floater Series 2021-MOON: | |||
Class F, 1 month U.S. LIBOR + 3.500% 3.7% 4/15/36 (d)(f)(g) | 231,000 | 225,689 | |
Class G, 1 month U.S. LIBOR + 4.500% 4.7% 4/15/36 (d)(f)(g) | 126,000 | 123,161 | |
CSAIL Commercial Mortgage Trust: | |||
Series 2017-C8 Class D, 4.475% 6/15/50 (d)(f) | 701,000 | 597,330 | |
Series 2017-CX10 Class UESD, 4.2366% 10/15/32 (d)(f) | 588,000 | 575,571 | |
Series 2017-CX9 Class D, 4.1409% 9/15/50 (d)(f) | 284,000 | 243,644 | |
Series 2018-CX11 Class C, 4.7848% 4/15/51 (f) | 282,000 | 282,580 | |
CSMC Trust: | |||
floater Series 2017-CHOP Class F, 1 month U.S. LIBOR + 4.350% 4.541% 7/15/32 (d)(f)(g) | 732,000 | 688,080 | |
Series 2017-MOON Class E, 3.1965% 7/10/34 (d)(f) | 789,000 | 784,935 | |
DBCCRE Mortgage Trust Series 2014-ARCP: | |||
Class D, 4.9345% 1/10/34 (d)(f) | 255,000 | 254,778 | |
Class E, 4.9345% 1/10/34 (d)(f) | 818,000 | 809,240 | |
DBGS Mortgage Trust: | |||
floater Series 2018-BIOD Class G, 1 month U.S. LIBOR + 2.500% 2.625% 5/15/35 (d)(f)(g) | 652,427 | 636,971 | |
Series 2018-C1: | |||
Class C, 4.6337% 10/15/51 (f) | 189,000 | 189,365 | |
Class D, 2.8837% 10/15/51 (d)(f) | 840,000 | 725,494 | |
Series 2019-1735 Class F, 4.1946% 4/10/37 (d)(f) | 665,000 | 569,201 | |
DBJPM Mortgage Trust Series 2020-C9 Class D, 2.25% 9/15/53 (d) | 212,000 | 172,153 | |
DBUBS Mortgage Trust: | |||
Series 2011-LC1A Class XB, 0.7346% 11/10/46 (d)(f)(p) | 638,522 | 39 | |
Series 2011-LC3A Class D, 5.3714% 8/10/44 (d)(f) | 505,414 | 491,009 | |
DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/45 (d)(f) | 250,000 | 214,998 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4835% 8/10/49 (f) | 218,000 | 205,729 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (d)(f)(g) | 23,453,000 | 22,969,216 | |
Class G, 1 month U.S. LIBOR + 3.110% 3.308% 11/15/38 (d)(f)(g) | 100,000 | 97,670 | |
Class J, 1 month U.S. LIBOR + 3.610% 3.8069% 11/15/38 (d)(f)(g) | 1,201,000 | 1,173,280 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (d)(f)(g) | 7,521,708 | 7,449,365 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.572% 7/15/38 (d)(f)(g) | 4,283,636 | 4,232,584 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (d)(f)(g) | 3,157,567 | 3,119,929 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.442% 7/15/38 (d)(f)(g) | 6,414,522 | 6,330,354 | |
Class E, 1 month U.S. LIBOR + 2.850% 3.042% 7/15/38 (d)(f)(g) | 315,061 | 310,706 | |
Class F, 1 month U.S. LIBOR + 3.700% 3.892% 7/15/38 (d)(f)(g) | 696,712 | 686,247 | |
GPMT, Ltd. / GPMT LLC floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 3.1207% 11/21/35 (d)(f)(g) | 234,000 | 233,636 | |
GS Mortgage Securities Corp. II Series 2010-C1: | |||
Class B, 5.148% 8/10/43 (d) | 67,265 | 67,212 | |
Class X, 0.4716% 8/10/43 (d)(f)(p) | 230,719 | 1,426 | |
GS Mortgage Securities Corp. Trust floater Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 2.841% 10/15/36 (d)(f)(g) | 602,000 | 560,588 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.891% 9/15/31 (d)(f)(g) | 14,953,273 | 14,809,025 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.29% 10/15/31 (d)(f)(g) | 10,353,000 | 10,222,965 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (d)(f)(g) | 10,027,000 | 9,919,914 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.341% 10/15/36 (d)(f)(g) | 1,550,000 | 1,528,831 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.741% 10/15/36 (d)(f)(g) | 1,277,000 | 1,258,627 | |
Series 2011-GC5: | |||
Class C, 5.1577% 8/10/44 (d)(f) | 505,077 | 417,391 | |
Class D, 5.1577% 8/10/44 (d)(f) | 342,592 | 158,449 | |
Class E, 5.1577% 8/10/44 (d)(f) | 424,043 | 38,164 | |
Class F, 4.5% 8/10/44 (c)(d) | 733,782 | 5,326 | |
Series 2012-GC6 Class E, 5% 1/10/45 (d)(f) | 34,338 | 33,909 | |
Series 2012-GC6I Class F, 5% 1/10/45 (c)(f) | 244,543 | 204,603 | |
Series 2012-GCJ7: | |||
Class C, 5.4011% 5/10/45 (f) | 562,000 | 563,574 | |
Class F, 5% 5/10/45 (c)(d) | 205,888 | 61,032 | |
Series 2012-GCJ9: | |||
Class D, 4.7376% 11/10/45 (d)(f) | 1,059,000 | 1,052,760 | |
Class E, 4.7376% 11/10/45 (d)(f) | 510,000 | 458,035 | |
Series 2013-GC10 Class D, 4.4009% 2/10/46 (c)(d)(f) | 334,000 | 319,677 | |
Series 2013-GC12 Class D, 4.4517% 6/10/46 (d)(f) | 138,482 | 135,158 | |
Series 2013-GC16: | |||
Class C, 5.3107% 11/10/46 (f) | 241,000 | 242,344 | |
Class D, 5.3107% 11/10/46 (d)(f) | 634,000 | 633,406 | |
Class F, 3.5% 11/10/46 (d) | 536,000 | 398,742 | |
Series 2014-GC20 Class XA, 0.9874% 4/10/47 (f)(p) | 37,710,257 | 647,900 | |
Series 2015-GC34 Class XA, 1.2199% 10/10/48 (f)(p) | 9,475,903 | 343,108 | |
Series 2016-GS2 Class D, 2.753% 5/10/49 (d) | 386,000 | 338,443 | |
Series 2016-GS4 Class C, 3.9556% 11/10/49 (f) | 264,000 | 251,505 | |
Series 2017-GS6 Class D, 3.243% 5/10/50 (d) | 950,000 | 863,436 | |
Series 2018-GS9 Class D, 3% 3/10/51 (d) | 476,000 | 397,237 | |
Series 2019-GC38 Class D, 3% 2/10/52 (d) | 543,000 | 474,886 | |
Series 2019-GC39 Class D, 3% 5/10/52 (d) | 672,000 | 575,954 | |
Series 2019-GC40: | |||
Class D, 3% 7/10/52 (d) | 525,000 | 450,629 | |
Class DBF, 3.5497% 7/10/52 (d)(f) | 619,000 | 589,545 | |
Series 2019-GC42: | |||
Class D, 2.8% 9/1/52 (d) | 727,000 | 611,985 | |
Class E, 2.8% 9/1/52 (d) | 609,000 | 495,238 | |
Series 2019-GS5 Class C, 4.299% 3/10/50 (f) | 651,000 | 655,326 | |
Series 2019-GSA1 Class E, 2.8% 11/10/52 (d) | 395,000 | 325,201 | |
Series 2020-GC45: | |||
Class D, 2.85% 2/13/53 (d) | 525,000 | 440,270 | |
Class SWD, 3.2185% 12/13/39 (d)(f) | 399,000 | 343,663 | |
Series 2020-GC47 Class D, 3.4549% 5/12/53 (d)(f) | 189,000 | 172,213 | |
Series 2021-RENT Class G, 1 month U.S. LIBOR + 5.700% 5.8617% 11/21/35 (d)(f)(g) | 1,725,126 | 1,724,722 | |
Hilton U.S.A. Trust: | |||
Series 2016-HHV: | |||
Class E, 4.1935% 11/5/38 (d)(f) | 831,000 | 808,171 | |
Class F, 4.1935% 11/5/38 (d)(f) | 1,113,000 | 1,034,405 | |
Series 2016-SFP: | |||
Class D, 4.9269% 11/5/35 (d) | 399,000 | 398,490 | |
Class F, 6.1552% 11/5/35 (d) | 846,000 | 843,916 | |
Home Partners of America Trust Series 2019-1: | |||
Class E, 3.604% 9/17/39 (d) | 349,828 | 334,281 | |
Class F, 4.101% 9/17/39 (d) | 87,676 | 84,452 | |
Hudson Yards Mortgage Trust: | |||
Series 2019-30HY Class E, 3.4431% 7/10/39 (d)(f) | 483,000 | 460,281 | |
Series 2019-55HY Class F, 2.9428% 12/10/41 (d)(f) | 378,000 | 327,704 | |
IMT Trust Series 2017-APTS: | |||
Class EFL, 1 month U.S. LIBOR + 2.150% 2.3411% 6/15/34 (d)(f)(g) | 235,174 | 232,475 | |
Class FFL, 1 month U.S. LIBOR + 2.850% 3.0411% 6/15/34 (d)(f)(g) | 107,729 | 106,773 | |
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (d) | 592,000 | 558,899 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19 Class XA, 0.6539% 4/15/47 (f)(p) | 3,589,394 | 43,157 | |
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (d) | 106,000 | 89,682 | |
Series 2014-C26 Class D, 3.8769% 1/15/48 (d)(f) | 416,000 | 392,754 | |
Series 2015-C30 Class XA, 0.4945% 7/15/48 (f)(p) | 24,515,887 | 355,186 | |
Series 2015-C32 Class C, 4.6514% 11/15/48 (f) | 1,368,000 | 1,102,773 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3881% 12/15/49 (d)(f) | 696,000 | 580,453 | |
JPMDB Commercial Mortgage Securities Trust: | |||
Series 2016-C4: | |||
Class C, 3.0705% 12/15/49 (f) | 343,000 | 326,740 | |
Class D, 3.0705% 12/15/49 (d)(f) | 681,000 | 598,536 | |
Series 2017-C7 Class D, 3% 10/15/50 (d) | 687,000 | 578,801 | |
Series 2018-C8 Class D, 3.2179% 6/15/51 (d)(f) | 223,000 | 181,164 | |
Series 2019-COR6: | |||
Class D, 2.5% 11/13/52 (d) | 315,000 | 263,810 | |
Class E, 2.5% 11/13/52 (d) | 609,000 | 472,063 | |
Series 2020-COR7 Class D, 1.75% 5/13/53 (d) | 399,000 | 316,177 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2018-LAQ Class E, 1 month U.S. LIBOR + 3.000% 3.191% 6/15/35 (d)(f)(g) | 30,400 | 30,171 | |
Series 2019-MFP: | |||
Class E, 1 month U.S. LIBOR + 2.160% 2.351% 7/15/36 (d)(f)(g) | 567,000 | 551,227 | |
Class F, 1 month U.S. LIBOR + 3.000% 3.191% 7/15/36 (d)(f)(g) | 189,000 | 183,650 | |
Series 2011-C3: | |||
Class E, 5.5237% 2/15/46 (d)(f) | 637,000 | 229,724 | |
Class G, 4.409% 2/15/46 (d)(f) | 202,000 | 16,328 | |
Class H, 4.409% 2/15/46 (c)(d)(f) | 453,000 | 25,948 | |
Series 2011-C4: | |||
Class D, 5.5266% 7/15/46 (d)(f) | 1,134,000 | 1,137,842 | |
Class E, 5.5266% 7/15/46 (d)(f) | 798,000 | 792,661 | |
Class H, 3.873% 7/15/46 (d) | 428,000 | 398,152 | |
Class NR, 3.873% 7/15/46 (d) | 231,000 | 219,515 | |
Series 2012-CBX: | |||
Class C, 4.7752% 6/15/45 (f) | 91,000 | 88,446 | |
Class D, 4.7752% 6/15/45 (d)(f) | 481,000 | 433,285 | |
Class E, 4.7752% 6/15/45 (d)(f) | 625,000 | 281,250 | |
Class F, 4% 6/15/45 (d) | 615,000 | 126,075 | |
Class G 4% 6/15/45 (d) | 674,000 | 50,941 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (f) | 584,000 | 566,665 | |
Class D, 4.1642% 4/15/46 (f) | 907,000 | 744,909 | |
Class F, 3.25% 4/15/46 (d)(f) | 1,014,000 | 323,669 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (c)(d)(f) | 516,000 | 33,540 | |
Class E, 3.8046% 6/10/27 (c)(d)(f) | 830,000 | 16,600 | |
Series 2018-AON Class F, 4.6132% 7/5/31 (d)(f) | 409,000 | 400,205 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (d) | 4,763,000 | 4,863,166 | |
Class CFX, 4.9498% 7/5/33 (d) | 1,323,000 | 1,349,089 | |
Class DFX, 5.3503% 7/5/33 (d) | 2,354,000 | 2,394,306 | |
Class EFX, 5.5422% 7/5/33 (d) | 2,783,000 | 2,801,651 | |
Class XAFX, 1.116% 7/5/33 (d)(f)(p) | 19,961,000 | 254,133 | |
Series 2019-OSB Class E, 3.7828% 6/5/39 (d)(f) | 588,000 | 557,222 | |
Series 2020-NNN: | |||
Class EFX, 3.972% 1/16/37 (d) | 401,000 | 386,278 | |
Class FFX, 4.6254% 1/16/37 (d) | 642,000 | 613,149 | |
Class GFX, 4.6882% 1/16/37 (d)(f) | 252,000 | 235,111 | |
KNDL Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 2.191% 5/15/36 (d)(f)(g) | 924,000 | 905,452 | |
KNDR Trust floater Series 2021-KIND Class F, 1 month U.S. LIBOR + 3.950% 4.141% 8/15/38 (d)(f)(g) | 1,113,000 | 1,092,375 | |
Liberty Street Trust Series 2016-225L: | |||
Class D, 4.6485% 2/10/36 (d)(f) | 213,000 | 212,033 | |
Class E, 4.6485% 2/10/36 (d)(f) | 523,000 | 512,268 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (d)(f)(g) | 13,521,737 | 13,250,828 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.071% 3/15/38 (d)(f)(g) | 3,263,461 | 3,185,824 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.291% 3/15/38 (d)(f)(g) | 2,053,425 | 1,996,860 | |
Class D, 1 month U.S. LIBOR + 1.400% 1.591% 3/15/38 (d)(f)(g) | 2,855,528 | 2,766,290 | |
Class E, 1 month U.S. LIBOR + 1.750% 1.941% 3/15/38 (d)(f)(g) | 2,494,778 | 2,419,815 | |
Class G, 1 month U.S. LIBOR + 2.950% 3.141% 3/15/38 (d)(f)(g) | 3,679,257 | 3,577,916 | |
Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (d)(f) | 455,000 | 387,836 | |
MED Trust floater Series 2021-MDLN: | |||
Class F, 1 month U.S. LIBOR + 4.000% 4.192% 11/15/38 (d)(f)(g) | 1,079,000 | 1,056,094 | |
Class G, 1 month U.S. LIBOR + 5.250% 5.442% 11/15/38 (d)(f)(g) | 3,268,000 | 3,188,930 | |
Merit floater Series 2021-STOR Class G, 1 month U.S. LIBOR + 2.750% 2.941% 7/15/38 (d)(f)(g) | 189,000 | 183,321 | |
MFT Trust Series 2020-B6 Class C, 3.2828% 8/10/40 (d)(f) | 399,000 | 374,930 | |
MHC Commercial Mortgage Trust floater Series 2021-MHC: | |||
Class F, 1 month U.S. LIBOR + 2.600% 2.792% 4/15/38 (d)(f)(g) | 105,000 | 102,635 | |
Class G, 1 month U.S. LIBOR + 3.200% 3.392% 4/15/38 (d)(f)(g) | 2,520,000 | 2,463,234 | |
MHC Trust floater Series 2021-MHC2 Class F, 1 month U.S. LIBOR + 2.400% 2.591% 5/15/23 (d)(f)(g) | 441,000 | 425,769 | |
MHP Commercial Mortgage Trust floater Series 2022-MHIL Class G, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.950% 4.0567% 1/15/27 (d)(f)(g) | 630,000 | 618,259 | |
MOFT Trust Series 2020-ABC: | |||
Class D, 3.4767% 2/10/42 (d)(f) | 263,000 | 233,813 | |
Class E, 3.4767% 2/10/42 (d)(f) | 194,000 | 162,766 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 | 386,000 | 358,134 | |
Series 2012-C5 Class E, 4.6261% 8/15/45 (d)(f) | 159,000 | 158,799 | |
Series 2012-C6 Class D, 4.6023% 11/15/45 (d)(f) | 811,000 | 804,331 | |
Series 2012-C6, Class F, 4.6023% 11/15/45 (d)(f) | 378,000 | 326,718 | |
Series 2013-C12 Class D, 4.7625% 10/15/46 (d)(f) | 713,000 | 674,034 | |
Series 2013-C13: | |||
Class D, 4.8967% 11/15/46 (d)(f) | 970,000 | 913,240 | |
Class E, 4.8967% 11/15/46 (d)(f) | 435,919 | 359,544 | |
Series 2013-C7 Class C, 4.097% 2/15/46 (f) | 175,000 | 172,432 | |
Series 2013-C8 Class D, 4.0218% 12/15/48 (d)(f) | 273,000 | 271,786 | |
Series 2013-C9: | |||
Class C, 4.0199% 5/15/46 (f) | 502,000 | 495,249 | |
Class D, 4.1079% 5/15/46 (d)(f) | 938,000 | 875,372 | |
Class E, 4.1079% 5/15/46 (d)(f) | 402,000 | 356,371 | |
Series 2014-C17 Class XA, 1.0582% 8/15/47 (f)(p) | 37,043,903 | 617,859 | |
Series 2015-C25 Class XA, 1.0466% 10/15/48 (f)(p) | 15,202,653 | 434,391 | |
Series 2016-C30: | |||
Class C, 4.1055% 9/15/49 (f) | 151,000 | 143,850 | |
Class D, 3% 9/15/49 (d) | 138,000 | 101,383 | |
Series 2016-C31 Class C, 4.2743% 11/15/49 (f) | 343,000 | 336,550 | |
Series 2016-C32 Class C, 4.2771% 12/15/49 (f) | 236,000 | 217,728 | |
Series 2017-C33 Class D, 3.356% 5/15/50 (d) | 520,000 | 463,182 | |
Morgan Stanley Capital I Trust: | |||
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (d)(f)(g) | 5,100,000 | 5,044,730 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (d) | 16,898,000 | 16,939,784 | |
Series 1998-CF1 Class G, 7.35% 7/15/32 (d)(f) | 3,604 | 3,609 | |
Series 2011-C2: | |||
Class D, 5.2113% 6/15/44 (d)(f) | 717,181 | 698,129 | |
Class F, 5.2113% 6/15/44 (c)(d)(f) | 407,000 | 264,550 | |
Class XB, 0.431% 6/15/44 (d)(f)(p) | 1,519,492 | 6,138 | |
Series 2011-C3: | |||
Class C, 5.0856% 7/15/49 (d)(f) | 106,775 | 108,155 | |
Class D, 5.0856% 7/15/49 (d)(f) | 1,176,000 | 1,169,372 | |
Class E, 5.0856% 7/15/49 (c)(d)(f) | 666,000 | 596,794 | |
Class F, 5.0856% 7/15/49 (d)(f) | 182,000 | 130,302 | |
Class G, 5.0856% 7/15/49 (c)(d)(f) | 616,400 | 332,683 | |
Series 2012-C4 Class D, 5.4276% 3/15/45 (d)(f) | 231,000 | 218,674 | |
Series 2014-150E: | |||
Class C, 4.295% 9/9/32 (d)(f) | 238,000 | 235,441 | |
Class F, 4.295% 9/9/32 (d)(f) | 401,000 | 370,273 | |
Series 2015-MS1: | |||
Class C, 4.0312% 5/15/48 (f) | 266,000 | 257,689 | |
Class D, 4.0312% 5/15/48 (d)(f) | 751,000 | 676,013 | |
Series 2015-UBS8 Class D, 3.18% 12/15/48 (d) | 298,000 | 235,539 | |
Series 2016-BNK2: | |||
Class C, 3% 11/15/49 (d) | 798,000 | 664,171 | |
Class D, 3.8918% 11/15/49 (f) | 343,000 | 327,264 | |
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 2.791% 11/15/34 (d)(f)(g) | 462,000 | 455,039 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 4,779,000 | 5,171,732 | |
Series 2018-MP Class E, 4.276% 7/11/40 (d)(f) | 730,000 | 628,414 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (d)(f) | 2,441,000 | 2,401,456 | |
Class C, 3.1771% 11/10/36 (d)(f) | 2,343,000 | 2,275,469 | |
Series 2020-CNP Class D, 2.4276% 4/5/42 (d)(f) | 252,000 | 204,686 | |
Series 2020-HR8 Class D, 2.5% 7/15/53 (d) | 420,000 | 358,149 | |
Motel 6 Trust floater Series 2021-MTL6: | |||
Class F, 1 month U.S. LIBOR + 3.550% 3.7411% 9/15/38 (d)(f)(g) | 397,965 | 391,486 | |
Class G, 1 month U.S. LIBOR + 4.700% 4.8911% 9/15/38 (d)(f)(g) | 272,342 | 267,211 | |
Class H, 1 month U.S. LIBOR + 6.000% 6.1911% 9/15/38 (d)(f)(g) | 148,637 | 148,126 | |
MRCD Mortgage Trust Series 2019-PARK: | |||
Class G, 2.7175% 12/15/36 (d) | 2,730,000 | 2,503,735 | |
Class J, 4.25% 12/15/36 (d) | 1,443,000 | 1,334,117 | |
MSCCG Trust floater sequential payer Series 2018-SELF Class F, 1 month U.S. LIBOR + 3.050% 3.241% 10/15/37 (d)(f)(g) | 485,000 | 474,068 | |
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (d)(f) | 170,000 | 151,109 | |
MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 2.2411% 12/15/33 (d)(f)(g) | 415,000 | 398,548 | |
Natixis Commercial Mortgage Securities Trust: | |||
Series 2018-285M Class F, 3.7904% 11/15/32 (d)(f) | 170,000 | 168,175 | |
Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 3.1911% 11/15/34 (d)(f)(g) | 138,000 | 135,220 | |
Series 2019-10K: | |||
Class E, 4.1346% 5/15/39 (d)(f) | 231,000 | 201,980 | |
Class F, 4.1346% 5/15/39 (d)(f) | 768,000 | 643,021 | |
Series 2020-2PAC: | |||
Class AMZ2, 3.5% 1/15/37 (d)(f) | 399,000 | 388,385 | |
Class AMZ3, 3.5% 1/15/37 (d)(f) | 189,000 | 181,383 | |
Class MSK3, 3.25% 12/15/36 (d)(f) | 903,000 | 842,545 | |
NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 3.191% 12/15/35 (d)(f)(g) | 775,000 | 741,859 | |
OPG Trust floater Series 2021-PORT Class J, 1 month U.S. LIBOR + 3.340% 3.537% 10/15/36 (d)(f)(g) | 551,000 | 533,968 | |
PKHL Commercial Mortgage Trust floater Series 2021-MF: | |||
Class F, 1 month U.S. LIBOR + 3.350% 3.542% 7/15/38 (d)(f)(g) | 553,000 | 539,574 | |
Class NR, 1 month U.S. LIBOR + 6.000% 6.192% 7/15/38 (d)(f)(g) | 157,000 | 153,281 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.9617% 12/15/37 (d)(f)(g) | 4,268,000 | 4,244,644 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5537% 12/15/37 (d)(f)(g) | 3,950,953 | 3,943,525 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (c)(d) | 110,957 | 127,190 | |
SG Commercial Mortgage Securities Trust: | |||
Series 2019-PREZ Class F, 3.4771% 9/15/39 (d)(f) | 747,000 | 648,959 | |
Series 2020-COVE: | |||
Class F, 3.7276% 3/15/37 (d)(f) | 716,000 | 655,044 | |
Class G, 3.7276% 3/15/37 (d)(f) | 198,000 | 172,597 | |
SLG Office Trust Series 2021-OVA Class G, 2.8506% 7/15/41 (d) | 1,651,000 | 1,275,360 | |
SMRT Commercial Mortgage Trust floater Series 2022-MINI Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.350% 3.45% 1/15/24 (d)(f)(g) | 903,000 | 889,953 | |
SOHO Trust Series 2021-SOHO Class D, 2.6966% 8/10/38 (d)(f) | 618,000 | 520,357 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 2.000% 2.05% 2/15/39 (d)(f)(g) | 4,281,000 | 4,260,848 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.650% 2.7% 2/15/39 (d)(f)(g) | 2,226,000 | 2,215,524 | |
SREIT Trust floater: | |||
Series 2021-IND Class G, 1 month U.S. LIBOR + 3.260% 3.4568% 10/15/38 (d)(f)(g) | 840,000 | 803,542 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (d)(f)(g) | 15,989,000 | 15,668,791 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.2709% 11/15/38 (d)(f)(g) | 9,157,000 | 8,973,598 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.5201% 11/15/38 (d)(f)(g) | 5,687,000 | 5,566,276 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.7693% 11/15/38 (d)(f)(g) | 3,737,000 | 3,657,666 | |
Class G, 1 month U.S. LIBOR + 2.970% 3.1649% 11/15/38 (d)(f)(g) | 2,415,000 | 2,356,308 | |
Series 2021-MFP2 Class J, 1 month U.S. LIBOR + 3.910% 4.1065% 11/15/36 (d)(f)(g) | 1,795,000 | 1,754,630 | |
STWD Trust floater sequential payer Series 2021-LIH: | |||
Class E, 1 month U.S. LIBOR + 2.900% 3.094% 11/15/36 (d)(f)(g) | 1,281,000 | 1,249,240 | |
Class F, 1 month U.S. LIBOR + 3.550% 3.742% 11/15/36 (d)(f)(g) | 550,000 | 537,608 | |
Class G, 1 month U.S. LIBOR + 4.200% 4.391% 11/15/36 (d)(f)(g) | 294,000 | 286,889 | |
SUMIT Mortgage Trust Series 2022-BVUE Class F, 2.8925% 2/12/41 (d) | 104,000 | 89,892 | |
TPGI Trust floater Series 2021-DGWD Class G, 1 month U.S. LIBOR + 3.850% 4.04% 6/15/26 (d)(f)(g) | 252,000 | 244,346 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1: | |||
Class D, 5.8238% 5/10/45 (d)(f) | 537,000 | 502,935 | |
Class E, 5% 5/10/45 (d)(f) | 325,000 | 125,321 | |
Class F, 5% 5/10/45 (d)(f) | 418,000 | 20,954 | |
Series 2017-C7 Class XA, 1.0116% 12/15/50 (f)(p) | 29,499,629 | 1,306,055 | |
Series 2018-C8 Class C, 4.6992% 2/15/51 (f) | 189,000 | 195,551 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (d)(f) | 201,000 | 151,822 | |
Series 2012-WRM Class E, 4.238% 6/10/30 (d)(f) | 478,000 | 265,899 | |
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class C, 6.6232% 1/10/45 (d)(f) | 168,000 | 166,320 | |
VASA Trust: | |||
floater Series 2021-VASA Class G, 1 month U.S. LIBOR + 5.000% 5.191% 7/15/39 (d)(f)(g) | 168,000 | 165,331 | |
floater sequential payer Series 2021-VASA Class F, 1 month U.S. LIBOR + 3.900% 4.091% 7/15/39 (d)(f)(g) | 767,000 | 754,541 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (d) | 12,891,000 | 12,016,357 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (d) | 800,000 | 739,456 | |
Class X, 0.4294% 10/10/42 (d)(f)(p) | 19,300,000 | 617,177 | |
VMC Finance Ltd. floater Series 2021-HT1 Class B, 1 month U.S. LIBOR + 4.500% 4.6367% 1/18/37 (d)(f)(g) | 2,478,000 | 2,425,036 | |
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (d)(f) | 471,000 | 474,657 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 5/15/31 (d)(f)(g) | 8,949,000 | 8,864,972 | |
Series 2021-SAVE: | |||
Class D, 1 month U.S. LIBOR + 2.500% 2.691% 2/15/40 (d)(f)(g) | 197,258 | 194,293 | |
Class E, 1 month U.S. LIBOR + 3.650% 3.841% 2/15/40 (d)(f)(g) | 140,898 | 138,781 | |
sequential payer Series 2020-C57 Class D, 2.5% 8/15/53 (d) | 581,000 | 492,161 | |
Series 2012-LC5: | |||
Class C, 4.693% 10/15/45 (f) | 207,000 | 208,900 | |
Class D, 4.7434% 10/15/45 (d)(f) | 1,280,000 | 1,282,810 | |
Class E, 4.7434% 10/15/45 (d)(f) | 486,918 | 478,918 | |
Class F, 4.7434% 10/15/45 (d)(f) | 147,000 | 133,310 | |
Series 2015-C31 Class XA, 0.9657% 11/15/48 (f)(p) | 12,027,825 | 355,007 | |
Series 2015-NXS4 Class D, 3.6859% 12/15/48 (f) | 483,000 | 457,360 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 254,000 | 230,111 | |
Class D, 3% 8/15/49 (d) | 266,000 | 180,208 | |
Series 2016-C34 Class XA, 2.0944% 6/15/49 (f)(p) | 10,824,463 | 648,683 | |
Series 2016-LC25 Class C, 4.3404% 12/15/59 (f) | 328,000 | 327,921 | |
Series 2016-NXS6 Class D, 3.059% 11/15/49 (d) | 733,000 | 620,405 | |
Series 2017-RB1 Class D, 3.401% 3/15/50 (d) | 326,000 | 290,742 | |
Series 2018-C43 Class C, 4.514% 3/15/51 | 228,000 | 221,144 | |
Series 2018-C46 Class XA, 0.9348% 8/15/51 (f)(p) | 30,685,148 | 1,192,989 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 4,229,000 | 4,587,904 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 4.8877% 6/15/44 (c)(f) | 203,000 | 11,283 | |
Series 2011-C3: | |||
Class D, 5.5133% 3/15/44 (d)(f) | 778,684 | 338,727 | |
Class E, 5% 3/15/44 (c)(d) | 409,000 | 24,540 | |
Class F, 5% 3/15/44 (c)(d) | 149,475 | 15 | |
Series 2011-C4: | |||
Class D, 4.8877% 6/15/44 (d)(f) | 258,000 | 245,557 | |
Class E, 4.8877% 6/15/44 (d)(f) | 183,000 | 140,992 | |
Series 2011-C5: | |||
Class E, 5.5198% 11/15/44 (d)(f) | 468,288 | 467,664 | |
Class F, 5.25% 11/15/44 (d)(f) | 733,000 | 672,942 | |
Class G, 5.25% 11/15/44 (d)(f) | 205,000 | 181,972 | |
Series 2012-C6 Class D, 5.7285% 4/15/45 (d)(f) | 366,171 | 365,573 | |
Series 2012-C7: | |||
Class C, 4.7325% 6/15/45 (f) | 677,000 | 520,478 | |
Class E, 4.7325% 6/15/45 (d)(f) | 481,000 | 70,948 | |
Class F, 4.5% 6/15/45 (d) | 230,566 | 6,844 | |
Class G, 4.5% 6/15/45 (c)(d) | 678,513 | 67 | |
Series 2012-C8: | |||
Class D, 4.8535% 8/15/45 (d)(f) | 293,000 | 291,471 | |
Class E, 4.8535% 8/15/45 (d)(f) | 201,000 | 198,769 | |
Series 2013-C11: | |||
Class D, 4.2386% 3/15/45 (d)(f) | 443,749 | 435,108 | |
Class E, 4.2386% 3/15/45 (c)(d)(f) | 976,128 | 901,033 | |
Series 2013-C13 Class D, 4.1411% 5/15/45 (d)(f) | 321,000 | 311,778 | |
Series 2013-C16 Class D, 5.0008% 9/15/46 (d)(f) | 115,000 | 110,897 | |
Series 2013-UBS1 Class D, 5.0393% 3/15/46 (d)(f) | 455,375 | 461,874 | |
Series 2014-C21 Class XA, 1.0143% 8/15/47 (f)(p) | 27,557,871 | 541,937 | |
Series 2014-C24 Class XA, 0.845% 11/15/47 (f)(p) | 10,271,062 | 196,333 | |
Series 2014-LC14 Class XA, 1.2464% 3/15/47 (f)(p) | 16,294,024 | 309,195 | |
Worldwide Plaza Trust Series 2017-WWP: | |||
Class E, 3.5955% 11/10/36 (d)(f) | 198,000 | 176,053 | |
Class F, 3.5955% 11/10/36 (d)(f) | 1,082,000 | 904,493 | |
WP Glimcher Mall Trust Series 2015-WPG: | |||
Class PR1, 3.516% 6/5/35 (d)(f) | 289,000 | 246,628 | |
Class PR2, 3.516% 6/5/35 (d)(f) | 755,000 | 592,489 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $767,638,936) | 740,880,700 | ||
Municipal Securities - 0.6% | |||
California Gen. Oblig.: | |||
Series 2009: | $ | $ | |
7.3% 10/1/39 | 10,015,000 | 14,843,916 | |
7.35% 11/1/39 | 960,000 | 1,429,676 | |
7.55% 4/1/39 | 6,805,000 | 10,703,269 | |
Series 2010, 7.625% 3/1/40 | 3,670,000 | 5,692,134 | |
Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35 | 5,065,000 | 6,768,004 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 4,477,455 | 4,597,687 | |
5.1% 6/1/33 | 22,880,000 | 25,241,523 | |
Series 2010-1, 6.63% 2/1/35 | 4,335,000 | 5,052,785 | |
Series 2010-3: | |||
6.725% 4/1/35 | 6,465,000 | 7,645,369 | |
7.35% 7/1/35 | 2,965,000 | 3,584,108 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 14,838,000 | 18,125,755 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $93,886,753) | 103,684,226 | ||
Foreign Government and Government Agency Obligations - 1.3% | |||
Angola Republic: | |||
8.25% 5/9/28 (d) | $550,000 | $548,625 | |
9.375% 5/8/48 (d) | 125,000 | 118,125 | |
9.5% 11/12/25 (d) | 1,690,000 | 1,808,300 | |
Arab Republic of Egypt: | |||
3.875% 2/16/26 (d) | 895,000 | 775,294 | |
5.8% 9/30/27 (d) | 540,000 | 476,550 | |
7.0529% 1/15/32 (d) | 210,000 | 170,625 | |
7.5% 1/31/27 (d) | 3,773,000 | 3,622,080 | |
7.6003% 3/1/29 (d) | 780,000 | 700,050 | |
7.903% 2/21/48 (d) | 534,000 | 392,490 | |
8.5% 1/31/47 (d) | 904,000 | 696,080 | |
8.7002% 3/1/49 (d) | 470,000 | 367,775 | |
Argentine Republic: | |||
0.5% 7/9/30 (h) | 9,215,675 | 2,939,800 | |
1% 7/9/29 | 1,021,922 | 336,723 | |
1.125% 7/9/35 (h) | 2,758,814 | 817,988 | |
2% 1/9/38 (h) | 1,219,773 | 451,316 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (d) | 60,000 | 43,950 | |
Barbados Government 6.5% 10/1/29 (d) | 1,250,000 | 1,227,578 | |
Belarus Republic 6.875% 2/28/23 (d) | 355,000 | 53,250 | |
Bermuda Government: | |||
2.375% 8/20/30 (d) | 80,000 | 75,040 | |
3.375% 8/20/50 (d) | 230,000 | 211,140 | |
3.717% 1/25/27 (d) | 935,000 | 964,686 | |
4.75% 2/15/29 (d) | 520,000 | 575,023 | |
Brazilian Federative Republic: | |||
2.875% 6/6/25 | 1,700,000 | 1,685,550 | |
3.75% 9/12/31 | 220,000 | 198,660 | |
3.875% 6/12/30 | 925,000 | 861,002 | |
7.125% 1/20/37 | 840,000 | 963,533 | |
8.25% 1/20/34 | 1,526,000 | 1,902,541 | |
Buenos Aires Province 3.9% 9/1/37 (d)(h) | 775,000 | 327,341 | |
Chilean Republic: | |||
2.45% 1/31/31 | 1,895,000 | 1,780,471 | |
2.75% 1/31/27 | 425,000 | 424,575 | |
3.5% 1/31/34 | 280,000 | 276,360 | |
4% 1/31/52 | 245,000 | 239,365 | |
Colombian Republic: | |||
3% 1/30/30 | 725,000 | 623,183 | |
3.125% 4/15/31 | 785,000 | 665,435 | |
3.25% 4/22/32 | 870,000 | 728,190 | |
4.125% 5/15/51 | 325,000 | 243,709 | |
5% 6/15/45 | 1,360,000 | 1,128,205 | |
6.125% 1/18/41 | 60,000 | 57,986 | |
7.375% 9/18/37 | 205,000 | 227,204 | |
Costa Rican Republic: | |||
5.625% 4/30/43 (d) | 240,000 | 201,195 | |
6.125% 2/19/31 (d) | 300,000 | 296,963 | |
7% 4/4/44 (d) | 75,000 | 71,873 | |
Democratic Socialist Republic of Sri Lanka: | |||
7.55% 3/28/30 (d) | 225,000 | 99,113 | |
7.85% 3/14/29 (d) | 605,000 | 267,826 | |
Dominican Republic: | |||
4.875% 9/23/32 (d) | 1,110,000 | 1,008,574 | |
5.875% 1/30/60 (d) | 570,000 | 479,619 | |
5.95% 1/25/27 (d) | 664,000 | 690,560 | |
6% 7/19/28 (d) | 549,000 | 566,431 | |
6.4% 6/5/49 (d) | 230,000 | 212,146 | |
6.5% 2/15/48 (Reg. S) | 300,000 | 281,588 | |
6.85% 1/27/45 (d) | 592,000 | 578,421 | |
6.875% 1/29/26 (d) | 988,000 | 1,076,920 | |
7.45% 4/30/44 (d) | 401,000 | 420,123 | |
Ecuador Republic: | |||
1% 7/31/35 (d)(h) | 1,000,000 | 705,188 | |
5% 7/31/30 (d)(h) | 1,815,000 | 1,596,406 | |
El Salvador Republic: | |||
6.375% 1/18/27 (d) | 105,000 | 57,343 | |
7.1246% 1/20/50 (d) | 405,000 | 197,640 | |
7.625% 2/1/41 (d) | 120,000 | 60,210 | |
7.75% 1/24/23 (d) | 970,000 | 814,982 | |
Emirate of Abu Dhabi: | |||
1.7% 3/2/31 (d) | 825,000 | 770,344 | |
3.125% 4/16/30 (d) | 7,115,000 | 7,417,388 | |
3.125% 9/30/49 (d) | 1,335,000 | 1,258,238 | |
3.875% 4/16/50 (d) | 9,890,000 | 10,582,300 | |
Emirate of Dubai 3.9% 9/9/50 (Reg. S) | 200,000 | 175,600 | |
Gabonese Republic 7% 11/24/31 (d) | 630,000 | 570,150 | |
Georgia Republic 2.75% 4/22/26 (d) | 690,000 | 624,450 | |
German Federal Republic: | |||
0% 2/15/31 (Reg. S) | EUR | 400,000 | 447,437 |
0% 2/15/32 (Reg. S) | EUR | 1,370,000 | 1,519,537 |
0% 5/15/35 (Reg. S) | EUR | 8,975,000 | 9,762,986 |
Ghana Republic: | |||
7.75% 4/7/29 (d) | 810,000 | 548,775 | |
8.125% 1/18/26 (d) | 110,000 | 85,250 | |
10.75% 10/14/30 (d) | 525,000 | 509,250 | |
Guatemalan Republic: | |||
4.9% 6/1/30 (d) | 60,000 | 60,255 | |
5.375% 4/24/32 (d) | 490,000 | 504,486 | |
6.125% 6/1/50 (d) | 335,000 | 342,810 | |
Hungarian Republic 2.125% 9/22/31 (d) | 285,000 | 254,306 | |
Indonesian Republic: | |||
3.85% 10/15/30 | 24,460,000 | 25,932,186 | |
4.1% 4/24/28 | 960,000 | 1,025,280 | |
4.2% 10/15/50 | 24,000,000 | 24,572,640 | |
4.35% 1/11/48 | 655,000 | 668,991 | |
5.125% 1/15/45 (d) | 1,145,000 | 1,279,663 | |
5.25% 1/17/42 (d) | 485,000 | 543,897 | |
5.95% 1/8/46 (d) | 560,000 | 695,030 | |
6.75% 1/15/44 (d) | 380,000 | 511,617 | |
7.75% 1/17/38 (d) | 1,017,000 | 1,408,736 | |
8.5% 10/12/35 (d) | 1,510,000 | 2,209,602 | |
Islamic Republic of Pakistan: | |||
6% 4/8/26 (d) | 955,000 | 871,543 | |
6.875% 12/5/27 (d) | 180,000 | 166,478 | |
8.25% 4/15/24 (d) | 339,000 | 343,831 | |
Israeli State 3.375% 1/15/50 | 865,000 | 844,422 | |
Ivory Coast: | |||
6.125% 6/15/33 (d) | 1,380,000 | 1,328,078 | |
6.375% 3/3/28 (d) | 1,580,000 | 1,616,834 | |
Jamaican Government: | |||
6.75% 4/28/28 | 275,000 | 303,067 | |
7.875% 7/28/45 | 250,000 | 327,625 | |
Jordanian Kingdom: | |||
4.95% 7/7/25 (d) | 830,000 | 830,000 | |
7.375% 10/10/47 (d) | 155,000 | 140,304 | |
Kingdom of Saudi Arabia: | |||
2.25% 2/2/33 (d) | 990,000 | 933,075 | |
2.9% 10/22/25 (d) | 7,960,000 | 8,149,050 | |
3.25% 10/22/30 (d) | 5,890,000 | 6,074,063 | |
3.625% 3/4/28 (d) | 425,000 | 448,906 | |
3.75% 1/21/55 (d) | 370,000 | 359,363 | |
4% 4/17/25 (d) | 510,000 | 537,413 | |
4.5% 10/26/46 (d) | 590,000 | 639,413 | |
4.5% 4/22/60 (d) | 4,190,000 | 4,640,425 | |
4.625% 10/4/47 (d) | 425,000 | 466,969 | |
Korean Republic 1% 9/16/30 | 855,000 | 774,523 | |
Lebanese Republic: | |||
5.8% 12/31/49 (Reg. S) (e) | 1,113,000 | 130,778 | |
6.375% 12/31/49 (e) | 977,000 | 114,798 | |
Ministry of Finance of the Russian Federation: | |||
4.25% 6/23/27(Reg. S) | 200,000 | 60,000 | |
4.375% 3/21/29(Reg. S) | 400,000 | 120,000 | |
5.1% 3/28/35(Reg. S) | 600,000 | 180,000 | |
5.25% 6/23/47(Reg. S) | 800,000 | 240,000 | |
5.625% 4/4/42 (d) | 400,000 | 120,000 | |
Mongolia Government 5.125% 4/7/26 (d) | 600,000 | 594,066 | |
Moroccan Kingdom: | |||
2.375% 12/15/27 (d) | 1,280,000 | 1,172,800 | |
4% 12/15/50 (d) | 200,000 | 157,000 | |
5.5% 12/11/42 (d) | 100,000 | 98,769 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 580,000 | 512,503 | |
3.16% 1/23/30 | 305,000 | 299,338 | |
3.298% 1/19/33 | 350,000 | 333,900 | |
3.87% 7/23/60 | 500,000 | 427,438 | |
3.875% 3/17/28 | 465,000 | 478,892 | |
4.5% 4/16/50 | 735,000 | 714,007 | |
Peoples Republic of China 1.2% 10/21/30 (d) | 620,000 | 579,892 | |
Peruvian Republic: | |||
2.783% 1/23/31 | 2,735,000 | 2,592,780 | |
3% 1/15/34 | 610,000 | 562,115 | |
3.3% 3/11/41 | 700,000 | 623,700 | |
Province of Santa Fe 7% 3/23/23 (d) | 1,141,000 | 1,053,999 | |
Provincia de Cordoba: | |||
5% 12/10/25 (d)(h) | 1,645,009 | 1,227,896 | |
5% 6/1/27 (d)(h) | 640,167 | 408,026 | |
Republic of Armenia 7.15% 3/26/25 (d) | 350,000 | 369,644 | |
Republic of Honduras 5.625% 6/24/30 (d) | 165,000 | 143,323 | |
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 408,000 | 391,119 | |
Republic of Kenya: | |||
6.875% 6/24/24 (d) | 780,000 | 807,300 | |
7% 5/22/27 (d) | 685,000 | 654,175 | |
Republic of Nigeria: | |||
6.125% 9/28/28 (d) | 765,000 | 705,617 | |
6.375% 7/12/23 (d) | 235,000 | 241,463 | |
6.5% 11/28/27 (d) | 330,000 | 313,500 | |
7.143% 2/23/30 (d) | 670,000 | 624,775 | |
7.625% 11/21/25 (d) | 2,670,000 | 2,830,200 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (d) | 320,000 | 279,160 | |
4.95% 4/28/31 (d) | 825,000 | 856,092 | |
5.4% 3/30/50 (d) | 560,000 | 548,380 | |
Republic of Serbia 2.125% 12/1/30 (d) | 925,000 | 764,281 | |
Republic of Uzbekistan: | |||
3.7% 11/25/30 (d) | 395,000 | 339,700 | |
3.9% 10/19/31 (d) | 565,000 | 474,600 | |
4.75% 2/20/24 (d) | 315,000 | 315,000 | |
Romanian Republic: | |||
3% 2/27/27 (d) | 652,000 | 634,885 | |
3% 2/14/31 (d) | 922,000 | 845,935 | |
3.625% 3/27/32 (d) | 652,000 | 614,510 | |
4% 2/14/51 (d) | 335,000 | 283,075 | |
4.375% 8/22/23 (d) | 300,000 | 308,250 | |
Rwanda Republic 5.5% 8/9/31 (d) | 835,000 | 789,753 | |
South African Republic 4.85% 9/30/29 | 335,000 | 326,688 | |
State of Qatar: | |||
3.4% 4/16/25 (d) | 5,705,000 | 5,913,233 | |
3.75% 4/16/30 (d) | 2,631,000 | 2,834,903 | |
4% 3/14/29 (d) | 775,000 | 842,813 | |
4.4% 4/16/50 (d) | 16,490,000 | 19,066,563 | |
4.817% 3/14/49 (d) | 975,000 | 1,185,844 | |
5.103% 4/23/48 (d) | 670,000 | 840,013 | |
9.75% 6/15/30 (d) | 413,000 | 620,533 | |
Sultanate of Oman: | |||
4.875% 2/1/25 (d) | 265,000 | 268,313 | |
5.375% 3/8/27 (d) | 170,000 | 171,700 | |
5.625% 1/17/28 (d) | 1,335,000 | 1,355,025 | |
6% 8/1/29 (d) | 720,000 | 736,200 | |
6.25% 1/25/31 (d) | 520,000 | 536,900 | |
6.75% 1/17/48 (d) | 1,081,000 | 1,029,653 | |
Turkish Republic: | |||
4.25% 3/13/25 | 1,260,000 | 1,165,343 | |
4.25% 4/14/26 | 655,000 | 581,435 | |
4.75% 1/26/26 | 1,500,000 | 1,365,000 | |
4.875% 10/9/26 | 995,000 | 883,560 | |
4.875% 4/16/43 | 1,000,000 | 693,625 | |
5.125% 2/17/28 | 755,000 | 657,228 | |
5.75% 3/22/24 | 380,000 | 374,609 | |
5.75% 5/11/47 | 542,000 | 389,156 | |
6% 1/14/41 | 240,000 | 183,795 | |
6.125% 10/24/28 | 510,000 | 462,443 | |
6.35% 8/10/24 | 435,000 | 430,596 | |
6.375% 10/14/25 | 1,045,000 | 1,014,173 | |
7.25% 12/23/23 | 870,000 | 885,932 | |
Ukraine Government: | |||
1.258% 5/31/40 (d)(f) | 530,000 | 79,500 | |
6.876% 5/21/29 (d) | 245,000 | 75,950 | |
7.253% 3/15/33 (d) | 845,000 | 270,400 | |
7.375% 9/25/32 (d) | 420,000 | 134,400 | |
7.75% 9/1/22 (d) | 955,000 | 410,650 | |
7.75% 9/1/23 (d) | 1,640,000 | 656,000 | |
7.75% 9/1/24 (d) | 1,920,000 | 614,400 | |
7.75% 9/1/26 (d) | 320,000 | 102,400 | |
7.75% 9/1/27 (d) | 170,000 | 54,400 | |
United Kingdom, Great Britain and Northern Ireland 1.25% 10/22/41 (Reg. S) (j)(t) | GBP | 2,975,000 | 3,729,040 |
United Mexican States: | |||
2.659% 5/24/31 | 665,000 | 609,473 | |
3.25% 4/16/30 | 895,000 | 869,493 | |
3.75% 1/11/28 | 820,000 | 844,600 | |
4.5% 4/22/29 | 485,000 | 514,343 | |
5.75% 10/12/2110 | 1,220,000 | 1,244,400 | |
6.05% 1/11/40 | 980,000 | 1,116,710 | |
Uruguay Republic 5.1% 6/18/50 | 980,000 | 1,166,996 | |
Venezuelan Republic: | |||
9.25% 9/15/27 (e) | 4,549,000 | 250,195 | |
11.95% 8/5/31 (Reg. S) (e) | 938,300 | 51,607 | |
12.75% 8/23/22 (Reg. S) (e) | 199,600 | 10,978 | |
Vietnamese Socialist Republic 5.5% 3/12/28 | 2,088,100 | 2,072,178 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $266,330,044) | 250,096,328 | ||
Supranational Obligations - 0.1% | |||
Corporacion Andina de Fomento 2.375% 5/12/23 (Cost $15,286,190) | 15,300,000 | 15,413,097 | |
Shares | Value | ||
Common Stocks - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Entertainment - 0.0% | |||
Cineworld Group PLC warrants 11/23/25 (u) | 149,986 | 15,928 | |
Media - 0.0% | |||
Altice U.S.A., Inc. Class A (u) | 75,200 | 869,312 | |
TOTAL COMMUNICATION SERVICES | 885,240 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Caesars Entertainment, Inc. (u) | 16,200 | 1,363,878 | |
CEC Entertainment, Inc. (c)(u) | 40,185 | 683,145 | |
2,047,023 | |||
Specialty Retail - 0.0% | |||
David's Bridal, Inc. rights (c)(u) | 295 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 2,047,023 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services Ltd. (c)(u) | 55,600 | 6 | |
Jonah Energy Parent LLC (c)(u) | 36,493 | 2,020,252 | |
2,020,258 | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
California Resources Corp. | 95,031 | 3,918,128 | |
California Resources Corp. warrants 10/27/24 (u) | 3,601 | 43,932 | |
Chesapeake Energy Corp. | 60,952 | 4,708,542 | |
Chesapeake Energy Corp. (b) | 351 | 27,115 | |
Denbury, Inc. (u) | 15,462 | 1,123,469 | |
EP Energy Corp. (c)(u) | 3,729 | 331,732 | |
Mesquite Energy, Inc. (c)(u) | 66,231 | 3,802,343 | |
13,955,261 | |||
TOTAL ENERGY | 15,975,519 | ||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ACNR Holdings, Inc. (c)(u) | 5,205 | 247,238 | |
INDUSTRIALS - 0.0% | |||
Machinery - 0.0% | |||
TNT Crane & Rigging LLC (c)(u) | 47,366 | 416,821 | |
TNT Crane & Rigging LLC warrants 10/31/25 (c)(u) | 2,081 | 6,867 | |
423,688 | |||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
GTT Communications, Inc. rights (c)(u) | 163,660 | 163,660 | |
TOTAL COMMON STOCKS | |||
(Cost $9,026,442) | 19,742,368 | ||
Preferred Stocks - 0.0% | |||
Convertible Preferred Stocks - 0.0% | |||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
RLJ Lodging Trust Series A, 1.95% | 11,325 | 303,284 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ACNR Holdings, Inc. (c)(u) | 2,980 | 819,500 | |
Mortgage Real Estate Investment Trusts - 0.0% | |||
AGNC Investment Corp. Series E, 6.50% (f) | 37,320 | 899,039 | |
Arbor Realty Trust, Inc. Series F, 6.25% (f)(u) | 22,800 | 555,864 | |
Dynex Capital, Inc. Series C 6.90% (f) | 11,400 | 282,286 | |
Franklin BSP Realty Trust, Inc. 7.50% | 18,900 | 437,535 | |
MFA Financial, Inc. Series B, 7.50% | 13,700 | 336,472 | |
2,511,196 | |||
TOTAL FINANCIALS | 3,330,696 | ||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Cedar Realty Trust, Inc.: | |||
Series B, 7.25% | 950 | 24,491 | |
Series C, 6.50% | 14,300 | 324,896 | |
DiamondRock Hospitality Co. 8.25% | 7,100 | 184,878 | |
Digitalbridge Group, Inc.: | |||
Series H, 7.125% | 12,825 | 318,188 | |
Series I, 7.15% | 17,100 | 424,251 | |
iStar Financial, Inc. Series G, 7.65% | 20,300 | 510,340 | |
National Storage Affiliates Trust Series A, 6.00% | 6,925 | 174,510 | |
Public Storage Series F, 5.15% | 21,800 | 544,564 | |
Rexford Industrial Realty, Inc. Series B, 5.875% | 16,525 | 419,239 | |
Spirit Realty Capital, Inc. Series A, 6.00% | 10,200 | 253,776 | |
UMH Properties, Inc. Series C, 6.75% | 8,625 | 217,091 | |
3,396,224 | |||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 6,726,920 | ||
TOTAL PREFERRED STOCKS | |||
(Cost $6,301,250) | 7,030,204 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 5.5% | |||
COMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.2% | |||
Altice France SA: | |||
Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 3.049% 7/31/25 (f)(g)(v) | 4,402,337 | 4,299,983 | |
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 3.9266% 1/31/26 (f)(g)(v) | 2,760,085 | 2,710,072 | |
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 4.5064% 8/14/26 (f)(g)(v) | 1,890,991 | 1,871,060 | |
Cablevision Lightpath LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 11/30/27 (f)(g)(v) | 702,770 | 695,391 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/12/26 (f)(g)(v) | 1,039,330 | 1,025,040 | |
Consolidated Communications, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/2/27 (f)(g)(v) | 888,936 | 876,713 | |
Frontier Communications Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 5/1/28 (f)(g)(v) | 4,491,063 | 4,450,373 | |
Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 3/1/27 (f)(g)(v) | 1,975,108 | 1,926,441 | |
Lumen Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 3/15/27 (f)(g)(v) | 682,807 | 664,241 | |
Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8737% 4/30/27 (f)(g)(v) | 4,308,756 | 4,179,493 | |
Securus Technologies Holdings Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 5.5% 11/1/24 (f)(g)(v) | 3,100,995 | 2,973,079 | |
3 month U.S. LIBOR + 8.250% 9.25% 11/1/25 (f)(g)(v) | 2,059,000 | 1,938,034 | |
Windstream Services LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 9/21/27 (f)(g)(v) | 1,733,416 | 1,727,453 | |
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.2086% 3/9/27 (f)(g)(v) | 6,836,809 | 6,678,127 | |
36,015,500 | |||
Entertainment - 0.0% | |||
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7238% 2/10/27 (f)(g)(v) | 5,010,075 | 4,979,814 | |
AP Core Holdings II LLC: | |||
Tranche B1 1LN, term loan 1 month U.S. LIBOR + 5.500% 6.25% 9/1/27 (f)(g)(v) | 725,813 | 722,183 | |
Tranche B2 1LN, term loan 1 month U.S. LIBOR + 5.500% 6.25% 9/1/27 (f)(g)(v) | 735,000 | 732,244 | |
Crown Finance U.S., Inc. Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 8.250% 9.25% 5/23/24 (f)(g)(v) | 321,507 | 340,798 | |
3 month U.S. LIBOR + 2.500% 3.5% 2/28/25 (f)(g)(v) | 3,028,773 | 2,337,698 | |
3 month U.S. LIBOR + 2.750% 3.75% 9/30/26 (f)(g)(v) | 489,989 | 366,821 | |
15.25% 5/23/24 (v) | 512,508 | 604,867 | |
Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 3/11/28 (f)(g)(v) | 1,554,285 | 1,536,628 | |
SMG U.S. Midco 2, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7731% 1/23/25 (f)(g)(v) | 855,215 | 824,213 | |
Sweetwater Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 8/5/28 (f)(g)(v) | 872,009 | 863,289 | |
13,308,555 | |||
Media - 0.3% | |||
Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 5.25% 10/28/27 (f)(g)(v) | 2,861,100 | 2,827,139 | |
Altice Financing SA Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9891% 1/31/26 (f)(g)(v) | 1,420,775 | 1,378,862 | |
Cengage Learning, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 5.75% 7/14/26 (f)(g)(v) | 952,400 | 950,019 | |
Charter Communication Operating LLC Tranche B2 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.96% 2/1/27 (f)(g)(v) | 8,636,941 | 8,502,032 | |
Coral-U.S. Co.-Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.4411% 1/31/28 (f)(g)(v) | 4,180,000 | 4,090,423 | |
CSC Holdings LLC: | |||
Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.500% 2.6911% 4/15/27 (f)(g)(v) | 2,572,500 | 2,493,936 | |
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4411% 1/15/26 (f)(g)(v) | 1,419,473 | 1,375,412 | |
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5% 8/24/26 (f)(g)(v) | 8,541,592 | 3,168,931 | |
DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 8/2/27 (f)(g)(v) | 3,093,788 | 3,083,361 | |
Dotdash Meredith, Inc. Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 4.5% 12/1/28 (f)(g)(v) | 2,265,000 | 2,249,439 | |
Entercom Media Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.500% 2.6091% 11/17/24 (f)(g)(v) | 855,669 | 841,499 | |
Gray Television, Inc. Tranche D 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.1063% 12/1/28 (f)(g)(v) | 1,045,000 | 1,036,598 | |
LCPR Loan Financing LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9411% 9/25/28 (f)(g)(v) | 950,000 | 947,625 | |
MJH Healthcare Holdings LLC Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/28/29 (g)(v)(w) | 770,000 | 762,300 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.4411% 7/17/25 (f)(g)(v) | 2,710,515 | 2,625,378 | |
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6063% 9/19/26 (f)(g)(v) | 3,828,371 | 3,805,516 | |
Recorded Books, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.1237% 8/29/25 (f)(g)(v) | 235,231 | 233,349 | |
Scripps (E.W.) Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 1/7/28 (f)(g)(v) | 1,217,275 | 1,208,912 | |
Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.61% 9/30/26 (f)(g)(v) | 1,295,188 | 1,237,979 | |
Springer Nature Deutschland GmbH Tranche B18 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.75% 8/14/26 (f)(g)(v) | 1,636,183 | 1,628,002 | |
Univision Communications, Inc. Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 4% 3/24/26 (f)(g)(v) | 1,340,722 | 1,330,103 | |
1 month U.S. LIBOR + 3.250% 4% 1/31/29 (f)(g)(v) | 2,810,000 | 2,780,579 | |
Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.6911% 1/31/28 (f)(g)(v) | 2,000,000 | 1,964,000 | |
50,521,394 | |||
Wireless Telecommunication Services - 0.1% | |||
Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 5.5% 4/27/27 (f)(g)(v) | 717,226 | 716,631 | |
Intelsat Jackson Holdings SA 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.250% 2/1/29 (g)(v)(w) | 12,699,065 | 12,504,642 | |
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.96% 4/11/25 (f)(g)(v) | 1,094,150 | 1,077,465 | |
14,298,738 | |||
TOTAL COMMUNICATION SERVICES | 114,144,187 | ||
CONSUMER DISCRETIONARY - 1.3% | |||
Auto Components - 0.1% | |||
American Trailer World Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/5/28 (f)(g)(v) | 1,725,410 | 1,694,680 | |
Clarios Global LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 4/30/26 (f)(g)(v) | 1,868,801 | 1,847,777 | |
Les Schwab Tire Centers Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 11/2/27 (f)(g)(v) | 1,915,650 | 1,895,689 | |
Midas Intermediate Holdco II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 12/16/25 (f)(g)(v) | 1,193,795 | 1,107,400 | |
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.7578% 12/17/28 (f)(g)(v) | 1,545,000 | 1,535,591 | |
Power Stop LLC 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 1/24/29 (f)(g)(v) | 1,015,000 | 1,004,850 | |
Rough Country LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.25% 7/28/28 (f)(g)(v) | 730,750 | 726,219 | |
Truck Hero, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 1/29/28 (f)(g)(v) | 1,558,225 | 1,527,590 | |
11,339,796 | |||
Automobiles - 0.0% | |||
Bombardier Recreational Products, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2086% 5/23/27 (f)(g)(v) | 687,980 | 675,080 | |
CWGS Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3.25% 6/3/28 (f)(g)(v) | 3,211,438 | 3,157,903 | |
Thor Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.25% 2/1/26 (f)(g)(v) | 416,939 | 415,030 | |
4,248,013 | |||
Distributors - 0.0% | |||
BCPE Empire Holdings, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2086% 6/11/26 (f)(g)(v) | 1,504,919 | 1,487,522 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/12/26 (f)(g)(v) | 205,000 | 202,950 | |
Gloves Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 1/6/28 (f)(g)(v) | 660,012 | 653,412 | |
2,343,884 | |||
Diversified Consumer Services - 0.1% | |||
Adtalem Global Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 8/12/28 (f)(g)(v) | 2,495,000 | 2,467,455 | |
GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 7/30/26 (f)(g)(v) | 3,355,460 | 3,340,797 | |
KUEHG Corp.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (f)(g)(v) | 363,000 | 358,237 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 2/21/25 (f)(g)(v) | 2,621,512 | 2,554,349 | |
Lakeshore Intermediate LLC 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 9/29/28 (f)(g)(v) | 685,000 | 678,719 | |
Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.250% 4.25% 3/13/25 (f)(g)(v) | 1,022,377 | 995,110 | |
3 month U.S. LIBOR + 8.500% 9.5% 3/13/25 (f)(g)(v) | 1,113,050 | 1,111,659 | |
Ring Container Technologies Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.2686% 8/12/28 (f)(g)(v) | 1,110,000 | 1,100,987 | |
Signal Parent, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 4/1/28 (f)(g)(v) | 2,039,750 | 1,903,352 | |
Sotheby's Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 5% 1/15/27 (f)(g)(v) | 1,270,059 | 1,263,708 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 3/4/28 (f)(g)(v) | 6,570,350 | 6,528,365 | |
SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4738% 7/30/25 (f)(g)(v) | 602,765 | 582,675 | |
TKC Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 5.500% 6.5% 5/3/28 (f)(g)(v) | 1,169,605 | 1,156,201 | |
24,041,614 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
19Th Holdings Golf LLC Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.250% 3.75% 2/7/29 (f)(g)(v) | 1,345,000 | 1,328,188 | |
Aimbridge Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 2/1/26 (f)(g)(v) | 567,828 | 561,911 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9586% 2/1/26 (f)(g)(v) | 1,111,075 | 1,079,132 | |
Alterra Mountain Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 8/17/28 (f)(g)(v) | 2,550,812 | 2,521,044 | |
Aramark Services, Inc.: | |||
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 3/11/25 (f)(g)(v) | 1,446,000 | 1,416,473 | |
Tranche B-4 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 1/15/27 (f)(g)(v) | 1,314,825 | 1,285,794 | |
Aristocrat International Pty Ltd. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 2.004% 10/19/24 (f)(g)(v) | 2,225,169 | 2,193,193 | |
Bally's Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 10/1/28 (f)(g)(v) | 3,310,000 | 3,285,175 | |
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3697% 9/15/23 (f)(g)(v) | 1,392,119 | 1,388,472 | |
BRE/Everbright M6 Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 9/9/26 (f)(g)(v) | 454,225 | 452,331 | |
Burger King Worldwide, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 11/19/26 (f)(g)(v) | 1,715,000 | 1,681,129 | |
Caesars Resort Collection LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 12/22/24 (f)(g)(v) | 9,766,111 | 9,656,243 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7086% 7/20/25 (f)(g)(v) | 6,438,500 | 6,403,603 | |
Carnival Finance LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 4% 10/18/28 (f)(g)(v) | 2,160,000 | 2,133,000 | |
3 month U.S. LIBOR + 3.000% 3.75% 6/30/25 (f)(g)(v) | 1,877,984 | 1,851,692 | |
Churchill Downs, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.21% 3/17/28 (f)(g)(v) | 992,500 | 978,853 | |
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 7/21/28 (f)(g)(v) | 6,225,000 | 6,123,844 | |
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.5% 2/1/24 (f)(g)(v) | 4,490,000 | 4,445,100 | |
Equinox Holdings, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8% 9/8/24 (f)(g)(v) | 455,000 | 401,938 | |
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 4% 3/8/24 (f)(g)(v) | 1,978,123 | 1,873,045 | |
Excel Fitness Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 10/7/25 (f)(g)(v) | 1,251,807 | 1,235,120 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 4.5% 1/27/29 (f)(g)(v) | 13,423,261 | 13,351,581 | |
Flynn Restaurant Group LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 11/22/28 (f)(g)(v) | 570,000 | 563,303 | |
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 2.105% 11/30/23 (f)(g)(v) | 2,798,295 | 2,775,797 | |
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (f)(g)(v) | 3,970,819 | 3,952,196 | |
GVC Holdings Gibraltar Ltd. Tranche B4 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 3/16/27 (f)(g)(v) | 1,094,500 | 1,085,613 | |
Herschend Entertainment Co. LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 8/18/28 (f)(g)(v) | 703,238 | 698,406 | |
Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 8/2/28 (f)(g)(v) | 3,850,350 | 3,820,086 | |
Hilton Worldwide Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9369% 6/21/26 (f)(g)(v) | 1,646,634 | 1,620,222 | |
J&J Ventures Gaming LLC 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 4/26/28 (f)(g)(v) | 952,613 | 947,259 | |
MajorDrive Holdings IV LLC 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5625% 5/12/28 (f)(g)(v) | 1,890,500 | 1,874,752 | |
Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 8/31/25 (f)(g)(v) | 1,050,985 | 1,029,703 | |
Oravel Stays Singapore Pte Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 8.250% 9% 6/23/26 (f)(g)(v) | 925,350 | 953,111 | |
PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7086% 5/29/26 (f)(g)(v) | 1,484,314 | 1,468,075 | |
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (f)(g)(v) | 766,521 | 759,431 | |
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 6.355% 3/1/26 (f)(g)(v) | 1,843,084 | 1,814,516 | |
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 4/27/24 (f)(g)(v) | 159,324 | 155,898 | |
PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7179% 5/10/26 (f)(g)(v) | 451,779 | 430,694 | |
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 2.11% 5/11/24 (f)(g)(v) | 309,404 | 303,120 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 8/14/24 (f)(g)(v) | 2,171,053 | 2,155,053 | |
Scientific Games Holdings LP term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 2/4/29 (g)(v)(w) | 1,955,000 | 1,941,159 | |
SeaWorld Parks & Entertainment, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 8/25/28 (f)(g)(v) | 1,097,250 | 1,080,561 | |
Stars Group Holdings BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 2.4738% 7/16/26 (f)(g)(v) | 3,665,564 | 3,624,729 | |
Station Casinos LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.5% 2/7/27 (f)(g)(v) | 4,241,963 | 4,180,794 | |
Travelport Finance Luxembourg SARL 1LN, term loan: | |||
3 month U.S. LIBOR + 2.500% 9.75% 2/28/25 (f)(g)(v) | 1,922,701 | 1,972,364 | |
3 month U.S. LIBOR + 6.750% 6.9738% 5/30/26 (f)(g)(v) | 2,162,073 | 1,767,495 | |
United PF Holdings LLC: | |||
1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2238% 12/30/26 (f)(g)(v) | 2,512,079 | 2,409,510 | |
2LN, term loan 3 month U.S. LIBOR + 8.500% 8.7238% 12/30/27 (f)(g)(v) | 300,000 | 288,750 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.500% 9.5% 12/30/26 (c)(f)(g)(v) | 439,438 | 435,043 | |
Whatabrands LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 7/21/28 (f)(g)(v) | 3,715,000 | 3,665,330 | |
Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 5/30/25 (f)(g)(v) | 1,020,241 | 1,007,702 | |
114,427,533 | |||
Household Durables - 0.0% | |||
Mattress Firm, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 5% 9/24/28 (f)(g)(v) | 1,326,675 | 1,312,997 | |
Osmosis Debt Merger Sub, Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 7/30/28 (f)(g)(v) | 1,022,000 | 1,015,326 | |
Tranche DD 1LN, term loan 1 month U.S. LIBOR + 4.000% 7/30/28 (g)(v)(w) | 73,000 | 72,523 | |
Runner Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.500% 6.25% 10/20/28 (f)(g)(v) | 930,000 | 902,100 | |
TGP Holdings III LLC: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 4% 6/29/28 (f)(g)(v) | 687,300 | 672,406 | |
Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.500% 6/29/28 (f)(g)(v)(x) | 90,625 | 88,661 | |
Weber-Stephen Products LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 10/30/27 (f)(g)(v) | 1,155,766 | 1,121,093 | |
5,185,106 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/5/28 (f)(g)(v) | 25,354,181 | 25,202,056 | |
CNT Holdings I Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 11/8/27 (f)(g)(v) | 1,736,875 | 1,726,506 | |
Harbor Freight Tools U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 3.25% 10/19/27 (f)(g)(v) | 3,950,000 | 3,882,653 | |
Red Ventures LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7086% 11/8/24 (f)(g)(v) | 3,425,082 | 3,376,378 | |
Terrier Media Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7086% 12/17/26 (f)(g)(v) | 6,324,407 | 6,238,331 | |
40,425,924 | |||
Leisure Products - 0.1% | |||
Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 4.7086% 1/4/26 (f)(g)(v) | 732,550 | 730,946 | |
Hayward Industries, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 5/28/28 (f)(g)(v) | 1,353,200 | 1,338,545 | |
Lids Holdings, Inc. 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.500% 6.5% 12/14/26 (c)(f)(g)(v) | 1,600,000 | 1,568,000 | |
SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.7086% 12/21/25 (f)(g)(v) | 972,500 | 930,760 | |
SRAM LLC. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 3.2768% 5/12/28 (f)(g)(v) | 1,773,000 | 1,758,958 | |
6,327,209 | |||
Multiline Retail - 0.0% | |||
Franchise Group, Inc. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 4.750% 5.5% 3/10/26 (f)(g)(v) | 1,757,284 | 1,752,891 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.750% 5.2922% 11/22/23 (c)(f)(g)(v) | 102,175 | 101,664 | |
1,854,555 | |||
Specialty Retail - 0.1% | |||
Academy Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.5% 11/6/27 (f)(g)(v) | 1,581,797 | 1,576,355 | |
Adient U.S. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 4/8/28 (f)(g)(v) | 706,450 | 702,388 | |
Ambience Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 7/24/28 (f)(g)(v) | 917,700 | 889,784 | |
Driven Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5169% 11/17/28 (c)(f)(g)(v) | 460,000 | 455,400 | |
Empire Today LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.75% 4/1/28 (f)(g)(v) | 2,002,469 | 1,924,873 | |
Jo-Ann Stores LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 5.5% 7/7/28 (f)(g)(v) | 880,575 | 829,061 | |
LBM Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 12/18/27 (f)(g)(v) | 830,000 | 815,998 | |
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (f)(g)(v) | 3,579,955 | 3,321,411 | |
Petco Health & Wellness Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 3/4/28 (f)(g)(v) | 1,116,563 | 1,107,775 | |
RH Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 10/20/28 (f)(g)(v) | 1,700,738 | 1,680,805 | |
Tory Burch LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 4/14/28 (f)(g)(v) | 1,457,675 | 1,435,810 | |
Victoria's Secret & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 8/2/28 (f)(g)(v) | 982,538 | 967,799 | |
Woof Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 12/21/27 (f)(g)(v) | 1,126,488 | 1,115,223 | |
16,822,682 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Canada Goose, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/7/27 (f)(g)(v) | 821,716 | 815,208 | |
Crocs, Inc. Tranche B1 LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 4.4484% 2/17/29 (f)(g)(v) | 4,705,000 | 4,646,188 | |
Samsonite IP Holdings SARL Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 4/25/25 (f)(g)(v) | 1,338,113 | 1,327,248 | |
6,788,644 | |||
TOTAL CONSUMER DISCRETIONARY | 233,804,960 | ||
CONSUMER STAPLES - 0.2% | |||
Beverages - 0.0% | |||
Bengal Debt Merger Sub LLC: | |||
1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.250% 3.75% 1/20/29 (f)(g)(v) | 2,467,636 | 2,444,515 | |
2LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 6.000% 6.5% 1/20/30 (f)(g)(v) | 700,000 | 702,191 | |
Tranche DD 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.250% 3.75% 1/20/29 (f)(g)(v) | 142,364 | 141,030 | |
Triton Water Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 3/31/28 (f)(g)(v) | 2,656,651 | 2,588,747 | |
5,876,483 | |||
Food & Staples Retailing - 0.1% | |||
8th Avenue Food & Provisions, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 7.855% 10/1/26 (f)(g)(v) | 98,000 | 88,690 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9586% 10/1/25 (f)(g)(v) | 280,330 | 243,974 | |
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1237% 2/3/24 (f)(g)(v) | 1,033,692 | 1,030,249 | |
Froneri U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 1/29/27 (f)(g)(v) | 1,684,350 | 1,647,951 | |
GOBP Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.855% 10/22/25 (f)(g)(v) | 381,552 | 377,737 | |
JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.5% 11/20/25 (f)(g)(v) | 2,538,284 | 2,212,546 | |
Shearer's Foods, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 9/23/27 (f)(g)(v) | 2,210,597 | 2,131,148 | |
7,732,295 | |||
Food Products - 0.1% | |||
BellRing Brands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/21/24 (f)(g)(v) | 880,649 | 877,717 | |
Chobani LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 10/23/27 (f)(g)(v) | 1,736,000 | 1,727,320 | |
Del Monte Foods, Inc. term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.250% 2/15/29 (g)(v)(w) | 2,615,000 | 2,589,948 | |
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.105% 5/1/26 (f)(g)(v) | 4,236,332 | 4,203,501 | |
9,398,486 | |||
Household Products - 0.0% | |||
Diamond BC BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 9/29/28 (f)(g)(v) | 1,545,000 | 1,522,227 | |
Energizer Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.75% 12/16/27 (f)(g)(v) | 1,232,550 | 1,220,742 | |
Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 12/22/26 (f)(g)(v) | 2,209,238 | 2,037,713 | |
Resideo Funding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.75% 2/12/28 (f)(g)(v) | 937,913 | 933,223 | |
5,713,905 | |||
Personal Products - 0.0% | |||
Conair Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/17/28 (f)(g)(v) | 1,985,025 | 1,961,860 | |
Knowlton Development Corp., Inc. term loan 3 month U.S. LIBOR + 3.750% 3.855% 12/21/25 (f)(g)(v) | 947,673 | 940,091 | |
Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1911% 6/15/25 (f)(g)(v) | 1,095,700 | 656,872 | |
3,558,823 | |||
TOTAL CONSUMER STAPLES | 32,279,992 | ||
ENERGY - 0.2% | |||
Energy Equipment & Services - 0.0% | |||
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 4.9586% 11/3/25 (f)(g)(v) | 1,237,689 | 1,232,787 | |
Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1617% 5/21/25 (f)(g)(v) | 1,092,593 | 1,076,477 | |
ChampionX Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 6/3/27 (f)(g)(v) | 1,086,875 | 1,095,483 | |
3,404,747 | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Apro LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.5% 11/14/26 (f)(g)(v) | 1,595,990 | 1,589,015 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (f)(g)(v) | 2,048,241 | 2,042,383 | |
BCP Renaissance Parent LLC term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 4.5% 10/31/26 (f)(g)(v) | 1,300,278 | 1,292,151 | |
BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 3/17/28 (c)(f)(g)(v) | 945,250 | 940,524 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(g)(v) | 835,763 | 822,599 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 3/28/24 (f)(g)(v) | 3,653,732 | 3,633,637 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 6/4/28 (f)(g)(v) | 8,596,800 | 8,543,070 | |
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.355% 3/30/25 (f)(g)(v) | 1,341,180 | 1,305,786 | |
EG America LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 4.000% 4.2238% 2/6/25 (f)(g)(v) | 2,313,154 | 2,287,779 | |
3 month U.S. LIBOR + 4.250% 4.75% 3/10/26 (f)(g)(v) | 1,139,316 | 1,132,195 | |
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.2238% 2/6/25 (f)(g)(v) | 2,151,730 | 2,128,126 | |
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.18% 3/1/26 (f)(g)(v) | 1,374,534 | 1,132,616 | |
GIP II Blue Holding LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 5.5% 9/29/28 (f)(g)(v) | 2,014,950 | 2,002,981 | |
GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.355% 7/18/25 (f)(g)(v) | 2,986,452 | 2,907,311 | |
ITT Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 3.25% 7/30/28 (f)(g)(v) | 798,000 | 785,783 | |
Limetree Bay Terminals LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 2/15/24 (f)(g)(v) | 360,526 | 303,430 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 2/15/24 (f)(g)(v) | 2,308,309 | 1,942,742 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(g)(v) | 1,224,553 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(g)(v) | 528,000 | 0 | |
WaterBridge Operating LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 6.75% 6/21/26 (f)(g)(v) | 1,099,688 | 1,054,523 | |
35,846,651 | |||
TOTAL ENERGY | 39,251,398 | ||
FINANCIALS - 0.5% | |||
Banks - 0.0% | |||
Novae LLC term loan: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.000% 12/22/28 (g)(v)(x) | 223,333 | 221,100 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.000% 5.75% 12/22/28 (f)(g)(v) | 781,667 | 773,850 | |
994,950 | |||
Capital Markets - 0.1% | |||
AssuredPartners, Inc. Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.500% 4% 2/13/27 (f)(g)(v) | 1,080,826 | 1,063,262 | |
3 month U.S. LIBOR + 3.500% 3.605% 2/13/27 (f)(g)(v) | 1,136,800 | 1,119,271 | |
Broadstreet Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 1/27/27 (f)(g)(v) | 668,325 | 657,465 | |
Citadel Securities LP term loan 3 month U.S. LIBOR + 2.500% 2.605% 2/27/28 (f)(g)(v) | 2,878,250 | 2,848,431 | |
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 9/21/28 (f)(g)(v) | 866,000 | 855,175 | |
Deerfield Dakota Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 4/9/27 (f)(g)(v) | 1,040,627 | 1,034,685 | |
Franklin Square Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.5% 8/3/25 (f)(g)(v) | 1,080,454 | 1,069,650 | |
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4884% 3/1/25 (f)(g)(v) | 1,867,650 | 1,852,242 | |
Hightower Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 4/21/28 (f)(g)(v) | 1,052,363 | 1,044,207 | |
Russell Investments U.S. Institutional Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 5/30/25 (f)(g)(v) | 606,723 | 601,796 | |
Superannuation & Investments U.S. LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 12/1/28 (f)(g)(v) | 675,000 | 672,260 | |
12,818,444 | |||
Consumer Finance - 0.0% | |||
Paysafe Holdings U.S. Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 3.25% 6/10/28 (f)(g)(v) | 319,198 | 296,755 | |
Diversified Financial Services - 0.1% | |||
ACNR Holdings, Inc. term loan 17% 9/16/25 (c)(f)(v) | 602,191 | 617,245 | |
Agellan Portfolio 9% 8/7/25 (c)(f)(v) | 239,000 | 244,378 | |
Asp Resins Merger Sub, Inc. term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 7.000% 2/9/30 (c)(g)(v)(w) | 675,000 | 656,438 | |
Finco I LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7086% 6/27/25 (f)(g)(v) | 796,405 | 785,852 | |
Fleetcor Technologies Operating Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 4/30/28 (f)(g)(v) | 643,385 | 631,457 | |
Focus Financial Partners LLC: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 6/24/28 (f)(g)(v) | 746,601 | 737,671 | |
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2086% 7/3/24 (f)(g)(v) | 1,132,847 | 1,117,395 | |
GT Polaris, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 9/24/27 (f)(g)(v) | 1,059,320 | 1,051,375 | |
KREF Holdings X LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 9/1/27 (c)(f)(g)(v) | 1,225,738 | 1,213,480 | |
Lhs Borrower LLC term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.750% 0% 2/2/29 (f)(v) | 1,750,000 | 1,728,125 | |
Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.000% 5.0992% 1/9/24 (c)(f)(g)(v) | 3,800,000 | 3,800,000 | |
Nexus Buyer LLC: | |||
2LN, term loan 1 month U.S. LIBOR + 6.250% 6.75% 11/5/29 (f)(g)(v) | 795,000 | 786,716 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 3.855% 11/8/26 (f)(g)(v) | 570,000 | 563,707 | |
Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.75% 9/29/24 (f)(g)(v) | 258,235 | 255,975 | |
RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 2/11/27 (f)(g)(v) | 2,418,338 | 2,402,208 | |
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.450% 4.6151% 1/21/27 (c)(f)(g)(v) | 3,800,000 | 3,800,000 | |
TransUnion LLC Tranche B5 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 11/16/26 (f)(g)(v) | 1,559,324 | 1,533,735 | |
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 4/29/26 (f)(g)(v) | 1,249,726 | 1,231,505 | |
Veritas Multifamily Portfolio 1 month U.S. LIBOR + 8.500% 8.75% 11/15/22 (c)(f)(g)(v) | 3,069,200 | 3,069,200 | |
Wh Borrower LLC term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.500% 6% 2/9/27 (f)(v) | 1,885,000 | 1,837,875 | |
28,064,337 | |||
Insurance - 0.3% | |||
Acrisure LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 4.250% 4.75% 2/15/27 (f)(g)(v) | 960,000 | 949,805 | |
3 month U.S. LIBOR + 3.500% 3.7238% 2/13/27 (f)(g)(v) | 5,460,150 | 5,366,890 | |
Alliant Holdings Intermediate LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.355% 5/10/25 (f)(g)(v) | 1,892,271 | 1,869,563 | |
Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.355% 5/9/25 (f)(g)(v) | 731,250 | 721,978 | |
Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 11/6/27 (f)(g)(v) | 1,870,313 | 1,852,395 | |
AmeriLife Holdings LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 4.000% 4.1063% 3/18/27 (f)(g)(v) | 1,048,630 | 1,038,144 | |
3 month U.S. LIBOR + 4.000% 4.75% 3/18/27 (f)(g)(v) | 385,125 | 380,311 | |
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3% 2/19/28 (f)(g)(v) | 2,911,852 | 2,863,166 | |
Asurion LLC: | |||
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.120% 3.3336% 11/3/23 (f)(g)(v) | 1,311,057 | 1,300,949 | |
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 3.2086% 11/3/24 (f)(g)(v) | 2,607,806 | 2,570,332 | |
Tranche B3 2LN, term loan 3 month U.S. LIBOR + 5.250% 5.4586% 1/31/28 (f)(g)(v) | 3,855,000 | 3,805,849 | |
Tranche B4 2LN, term loan 1 month U.S. LIBOR + 5.250% 5.4586% 1/20/29 (f)(g)(v) | 1,925,000 | 1,900,938 | |
Tranche B8 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 12/23/26 (f)(g)(v) | 6,694,519 | 6,571,072 | |
Tranche B9 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.355% 7/31/27 (f)(g)(v) | 2,054,475 | 2,014,680 | |
HUB International Ltd.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 4/25/25 (f)(g)(v) | 2,393,286 | 2,374,188 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.02% 4/25/25 (f)(g)(v) | 7,696,238 | 7,597,264 | |
Ryan Specialty Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 9/1/27 (f)(g)(v) | 2,128,063 | 2,110,102 | |
USI, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4738% 12/2/26 (f)(g)(v) | 735,012 | 726,560 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.2238% 5/16/24 (f)(g)(v) | 4,014,382 | 3,975,483 | |
49,989,669 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Walker & Dunlop, Inc. Tranche B 1LN, term loan CME TERM SOFR 1 MONTH + 2.250% 2.75% 12/16/28 (f)(g)(v) | 675,000 | 669,938 | |
TOTAL FINANCIALS | 92,834,093 | ||
HEALTH CARE - 0.5% | |||
Health Care Equipment & Supplies - 0.1% | |||
Avantor Funding, Inc. Tranche B5 1LN, term loan 1 month U.S. LIBOR + 2.250% 2.75% 11/6/27 (f)(g)(v) | 2,061,907 | 2,039,824 | |
ICU Medical, Inc. Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 2.500% 3% 1/6/29 (f)(g)(v) | 1,215,000 | 1,207,406 | |
Insulet Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 5/4/28 (f)(g)(v) | 1,786,025 | 1,773,755 | |
Maravai Intermediate Holdings LLC Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.1367% 10/19/27 (f)(g)(v) | 2,017,333 | 2,000,953 | |
Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 10/21/28 (f)(g)(v) | 5,240,000 | 5,185,137 | |
Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.113% 6/30/25 (f)(g)(v) | 2,087,732 | 2,075,122 | |
Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 11/30/27 (f)(g)(v) | 1,260,475 | 1,252,282 | |
Pathway Vet Alliance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9586% 3/31/27 (f)(g)(v) | 1,572,714 | 1,557,773 | |
17,092,252 | |||
Health Care Providers & Services - 0.2% | |||
Accelerated Health Systems LLC Tranche B1 LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.250% 5.1596% 2/2/29 (f)(g)(v) | 665,000 | 660,292 | |
AHP Health Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 8/23/28 (f)(g)(v) | 768,075 | 763,036 | |
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 12/13/26 (f)(g)(v) | 3,715,869 | 3,694,986 | |
DaVita HealthCare Partners, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 8/12/26 (f)(g)(v) | 181,404 | 179,381 | |
Electron BidCo, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 11/1/28 (f)(g)(v) | 1,230,000 | 1,216,359 | |
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (f)(g)(v) | 12,314,583 | 12,242,789 | |
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.25% 3/15/28 (f)(g)(v) | 1,419,275 | 1,398,582 | |
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 2.75% 7/1/28 (f)(g)(v) | 5,237,829 | 5,174,242 | |
Mamba Purchaser, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 10/14/28 (f)(g)(v) | 750,000 | 742,500 | |
MED ParentCo LP: | |||
1LN, term loan 3 month U.S. LIBOR + 4.250% 4.355% 8/31/26 (f)(g)(v) | 1,307,221 | 1,296,018 | |
2LN, term loan 3 month U.S. LIBOR + 8.250% 8.4586% 8/30/27 (f)(g)(v) | 485,000 | 483,991 | |
National Mentor Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/2/28 (f)(g)(v) | 588,593 | 576,003 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 11/15/28 (f)(g)(v) | 3,630,000 | 3,598,238 | |
Pluto Acquisition I, Inc. term loan 1 month U.S. LIBOR + 4.000% 4.5071% 6/20/26 (f)(g)(v) | 1,343,250 | 1,328,138 | |
Radiology Partners, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4002% 7/9/25 (f)(g)(v) | 1,410,000 | 1,384,451 | |
RadNet Management, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.7538% 4/23/28 (f)(g)(v) | 771,125 | 763,830 | |
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.5% 8/31/26 (f)(g)(v) | 1,029,159 | 1,018,867 | |
U.S. Anesthesia Partners, Inc.: | |||
2LN, term loan 1 month U.S. LIBOR + 7.500% 8% 10/1/29 (f)(g)(v) | 285,000 | 281,794 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 10/1/28 (f)(g)(v) | 2,304,225 | 2,274,570 | |
U.S. Radiology Specialists, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 5.75% 12/15/27 (f)(g)(v) | 967,688 | 960,836 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.125% 6/13/26 (f)(g)(v) | 4,541,835 | 4,354,484 | |
Upstream Newco, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.355% 11/20/26 (f)(g)(v) | 1,751,822 | 1,738,683 | |
46,132,070 | |||
Health Care Technology - 0.1% | |||
Athenahealth, Inc.: | |||
Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 4% 1/27/29 (f)(g)(v) | 7,541,739 | 7,464,436 | |
Tranche DD 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/27/29 (g)(v)(x) | 1,278,261 | 1,265,159 | |
Emerald TopCo, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7985% 7/25/26 (f)(g)(v) | 1,414,059 | 1,388,719 | |
Imprivata, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 12/1/27 (f)(g)(v) | 1,588,000 | 1,577,742 | |
PointClickCare Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 12/29/27 (f)(g)(v) | 794,000 | 779,113 | |
Virgin Pulse, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 4/6/28 (f)(g)(v) | 937,650 | 922,807 | |
Zelis Payments Buyer, Inc.: | |||
Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.500% 3.6063% 9/30/26 (f)(g)(v) | 398,660 | 393,178 | |
3 month U.S. LIBOR + 3.500% 3.6063% 9/30/26 (f)(g)(v) | 1,524,129 | 1,504,559 | |
Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.500% 9/30/26 (g)(v)(x) | 72,667 | 71,667 | |
15,367,380 | |||
Life Sciences Tools & Services - 0.0% | |||
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 2.75% 7/1/28 (f)(g)(v) | 1,305,008 | 1,289,166 | |
Pharmaceuticals - 0.1% | |||
Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8563% 8/1/27 (f)(g)(v) | 5,076,053 | 4,958,695 | |
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (f)(g)(v) | 4,581,975 | 4,561,356 | |
Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/2/28 (f)(g)(v) | 4,348,392 | 4,325,302 | |
Valeant Pharmaceuticals International, Inc.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.855% 11/27/25 (f)(g)(v) | 1,660,737 | 1,635,826 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.105% 6/1/25 (f)(g)(v) | 1,326,231 | 1,312,147 | |
16,793,326 | |||
TOTAL HEALTH CARE | 96,674,194 | ||
INDUSTRIALS - 0.9% | |||
Aerospace & Defense - 0.1% | |||
Gemini HDPE LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 12/31/27 (f)(g)(v) | 958,530 | 949,741 | |
Jazz Acquisition, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.46% 6/19/26 (f)(g)(v) | 186,563 | 181,199 | |
TransDigm, Inc.: | |||
Tranche E 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 5/30/25 (f)(g)(v) | 730,894 | 717,614 | |
Tranche F 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 12/9/25 (f)(g)(v) | 7,624,785 | 7,488,454 | |
Tranche G 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 8/22/24 (f)(g)(v) | 1,387,621 | 1,365,391 | |
WP CPP Holdings LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 4/30/25 (f)(g)(v) | 1,841,921 | 1,768,815 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 8.75% 4/30/26 (f)(g)(v) | 181,000 | 177,210 | |
12,648,424 | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7238% 4/8/26 (f)(g)(v) | 1,030,964 | 998,035 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7238% 4/4/26 (f)(g)(v) | 554,282 | 536,578 | |
Echo Global Logistics, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 11/23/28 (f)(g)(v) | 925,000 | 915,056 | |
Hanjin International Corp. 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.5% 12/23/22 (c)(f)(g)(v) | 2,105,000 | 2,112,894 | |
4,562,563 | |||
Airlines - 0.1% | |||
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 4/20/28 (f)(g)(v) | 3,220,000 | 3,273,677 | |
Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.25% 8/11/28 (f)(g)(v) | 1,405,000 | 1,394,968 | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/2/27 (f)(g)(v) | 3,065,000 | 3,197,960 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (f)(g)(v) | 2,750,000 | 2,871,688 | |
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/21/28 (f)(g)(v) | 4,947,613 | 4,914,612 | |
WestJet Airlines Ltd. 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 12/11/26 (f)(g)(v) | 1,243,235 | 1,208,276 | |
16,861,181 | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (f)(g)(v) | 3,441,553 | 3,264,313 | |
APi Group DE, Inc. Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 2.750% 2.9586% 12/18/28 (f)(g)(v) | 2,600,000 | 2,582,814 | |
3 month U.S. LIBOR + 2.500% 2.605% 10/1/26 (f)(g)(v) | 1,255,000 | 1,240,568 | |
DiversiTech Holdings, Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 12/22/28 (f)(g)(v) | 729,143 | 722,457 | |
Tranche B-DD 1LN, term loan 1 month U.S. LIBOR + 3.750% 12/14/28 (g)(v)(x) | 150,857 | 149,474 | |
Griffon Corp. Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 2.750% 3.2669% 1/24/29 (f)(g)(v) | 2,095,000 | 2,078,764 | |
Hunter Douglas, Inc. term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 2/9/29 (g)(v)(w) | 6,360,000 | 6,260,657 | |
Ingersoll-Rand Services Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.855% 2/28/27 (f)(g)(v) | 1,660,425 | 1,635,054 | |
Specialty Building Products Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 10/15/28 (f)(g)(v) | 725,000 | 717,750 | |
Standard Industries, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 9/22/28 (f)(g)(v) | 998,790 | 994,505 | |
19,646,356 | |||
Commercial Services & Supplies - 0.3% | |||
ABG Intermediate Holdings 2 LLC: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.000% 6.5% 12/20/29 (f)(g)(v) | 880,000 | 881,100 | |
Tranche B1 LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (g)(v)(w) | 567,761 | 562,084 | |
Tranche B2 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/31/29 (g)(v)(w) | 3,619,478 | 3,583,283 | |
Tranche B3 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (g)(v)(w) | 567,761 | 562,084 | |
ADS Tactical, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 6.75% 3/19/26 (f)(g)(v) | 1,819,125 | 1,764,551 | |
All-Star Bidco AB: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 11/16/28 (g)(v)(w) | 600,000 | 594,750 | |
Tranche B1 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 7/21/28 (f)(g)(v) | 1,155,000 | 1,140,077 | |
Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/14/28 (f)(g)(v) | 2,309,213 | 2,276,121 | |
APX Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.0008% 7/9/28 (f)(g)(v) | 1,531,163 | 1,519,434 | |
AVSC Holding Corp. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 10/15/26 (f)(g)(v) | 1,536,166 | 1,443,228 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/21/24 (f)(g)(v) | 6,399,392 | 6,102,396 | |
Cimpress U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/17/28 (f)(g)(v) | 1,273,600 | 1,264,048 | |
Clean Harbors, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 2.2086% 10/8/28 (f)(g)(v) | 515,000 | 513,069 | |
Conservice Midco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4738% 5/13/27 (f)(g)(v) | 145,375 | 144,684 | |
CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/18/24 (f)(g)(v) | 902,926 | 895,405 | |
Covanta Holding Corp.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 11/30/28 (f)(g)(v) | 1,469,895 | 1,456,240 | |
Tranche C 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 11/30/28 (f)(g)(v) | 110,105 | 109,082 | |
Eagle 4 Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4738% 7/12/28 (f)(g)(v) | 681,514 | 671,857 | |
Ensemble RCM LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.049% 8/1/26 (f)(g)(v) | 2,049,966 | 2,039,716 | |
Filtration Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.105% 3/29/25 (f)(g)(v) | 2,057,937 | 2,032,645 | |
Harland Clarke Holdings Corp. 1LN, term loan 1 month U.S. LIBOR + 7.750% 8.75% 6/16/26 (f)(g)(v) | 1,144,639 | 1,016,439 | |
Indy U.S. Bidco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 3.9586% 3/5/28 (f)(g)(v) | 1,141,389 | 1,123,983 | |
KNS Acquisitions, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7% 4/21/27 (f)(g)(v) | 909,281 | 883,712 | |
Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/21/28 (f)(g)(v) | 2,636,750 | 2,591,846 | |
Maverick Purchaser Sub LLC: | |||
term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 4.5% 2/7/29 (f)(g)(v) | 2,040,000 | 2,023,435 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6739% 1/23/27 (f)(g)(v) | 2,167,000 | 2,146,240 | |
Tranche B 2LN, term loan 1 month U.S. LIBOR + 8.750% 10% 1/31/28 (f)(g)(v) | 1,180,000 | 1,174,100 | |
MHI Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.2086% 9/20/26 (f)(g)(v) | 1,640,147 | 1,630,405 | |
Pilot Travel Centers LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 2.2086% 8/4/28 (f)(g)(v) | 3,062,325 | 3,010,020 | |
PowerTeam Services LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.5% 3/6/25 (f)(g)(v) | 1,203,950 | 1,159,235 | |
RLG Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 5% 7/8/28 (f)(g)(v) | 1,025,000 | 1,016,677 | |
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (f)(g)(v) | 1,899,231 | 1,870,743 | |
SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9738% 8/29/25 (f)(g)(v) | 844,870 | 802,229 | |
The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.75% 8/15/25 (f)(g)(v) | 1,427,798 | 1,409,950 | |
The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.75% 3/23/24 (f)(g)(v) | 616,894 | 568,622 | |
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.75% 4/1/28 (f)(g)(v) | 601,975 | 595,955 | |
52,579,445 | |||
Construction & Engineering - 0.1% | |||
JMC Steel Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1367% 1/24/27 (f)(g)(v) | 1,090,028 | 1,073,950 | |
Landry's Finance Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 12.000% 13% 10/4/23 (f)(g)(v) | 500,000 | 530,000 | |
Pike Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.11% 1/21/28 (f)(g)(v) | 1,198,630 | 1,186,308 | |
Rockwood Service Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2086% 1/23/27 (f)(g)(v) | 1,952,169 | 1,943,638 | |
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.2687% 6/4/28 (f)(g)(v) | 4,343,175 | 4,287,800 | |
Traverse Midstream Partners Ll Tranche B, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.250% 5.25% 9/27/24 (f)(g)(v) | 892,669 | 888,652 | |
USIC Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.25% 5/7/28 (f)(g)(v) | 1,341,638 | 1,320,252 | |
11,230,600 | |||
Electrical Equipment - 0.0% | |||
Alliance Laundry Systems LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 10/8/27 (f)(g)(v) | 533,711 | 528,107 | |
Array Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 10/14/27 (f)(g)(v) | 1,874,739 | 1,825,527 | |
Vertiv Group Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8569% 3/2/27 (f)(g)(v) | 3,111,993 | 3,006,963 | |
5,360,597 | |||
Machinery - 0.0% | |||
Ali Group North America Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 10/12/28 (g)(v)(w) | 1,585,000 | 1,560,036 | |
Columbus McKinnon Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 3.25% 5/14/28 (f)(g)(v) | 623,606 | 618,149 | |
CPM Holdings, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 8.250% 8.3563% 11/15/26 (f)(g)(v) | 127,677 | 127,038 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6063% 11/15/25 (f)(g)(v) | 878,759 | 865,947 | |
Doosan Bobcat Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 2.4738% 5/18/24 (f)(g)(v) | 1,042,125 | 1,031,704 | |
TNT Crane & Rigging LLC 2LN, term loan 3 month U.S. LIBOR + 8.750% 9.75% 4/16/25 (c)(f)(g)(v) | 388,215 | 372,686 | |
Vertical U.S. Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 7/31/27 (f)(g)(v) | 1,002,376 | 994,497 | |
5,570,057 | |||
Professional Services - 0.1% | |||
AlixPartners LLP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 2/4/28 (f)(g)(v) | 1,560,993 | 1,542,698 | |
Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7086% 2/7/26 (f)(g)(v) | 2,367,473 | 2,351,043 | |
CHG Healthcare Services, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 9/30/28 (f)(g)(v) | 1,007,475 | 999,002 | |
CoreLogic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 6/2/28 (f)(g)(v) | 3,366,563 | 3,320,272 | |
EAB Global, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 8/16/28 (f)(g)(v) | 635,000 | 628,174 | |
EmployBridge LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 5.5% 7/19/28 (f)(g)(v) | 1,865,325 | 1,843,016 | |
Vaco Holdings LLC 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.000% 5.75% 1/21/29 (f)(g)(v) | 775,000 | 769,188 | |
11,453,393 | |||
Road & Rail - 0.1% | |||
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2238% 12/30/26 (f)(g)(v) | 1,965,000 | 1,935,073 | |
Uber Technologies, Inc. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.500% 3.605% 4/4/25 (f)(g)(v) | 3,958,974 | 3,918,157 | |
3 month U.S. LIBOR + 3.500% 3.605% 2/25/27 (f)(g)(v) | 1,916,225 | 1,895,741 | |
XPO Logistics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.8581% 2/23/25 (f)(g)(v) | 1,000,000 | 984,630 | |
8,733,601 | |||
Trading Companies & Distributors - 0.0% | |||
Beacon Roofing Supply, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 2.355% 5/19/28 (f)(g)(v) | 999,975 | 988,035 | |
Fly Funding II SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.15% 8/9/25 (f)(g)(v) | 793,653 | 773,518 | |
1,761,553 | |||
Transportation Infrastructure - 0.0% | |||
AIT Worldwide Logistics Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 4/6/28 (f)(g)(v) | 1,456,350 | 1,443,607 | |
ASP LS Acquisition Corp.: | |||
2LN, term loan 1 month U.S. LIBOR + 7.500% 8.25% 5/7/29 (f)(g)(v) | 295,000 | 293,894 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 4/30/28 (f)(g)(v) | 1,271,813 | 1,267,043 | |
Einstein Merger Sub, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.250% 7.75% 10/25/28 (c)(f)(g)(v) | 780,000 | 776,100 | |
First Student Bidco, Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 7/21/28 (f)(g)(v) | 1,566,691 | 1,543,676 | |
Tranche C 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 7/21/28 (f)(g)(v) | 578,309 | 569,813 | |
Worldwide Express, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 5% 7/22/28 (f)(g)(v) | 1,590,000 | 1,576,088 | |
7,470,221 | |||
TOTAL INDUSTRIALS | 157,877,991 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Communications Equipment - 0.1% | |||
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9738% 8/10/25 (f)(g)(v) | 2,921,126 | 2,512,782 | |
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 4/4/26 (f)(g)(v) | 4,646,716 | 4,527,667 | |
Radiate Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 4% 9/25/26 (f)(g)(v) | 4,675,000 | 4,619,975 | |
11,660,424 | |||
Electronic Equipment & Components - 0.1% | |||
DG Investment Intermediate Holdings, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 3/31/29 (f)(g)(v) | 315,000 | 314,213 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 3/31/28 (f)(g)(v) | 1,378,121 | 1,365,029 | |
EXC Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/2/24 (f)(g)(v) | 1,312,391 | 1,299,267 | |
Go Daddy Operating Co. LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2086% 8/10/27 (f)(g)(v) | 1,846,875 | 1,817,731 | |
Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 2/15/24 (f)(g)(v) | 1,898,151 | 1,872,051 | |
II-VI, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 12/8/28 (g)(v)(w) | 2,595,000 | 2,567,441 | |
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6063% 9/28/24 (f)(g)(v) | 1,230,526 | 1,226,686 | |
10,462,418 | |||
IT Services - 0.2% | |||
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (f)(g)(v) | 2,057,292 | 2,043,158 | |
AEA International Holdings Luxembourg SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 9/7/28 (f)(g)(v) | 780,000 | 777,075 | |
Arches Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 12/4/27 (f)(g)(v) | 2,050,771 | 2,014,637 | |
Camelot Finance SA: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 10/31/26 (f)(g)(v) | 3,712,500 | 3,688,146 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.2086% 10/31/26 (f)(g)(v) | 2,201,756 | 2,178,637 | |
CMI Marketing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 3/23/28 (f)(g)(v) | 915,400 | 906,823 | |
Condor Merger Sub, Inc. term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 2/2/29 (g)(v)(w) | 2,550,000 | 2,511,750 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7% 5/31/25 (f)(g)(v) | 6,139,144 | 5,138,463 | |
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 8/19/28 (f)(g)(v) | 1,080,506 | 1,075,104 | |
Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.9738% 3/26/28 (f)(g)(v) | 4,154,125 | 4,130,779 | |
Park Place Technologies LLC 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 11/10/27 (f)(g)(v) | 1,291,108 | 1,285,995 | |
Peraton Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (f)(g)(v) | 8,364,362 | 8,312,085 | |
Sabre GLBL, Inc.: | |||
Tranche B-1 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 12/17/27 (f)(g)(v) | 243,566 | 239,974 | |
Tranche B-2 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 12/17/27 (f)(g)(v) | 388,259 | 382,532 | |
Tempo Acquisition LLC: | |||
1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 8/31/28 (f)(g)(v) | 2,548,125 | 2,519,459 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 5/1/24 (f)(g)(v) | 240,745 | 239,843 | |
Verscend Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2086% 8/27/25 (f)(g)(v) | 3,079,825 | 3,067,321 | |
VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 1/13/29 (f)(g)(v) | 2,000,000 | 1,981,260 | |
WEX, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.4586% 4/1/28 (f)(g)(v) | 893,250 | 879,012 | |
43,372,053 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
CMC Materials, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.125% 11/15/25 (f)(g)(v) | 743,692 | 740,903 | |
MKS Instruments, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 10/22/28 (g)(v)(w) | 3,825,000 | 3,779,597 | |
4,520,500 | |||
Software - 0.5% | |||
A&V Holdings Midco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.370% 6.375% 3/10/27 (f)(g)(v) | 1,174,961 | 1,166,148 | |
Applied Systems, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.5% 9/19/24 (f)(g)(v) | 500,000 | 496,625 | |
AppLovin Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 8/15/25 (f)(g)(v) | 4,240,694 | 4,207,575 | |
Aptean, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4586% 4/23/26 (f)(g)(v) | 1,140,151 | 1,129,228 | |
Ascend Learning LLC: | |||
2LN, term loan 1 month U.S. LIBOR + 5.750% 6.25% 12/10/29 (f)(g)(v) | 160,000 | 159,400 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 12/10/28 (f)(g)(v) | 3,690,000 | 3,638,672 | |
Byju's Alpha, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.500% 6.25% 11/24/26 (f)(g)(v) | 2,095,000 | 2,083,876 | |
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.7086% 4/30/25 (f)(g)(v) | 2,299,836 | 2,263,912 | |
ConnectWise LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 9/30/28 (f)(g)(v) | 2,385,000 | 2,362,438 | |
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9586% 11/29/24 (f)(g)(v) | 395,848 | 395,602 | |
DCert Buyer, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2086% 10/16/26 (f)(g)(v) | 4,333,841 | 4,310,958 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 7.2086% 2/19/29 (f)(g)(v) | 835,000 | 831,660 | |
Dynatrace LLC 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.355% 8/23/25 (f)(g)(v) | 738,996 | 733,224 | |
Epicor Software Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 7/31/27 (f)(g)(v) | 2,009,563 | 1,988,563 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (f)(g)(v) | 697,000 | 690,978 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (f)(g)(v) | 2,167,378 | 2,134,087 | |
Flexera Software LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/3/28 (f)(g)(v) | 731,231 | 725,520 | |
Grab Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 1/29/26 (f)(g)(v) | 937,913 | 930,297 | |
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/1/27 (f)(g)(v) | 1,648,350 | 1,644,823 | |
Hyland Software, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 6.250% 7% 7/10/25 (f)(g)(v) | 126,720 | 127,037 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 7/1/24 (f)(g)(v) | 2,264,893 | 2,252,867 | |
MA FinanceCo. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/5/25 (f)(g)(v) | 842,188 | 832,359 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6% 9/29/24 (f)(g)(v) | 3,100,679 | 3,092,431 | |
MH Sub I LLC: | |||
1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 9/15/24 (f)(g)(v) | 3,569,066 | 3,540,799 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.250% 6.4586% 2/23/29 (f)(g)(v) | 280,000 | 278,163 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.7086% 9/15/24 (f)(g)(v) | 695,396 | 685,835 | |
Motus Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 12/10/28 (f)(g)(v) | 610,000 | 605,425 | |
NAVEX TopCo, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.000% 7.11% 9/4/26 (f)(g)(v) | 100,000 | 98,250 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.36% 9/5/25 (f)(g)(v) | 725,172 | 717,318 | |
NortonLifeLock, Inc. Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 2.000% 0% 1/28/29 (f)(u)(v) | 4,600,000 | 4,540,568 | |
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/2/28 (f)(g)(v) | 4,633,388 | 4,601,278 | |
Project Boost Purchaser LLC 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7086% 5/30/26 (f)(g)(v) | 1,730,671 | 1,707,186 | |
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.7579% 8/31/28 (f)(g)(v) | 4,505,000 | 4,450,399 | |
Rackspace Technology Global, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 2/15/28 (f)(g)(v) | 4,961,244 | 4,803,972 | |
RealPage, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 4/22/28 (f)(g)(v) | 2,548,613 | 2,518,513 | |
Red Planet Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 9/30/28 (f)(g)(v) | 1,615,950 | 1,600,809 | |
Renaissance Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.4586% 5/31/25 (f)(g)(v) | 1,628,146 | 1,602,568 | |
Sophia LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 10/7/27 (f)(g)(v) | 3,163,110 | 3,130,150 | |
SS&C Technologies, Inc.: | |||
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 4/16/25 (f)(g)(v) | 1,284,590 | 1,261,955 | |
Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 4/16/25 (f)(g)(v) | 1,042,721 | 1,024,348 | |
Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 4/16/25 (f)(g)(v) | 3,841,990 | 3,775,716 | |
STG-Fairway Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 1/31/27 (f)(g)(v) | 665,216 | 658,923 | |
UKG, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9586% 5/4/26 (f)(g)(v) | 2,907,638 | 2,884,145 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 5/3/26 (f)(g)(v) | 5,728,475 | 5,685,511 | |
2LN, term loan 1 month U.S. LIBOR + 5.250% 5.75% 5/3/27 (f)(g)(v) | 2,665,000 | 2,651,249 | |
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.2086% 2/28/27 (f)(g)(v) | 2,028,863 | 2,006,038 | |
93,027,398 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Seattle Spinco, Inc.: | |||
Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 4.5% 1/14/27 (f)(g)(v) | 3,500,000 | 3,447,500 | |
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.750% 2.855% 6/21/24 (f)(g)(v) | 5,479,473 | 5,308,240 | |
8,755,740 | |||
TOTAL INFORMATION TECHNOLOGY | 171,798,533 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.2% | |||
ARC Falcon I, Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 9/30/28 (f)(g)(v) | 1,007,866 | 988,132 | |
Tranche B 2LN, term loan 1 month U.S. LIBOR + 7.000% 7.5% 9/22/29 (f)(g)(v) | 345,000 | 336,375 | |
Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.750% 9/30/28 (g)(v)(x) | 147,134 | 144,253 | |
Aruba Investment Holdings LLC: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 8.5% 11/24/28 (f)(g)(v) | 290,000 | 288,550 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 11/24/27 (f)(g)(v) | 1,730,239 | 1,717,262 | |
ASP Chromaflo Dutch I BV Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 11/18/23 (f)(g)(v) | 350,823 | 349,069 | |
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 11/18/23 (f)(g)(v) | 245,452 | 244,225 | |
Bakelite U.S. Holding Ltd. 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 2/2/29 (g)(v)(w) | 890,000 | 883,325 | |
Consolidated Energy Finance SA: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.0287% 5/7/25 (c)(f)(g)(v) | 3,254,000 | 3,188,920 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.964% 5/7/25 (f)(g)(v) | 1,751,028 | 1,654,721 | |
Element Solutions, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.105% 1/31/26 (f)(g)(v) | 727,627 | 725,938 | |
Herens U.S. Holdco Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 7/3/28 (f)(g)(v) | 1,119,375 | 1,111,327 | |
INEOS U.S. Petrochem LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 1/20/26 (f)(g)(v) | 3,626,775 | 3,583,725 | |
Luxembourg Investment Co. 428 SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.5% 1/3/29 (f)(g)(v) | 770,000 | 765,188 | |
Manchester Acquisition Sub LLC Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.750% 6.5% 12/1/26 (c)(f)(g)(v) | 605,000 | 586,850 | |
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.7238% 3/1/26 (f)(g)(v) | 1,528,526 | 1,510,535 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 11/9/28 (f)(g)(v) | 3,375,000 | 3,326,063 | |
Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.250% 3.375% 10/11/24 (f)(g)(v) | 1,016,130 | 1,003,937 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1872% 10/1/25 (f)(g)(v) | 4,176,343 | 4,121,006 | |
The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.96% 4/3/25 (f)(g)(v) | 1,904,681 | 1,865,406 | |
28,394,807 | |||
Construction Materials - 0.0% | |||
VM Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.6041% 3/27/28 (f)(g)(v) | 2,137,174 | 2,122,214 | |
White Capital Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.25% 10/19/27 (f)(g)(v) | 1,634,313 | 1,617,201 | |
3,739,415 | |||
Containers & Packaging - 0.1% | |||
AOT Packaging Products AcquisitionCo LLC 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 3/3/28 (f)(g)(v) | 2,255,462 | 2,217,412 | |
Berlin Packaging, LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 3/11/28 (f)(g)(v) | 1,571,063 | 1,559,280 | |
Berry Global, Inc. Tranche Z 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8757% 7/1/26 (f)(g)(v) | 2,530,575 | 2,484,721 | |
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 3.3563% 4/3/24 (f)(g)(v) | 346,218 | 339,996 | |
Canister International Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.9586% 12/21/26 (f)(g)(v) | 2,038,688 | 2,023,397 | |
Charter NEX U.S., Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.5% 12/1/27 (f)(g)(v) | 2,081,487 | 2,070,331 | |
Flex Acquisition Co., Inc. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.000% 3.2144% 6/29/25 (f)(g)(v) | 4,481,912 | 4,455,917 | |
3 month U.S. LIBOR + 3.500% 4% 3/2/28 (f)(g)(v) | 2,000,069 | 1,991,729 | |
Graham Packaging Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.75% 8/4/27 (f)(g)(v) | 2,557,185 | 2,529,132 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 2/9/26 (f)(g)(v) | 1,076,863 | 1,006,866 | |
Pixelle Specialty Solutions LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 10/31/24 (f)(g)(v) | 1,236,716 | 1,226,154 | |
Pregis TopCo Corp. 1LN, term loan: | |||
1 month U.S. LIBOR + 4.000% 4.5% 8/1/26 (f)(g)(v) | 748,125 | 744,384 | |
3 month U.S. LIBOR + 4.000% 4.2086% 7/31/26 (f)(g)(v) | 735,000 | 730,406 | |
Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 7/26/23 (f)(g)(v) | 569,482 | 565,923 | |
Reynolds Consumer Products LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.9586% 1/30/27 (f)(g)(v) | 2,260,881 | 2,225,701 | |
Reynolds Group Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 9/24/28 (f)(g)(v) | 1,546,125 | 1,525,933 | |
27,697,282 | |||
Metals & Mining - 0.0% | |||
Atkore International, Inc. Tranche B1LN, term loan 1 month U.S. LIBOR + 2.000% 2.5625% 5/26/28 (f)(g)(v) | 1,016,425 | 1,008,487 | |
Tiger Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/1/28 (f)(g)(v) | 995,000 | 965,777 | |
1,974,264 | |||
Paper & Forest Products - 0.0% | |||
Journey Personal Care Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 3/1/28 (f)(g)(v) | 623,434 | 592,262 | |
Neenah, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 4/6/28 (f)(g)(v) | 845,750 | 833,064 | |
1,425,326 | |||
TOTAL MATERIALS | 63,231,094 | ||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 8/21/25 (f)(g)(v) | 4,413,228 | 4,370,949 | |
Lightstone Holdco LLC: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 1/30/24 (f)(g)(v) | 1,901,265 | 1,580,236 | |
Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 1/30/24 (f)(g)(v) | 107,234 | 89,128 | |
6,040,313 | |||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 8/1/25 (f)(g)(v) | 5,807,098 | 5,712,733 | |
ExGen Renewables IV, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.5% 12/15/27 (f)(g)(v) | 992,159 | 987,734 | |
Granite Generation LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 11/1/26 (f)(g)(v) | 681,268 | 647,204 | |
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (f)(g)(v) | 4,274,279 | 4,187,725 | |
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.9411% 12/31/25 (f)(g)(v) | 2,774,747 | 2,722,443 | |
14,257,839 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Esdec Solar Group BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 8/27/28 (c)(f)(g)(v) | 908,500 | 894,873 | |
Granite Acquisition, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 3/25/28 (f)(g)(v) | 746,250 | 737,482 | |
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 3.625% 11/14/25 (f)(g)(v) | 970,000 | 953,025 | |
2,585,380 | |||
TOTAL UTILITIES | 16,843,219 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $1,034,436,395) | 1,024,779,974 | ||
Bank Notes - 0.1% | |||
Discover Bank 4.682% 8/9/28 (f) | 5,039,000 | 5,165,734 | |
KeyBank NA 6.95% 2/1/28 | 718,000 | 867,582 | |
Regions Bank 6.45% 6/26/37 | 8,935,000 | 11,684,730 | |
TOTAL BANK NOTES | |||
(Cost $16,001,339) | 17,718,046 | ||
Shares | Value | ||
Fixed-Income Funds - 0.1% | |||
iShares iBoxx $ High Yield Corporate Bond ETF (l) | |||
(Cost $18,029,002) | 208,600 | 17,453,562 | |
Principal Amount | Value | ||
Preferred Securities - 0.8% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
CAS Capital No 1 Ltd. 4% (Reg. S) (f)(i) | 1,000,000 | 952,984 | |
Telefonica Europe BV: | |||
2.625% (Reg. S) (f)(i) | EUR | 2,400,000 | 2,759,491 |
3.875% (Reg. S) (f)(i) | EUR | 1,900,000 | 2,155,910 |
5,868,385 | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen International Finance NV: | |||
3.375% (Reg. S) (f)(i) | EUR | 200,000 | 232,735 |
3.875% (Reg. S) (f)(i) | EUR | 7,300,000 | 8,392,177 |
4.625% (Reg. S) (f)(i) | EUR | 5,150,000 | 6,342,270 |
14,967,182 | |||
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (i) | 2,406,000 | 2,423,592 | |
Danone SA 1.75% (Reg. S) (f)(i) | EUR | 2,300,000 | 2,616,357 |
5,039,949 | |||
Tobacco - 0.1% | |||
British American Tobacco PLC 3% (Reg. S) (f)(i) | EUR | 7,800,000 | 7,960,909 |
TOTAL CONSUMER STAPLES | 13,000,858 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Gazprom PJSC Via Gaz Finance PLC 4.5985% (d)(f)(i) | 910,000 | 185,930 | |
FINANCIALS - 0.3% | |||
Banks - 0.2% | |||
AIB Group PLC 6.25% (Reg. S) (f)(i) | EUR | 1,780,000 | 2,098,554 |
Alfa Bond Issuance PLC 6.95% (Reg. S) (f)(i) | 200,000 | 41,132 | |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (f)(i) | EUR | 1,800,000 | 2,085,749 |
Banco Do Brasil SA 6.25% (d)(f)(i) | 805,000 | 797,777 | |
Banco Mercantil del Norte SA: | |||
6.75% (d)(f)(i) | 505,000 | 503,580 | |
6.875% (d)(f)(i) | 1,365,000 | 1,363,038 | |
7.625% (d)(f)(i) | 352,000 | 347,226 | |
Bank of Nova Scotia: | |||
4.65% (f)(i) | 2,677,000 | 2,608,428 | |
4.9% (f)(i) | 1,100,000 | 1,130,931 | |
Barclays Bank PLC 7.625% 11/21/22 | 3,345,000 | 3,537,928 | |
Barclays PLC: | |||
5.875% (Reg. S) (f)(i) | GBP | 1,000,000 | 1,349,526 |
7.125% (f)(i) | GBP | 250,000 | 352,927 |
BBVA Bancomer SA Texas Branch: | |||
5.125% 1/18/33 (d)(f) | 485,000 | 466,249 | |
5.35% 11/12/29 (d)(f) | 265,000 | 267,331 | |
BNP Paribas SA 6.625% (Reg. S) (f)(i) | 2,230,000 | 2,371,304 | |
Emirates NBD Bank PJSC 6.125% (Reg. S) (f)(i) | 730,000 | 770,998 | |
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (f)(i) | 200,000 | 213,851 | |
HSBC Holdings PLC 6.375% (f)(i) | 3,050,000 | 3,223,142 | |
Itau Unibanco Holding SA 6.125% (d)(f)(i) | 1,140,000 | 1,139,060 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 3.320% 3.5344% (f)(g)(i) | 340,000 | 338,928 | |
3 month U.S. LIBOR + 3.470% 3.769% (f)(g)(i) | 345,000 | 344,322 | |
Lloyds Banking Group PLC 5.125% (f)(i) | GBP | 220,000 | 291,325 |
NBK Tier 1 Financing 2 Ltd. 4.5% (d)(f)(i) | 650,000 | 650,121 | |
NBK Tier 1 Ltd. 3.625% (d)(f)(i) | 340,000 | 325,933 | |
Societe Generale 7.875% (Reg. S) (f)(i) | 900,000 | 958,089 | |
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (f)(g)(i) | EUR | 1,545,650 | 2,107,738 |
Tinkoff Credit Systems 6% (d)(f)(i) | 390,000 | 121,615 | |
29,806,802 | |||
Capital Markets - 0.0% | |||
Credit Suisse Group AG 7.5% (Reg. S) (f)(i) | 7,755,000 | 8,247,996 | |
UBS Group AG 7% (Reg. S) (f)(i) | 644,000 | 685,485 | |
8,933,481 | |||
Insurance - 0.1% | |||
Aviva PLC 6.125% (f)(i) | GBP | 3,170,000 | 4,401,244 |
QBE Insurance Group Ltd.: | |||
5.25% (Reg. S) (f)(i) | 3,194,000 | 3,253,053 | |
5.875% (d)(f)(i) | 2,110,000 | 2,213,263 | |
9,867,560 | |||
TOTAL FINANCIALS | 48,607,843 | ||
HEALTH CARE - 0.0% | |||
Pharmaceuticals - 0.0% | |||
Bayer AG 2.375% 11/12/79 (Reg. S) (f) | EUR | 8,200,000 | 9,013,905 |
INDUSTRIALS - 0.0% | |||
Marine - 0.0% | |||
DP World Salaam 6% (Reg. S) (f)(i) | 815,000 | 858,865 | |
Road & Rail - 0.0% | |||
National Express Group PLC 4.25% (Reg. S) (f)(i) | GBP | 760,000 | 994,917 |
Trading Companies & Distributors - 0.0% | |||
AerCap Holdings NV 5.875% 10/10/79 (f) | 3,500,000 | 3,527,151 | |
TOTAL INDUSTRIALS | 5,380,933 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
Network i2i Ltd.: | |||
3.975% (d)(f)(i) | 350,000 | 336,367 | |
5.65% (d)(f)(i) | 380,000 | 389,935 | |
726,302 | |||
MATERIALS - 0.0% | |||
Construction Materials - 0.0% | |||
CEMEX S.A.B. de CV 5.125% (d)(f)(i) | 855,000 | 837,587 | |
REAL ESTATE - 0.2% | |||
Real Estate Management & Development - 0.2% | |||
Aroundtown SA 3.375% (Reg. S) (f)(i) | EUR | 4,100,000 | 4,516,849 |
AT Securities BV 5.25% (Reg. S) (f)(i) | 5,250,000 | 5,411,991 | |
Citycon Oyj 4.496% (Reg. S) (f)(i) | EUR | 1,250,000 | 1,283,007 |
CPI Property Group SA 3.75% (Reg. S) (f)(i) | EUR | 3,400,000 | 3,239,629 |
Grand City Properties SA 1.5% (Reg. S) (f)(i) | EUR | 5,300,000 | 5,297,900 |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (f)(i) | EUR | 5,790,000 | 6,081,376 |
3.625% (Reg. S) (f)(i) | EUR | 310,000 | 320,960 |
MAF Global Securities Ltd. 5.5% (Reg. S) (f)(i) | 795,000 | 808,088 | |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (f)(i) | EUR | 2,605,000 | 2,574,310 |
29,534,110 | |||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
EDF SA 5.25% (Reg. S) (f)(i) | 9,240,000 | 9,246,892 | |
Enel SpA 2.5% (Reg. S) (f)(i) | EUR | 3,760,000 | 4,304,733 |
SSE PLC 3.74% (Reg. S) (f)(i) | GBP | 1,650,000 | 2,197,741 |
15,749,366 | |||
Multi-Utilities - 0.0% | |||
Veolia Environnement SA 2% (Reg. S) (f)(i) | EUR | 3,500,000 | 3,632,410 |
TOTAL UTILITIES | 19,381,776 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $157,978,503) | 147,504,811 | ||
Shares | Value | ||
Money Market Funds - 4.8% | |||
Fidelity Cash Central Fund 0.07% (y) | 758,308,246 | 758,459,908 | |
Fidelity Securities Lending Cash Central Fund 0.07% (y)(z) | 140,963,054 | 140,977,150 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $899,434,861) | 899,437,058 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 3.75% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2022, paying 5% quarterly. | 5/18/22 | EUR 29,500,000 | $561,348 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $622,117) | 561,348 | |||
TOTAL INVESTMENT IN SECURITIES - 104.4% | ||||
(Cost $19,585,479,422) | 19,357,146,744 | |||
NET OTHER ASSETS (LIABILITIES) - (4.4)% | (818,607,389) | |||
NET ASSETS - 100% | $18,538,539,355 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 3/1/52 | $(3,800,000) | $(3,714,263) |
2.5% 3/1/52 | (7,200,000) | (7,194,812) |
3% 3/1/52 | (6,500,000) | (6,606,513) |
3% 3/1/52 | (6,500,000) | (6,606,513) |
3.5% 3/1/52 | (4,000,000) | (4,127,399) |
3.5% 3/1/52 | (4,600,000) | (4,746,509) |
TOTAL GINNIE MAE | (32,996,009) | |
Uniform Mortgage Backed Securities | ||
1.5% 3/1/37 | (5,200,000) | (5,060,250) |
1.5% 3/1/37 | (5,250,000) | (5,108,906) |
1.5% 3/1/37 | (5,200,000) | (5,060,250) |
1.5% 3/1/37 | (4,200,000) | (4,087,125) |
2% 3/1/37 | (13,400,000) | (13,297,407) |
2% 3/1/52 | (18,650,000) | (17,879,451) |
2% 3/1/52 | (1,100,000) | (1,054,552) |
2% 3/1/52 | (13,750,000) | (13,181,901) |
2% 3/1/52 | (11,600,000) | (11,120,731) |
2% 3/1/52 | (1,550,000) | (1,485,960) |
2% 3/1/52 | (3,550,000) | (3,403,327) |
2.5% 3/1/52 | (17,000,000) | (16,768,902) |
2.5% 3/1/52 | (21,650,000) | (21,355,690) |
3% 3/1/52 | (4,225,000) | (4,266,263) |
3% 3/1/52 | (4,225,000) | (4,266,263) |
3% 3/1/52 | (8,450,000) | (8,532,526) |
3% 3/1/52 | (6,350,000) | (6,412,017) |
3% 3/1/52 | (10,250,000) | (10,350,106) |
3% 3/1/52 | (3,300,000) | (3,332,229) |
3% 3/1/52 | (2,700,000) | (2,726,369) |
3% 3/1/52 | (2,950,000) | (2,978,811) |
3.5% 3/1/52 | (16,700,000) | (17,200,997) |
3.5% 3/1/52 | (8,150,000) | (8,394,498) |
3.5% 3/1/52 | (6,300,000) | (6,488,998) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (193,813,529) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $226,311,160) | $(226,809,538) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Bond Index Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 29 | March 2022 | $2,833,569 | $(104,197) | $(104,197) |
Eurex Euro-Bund Contracts (Germany) | 80 | March 2022 | 14,983,488 | (603,500) | (603,500) |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 53 | March 2022 | 11,753,324 | (1,049,720) | (1,049,720) |
TME 10 Year Canadian Note Contracts (Canada) | 155 | June 2022 | 16,713,097 | 51,129 | 51,129 |
TOTAL BOND INDEX CONTRACTS | (1,706,288) | ||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 225 | June 2022 | 48,425,977 | 137,908 | 137,908 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 316 | June 2022 | 37,376,875 | 229,748 | 229,748 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 177 | June 2022 | 25,015,078 | 246,727 | 246,727 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 146 | June 2022 | 27,146,875 | 279,130 | 279,130 |
TOTAL TREASURY CONTRACTS | 893,513 | ||||
TOTAL PURCHASED | (812,775) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 79 | March 2022 | 11,679,994 | 196,658 | 196,658 |
ICE Long Gilt Contracts (United Kingdom) | 79 | June 2022 | 13,043,834 | 4,131 | 4,131 |
TOTAL BOND INDEX CONTRACTS | 200,789 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 36 | June 2022 | 4,587,750 | (25,937) | (25,937) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 134 | June 2022 | 15,849,688 | (101,545) | (101,545) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 416 | June 2022 | 65,182,000 | (857,239) | (857,239) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 11 | June 2022 | 2,045,313 | (20,907) | (20,907) |
TOTAL TREASURY CONTRACTS | (1,005,628) | ||||
TOTAL SOLD | (804,839) | ||||
TOTAL FUTURES CONTRACTS | $(1,617,614) |
The notional amount of futures purchased as a percentage of Net Assets is 1.0%
The notional amount of futures sold as a percentage of Net Assets is 0.6%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 67,055 | GBP | 50,000 | State Street Bank And Trust Co | 3/1/22 | $(20) |
USD | 56,165 | EUR | 50,000 | BNP Paribas | 3/2/22 | 103 |
EUR | 4,467,000 | USD | 5,031,405 | BNP Paribas | 5/12/22 | (8,902) |
EUR | 426,000 | USD | 483,923 | Bank Of America NA | 5/12/22 | (4,947) |
GBP | 512,000 | USD | 687,053 | Goldman Sachs Bank USA | 5/12/22 | (160) |
GBP | 220,000 | USD | 294,970 | State Street Bank And Trust Co | 5/12/22 | 180 |
USD | 193,193 | AUD | 270,000 | HSBC Bank USA | 5/12/22 | (3,115) |
USD | 392,112 | CAD | 500,000 | Royal Bank Of Canada | 5/12/22 | (2,429) |
USD | 479,834 | EUR | 425,000 | BNP Paribas | 5/12/22 | 1,982 |
USD | 339,574 | EUR | 298,000 | Citibank NA | 5/12/22 | 4,515 |
USD | 214,415,298 | EUR | 188,276,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 2,725,815 |
USD | 206,420 | EUR | 182,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 1,787 |
USD | 807,401 | EUR | 723,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (5,509) |
USD | 182,010 | GBP | 134,000 | Bank Of America NA | 5/12/22 | 2,237 |
USD | 94,936,602 | GBP | 70,168,000 | Goldman Sachs Bank USA | 5/12/22 | 800,083 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $3,511,620 | |||||
Unrealized Appreciation | 3,536,702 | |||||
Unrealized Depreciation | (25,082) |
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 | ||||||||
Barclays PLC | Jun. 2027 | BNP Paribas SA | (1%) | Quarterly | EUR 3,300,000 | $(40,949) | $69,398 | $28,449 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 44,490,000 | 67,660 | (590) | 67,070 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,140,000 | 3,255 | (16,051) | (12,796) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,850,000 | 20,293 | 17,427 | 37,720 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 360,000 | 1,897 | 2,088 | 3,985 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,420,000 | 7,485 | (1,770) | 5,715 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 440,000 | 2,319 | 2,294 | 4,613 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 480,000 | 2,530 | 2,611 | 5,141 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,500,000 | 13,577 | (13,681) | (104) |
Daimler AG | Dec. 2026 | Citibank, N.A. | (1%) | Quarterly | EUR 4,100,000 | (80,831) | 103,832 | 23,001 |
Intesa Sanpaolo SpA | Dec. 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR 4,100,000 | (32,220) | 101,480 | 69,260 |
Shell International Finance BV | Dec. 2026 | Citibank, N.A. | (1%) | Quarterly | EUR 4,100,000 | (131,655) | 144,129 | 12,474 |
TOTAL CREDIT DEFAULT SWAPS | $(166,639) | $411,167 | $244,528 | |||||
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 | |||||||||
0.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2024 | $8,544,000 | $(97,242) | $0 | $(97,242) |
1% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2027 | 14,657,000 | (282,257) | 0 | (282,257) |
1.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2032 | 220,000 | (6,730) | 0 | (6,730) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Mar. 2052 | 856,000 | (55,524) | 0 | (55,524) |
TOTAL INTEREST RATE SWAPS | $(441,753) | $0 | $(441,753) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
EUR – European Monetary Unit
GBP – British pound sterling
USD – U.S. dollar
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $7,219,411 or 0.0% of net assets.
(c) Level 3 security
(d) 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 $3,621,037,910 or 19.5% of net assets.
(e) Non-income producing - Security is in default.
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(h) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(i) Security is perpetual in nature with no stated maturity date.
(j) 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 $5,427,098.
(k) 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 $5,328,422.
(l) Security or a portion of the security is on loan at period end.
(m) A portion of the security sold on a delayed delivery basis.
(n) 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 $503,342.
(o) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(p) 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.
(q) 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.
(r) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(s) 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.
(t) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $585,391.
(u) Non-income producing
(v) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(w) The coupon rate will be determined upon settlement of the loan after period end.
(x) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,962,877 and $1,934,714, respectively.
(y) 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.
(z) Investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Chesapeake Energy Corp. | 2/10/21 | $3,324 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 1/18/22 | $521,057 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/5/20 - 1/18/22 | $899,094 |
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 0.07% | $1,204,129,367 | $3,578,426,889 | $4,024,096,348 | $363,042 | $-- | $-- | $758,459,908 | 1.4% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 2,803,131,097 | 2,662,153,947 | 195,118 | -- | -- | 140,977,150 | 0.4% |
Total | $1,204,129,367 | $6,381,557,986 | $6,686,250,295 | $558,160 | $-- | $-- | $899,437,058 |
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 February 28, 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: | ||||
Equities: | ||||
Communication Services | $885,240 | $869,312 | $15,928 | $-- |
Consumer Discretionary | 2,047,023 | 1,363,878 | -- | 683,145 |
Energy | 15,975,519 | 9,821,186 | -- | 6,154,333 |
Financials | 3,577,934 | 2,511,196 | -- | 1,066,738 |
Industrials | 423,688 | -- | -- | 423,688 |
Information Technology | 163,660 | -- | -- | 163,660 |
Real Estate | 3,699,508 | 3,396,224 | 303,284 | -- |
Corporate Bonds | 5,892,776,221 | -- | 5,885,103,183 | 7,673,038 |
U.S. Government and Government Agency Obligations | 6,943,018,490 | -- | 6,943,018,490 | -- |
U.S. Government Agency - Mortgage Securities | 2,142,424,511 | -- | 2,142,424,511 | -- |
Asset-Backed Securities | 977,671,637 | -- | 977,665,567 | 6,070 |
Collateralized Mortgage Obligations | 156,954,163 | -- | 156,953,862 | 301 |
Commercial Mortgage Securities | 740,880,700 | -- | 737,394,436 | 3,486,264 |
Municipal Securities | 103,684,226 | -- | 103,684,226 | -- |
Foreign Government and Government Agency Obligations | 250,096,328 | -- | 250,096,328 | -- |
Supranational Obligations | 15,413,097 | -- | 15,413,097 | -- |
Bank Loan Obligations | 1,024,779,974 | -- | 999,946,279 | 24,833,695 |
Bank Notes | 17,718,046 | -- | 17,718,046 | -- |
Fixed-Income Funds | 17,453,562 | 17,453,562 | -- | -- |
Preferred Securities | 147,504,811 | -- | 147,504,811 | -- |
Money Market Funds | 899,437,058 | 899,437,058 | -- | -- |
Purchased Swaptions | 561,348 | -- | 561,348 | -- |
Total Investments in Securities: | $19,357,146,744 | $934,852,416 | $18,377,803,396 | $44,490,932 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,145,431 | $1,145,431 | $-- | $-- |
Forward Foreign Currency Contracts | 3,536,702 | -- | 3,536,702 | -- |
Swaps | 119,016 | -- | 119,016 | -- |
Total Assets | $4,801,149 | $1,145,431 | $3,655,718 | $-- |
Liabilities | ||||
Futures Contracts | $(2,763,045) | $(2,763,045) | $-- | $-- |
Forward Foreign Currency Contracts | (25,082) | -- | (25,082) | -- |
Swaps | (727,408) | -- | (727,408) | -- |
Total Liabilities | $(3,515,535) | $(2,763,045) | $(752,490) | $-- |
Total Derivative Instruments: | $1,285,614 | $(1,617,614) | $2,903,228 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(226,809,538) | $-- | $(226,809,538) | $-- |
Total Other Financial Instruments: | $(226,809,538) | $-- | $(226,809,538) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 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 | ||
Purchased Swaptions(a) | 561,348 | 0 |
Swaps(b) | $119,016 | $(285,655) |
Total Credit Risk | 680,364 | (285,655) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 3,536,702 | (25,082) |
Total Foreign Exchange Risk | 3,536,702 | (25,082) |
Interest Rate Risk | ||
Futures Contracts(d) | 1,145,431 | (2,763,045) |
Swaps(b) | 0 | (441,753) |
Total Interest Rate Risk | 1,145,431 | (3,204,798) |
Total Value of Derivatives | $5,362,497 | $(3,515,535) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.
(b) 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.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).
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d) 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).
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 | 85.8% |
Cayman Islands | 4.4% |
United Kingdom | 2.4% |
Mexico | 1.5% |
Others (Individually Less Than 1%) | 5.9% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $139,527,536) — See accompanying schedule: Unaffiliated issuers (cost $18,686,044,561) | $18,457,709,686 | |
Fidelity Central Funds (cost $899,434,861) | 899,437,058 | |
Total Investment in Securities (cost $19,585,479,422) | $19,357,146,744 | |
Foreign currency held at value (cost $1,470,906) | 1,470,325 | |
Receivable for investments sold | ||
Regular delivery | 20,881,262 | |
Delayed delivery | 22,387,135 | |
Receivable for TBA sale commitments | 226,311,160 | |
Unrealized appreciation on forward foreign currency contracts | 3,536,702 | |
Receivable for fund shares sold | 100,000,000 | |
Dividends receivable | 21,550 | |
Interest receivable | 103,686,952 | |
Distributions receivable from Fidelity Central Funds | 85,625 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 163,942 | |
Bi-lateral OTC swaps, at value | 119,016 | |
Prepaid expenses | 11,338 | |
Other receivables | 337,197 | |
Total assets | 19,836,158,948 | |
Liabilities | ||
Payable to custodian bank | $2,926,914 | |
Payable for investments purchased | ||
Regular delivery | 137,008,056 | |
Delayed delivery | 784,401,307 | |
TBA sale commitments, at value | 226,809,538 | |
Unrealized depreciation on forward foreign currency contracts | 25,082 | |
Payable for swaps | 13,681 | |
Distributions payable | 2,998 | |
Bi-lateral OTC swaps, at value | 285,655 | |
Accrued management fee | 4,534,590 | |
Payable for daily variation margin on futures contracts | 314,952 | |
Other payables and accrued expenses | 319,670 | |
Collateral on securities loaned | 140,977,150 | |
Total liabilities | 1,297,619,593 | |
Net Assets | $18,538,539,355 | |
Net Assets consist of: | ||
Paid in capital | $18,688,297,858 | |
Total accumulated earnings (loss) | (149,758,503) | |
Net Assets | $18,538,539,355 | |
Net Asset Value, offering price and redemption price per share ($18,538,539,355 ÷ 1,835,974,488 shares) | $10.10 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $3,150,588 | |
Interest | 240,233,371 | |
Income from Fidelity Central Funds (including $195,118 from security lending) | 558,160 | |
Total income | 243,942,119 | |
Expenses | ||
Management fee | $27,177,393 | |
Custodian fees and expenses | 9,371 | |
Independent trustees' fees and expenses | 30,368 | |
Registration fees | (30,353) | |
Audit | 67,811 | |
Legal | 44,483 | |
Miscellaneous | 38,329 | |
Total expenses before reductions | 27,337,402 | |
Expense reductions | (153,537) | |
Total expenses after reductions | 27,183,865 | |
Net investment income (loss) | 216,758,254 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 107,318,779 | |
Forward foreign currency contracts | 13,679,705 | |
Foreign currency transactions | (254,247) | |
Futures contracts | 2,045,595 | |
Swaps | (506,808) | |
Written options | (31,000) | |
Total net realized gain (loss) | 122,252,024 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,006,847,722) | |
Forward foreign currency contracts | 1,302,833 | |
Assets and liabilities in foreign currencies | (48,191) | |
Futures contracts | (1,448,548) | |
Swaps | 202,629 | |
Written options | 42,604 | |
TBA sale commitments | 32,909 | |
Total change in net unrealized appreciation (depreciation) | (1,006,763,486) | |
Net gain (loss) | (884,511,462) | |
Net increase (decrease) in net assets resulting from operations | $(667,753,208) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $216,758,254 | $443,627,448 |
Net realized gain (loss) | 122,252,024 | 70,075,449 |
Change in net unrealized appreciation (depreciation) | (1,006,763,486) | (33,346,388) |
Net increase (decrease) in net assets resulting from operations | (667,753,208) | 480,356,509 |
Distributions to shareholders | (351,454,548) | (960,206,237) |
Share transactions | ||
Proceeds from sales of shares | 1,375,089,731 | 1,625,034,189 |
Reinvestment of distributions | 351,454,548 | 960,203,260 |
Cost of shares redeemed | (75,008,403) | (410,911,619) |
Net increase (decrease) in net assets resulting from share transactions | 1,651,535,876 | 2,174,325,830 |
Total increase (decrease) in net assets | 632,328,120 | 1,694,476,102 |
Net Assets | ||
Beginning of period | 17,906,211,235 | 16,211,735,133 |
End of period | $18,538,539,355 | $17,906,211,235 |
Other Information | ||
Shares | ||
Sold | 131,748,191 | 153,061,180 |
Issued in reinvestment of distributions | 33,691,857 | 90,392,609 |
Redeemed | (7,332,203) | (38,499,819) |
Net increase (decrease) | 158,107,845 | 204,953,970 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Total Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||
2022 | 2021 | 2020 | 2019 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $10.67 | $11.01 | $10.76 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .123 | .283 | .328 | .317 |
Net realized and unrealized gain (loss) | (.493) | .011 | .414 | .734 |
Total from investment operations | (.370) | .294 | .742 | 1.051 |
Distributions from net investment income | (.130) | (.263) | (.317) | (.289) |
Distributions from net realized gain | (.070) | (.371) | (.175) | (.002) |
Total distributions | (.200) | (.634) | (.492) | (.291) |
Net asset value, end of period | $10.10 | $10.67 | $11.01 | $10.76 |
Total ReturnD,E | (3.51)% | 2.81% | 7.16% | 10.67% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .30%H | .30% | .31% | .42%H |
Expenses net of fee waivers, if any | .30%H | .30% | .31% | .36%H |
Expenses net of all reductions | .30%H | .30% | .31% | .36%H |
Net investment income (loss) | 2.38%H | 2.66% | 3.08% | 3.63%H |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $18,538,539 | $17,906,211 | $16,211,735 | $14,123,236 |
Portfolio turnover rateI | 117%H | 180% | 214% | 209%H,J |
A For the period October 25, 2018 (commencement of operations) through August 31, 2019.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
1. Organization.
Fidelity SAI Total Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2022 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.
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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps, futures and options transactions, foreign currency transactions, market discount, certain conversion ratio and losses deferred due to wash sales and futures contracts.
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 | $362,692,548 |
Gross unrealized depreciation | (550,519,963) |
Net unrealized appreciation (depreciation) | $(187,827,415) |
Tax cost | $19,546,614,315 |
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.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments 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, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
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. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and 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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Purchased Options | $(367,134) | $ 690,358 |
Swaps | (276,223) | 943,541 |
Total Credit Risk | (643,357) | 1,633,899 |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 13,679,705 | 1,302,833 |
Total Foreign Exchange Risk | 13,679,705 | 1,302,833 |
Interest Rate Risk | ||
Futures Contracts | 2,045,595 | (1,448,548) |
Swaps | (230,585) | (740,912) |
Written Options | (31,000) | 42,604 |
Total Interest Rate Risk | 1,784,010 | (2,146,856) |
Totals | $14,820,358 | $789,876 |
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.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A 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 SAI Total Bond Fund | 5,944,522,559 | 5,903,190,350 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Fidelity SAI Total Bond Fund | $83 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity SAI Total Bond Fund | 7,495 | – | – |
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI Total Bond Fund | $14,219 |
8. 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 SAI Total Bond Fund | $21,126 | $7,583 | $– |
9. 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 $1,628.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $151,909.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Core Income Fund | Strategic Advisers Fidelity Core Income Fund | |
Fidelity SAI Total Bond Fund | 33% | 67% |
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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity SAI Total Bond Fund | .30% | |||
Actual | $1,000.00 | $964.90 | $1.46 | |
Hypothetical-C | $1,000.00 | $1,023.31 | $1.51 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Total Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in September 2020.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-year period. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
STB-SANN-0422
1.9887628.103
Fidelity® Series Bond Index Fund
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 69.3% | |
AAA | 3.5% | |
AA | 2.5% | |
A | 12.7% | |
BBB | 11.6% | |
BB and Below | 0.5% | |
Short-Term Investments and Net Other Assets* | (0.1)% |
* Short-Term Investments and Net Other Assets (Liabilities) 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.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 25.9% | |
U.S. Government and U.S. Government Agency Obligations | 69.3% | |
Asset-Backed Securities | 0.3% | |
CMOs and Other Mortgage Related Securities | 0.8% | |
Municipal Bonds | 0.6% | |
Other Investments | 3.2% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (0.1)% |
* Foreign investments - 7.1%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 25.9% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.1% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc.: | |||
2.25% 2/1/32 | $3,000,000 | $2,768,615 | |
2.75% 6/1/31 | 3,000,000 | 2,919,653 | |
2.95% 7/15/26 | 1,425,000 | 1,442,682 | |
3.3% 2/1/52 | 3,550,000 | 3,152,604 | |
3.5% 6/1/41 | 1,500,000 | 1,426,258 | |
3.5% 9/15/53 | 5,620,000 | 5,138,906 | |
3.55% 6/1/24 | 535,000 | 550,008 | |
3.55% 9/15/55 | 15,121,000 | 13,711,492 | |
3.6% 7/15/25 | 1,130,000 | 1,171,897 | |
3.65% 6/1/51 | 1,950,000 | 1,839,565 | |
3.65% 9/15/59 | 8,327,000 | 7,553,997 | |
3.8% 2/15/27 | 1,604,000 | 1,691,379 | |
3.85% 6/1/60 | 2,670,000 | 2,485,859 | |
4.125% 2/17/26 | 70,000 | 74,563 | |
4.3% 2/15/30 | 18,240,000 | 19,857,163 | |
4.35% 3/1/29 | 3,665,000 | 3,983,474 | |
4.35% 6/15/45 | 1,141,000 | 1,182,502 | |
4.5% 3/9/48 | 1,460,000 | 1,563,510 | |
4.65% 6/1/44 | 1,403,000 | 1,483,549 | |
5.45% 3/1/47 | 1,500,000 | 1,790,839 | |
Bell Canada 4.464% 4/1/48 | 2,540,000 | 2,773,879 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 3,618,000 | 5,101,828 | |
Deutsche Telekom International Financial BV 8.75% 6/15/30 (a) | 4,399,000 | 6,088,644 | |
Orange SA 5.5% 2/6/44 | 535,000 | 664,966 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 2,388,000 | 2,523,391 | |
4.665% 3/6/38 | 1,050,000 | 1,087,903 | |
5.213% 3/8/47 | 3,871,000 | 4,208,117 | |
5.52% 3/1/49 | 600,000 | 681,150 | |
7.045% 6/20/36 | 1,564,000 | 2,031,929 | |
Telefonica Europe BV 8.25% 9/15/30 | 1,000,000 | 1,348,729 | |
Verizon Communications, Inc.: | |||
1.5% 9/18/30 | 3,600,000 | 3,179,745 | |
1.68% 10/30/30 | 2,598,000 | 2,333,721 | |
2.355% 3/15/32 (b) | 7,035,000 | 6,568,872 | |
2.55% 3/21/31 | 4,000,000 | 3,839,633 | |
2.987% 10/30/56 | 15,553,000 | 13,260,945 | |
3.15% 3/22/30 | 6,172,000 | 6,192,380 | |
3.55% 3/22/51 | 11,000,000 | 10,653,323 | |
3.7% 3/22/61 | 1,140,000 | 1,086,593 | |
4.016% 12/3/29 | 5,000,000 | 5,365,777 | |
4.125% 3/16/27 | 1,247,000 | 1,324,530 | |
4.272% 1/15/36 | 4,327,000 | 4,714,492 | |
4.4% 11/1/34 | 673,000 | 741,949 | |
4.75% 11/1/41 | 178,000 | 199,271 | |
5.012% 4/15/49 | 205,000 | 247,890 | |
5.012% 8/21/54 | 2,238,000 | 2,667,668 | |
5.5% 3/16/47 | 572,000 | 720,430 | |
165,396,270 | |||
Entertainment - 0.1% | |||
Activision Blizzard, Inc. 2.5% 9/15/50 | 1,800,000 | 1,513,541 | |
The Walt Disney Co.: | |||
2% 9/1/29 | 77,000 | 73,501 | |
2.65% 1/13/31 | 5,000,000 | 4,951,768 | |
2.75% 9/1/49 | 4,876,000 | 4,259,665 | |
3.5% 5/13/40 | 1,000,000 | 996,176 | |
3.6% 1/13/51 | 1,000,000 | 1,011,822 | |
3.7% 10/15/25 | 1,247,000 | 1,300,009 | |
3.8% 5/13/60 | 1,000,000 | 1,031,480 | |
4.7% 3/23/50 | 2,257,000 | 2,669,100 | |
5.4% 10/1/43 | 691,000 | 863,206 | |
6.15% 3/1/37 | 705,000 | 922,797 | |
6.15% 2/15/41 | 1,872,000 | 2,508,744 | |
22,101,809 | |||
Interactive Media & Services - 0.1% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 1,400,000 | 1,326,706 | |
1.1% 8/15/30 | 2,700,000 | 2,437,063 | |
1.9% 8/15/40 | 1,792,000 | 1,502,498 | |
1.998% 8/15/26 | 410,000 | 410,517 | |
2.05% 8/15/50 | 2,700,000 | 2,178,805 | |
Baidu, Inc.: | |||
1.72% 4/9/26 | 8,500,000 | 8,146,825 | |
4.375% 5/14/24 | 1,000,000 | 1,040,750 | |
17,043,164 | |||
Media - 0.8% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.5% 6/1/41 | 5,200,000 | 4,493,283 | |
3.7% 4/1/51 | 700,000 | 587,268 | |
3.75% 2/15/28 | 3,250,000 | 3,312,861 | |
3.85% 4/1/61 | 4,200,000 | 3,488,410 | |
4.2% 3/15/28 | 1,961,000 | 2,044,925 | |
4.4% 12/1/61 | 2,040,000 | 1,817,900 | |
4.5% 2/1/24 | 14,500,000 | 15,087,663 | |
4.908% 7/23/25 | 1,423,000 | 1,508,426 | |
5.125% 7/1/49 | 2,445,000 | 2,488,695 | |
5.375% 5/1/47 | 2,900,000 | 3,060,256 | |
5.75% 4/1/48 | 933,000 | 1,031,313 | |
6.384% 10/23/35 | 2,397,000 | 2,865,022 | |
6.484% 10/23/45 | 836,000 | 998,888 | |
Comcast Corp.: | |||
1.95% 1/15/31 | 90,000 | 82,880 | |
2.35% 1/15/27 | 4,242,000 | 4,208,759 | |
2.45% 8/15/52 | 2,700,000 | 2,175,509 | |
2.65% 2/1/30 | 1,500,000 | 1,469,237 | |
2.8% 1/15/51 | 2,700,000 | 2,253,943 | |
2.887% 11/1/51 (b) | 3,321,000 | 2,880,841 | |
2.937% 11/1/56 (b) | 11,149,000 | 9,383,807 | |
2.987% 11/1/63 (b) | 6,882,000 | 5,729,904 | |
3.15% 3/1/26 | 891,000 | 918,387 | |
3.3% 2/1/27 | 5,722,000 | 5,909,314 | |
3.375% 8/15/25 | 2,442,000 | 2,517,682 | |
3.45% 2/1/50 | 2,000,000 | 1,865,863 | |
3.7% 4/15/24 | 1,848,000 | 1,914,515 | |
3.9% 3/1/38 | 2,000,000 | 2,036,263 | |
3.969% 11/1/47 | 926,000 | 941,336 | |
4% 3/1/48 | 2,139,000 | 2,189,642 | |
4.15% 10/15/28 | 60,000 | 65,034 | |
4.25% 10/15/30 | 5,000,000 | 5,499,414 | |
4.75% 3/1/44 | 2,100,000 | 2,375,576 | |
6.45% 3/15/37 | 1,000,000 | 1,319,906 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 416,000 | 420,340 | |
3.625% 5/15/30 | 3,200,000 | 3,217,630 | |
4% 9/15/55 | 1,031,000 | 936,900 | |
4.65% 5/15/50 | 2,100,000 | 2,146,762 | |
5.2% 9/20/47 | 1,497,000 | 1,600,020 | |
5.3% 5/15/49 | 800,000 | 868,283 | |
Fox Corp.: | |||
4.03% 1/25/24 | 837,000 | 867,265 | |
4.709% 1/25/29 | 1,850,000 | 2,019,159 | |
5.476% 1/25/39 | 1,478,000 | 1,723,178 | |
5.576% 1/25/49 | 1,660,000 | 1,997,214 | |
Grupo Televisa SA de CV: | |||
5% 5/13/45 | 1,100,000 | 1,190,948 | |
5.25% 5/24/49 | 2,360,000 | 2,697,480 | |
Paramount Global: | |||
3.375% 2/15/28 | 1,880,000 | 1,908,687 | |
4% 1/15/26 | 1,069,000 | 1,114,757 | |
4.2% 6/1/29 | 2,200,000 | 2,290,821 | |
4.375% 3/15/43 | 470,000 | 468,962 | |
4.6% 1/15/45 | 1,301,000 | 1,309,643 | |
4.95% 1/15/31 | 2,300,000 | 2,530,130 | |
4.95% 5/19/50 | 1,440,000 | 1,571,666 | |
5.85% 9/1/43 | 2,611,000 | 3,113,116 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 1,961,000 | 1,847,577 | |
5.875% 11/15/40 | 2,300,000 | 2,573,568 | |
6.55% 5/1/37 | 1,040,000 | 1,249,955 | |
7.3% 7/1/38 | 713,000 | 892,457 | |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 2,300,000 | 3,138,142 | |
TWDC Enterprises 18 Corp.: | |||
1.85% 7/30/26 | 911,000 | 893,841 | |
3% 7/30/46 | 802,000 | 730,093 | |
3.15% 9/17/25 | 1,688,000 | 1,735,506 | |
4.125% 6/1/44 | 1,016,000 | 1,090,488 | |
146,667,310 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV: | |||
3.625% 4/22/29 | 3,503,000 | 3,612,819 | |
4.375% 7/16/42 | 2,510,000 | 2,694,385 | |
6.125% 11/15/37 | 1,491,000 | 1,884,531 | |
Rogers Communications, Inc.: | |||
2.9% 11/15/26 | 445,000 | 450,092 | |
3.625% 12/15/25 | 356,000 | 369,748 | |
3.7% 11/15/49 | 1,300,000 | 1,162,190 | |
4.1% 10/1/23 | 1,860,000 | 1,908,478 | |
4.3% 2/15/48 | 1,850,000 | 1,839,675 | |
5.45% 10/1/43 | 1,029,000 | 1,170,249 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 2,700,000 | 2,567,962 | |
3.3% 2/15/51 | 7,500,000 | 6,539,711 | |
3.5% 4/15/25 | 4,990,000 | 5,129,820 | |
3.6% 11/15/60 | 1,200,000 | 1,049,640 | |
3.75% 4/15/27 | 5,000,000 | 5,191,496 | |
3.875% 4/15/30 | 7,550,000 | 7,807,388 | |
Vodafone Group PLC: | |||
4.375% 5/30/28 | 6,205,000 | 6,711,719 | |
5% 5/30/38 | 701,000 | 795,701 | |
5.125% 6/19/59 | 3,600,000 | 4,104,279 | |
5.25% 5/30/48 | 2,907,000 | 3,332,195 | |
58,322,078 | |||
TOTAL COMMUNICATION SERVICES | 409,530,631 | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.0% | |||
Lear Corp. 5.25% 5/15/49 | 1,120,000 | 1,256,842 | |
Automobiles - 0.3% | |||
American Honda Finance Corp.: | |||
1.2% 7/8/25 | 1,030,000 | 997,868 | |
1.8% 1/13/31 | 2,300,000 | 2,123,856 | |
2.15% 9/10/24 | 3,830,000 | 3,843,024 | |
2.3% 9/9/26 | 891,000 | 890,835 | |
3.55% 1/12/24 | 4,350,000 | 4,486,298 | |
General Motors Co.: | |||
4.2% 10/1/27 | 1,000,000 | 1,053,814 | |
4.875% 10/2/23 | 4,100,000 | 4,280,154 | |
5% 10/1/28 | 248,000 | 270,882 | |
5.15% 4/1/38 | 1,500,000 | 1,624,210 | |
5.2% 4/1/45 | 761,000 | 824,209 | |
5.95% 4/1/49 | 2,178,000 | 2,602,580 | |
6.6% 4/1/36 | 2,041,000 | 2,532,449 | |
6.75% 4/1/46 | 1,275,000 | 1,612,397 | |
General Motors Financial Co., Inc.: | |||
2.9% 2/26/25 | 1,050,000 | 1,056,012 | |
3.15% 6/30/22 | 2,000,000 | 2,010,755 | |
3.25% 1/5/23 | 1,284,000 | 1,301,145 | |
3.5% 11/7/24 | 1,000,000 | 1,024,129 | |
3.85% 1/5/28 | 1,247,000 | 1,288,114 | |
4% 1/15/25 | 2,629,000 | 2,720,882 | |
4% 10/6/26 | 656,000 | 683,616 | |
4.3% 7/13/25 | 2,210,000 | 2,302,444 | |
4.35% 1/17/27 | 1,425,000 | 1,497,540 | |
5.1% 1/17/24 | 6,462,000 | 6,777,420 | |
5.65% 1/17/29 | 3,507,000 | 3,942,373 | |
Toyota Motor Corp. 1.339% 3/25/26 | 1,700,000 | 1,642,359 | |
53,389,365 | |||
Diversified Consumer Services - 0.1% | |||
American University 3.672% 4/1/49 | 1,000,000 | 1,073,947 | |
Duke University 2.832% 10/1/55 | 850,000 | 777,649 | |
George Washington University: | |||
4.126% 9/15/48 | 3,000,000 | 3,386,339 | |
4.3% 9/15/44 | 356,000 | 410,187 | |
Ingersoll-Rand Global Holding Co. Ltd.: | |||
3.75% 8/21/28 | 829,000 | 862,738 | |
4.3% 2/21/48 | 886,000 | 948,038 | |
Massachusetts Institute of Technology: | |||
2.989% 7/1/50 | 3,250,000 | 3,229,910 | |
3.885% 7/1/2116 | 504,000 | 537,528 | |
3.959% 7/1/38 | 842,000 | 946,900 | |
Northwestern University: | |||
3.662% 12/1/57 | 2,000,000 | 2,231,210 | |
4.643% 12/1/44 | 597,000 | 727,736 | |
President and Fellows of Harvard College: | |||
3.3% 7/15/56 | 865,000 | 881,436 | |
3.619% 10/1/37 | 178,000 | 194,567 | |
Rice University 3.774% 5/15/55 | 340,000 | 388,379 | |
Trustees of Princeton Univ. 5.7% 3/1/39 | 178,000 | 238,526 | |
University Notre Dame du Lac 3.438% 2/15/45 | 593,000 | 618,205 | |
University of Chicago 3% 10/1/52 | 1,100,000 | 1,069,062 | |
University of Southern California: | |||
2.945% 10/1/51 | 5,000,000 | 4,732,381 | |
5.25% 10/1/2111 | 356,000 | 488,459 | |
23,743,197 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Expedia, Inc. 2.95% 3/15/31 | 4,240,000 | 4,066,755 | |
Marriott International, Inc.: | |||
3.5% 10/15/32 | 4,080,000 | 4,067,985 | |
5.75% 5/1/25 | 2,800,000 | 3,064,224 | |
McDonald's Corp.: | |||
3.6% 7/1/30 | 1,350,000 | 1,416,097 | |
3.625% 9/1/49 | 6,943,000 | 6,817,053 | |
3.7% 1/30/26 | 3,007,000 | 3,165,846 | |
4.45% 3/1/47 | 1,013,000 | 1,110,489 | |
4.875% 12/9/45 | 968,000 | 1,097,553 | |
6.3% 3/1/38 | 1,256,000 | 1,640,244 | |
Metropolitan Museum of Art 3.4% 7/1/45 | 535,000 | 576,602 | |
Starbucks Corp.: | |||
2.25% 3/12/30 | 2,716,000 | 2,564,816 | |
2.45% 6/15/26 | 1,782,000 | 1,788,109 | |
2.55% 11/15/30 | 1,880,000 | 1,805,547 | |
3.5% 3/1/28 | 1,000,000 | 1,044,865 | |
3.5% 11/15/50 | 1,700,000 | 1,592,103 | |
3.8% 8/15/25 | 1,239,000 | 1,297,736 | |
3.85% 10/1/23 | 335,000 | 344,535 | |
4% 11/15/28 | 2,547,000 | 2,728,503 | |
4.5% 11/15/48 | 837,000 | 907,390 | |
41,096,452 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 4,810,000 | 4,321,689 | |
3.15% 2/9/51 | 4,960,000 | 4,017,154 | |
3.6% 11/28/24 | 1,000,000 | 1,026,380 | |
4% 12/6/37 | 2,100,000 | 2,036,738 | |
Amazon.com, Inc.: | |||
0.8% 6/3/25 | 2,000,000 | 1,928,885 | |
1% 5/12/26 | 3,900,000 | 3,755,588 | |
1.5% 6/3/30 | 4,000,000 | 3,703,292 | |
2.1% 5/12/31 | 3,900,000 | 3,754,411 | |
2.4% 2/22/23 | 2,825,000 | 2,853,601 | |
2.5% 6/3/50 | 5,197,000 | 4,486,549 | |
2.8% 8/22/24 | 1,155,000 | 1,181,059 | |
3.1% 5/12/51 | 3,900,000 | 3,769,826 | |
3.15% 8/22/27 | 1,864,000 | 1,947,912 | |
3.875% 8/22/37 | 4,601,000 | 5,038,098 | |
4.05% 8/22/47 | 3,346,000 | 3,727,593 | |
4.25% 8/22/57 | 1,183,000 | 1,368,323 | |
4.8% 12/5/34 | 1,069,000 | 1,286,576 | |
eBay, Inc.: | |||
1.4% 5/10/26 | 2,926,000 | 2,800,573 | |
1.9% 3/11/25 | 6,540,000 | 6,452,920 | |
59,457,167 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3.55% 11/19/26 | 5,340,000 | 5,513,138 | |
Multiline Retail - 0.1% | |||
Dollar Tree, Inc. 4% 5/15/25 | 1,425,000 | 1,485,210 | |
Kohl's Corp.: | |||
4.25% 7/17/25 | 2,179,000 | 2,241,193 | |
9.5% 5/15/25 | 1,306,000 | 1,495,299 | |
Macy's Retail Holdings LLC: | |||
2.875% 2/15/23 | 253,000 | 252,714 | |
4.3% 2/15/43 | 846,000 | 689,490 | |
Nordstrom, Inc.: | |||
4% 3/15/27 | 804,000 | 767,820 | |
5% 1/15/44 | 1,456,000 | 1,281,280 | |
Target Corp.: | |||
2.25% 4/15/25 | 15,000,000 | 15,091,061 | |
3.9% 11/15/47 | 1,549,000 | 1,695,732 | |
4% 7/1/42 | 1,247,000 | 1,382,647 | |
26,382,446 | |||
Specialty Retail - 0.3% | |||
AutoZone, Inc.: | |||
3.125% 7/15/23 | 682,000 | 692,611 | |
3.25% 4/15/25 | 713,000 | 734,872 | |
3.75% 6/1/27 | 1,034,000 | 1,090,535 | |
Lowe's Companies, Inc.: | |||
1.3% 4/15/28 | 2,000,000 | 1,844,553 | |
1.7% 10/15/30 | 3,300,000 | 2,969,067 | |
3.65% 4/5/29 | 1,909,000 | 2,000,246 | |
3.7% 4/15/46 | 624,000 | 607,707 | |
4.05% 5/3/47 | 2,050,000 | 2,104,017 | |
4.55% 4/5/49 | 1,688,000 | 1,882,687 | |
4.65% 4/15/42 | 1,158,000 | 1,279,974 | |
5% 4/15/40 | 2,280,000 | 2,615,230 | |
5.125% 4/15/50 | 1,200,000 | 1,451,135 | |
O'Reilly Automotive, Inc. 3.85% 6/15/23 | 504,000 | 515,052 | |
The Home Depot, Inc.: | |||
1.375% 3/15/31 | 5,900,000 | 5,282,891 | |
2.375% 3/15/51 | 2,500,000 | 2,056,668 | |
2.5% 4/15/27 | 3,300,000 | 3,331,896 | |
2.8% 9/14/27 | 891,000 | 909,145 | |
2.95% 6/15/29 | 4,000,000 | 4,090,824 | |
3% 4/1/26 | 1,788,000 | 1,852,669 | |
3.125% 12/15/49 | 1,483,000 | 1,397,508 | |
3.75% 2/15/24 | 1,198,000 | 1,240,738 | |
3.9% 12/6/28 | 1,027,000 | 1,109,185 | |
3.9% 6/15/47 | 1,529,000 | 1,623,303 | |
4.2% 4/1/43 | 281,000 | 310,549 | |
4.25% 4/1/46 | 584,000 | 643,696 | |
4.5% 12/6/48 | 2,879,000 | 3,338,260 | |
4.875% 2/15/44 | 513,000 | 613,461 | |
5.875% 12/16/36 | 1,854,000 | 2,449,590 | |
5.95% 4/1/41 | 1,300,000 | 1,721,959 | |
TJX Companies, Inc. 1.6% 5/15/31 | 5,125,000 | 4,642,863 | |
56,402,891 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 10,010,000 | 10,140,006 | |
2.85% 3/27/30 | 1,110,000 | 1,128,107 | |
3.375% 11/1/46 | 802,000 | 813,322 | |
12,081,435 | |||
TOTAL CONSUMER DISCRETIONARY | 279,322,933 | ||
CONSUMER STAPLES - 1.5% | |||
Beverages - 0.5% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.7% 2/1/36 | 5,540,000 | 6,174,251 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.625% 2/1/44 | 1,025,000 | 1,118,941 | |
4.7% 2/1/36 | 868,000 | 960,750 | |
4.9% 2/1/46 | 3,240,000 | 3,624,002 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.439% 10/6/48 | 1,318,000 | 1,410,253 | |
4.6% 4/15/48 | 3,342,000 | 3,663,862 | |
4.6% 6/1/60 | 1,372,000 | 1,499,597 | |
4.95% 1/15/42 | 2,400,000 | 2,744,915 | |
5.55% 1/23/49 | 7,412,000 | 9,177,606 | |
5.8% 1/23/59 (Reg. S) | 5,127,000 | 6,571,500 | |
8.2% 1/15/39 | 499,000 | 761,961 | |
Constellation Brands, Inc.: | |||
2.875% 5/1/30 | 2,300,000 | 2,243,914 | |
3.15% 8/1/29 | 2,566,000 | 2,567,311 | |
3.5% 5/9/27 | 1,782,000 | 1,848,107 | |
3.7% 12/6/26 | 1,346,000 | 1,404,084 | |
4.5% 5/9/47 | 1,400,000 | 1,476,654 | |
Diageo Capital PLC: | |||
1.375% 9/29/25 | 2,400,000 | 2,321,057 | |
2% 4/29/30 | 2,600,000 | 2,451,450 | |
5.875% 9/30/36 | 1,300,000 | 1,701,924 | |
Dr. Pepper Snapple Group, Inc.: | |||
3.8% 5/1/50 | 2,400,000 | 2,361,098 | |
4.057% 5/25/23 | 44,000 | 45,166 | |
4.985% 5/25/38 | 2,784,000 | 3,161,489 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 3,101,000 | 3,153,683 | |
4.2% 7/15/46 | 2,358,000 | 2,344,247 | |
PepsiCo, Inc.: | |||
1.625% 5/1/30 | 3,571,000 | 3,330,508 | |
2.25% 5/2/22 | 2,139,000 | 2,141,925 | |
2.375% 10/6/26 | 1,203,000 | 1,213,539 | |
3% 10/15/27 | 45,000 | 46,463 | |
3.6% 3/1/24 | 7,300,000 | 7,546,909 | |
3.6% 8/13/42 | 535,000 | 551,070 | |
3.875% 3/19/60 | 2,400,000 | 2,678,110 | |
4% 5/2/47 | 3,200,000 | 3,534,053 | |
4.25% 10/22/44 | 1,069,000 | 1,197,013 | |
4.45% 4/14/46 | 1,034,000 | 1,222,219 | |
The Coca-Cola Co.: | |||
1.65% 6/1/30 | 1,500,000 | 1,389,185 | |
2.25% 1/5/32 | 5,370,000 | 5,179,798 | |
2.5% 6/1/40 | 1,500,000 | 1,359,504 | |
2.5% 3/15/51 | 1,500,000 | 1,285,061 | |
2.6% 6/1/50 | 1,500,000 | 1,315,872 | |
2.75% 6/1/60 | 1,500,000 | 1,308,814 | |
100,087,865 | |||
Food & Staples Retailing - 0.3% | |||
Costco Wholesale Corp. 2.75% 5/18/24 | 1,069,000 | 1,090,941 | |
Kroger Co.: | |||
1.7% 1/15/31 | 4,600,000 | 4,163,613 | |
2.65% 10/15/26 | 508,000 | 512,487 | |
3.5% 2/1/26 | 713,000 | 741,583 | |
4.45% 2/1/47 | 2,100,000 | 2,285,533 | |
5.15% 8/1/43 | 485,000 | 565,426 | |
5.4% 1/15/49 | 1,161,000 | 1,442,899 | |
Sysco Corp.: | |||
3.3% 7/15/26 | 584,000 | 600,826 | |
3.3% 2/15/50 | 2,800,000 | 2,511,986 | |
3.75% 10/1/25 | 1,016,000 | 1,060,868 | |
6.6% 4/1/40 | 2,600,000 | 3,476,719 | |
Walgreens Boots Alliance, Inc.: | |||
3.2% 4/15/30 | 2,600,000 | 2,626,854 | |
3.45% 6/1/26 | 3,591,000 | 3,724,241 | |
4.65% 6/1/46 | 980,000 | 1,057,900 | |
4.8% 11/18/44 | 1,607,000 | 1,756,712 | |
Walmart, Inc.: | |||
2.85% 7/8/24 | 4,600,000 | 4,713,392 | |
3.3% 4/22/24 | 3,387,000 | 3,496,722 | |
3.4% 6/26/23 | 68,000 | 69,723 | |
3.625% 12/15/47 | 2,215,000 | 2,378,805 | |
3.7% 6/26/28 | 2,192,000 | 2,361,349 | |
4.05% 6/29/48 | 4,969,000 | 5,627,794 | |
4.3% 4/22/44 | 1,069,000 | 1,223,689 | |
5.25% 9/1/35 | 1,540,000 | 1,964,962 | |
5.625% 4/1/40 | 356,000 | 473,772 | |
5.625% 4/15/41 | 820,000 | 1,098,490 | |
6.5% 8/15/37 | 1,475,000 | 2,120,211 | |
53,147,497 | |||
Food Products - 0.2% | |||
Archer Daniels Midland Co.: | |||
3.25% 3/27/30 | 6,980,000 | 7,236,725 | |
4.5% 3/15/49 | 1,300,000 | 1,565,966 | |
Bunge Ltd. Finance Corp. 2.75% 5/14/31 | 2,000,000 | 1,903,522 | |
Campbell Soup Co.: | |||
2.5% 8/2/22 | 846,000 | 849,878 | |
4.8% 3/15/48 | 2,496,000 | 2,805,039 | |
Conagra Brands, Inc.: | |||
3.2% 1/25/23 | 819,000 | 828,298 | |
4.3% 5/1/24 | 1,598,000 | 1,657,854 | |
4.85% 11/1/28 | 2,429,000 | 2,673,919 | |
5.3% 11/1/38 | 2,484,000 | 2,850,379 | |
5.4% 11/1/48 | 324,000 | 392,009 | |
General Mills, Inc.: | |||
3% 2/1/51 | 803,000 | 728,222 | |
3.7% 10/17/23 | 87,000 | 89,545 | |
4.2% 4/17/28 | 3,066,000 | 3,304,022 | |
Kellogg Co.: | |||
3.25% 4/1/26 | 663,000 | 680,409 | |
4.3% 5/15/28 | 1,069,000 | 1,164,588 | |
Mondelez International, Inc. 2.625% 9/4/50 | 1,900,000 | 1,605,469 | |
Tyson Foods, Inc.: | |||
3.95% 8/15/24 | 1,350,000 | 1,404,128 | |
4% 3/1/26 | 1,314,000 | 1,376,583 | |
4.35% 3/1/29 | 4,604,000 | 4,984,619 | |
5.1% 9/28/48 | 2,436,000 | 2,925,034 | |
Unilever Capital Corp.: | |||
1.375% 9/14/30 | 3,597,000 | 3,211,018 | |
2% 7/28/26 | 284,000 | 280,627 | |
3.1% 7/30/25 | 517,000 | 532,683 | |
45,050,536 | |||
Household Products - 0.2% | |||
Colgate-Palmolive Co. 3.25% 3/15/24 | 1,782,000 | 1,840,378 | |
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 3,500,000 | 3,283,754 | |
2.4% 3/1/22 | 926,000 | 926,000 | |
2.4% 6/1/23 | 1,425,000 | 1,439,744 | |
3.05% 8/15/25 | 4,000,000 | 4,130,365 | |
3.2% 4/25/29 | 5,710,000 | 5,934,866 | |
3.2% 7/30/46 | 445,000 | 432,606 | |
Procter & Gamble Co.: | |||
2.45% 11/3/26 | 3,400,000 | 3,457,717 | |
2.8% 3/25/27 | 4,860,000 | 5,000,464 | |
2.85% 8/11/27 | 802,000 | 824,600 | |
3% 3/25/30 | 8,500,000 | 8,856,809 | |
3.1% 8/15/23 | 1,782,000 | 1,822,984 | |
37,950,287 | |||
Personal Products - 0.0% | |||
Estee Lauder Companies, Inc.: | |||
1.95% 3/15/31 | 4,300,000 | 4,046,471 | |
4.15% 3/15/47 | 1,300,000 | 1,467,701 | |
5,514,172 | |||
Tobacco - 0.3% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 1,100,000 | 982,072 | |
3.4% 5/6/30 | 1,570,000 | 1,545,486 | |
3.8% 2/14/24 | 829,000 | 853,006 | |
3.875% 9/16/46 | 1,782,000 | 1,531,367 | |
4.25% 8/9/42 | 1,744,000 | 1,592,242 | |
4.8% 2/14/29 | 5,665,000 | 6,119,844 | |
5.375% 1/31/44 | 1,000,000 | 1,043,423 | |
5.8% 2/14/39 | 4,010,000 | 4,396,012 | |
5.95% 2/14/49 | 1,854,000 | 2,059,442 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 1,836,000 | 1,857,984 | |
3.462% 9/6/29 | 3,400,000 | 3,339,962 | |
3.557% 8/15/27 | 3,773,000 | 3,797,258 | |
4.54% 8/15/47 | 2,983,000 | 2,754,098 | |
4.7% 4/2/27 | 2,000,000 | 2,124,282 | |
4.758% 9/6/49 | 2,900,000 | 2,744,833 | |
4.906% 4/2/30 | 2,700,000 | 2,882,714 | |
BAT International Finance PLC 1.668% 3/25/26 | 1,000,000 | 949,674 | |
Philip Morris International, Inc.: | |||
2.125% 5/10/23 | 553,000 | 556,131 | |
2.75% 2/25/26 | 668,000 | 673,626 | |
3.375% 8/15/29 | 3,300,000 | 3,398,258 | |
3.6% 11/15/23 | 654,000 | 674,284 | |
3.875% 8/21/42 | 860,000 | 834,137 | |
4.125% 3/4/43 | 2,532,000 | 2,536,228 | |
4.875% 11/15/43 | 1,069,000 | 1,180,197 | |
6.375% 5/16/38 | 258,000 | 333,119 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 1,259,000 | 1,316,619 | |
4.85% 9/15/23 | 321,000 | 334,287 | |
5.7% 8/15/35 | 1,000,000 | 1,092,640 | |
5.85% 8/15/45 | 756,000 | 817,997 | |
7.25% 6/15/37 | 1,287,000 | 1,582,260 | |
55,903,482 | |||
TOTAL CONSUMER STAPLES | 297,653,839 | ||
ENERGY - 1.9% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co.: | |||
4.08% 12/15/47 | 4,181,000 | 4,226,681 | |
5.125% 9/15/40 | 356,000 | 403,025 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 46,000 | 48,143 | |
5% 11/15/45 | 1,344,000 | 1,494,477 | |
6.7% 9/15/38 | 2,780,000 | 3,546,326 | |
7.45% 9/15/39 | 267,000 | 364,694 | |
10,083,346 | |||
Oil, Gas & Consumable Fuels - 1.9% | |||
Apache Corp. 5.1% 9/1/40 | 535,000 | 535,054 | |
Boardwalk Pipelines LP 4.95% 12/15/24 | 846,000 | 892,563 | |
BP Capital Markets PLC: | |||
2.5% 11/6/22 | 535,000 | 539,082 | |
3.279% 9/19/27 | 670,000 | 688,881 | |
Canadian Natural Resources Ltd.: | |||
2.95% 1/15/23 | 420,000 | 424,304 | |
2.95% 7/15/30 | 4,300,000 | 4,265,165 | |
3.9% 2/1/25 | 335,000 | 347,728 | |
4.95% 6/1/47 | 1,141,000 | 1,286,474 | |
6.25% 3/15/38 | 1,221,000 | 1,494,280 | |
Cenovus Energy, Inc.: | |||
2.65% 1/15/32 | 3,000,000 | 2,786,892 | |
4.25% 4/15/27 | 1,693,000 | 1,790,322 | |
5.4% 6/15/47 | 1,676,000 | 1,885,898 | |
6.75% 11/15/39 | 1,556,000 | 1,949,775 | |
Cheniere Corpus Christi Holdings LLC 3.7% 11/15/29 | 3,730,000 | 3,800,034 | |
Chevron Corp.: | |||
1.554% 5/11/25 | 1,300,000 | 1,280,375 | |
2.236% 5/11/30 | 100,000 | 97,363 | |
2.895% 3/3/24 | 4,194,000 | 4,280,314 | |
2.954% 5/16/26 | 1,961,000 | 2,025,410 | |
2.978% 5/11/40 | 1,300,000 | 1,246,695 | |
3.078% 5/11/50 | 1,300,000 | 1,251,257 | |
Chevron U.S.A., Inc.: | |||
4.2% 10/15/49 | 1,100,000 | 1,238,835 | |
4.95% 8/15/47 | 2,459,000 | 2,950,258 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 593,000 | 628,826 | |
ConocoPhillips Co.: | |||
4.875% 10/1/47 (b) | 1,400,000 | 1,674,922 | |
4.95% 3/15/26 | 8,976,000 | 9,837,021 | |
5.95% 3/15/46 | 1,069,000 | 1,448,341 | |
6.5% 2/1/39 | 3,342,000 | 4,645,449 | |
DCP Midstream Operating LP 3.875% 3/15/23 | 673,000 | 680,571 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 4,024,000 | 4,484,576 | |
5.6% 7/15/41 | 513,000 | 599,737 | |
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 (b) | 2,300,000 | 2,248,148 | |
Enbridge, Inc.: | |||
3.4% 8/1/51 | 2,730,000 | 2,471,627 | |
3.5% 6/10/24 | 504,000 | 514,773 | |
5.5% 12/1/46 | 2,582,000 | 3,169,006 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 1,524,000 | 1,540,146 | |
3.9% 5/15/24 (a) | 1,000,000 | 1,025,697 | |
3.9% 7/15/26 | 1,340,000 | 1,387,920 | |
4.95% 6/15/28 | 1,681,000 | 1,807,892 | |
5% 5/15/44 (a) | 1,200,000 | 1,196,195 | |
5% 5/15/50 | 900,000 | 936,076 | |
5.15% 3/15/45 | 1,425,000 | 1,452,181 | |
5.25% 4/15/29 | 3,400,000 | 3,731,648 | |
5.3% 4/1/44 | 1,034,000 | 1,067,343 | |
5.4% 10/1/47 | 980,000 | 1,048,695 | |
5.5% 6/1/27 | 1,400,000 | 1,543,253 | |
5.8% 6/15/38 | 5,730,000 | 6,359,062 | |
6% 6/15/48 | 3,656,000 | 4,101,989 | |
6.25% 4/15/49 | 105,000 | 121,253 | |
Enterprise Products Operating LP: | |||
3.2% 2/15/52 | 1,100,000 | 945,492 | |
3.3% 2/15/53 | 1,300,000 | 1,139,089 | |
3.7% 2/15/26 | 316,000 | 329,955 | |
3.95% 2/15/27 | 4,613,000 | 4,861,796 | |
3.95% 1/31/60 | 2,310,000 | 2,168,412 | |
4.2% 1/31/50 | 2,500,000 | 2,512,255 | |
4.25% 2/15/48 | 5,064,000 | 5,136,555 | |
4.8% 2/1/49 | 265,000 | 288,757 | |
4.85% 8/15/42 | 445,000 | 482,706 | |
4.85% 3/15/44 | 891,000 | 971,460 | |
4.9% 5/15/46 | 763,000 | 839,377 | |
5.7% 2/15/42 | 356,000 | 423,358 | |
7.55% 4/15/38 | 356,000 | 482,866 | |
EOG Resources, Inc. 4.15% 1/15/26 | 998,000 | 1,064,294 | |
Equinor ASA: | |||
2.375% 5/22/30 | 2,880,000 | 2,804,994 | |
3.125% 4/6/30 | 3,353,000 | 3,428,430 | |
3.25% 11/18/49 | 1,250,000 | 1,194,274 | |
3.625% 9/10/28 | 2,153,000 | 2,274,278 | |
3.7% 3/1/24 | 651,000 | 673,337 | |
3.7% 4/6/50 | 3,000,000 | 3,118,415 | |
3.95% 5/15/43 | 1,000,000 | 1,053,820 | |
5.1% 8/17/40 | 356,000 | 430,610 | |
Exxon Mobil Corp.: | |||
1.571% 4/15/23 | 19,700,000 | 19,740,016 | |
2.726% 3/1/23 | 1,782,000 | 1,801,717 | |
3.043% 3/1/26 | 1,484,000 | 1,535,209 | |
3.452% 4/15/51 | 3,000,000 | 2,965,061 | |
3.482% 3/19/30 | 10,000,000 | 10,559,337 | |
3.567% 3/6/45 | 1,186,000 | 1,193,692 | |
4.227% 3/19/40 | 2,310,000 | 2,543,229 | |
Hess Corp.: | |||
3.5% 7/15/24 | 677,000 | 692,570 | |
4.3% 4/1/27 | 2,800,000 | 2,960,162 | |
5.6% 2/15/41 | 606,000 | 695,151 | |
6% 1/15/40 | 1,000,000 | 1,181,269 | |
7.125% 3/15/33 | 2,500,000 | 3,170,058 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 2,175,000 | 2,198,826 | |
3.5% 9/1/23 | 356,000 | 362,524 | |
3.95% 9/1/22 | 1,247,000 | 1,254,673 | |
4.25% 9/1/24 | 5,024,000 | 5,222,706 | |
4.7% 11/1/42 | 677,000 | 693,580 | |
5% 3/1/43 | 178,000 | 189,116 | |
5.4% 9/1/44 | 2,700,000 | 3,017,052 | |
5.5% 3/1/44 | 1,247,000 | 1,401,666 | |
5.625% 9/1/41 | 178,000 | 200,332 | |
6.55% 9/15/40 | 535,000 | 658,420 | |
Kinder Morgan, Inc.: | |||
4.3% 3/1/28 | 1,776,000 | 1,892,456 | |
5.2% 3/1/48 | 885,000 | 978,389 | |
5.3% 12/1/34 | 1,524,000 | 1,708,904 | |
5.55% 6/1/45 | 3,400,000 | 3,901,900 | |
7.8% 8/1/31 | 1,200,000 | 1,574,407 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 1,590,000 | 1,501,694 | |
4.25% 9/15/46 | 980,000 | 970,795 | |
5% 3/1/26 | 535,000 | 580,763 | |
Marathon Oil Corp.: | |||
4.4% 7/15/27 | 3,070,000 | 3,258,984 | |
5.2% 6/1/45 | 891,000 | 979,489 | |
Marathon Petroleum Corp.: | |||
4.5% 4/1/48 | 3,210,000 | 3,267,427 | |
4.7% 5/1/25 | 9,919,000 | 10,534,732 | |
6.5% 3/1/41 | 178,000 | 225,060 | |
MPLX LP: | |||
4.125% 3/1/27 | 1,685,000 | 1,771,964 | |
4.7% 4/15/48 | 3,476,000 | 3,591,489 | |
4.8% 2/15/29 | 2,638,000 | 2,890,281 | |
5.2% 3/1/47 | 1,091,000 | 1,201,621 | |
5.5% 2/15/49 | 1,800,000 | 2,053,421 | |
ONEOK Partners LP 3.375% 10/1/22 | 891,000 | 897,043 | |
ONEOK, Inc.: | |||
4.45% 9/1/49 | 1,110,000 | 1,088,724 | |
4.95% 7/13/47 | 1,043,000 | 1,097,372 | |
5.2% 7/15/48 | 538,000 | 586,243 | |
6.35% 1/15/31 | 5,000,000 | 5,932,064 | |
Ovintiv, Inc. 6.5% 2/1/38 | 2,591,000 | 3,070,387 | |
Phillips 66 Co.: | |||
3.9% 3/15/28 | 4,400,000 | 4,620,744 | |
4.875% 11/15/44 | 178,000 | 202,411 | |
5.875% 5/1/42 | 1,693,000 | 2,135,367 | |
Phillips 66 Partners LP 3.15% 12/15/29 | 4,300,000 | 4,246,112 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.6% 11/1/24 | 1,284,000 | 1,314,037 | |
3.8% 9/15/30 | 4,890,000 | 4,906,318 | |
4.65% 10/15/25 | 2,184,000 | 2,312,428 | |
4.9% 2/15/45 | 339,000 | 326,673 | |
6.65% 1/15/37 | 1,498,000 | 1,763,069 | |
Sabine Pass Liquefaction LLC 5.875% 6/30/26 | 8,200,000 | 9,092,722 | |
Shell International Finance BV: | |||
2.375% 11/7/29 | 7,700,000 | 7,500,969 | |
3.125% 11/7/49 | 3,000,000 | 2,758,533 | |
3.25% 5/11/25 | 2,523,000 | 2,617,118 | |
3.5% 11/13/23 | 9,747,000 | 10,037,479 | |
4% 5/10/46 | 713,000 | 755,923 | |
4.375% 5/11/45 | 3,970,000 | 4,397,934 | |
4.55% 8/12/43 | 2,800,000 | 3,192,691 | |
6.375% 12/15/38 | 748,000 | 1,017,665 | |
Spectra Energy Partners LP: | |||
3.375% 10/15/26 | 2,907,000 | 2,989,995 | |
4.75% 3/15/24 | 860,000 | 898,900 | |
Suncor Energy, Inc.: | |||
4% 11/15/47 | 3,021,000 | 3,043,904 | |
6.8% 5/15/38 | 1,505,000 | 1,969,681 | |
6.85% 6/1/39 | 356,000 | 471,156 | |
The Williams Companies, Inc.: | |||
3.35% 8/15/22 | 499,000 | 501,346 | |
3.75% 6/15/27 | 4,163,000 | 4,339,459 | |
3.9% 1/15/25 | 628,000 | 652,153 | |
4.55% 6/24/24 | 1,012,000 | 1,059,580 | |
4.85% 3/1/48 | 1,722,000 | 1,867,032 | |
5.75% 6/24/44 | 339,000 | 397,847 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 339,000 | 342,579 | |
3.127% 5/29/50 | 600,000 | 554,455 | |
3.455% 2/19/29 | 3,803,000 | 3,963,182 | |
3.461% 7/12/49 | 1,500,000 | 1,456,018 | |
3.75% 4/10/24 | 356,000 | 369,449 | |
Total Capital SA 3.883% 10/11/28 | 7,780,000 | 8,292,215 | |
TransCanada PipeLines Ltd.: | |||
2.5% 8/1/22 | 891,000 | 895,202 | |
4.75% 5/15/38 | 378,000 | 414,713 | |
4.875% 1/15/26 | 891,000 | 963,440 | |
4.875% 5/15/48 | 877,000 | 997,019 | |
5.1% 3/15/49 | 1,836,000 | 2,153,177 | |
6.1% 6/1/40 | 1,195,000 | 1,507,245 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 3,970,000 | 3,999,278 | |
3.95% 5/15/50 | 970,000 | 959,634 | |
4.45% 8/1/42 | 1,381,000 | 1,453,424 | |
4.6% 3/15/48 | 713,000 | 768,549 | |
Valero Energy Corp.: | |||
3.4% 9/15/26 | 2,720,000 | 2,797,168 | |
4% 4/1/29 | 1,836,000 | 1,918,253 | |
6.625% 6/15/37 | 966,000 | 1,240,320 | |
369,630,377 | |||
TOTAL ENERGY | 379,713,723 | ||
FINANCIALS - 8.3% | |||
Banks - 4.5% | |||
Australia and New Zealand Banking Group Ltd. 3.7% 11/16/25 | 944,000 | 995,604 | |
Banco Santander SA: | |||
1.849% 3/25/26 | 4,400,000 | 4,219,801 | |
2.749% 12/3/30 | 1,400,000 | 1,275,834 | |
2.958% 3/25/31 | 4,400,000 | 4,226,080 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (a)(c) | 15,400,000 | 15,133,953 | |
1.658% 3/11/27 (a) | 9,900,000 | 9,482,459 | |
1.734% 7/22/27 (a) | 7,800,000 | 7,445,587 | |
2.087% 6/14/29 (a) | 8,400,000 | 7,942,060 | |
2.299% 7/21/32 (a) | 3,700,000 | 3,432,316 | |
2.456% 10/22/25 (a) | 2,600,000 | 2,593,516 | |
2.651% 3/11/32 (a) | 9,900,000 | 9,466,693 | |
2.676% 6/19/41 (a) | 3,200,000 | 2,809,875 | |
2.687% 4/22/32 (a) | 5,100,000 | 4,904,958 | |
2.831% 10/24/51 (a) | 3,893,000 | 3,404,813 | |
2.972% 7/21/52 (a) | 2,700,000 | 2,400,402 | |
3.004% 12/20/23 (a) | 1,888,000 | 1,904,779 | |
3.194% 7/23/30 (a) | 2,934,000 | 2,932,971 | |
3.248% 10/21/27 | 3,268,000 | 3,341,929 | |
3.366% 1/23/26 (a) | 8,569,000 | 8,730,909 | |
3.419% 12/20/28 (a) | 12,830,000 | 13,116,615 | |
3.593% 7/21/28 (a) | 1,978,000 | 2,042,726 | |
3.705% 4/24/28 (a) | 1,568,000 | 1,624,185 | |
3.864% 7/23/24 (a) | 4,331,000 | 4,428,876 | |
3.974% 2/7/30 (a) | 2,521,000 | 2,640,288 | |
4% 4/1/24 | 867,000 | 899,471 | |
4% 1/22/25 | 1,069,000 | 1,109,868 | |
4.083% 3/20/51 (a) | 3,250,000 | 3,487,128 | |
4.1% 7/24/23 | 1,247,000 | 1,288,286 | |
4.183% 11/25/27 | 918,000 | 964,482 | |
4.2% 8/26/24 | 1,515,000 | 1,577,415 | |
4.25% 10/22/26 | 713,000 | 752,819 | |
4.271% 7/23/29 (a) | 7,550,000 | 8,042,400 | |
4.33% 3/15/50 (a) | 2,333,000 | 2,588,619 | |
4.443% 1/20/48 (a) | 2,718,000 | 3,032,324 | |
4.45% 3/3/26 | 2,317,000 | 2,468,824 | |
5% 1/21/44 | 958,000 | 1,120,665 | |
5.875% 2/7/42 | 409,000 | 530,247 | |
6.11% 1/29/37 | 1,224,000 | 1,523,165 | |
7.75% 5/14/38 | 2,324,000 | 3,361,402 | |
Bank of Montreal: | |||
3.3% 2/5/24 | 11,100,000 | 11,367,883 | |
3.803% 12/15/32 (a) | 1,720,000 | 1,765,153 | |
Bank of Nova Scotia: | |||
3.4% 2/11/24 | 9,151,000 | 9,383,174 | |
4.5% 12/16/25 | 2,830,000 | 3,015,580 | |
Barclays PLC: | |||
2.279% 11/24/27 (a) | 4,700,000 | 4,533,851 | |
2.852% 5/7/26 (a) | 3,600,000 | 3,598,681 | |
2.894% 11/24/32 (a) | 4,700,000 | 4,453,377 | |
3.564% 9/23/35 (a) | 2,000,000 | 1,911,582 | |
3.932% 5/7/25 (a) | 572,000 | 588,241 | |
4.337% 1/10/28 | 998,000 | 1,051,521 | |
4.375% 1/12/26 | 711,000 | 749,108 | |
4.836% 5/9/28 | 1,711,000 | 1,807,100 | |
4.95% 1/10/47 | 3,320,000 | 3,745,146 | |
4.972% 5/16/29 (a) | 759,000 | 821,955 | |
5.2% 5/12/26 | 2,580,000 | 2,765,579 | |
5.25% 8/17/45 | 998,000 | 1,169,661 | |
BB&T Corp.: | |||
2.75% 4/1/22 | 1,581,000 | 1,581,000 | |
3.875% 3/19/29 | 5,000,000 | 5,310,998 | |
BPCE SA 4% 4/15/24 | 284,000 | 294,135 | |
Capital One Bank NA 3.375% 2/15/23 | 345,000 | 350,310 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.020% 4.044% 6/1/24 (a)(c) | 3,565,000 | 3,656,731 | |
3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (a)(c) | 10,206,000 | 10,487,439 | |
1.122% 1/28/27 (a) | 9,700,000 | 9,134,034 | |
1.462% 6/9/27 (a) | 9,250,000 | 8,745,926 | |
2.561% 5/1/32 (a) | 3,000,000 | 2,847,157 | |
2.7% 10/27/22 | 17,500,000 | 17,647,410 | |
2.75% 4/25/22 | 2,601,000 | 2,604,591 | |
3.668% 7/24/28 (a) | 1,351,000 | 1,397,996 | |
3.7% 1/12/26 | 1,984,000 | 2,073,645 | |
3.75% 6/16/24 | 2,000,000 | 2,069,999 | |
3.887% 1/10/28 (a) | 802,000 | 837,494 | |
3.98% 3/20/30 (a) | 5,278,000 | 5,552,333 | |
4.125% 7/25/28 | 2,752,000 | 2,893,077 | |
4.3% 11/20/26 | 2,984,000 | 3,173,411 | |
4.4% 6/10/25 | 713,000 | 748,053 | |
4.6% 3/9/26 | 1,069,000 | 1,140,070 | |
4.65% 7/30/45 | 2,930,000 | 3,338,641 | |
4.75% 5/18/46 | 1,403,000 | 1,566,969 | |
5.3% 5/6/44 | 356,000 | 419,831 | |
5.316% 3/26/41 (a) | 3,530,000 | 4,295,923 | |
5.5% 9/13/25 | 891,000 | 971,271 | |
5.875% 1/30/42 | 298,000 | 383,607 | |
8.125% 7/15/39 | 3,263,000 | 5,104,544 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 337,000 | 312,526 | |
Comerica, Inc. 3.8% 7/22/26 | 651,000 | 683,586 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 2,234,000 | 2,262,951 | |
Discover Bank 4.2% 8/8/23 | 1,247,000 | 1,283,456 | |
Export-Import Bank of Korea: | |||
0.625% 2/9/26 | 5,100,000 | 4,808,847 | |
1.125% 12/29/26 | 2,000,000 | 1,903,632 | |
2.375% 6/25/24 | 2,000,000 | 2,023,881 | |
2.875% 1/21/25 | 4,215,000 | 4,307,586 | |
5% 4/11/22 | 1,099,000 | 1,103,220 | |
Fifth Third Bancorp: | |||
2.55% 5/5/27 | 2,600,000 | 2,597,577 | |
2.6% 6/15/22 | 1,334,000 | 1,338,263 | |
8.25% 3/1/38 | 371,000 | 558,291 | |
HSBC Holdings PLC: | |||
2.206% 8/17/29 (a) | 5,590,000 | 5,215,888 | |
2.633% 11/7/25 (a) | 9,800,000 | 9,784,625 | |
2.804% 5/24/32 (a) | 5,730,000 | 5,409,002 | |
2.848% 6/4/31 (a) | 1,800,000 | 1,722,091 | |
3.803% 3/11/25 (a) | 9,504,000 | 9,734,548 | |
3.9% 5/25/26 | 1,961,000 | 2,037,197 | |
4.25% 8/18/25 | 998,000 | 1,036,915 | |
4.292% 9/12/26 (a) | 13,003,000 | 13,563,605 | |
4.375% 11/23/26 | 5,116,000 | 5,396,578 | |
5.25% 3/14/44 | 654,000 | 749,672 | |
6.1% 1/14/42 | 1,400,000 | 1,840,458 | |
6.5% 5/2/36 | 807,000 | 1,019,304 | |
6.5% 9/15/37 | 2,564,000 | 3,266,063 | |
6.8% 6/1/38 | 2,600,000 | 3,385,248 | |
HSBC U.S.A., Inc. 3.5% 6/23/24 | 1,247,000 | 1,283,761 | |
ING Groep NV: | |||
1.726% 4/1/27 (a) | 2,300,000 | 2,198,001 | |
2.727% 4/1/32 (a) | 2,300,000 | 2,196,654 | |
Japan Bank International Cooperation: | |||
1.25% 1/21/31 | 8,076,000 | 7,509,090 | |
1.875% 7/21/26 | 4,640,000 | 4,634,710 | |
2.125% 2/10/25 | 284,000 | 286,376 | |
2.25% 11/4/26 | 744,000 | 752,686 | |
2.375% 11/16/22 | 2,048,000 | 2,066,206 | |
2.375% 4/20/26 | 470,000 | 476,693 | |
2.5% 5/23/24 | 25,000,000 | 25,445,178 | |
2.75% 1/21/26 | 450,000 | 462,600 | |
2.875% 6/1/27 | 1,354,000 | 1,408,878 | |
3.25% 7/20/28 | 1,604,000 | 1,720,579 | |
3.5% 10/31/28 | 1,000,000 | 1,088,293 | |
JPMorgan Chase & Co.: | |||
0.768% 8/9/25 (a) | 11,000,000 | 10,573,064 | |
0.969% 6/23/25 (a) | 11,100,000 | 10,752,221 | |
1.47% 9/22/27 (a) | 3,400,000 | 3,208,895 | |
1.578% 4/22/27 (a) | 7,261,000 | 6,944,231 | |
1.953% 2/4/32 (a) | 10,000,000 | 9,115,406 | |
2.545% 11/8/32 (a) | 4,100,000 | 3,917,112 | |
2.58% 4/22/32 (a) | 7,281,000 | 6,974,529 | |
2.739% 10/15/30 (a) | 2,600,000 | 2,540,113 | |
2.776% 4/25/23 (a) | 891,000 | 892,571 | |
2.95% 10/1/26 | 4,497,000 | 4,575,893 | |
2.956% 5/13/31 (a) | 5,000,000 | 4,862,041 | |
3.109% 4/22/51 (a) | 1,600,000 | 1,477,484 | |
3.22% 3/1/25 (a) | 8,329,000 | 8,469,879 | |
3.25% 9/23/22 | 713,000 | 721,632 | |
3.3% 4/1/26 | 1,604,000 | 1,652,634 | |
3.375% 5/1/23 | 339,000 | 345,236 | |
3.509% 1/23/29 (a) | 11,000,000 | 11,284,822 | |
3.54% 5/1/28 (a) | 3,030,000 | 3,133,184 | |
3.559% 4/23/24 (a) | 1,782,000 | 1,815,495 | |
3.797% 7/23/24 (a) | 2,468,000 | 2,527,041 | |
3.875% 9/10/24 | 5,833,000 | 6,049,065 | |
3.882% 7/24/38 (a) | 2,572,000 | 2,711,973 | |
3.9% 7/15/25 | 3,850,000 | 4,026,985 | |
3.964% 11/15/48 (a) | 1,676,000 | 1,770,458 | |
4.005% 4/23/29 (a) | 1,686,000 | 1,775,628 | |
4.125% 12/15/26 | 1,047,000 | 1,113,715 | |
4.203% 7/23/29 (a) | 14,141,000 | 15,041,208 | |
4.452% 12/5/29 (a) | 3,500,000 | 3,784,012 | |
4.85% 2/1/44 | 2,000,000 | 2,362,086 | |
4.95% 6/1/45 | 707,000 | 846,987 | |
5.5% 10/15/40 | 1,016,000 | 1,256,727 | |
5.6% 7/15/41 | 267,000 | 337,630 | |
5.625% 8/16/43 | 891,000 | 1,116,501 | |
6.4% 5/15/38 | 4,660,000 | 6,246,082 | |
KeyBank NA 3.4% 5/20/26 | 711,000 | 732,832 | |
Korea Development Bank: | |||
0.4% 6/19/24 | 2,500,000 | 2,428,235 | |
1.625% 1/19/31 | 2,750,000 | 2,568,610 | |
Lloyds Banking Group PLC: | |||
4.344% 1/9/48 | 2,674,000 | 2,704,389 | |
4.375% 3/22/28 | 4,000,000 | 4,264,943 | |
4.582% 12/10/25 | 420,000 | 441,335 | |
4.65% 3/24/26 | 1,533,000 | 1,616,826 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.538% 7/20/27 (a) | 8,000,000 | 7,588,925 | |
2.309% 7/20/32 (a) | 7,850,000 | 7,285,086 | |
2.801% 7/18/24 | 1,294,000 | 1,310,944 | |
3.195% 7/18/29 | 3,113,000 | 3,139,779 | |
3.455% 3/2/23 | 1,000,000 | 1,018,247 | |
3.751% 7/18/39 | 3,286,000 | 3,444,138 | |
3.85% 3/1/26 | 1,173,000 | 1,229,146 | |
3.961% 3/2/28 | 3,921,000 | 4,139,487 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (a) | 6,800,000 | 6,661,857 | |
1.554% 7/9/27 (a) | 3,712,000 | 3,511,422 | |
2.226% 5/25/26 (a) | 1,600,000 | 1,579,056 | |
2.26% 7/9/32 (a) | 3,800,000 | 3,503,845 | |
2.591% 5/25/31 (a) | 1,400,000 | 1,339,976 | |
2.839% 7/16/25 (a) | 4,600,000 | 4,642,482 | |
3.549% 3/5/23 | 2,139,000 | 2,182,438 | |
National Australia Bank Ltd. 2.5% 5/22/22 | 1,782,000 | 1,789,075 | |
NatWest Group PLC: | |||
3 month U.S. LIBOR + 1.750% 4.892% 5/18/29 (a)(c) | 2,600,000 | 2,832,045 | |
3.498% 5/15/23 (a) | 1,824,000 | 1,830,162 | |
3.754% 11/1/29 (a) | 7,840,000 | 7,930,516 | |
3.875% 9/12/23 | 540,000 | 553,056 | |
4.445% 5/8/30 (a) | 252,000 | 269,057 | |
4.519% 6/25/24 (a) | 5,000,000 | 5,150,977 | |
4.8% 4/5/26 | 1,176,000 | 1,260,858 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 2,083,000 | 1,978,954 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 15,000,000 | 14,359,512 | |
2.2% 11/1/24 | 3,500,000 | 3,513,891 | |
3.5% 1/23/24 | 630,000 | 648,512 | |
3.9% 4/29/24 | 1,007,000 | 1,047,529 | |
Rabobank Nederland: | |||
3.75% 7/21/26 | 3,431,000 | 3,537,590 | |
4.375% 8/4/25 | 853,000 | 893,096 | |
5.25% 5/24/41 | 535,000 | 691,238 | |
5.75% 12/1/43 | 1,590,000 | 2,014,205 | |
Rabobank Nederland New York Branch: | |||
0.375% 1/12/24 | 4,650,000 | 4,531,261 | |
2.75% 1/10/23 | 3,030,000 | 3,068,058 | |
3.375% 5/21/25 | 533,000 | 553,145 | |
Royal Bank of Canada: | |||
2.05% 1/21/27 | 5,000,000 | 4,903,135 | |
2.55% 7/16/24 | 9,480,000 | 9,581,333 | |
4.65% 1/27/26 | 2,315,000 | 2,493,113 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (a) | 3,800,000 | 3,691,212 | |
3.4% 1/18/23 | 1,947,000 | 1,975,805 | |
Sumitomo Mitsui Banking Corp. 3.4% 7/11/24 | 814,000 | 837,187 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 2,000,000 | 1,930,247 | |
2.142% 9/23/30 | 5,967,000 | 5,439,238 | |
2.174% 1/14/27 | 8,300,000 | 8,101,200 | |
2.348% 1/15/25 | 2,000,000 | 1,992,839 | |
2.696% 7/16/24 | 3,600,000 | 3,634,143 | |
2.75% 1/15/30 | 2,000,000 | 1,960,466 | |
2.778% 10/18/22 | 1,346,000 | 1,360,116 | |
2.784% 7/12/22 | 1,870,000 | 1,881,860 | |
3.05% 1/14/42 | 4,100,000 | 3,873,305 | |
3.102% 1/17/23 | 2,655,000 | 2,692,109 | |
3.936% 10/16/23 | 2,794,000 | 2,883,128 | |
SVB Financial Group 2.1% 5/15/28 | 5,143,000 | 4,924,828 | |
Synchrony Bank 3% 6/15/22 | 1,247,000 | 1,252,243 | |
The Toronto-Dominion Bank: | |||
2.65% 6/12/24 | 9,030,000 | 9,138,752 | |
3.25% 3/11/24 | 6,720,000 | 6,900,126 | |
3.5% 7/19/23 | 1,782,000 | 1,828,493 | |
U.S. Bancorp: | |||
1.375% 7/22/30 | 6,900,000 | 6,170,769 | |
3.1% 4/27/26 | 1,604,000 | 1,647,515 | |
Wells Fargo & Co.: | |||
0.805% 5/19/25 (a) | 8,900,000 | 8,613,008 | |
2.406% 10/30/25 (a) | 11,000,000 | 10,964,397 | |
3% 10/23/26 | 3,624,000 | 3,669,411 | |
3.068% 4/30/41 (a) | 7,000,000 | 6,502,523 | |
3.3% 9/9/24 | 4,985,000 | 5,109,404 | |
3.35% 3/2/33 (a) | 6,500,000 | 6,583,028 | |
3.55% 9/29/25 | 756,000 | 781,971 | |
3.75% 1/24/24 | 5,040,000 | 5,195,916 | |
3.9% 5/1/45 | 849,000 | 880,543 | |
4.1% 6/3/26 | 575,000 | 607,021 | |
4.15% 1/24/29 | 665,000 | 709,110 | |
4.4% 6/14/46 | 1,272,000 | 1,362,391 | |
4.48% 1/16/24 | 681,000 | 711,998 | |
4.75% 12/7/46 | 3,496,000 | 3,923,541 | |
4.9% 11/17/45 | 742,000 | 841,770 | |
5.013% 4/4/51 (a) | 3,840,000 | 4,728,535 | |
5.375% 11/2/43 | 5,130,000 | 6,152,144 | |
5.606% 1/15/44 | 3,536,000 | 4,321,306 | |
Westpac Banking Corp.: | |||
2.5% 6/28/22 | 33,000 | 33,178 | |
2.85% 5/13/26 | 846,000 | 867,980 | |
2.894% 2/4/30 (a) | 6,140,000 | 6,065,779 | |
3.3% 2/26/24 | 74,000 | 76,124 | |
4.11% 7/24/34 (a) | 1,590,000 | 1,641,729 | |
4.421% 7/24/39 | 1,910,000 | 2,053,033 | |
Zions Bancorp NA 4.5% 6/13/23 | 36,000 | 37,090 | |
887,008,613 | |||
Capital Markets - 1.6% | |||
Affiliated Managers Group, Inc. 3.5% 8/1/25 | 846,000 | 875,238 | |
Ares Capital Corp.: | |||
2.15% 7/15/26 | 4,800,000 | 4,528,373 | |
3.25% 7/15/25 | 1,000,000 | 990,346 | |
3.875% 1/15/26 | 1,500,000 | 1,520,765 | |
4.2% 6/10/24 | 2,600,000 | 2,685,673 | |
Bank of New York Mellon Corp.: | |||
1.8% 7/28/31 | 6,500,000 | 5,968,726 | |
2.8% 5/4/26 | 1,004,000 | 1,026,157 | |
2.95% 1/29/23 | 2,674,000 | 2,708,026 | |
BlackRock, Inc.: | |||
3.375% 6/1/22 | 10,140,000 | 10,207,805 | |
3.5% 3/18/24 | 517,000 | 535,376 | |
Brookfield Finance, Inc. 2.724% 4/15/31 | 6,700,000 | 6,407,444 | |
Charles Schwab Corp.: | |||
0.9% 3/11/26 | 3,900,000 | 3,696,003 | |
1.65% 3/11/31 | 4,520,000 | 4,105,650 | |
2% 3/20/28 | 1,600,000 | 1,552,938 | |
3.85% 5/21/25 | 1,950,000 | 2,048,618 | |
CI Financial Corp. 3.2% 12/17/30 | 3,700,000 | 3,486,049 | |
CME Group, Inc. 5.3% 9/15/43 | 1,840,000 | 2,341,901 | |
Credit Suisse AG 3.625% 9/9/24 | 7,519,000 | 7,758,777 | |
Credit Suisse Group AG: | |||
3.8% 6/9/23 | 3,565,000 | 3,643,633 | |
4.55% 4/17/26 | 1,515,000 | 1,599,827 | |
4.875% 5/15/45 | 3,199,000 | 3,495,275 | |
Deutsche Bank AG: | |||
4.1% 1/13/26 | 4,800,000 | 5,006,115 | |
4.5% 4/1/25 | 427,000 | 438,962 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (a) | 3,500,000 | 3,344,389 | |
3.3% 11/16/22 | 1,640,000 | 1,657,504 | |
3.7% 5/30/24 | 1,746,000 | 1,790,944 | |
3.95% 2/27/23 | 5,622,000 | 5,710,573 | |
4.1% 1/13/26 | 3,886,000 | 4,025,533 | |
Eaton Vance Corp. 3.625% 6/15/23 | 504,000 | 515,141 | |
Franklin Resources, Inc. 2.85% 3/30/25 | 677,000 | 691,213 | |
Goldman Sachs Group, Inc.: | |||
0.673% 3/8/24 (a) | 16,400,000 | 16,186,014 | |
0.855% 2/12/26 (a) | 9,000,000 | 8,597,036 | |
2.383% 7/21/32 (a) | 12,700,000 | 11,772,469 | |
2.615% 4/22/32 (a) | 12,200,000 | 11,534,468 | |
3.2% 2/23/23 | 4,129,000 | 4,179,613 | |
3.5% 1/23/25 | 891,000 | 915,638 | |
3.625% 1/22/23 | 1,604,000 | 1,630,689 | |
3.625% 2/20/24 | 1,872,000 | 1,921,097 | |
3.691% 6/5/28 (a) | 7,900,000 | 8,178,237 | |
3.75% 2/25/26 | 1,038,000 | 1,080,065 | |
3.8% 3/15/30 | 1,644,000 | 1,712,474 | |
3.85% 7/8/24 | 677,000 | 700,051 | |
3.85% 1/26/27 | 5,390,000 | 5,615,033 | |
4.25% 10/21/25 | 891,000 | 935,981 | |
4.411% 4/23/39 (a) | 1,000,000 | 1,076,668 | |
4.75% 10/21/45 | 2,813,000 | 3,198,491 | |
5.15% 5/22/45 | 4,190,000 | 4,898,057 | |
5.95% 1/15/27 | 2,674,000 | 3,013,947 | |
6.75% 10/1/37 | 5,170,000 | 6,792,871 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 4,020,000 | 3,577,450 | |
2.65% 9/15/40 | 4,020,000 | 3,556,851 | |
3% 6/15/50 | 2,892,000 | 2,560,615 | |
3.75% 12/1/25 | 1,025,000 | 1,076,283 | |
3.75% 9/21/28 | 1,663,000 | 1,756,784 | |
4% 10/15/23 | 668,000 | 690,582 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.: | |||
2.625% 10/15/31 | 1,000,000 | 929,072 | |
4.15% 1/23/30 | 3,100,000 | 3,254,031 | |
4.85% 1/15/27 | 1,100,000 | 1,197,617 | |
Moody's Corp.: | |||
2% 8/19/31 | 1,100,000 | 1,007,745 | |
4.875% 2/15/24 | 4,671,000 | 4,898,253 | |
4.875% 12/17/48 | 2,500,000 | 2,908,016 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 1.430% 4.457% 4/22/39 (a)(c) | 5,218,000 | 5,667,596 | |
1.164% 10/21/25 (a) | 6,200,000 | 5,982,184 | |
1.512% 7/20/27 (a) | 6,100,000 | 5,778,881 | |
1.593% 5/4/27 (a) | 17,500,000 | 16,643,077 | |
1.794% 2/13/32 (a) | 5,470,000 | 4,882,557 | |
2.188% 4/28/26 (a) | 2,320,000 | 2,289,927 | |
2.239% 7/21/32 (a) | 6,100,000 | 5,615,993 | |
2.75% 5/19/22 | 2,139,000 | 2,147,456 | |
3.125% 1/23/23 | 10,908,000 | 11,063,834 | |
3.125% 7/27/26 | 998,000 | 1,017,316 | |
3.591% 7/22/28 (a) | 1,515,000 | 1,564,131 | |
3.7% 10/23/24 | 1,069,000 | 1,104,903 | |
3.75% 2/25/23 | 1,207,000 | 1,229,998 | |
3.772% 1/24/29 (a) | 4,500,000 | 4,671,051 | |
3.875% 4/29/24 | 2,616,000 | 2,704,779 | |
3.875% 1/27/26 | 935,000 | 975,619 | |
3.95% 4/23/27 | 3,938,000 | 4,164,391 | |
3.971% 7/22/38 (a) | 1,114,000 | 1,166,621 | |
4.3% 1/27/45 | 356,000 | 387,059 | |
4.375% 1/22/47 | 1,978,000 | 2,184,862 | |
5.597% 3/24/51 (a) | 1,100,000 | 1,465,899 | |
6.375% 7/24/42 | 4,162,000 | 5,676,217 | |
7.25% 4/1/32 | 178,000 | 240,127 | |
NASDAQ, Inc.: | |||
1.65% 1/15/31 | 3,450,000 | 3,037,731 | |
3.85% 6/30/26 | 1,000,000 | 1,044,303 | |
Nomura Holdings, Inc.: | |||
1.653% 7/14/26 | 1,000,000 | 948,790 | |
3.103% 1/16/30 | 6,459,000 | 6,371,957 | |
Northern Trust Corp. 1.95% 5/1/30 | 50,000 | 47,540 | |
S&P Global, Inc. 3.25% 12/1/49 | 2,000,000 | 1,931,963 | |
State Street Corp.: | |||
1.684% 11/18/27 (a) | 5,652,000 | 5,475,838 | |
2.65% 5/19/26 | 1,346,000 | 1,374,662 | |
324,572,434 | |||
Consumer Finance - 0.7% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.45% 10/29/26 | 4,000,000 | 3,859,109 | |
2.875% 8/14/24 | 1,567,000 | 1,568,253 | |
3% 10/29/28 | 3,750,000 | 3,611,884 | |
3.4% 10/29/33 | 2,500,000 | 2,360,724 | |
3.5% 5/26/22 | 1,685,000 | 1,692,046 | |
3.65% 7/21/27 | 802,000 | 815,034 | |
3.85% 10/29/41 | 2,500,000 | 2,316,811 | |
3.875% 1/23/28 | 2,798,000 | 2,842,412 | |
4.45% 10/1/25 | 1,756,000 | 1,823,600 | |
4.5% 9/15/23 | 3,634,000 | 3,743,235 | |
4.625% 7/1/22 | 1,685,000 | 1,703,840 | |
4.875% 1/16/24 | 3,624,000 | 3,761,276 | |
Ally Financial, Inc.: | |||
3.05% 6/5/23 | 7,050,000 | 7,133,687 | |
5.125% 9/30/24 | 5,600,000 | 5,934,061 | |
8% 11/1/31 | 1,762,000 | 2,296,551 | |
American Express Co.: | |||
2.5% 8/1/22 | 2,239,000 | 2,250,491 | |
2.5% 7/30/24 | 11,755,000 | 11,921,862 | |
4.05% 12/3/42 | 1,243,000 | 1,362,715 | |
Capital One Financial Corp.: | |||
3.2% 1/30/23 | 2,481,000 | 2,515,783 | |
3.3% 10/30/24 | 3,800,000 | 3,889,933 | |
3.75% 7/28/26 | 1,737,000 | 1,795,632 | |
3.75% 3/9/27 | 4,135,000 | 4,318,634 | |
3.8% 1/31/28 | 2,317,000 | 2,412,509 | |
4.25% 4/30/25 | 5,000,000 | 5,260,019 | |
Discover Financial Services: | |||
4.5% 1/30/26 | 3,354,000 | 3,569,431 | |
5.2% 4/27/22 | 178,000 | 179,111 | |
Ford Motor Credit Co. LLC: | |||
4.25% 9/20/22 | 256,000 | 258,400 | |
4.375% 8/6/23 | 569,000 | 577,535 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 6,615,000 | 7,436,498 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 1,864,000 | 1,893,655 | |
2.65% 6/10/26 | 891,000 | 908,825 | |
2.7% 1/6/23 | 1,782,000 | 1,803,010 | |
2.8% 1/27/23 | 891,000 | 901,912 | |
2.8% 3/6/23 | 579,000 | 587,129 | |
2.8% 9/8/27 | 47,000 | 48,168 | |
3.45% 3/13/25 | 1,850,000 | 1,930,616 | |
3.45% 3/7/29 | 2,779,000 | 2,938,035 | |
Synchrony Financial: | |||
3.7% 8/4/26 | 842,000 | 859,965 | |
4.375% 3/19/24 | 2,006,000 | 2,074,278 | |
5.15% 3/19/29 | 5,225,000 | 5,680,883 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 4,350,000 | 4,285,880 | |
1.15% 8/13/27 | 7,300,000 | 6,850,320 | |
1.65% 1/10/31 | 2,100,000 | 1,919,468 | |
1.9% 4/6/28 | 1,250,000 | 1,204,660 | |
2.15% 2/13/30 | 2,000,000 | 1,921,637 | |
2.7% 1/11/23 | 1,782,000 | 1,803,624 | |
3% 4/1/25 | 5,350,000 | 5,477,386 | |
3.35% 1/8/24 | 3,504,000 | 3,600,073 | |
139,900,600 | |||
Diversified Financial Services - 0.7% | |||
AB Svensk Exportkredit: | |||
0.25% 9/29/23 | 3,316,000 | 3,254,117 | |
0.75% 4/6/23 | 4,000,000 | 3,978,799 | |
1.75% 12/12/23 | 10,000,000 | 10,041,351 | |
2.375% 3/9/22 | 998,000 | 998,379 | |
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 3,000,000 | 2,845,212 | |
Berkshire Hathaway Finance Corp.: | |||
1.45% 10/15/30 | 7,300,000 | 6,664,150 | |
2.85% 10/15/50 | 3,200,000 | 2,807,106 | |
4.2% 8/15/48 | 2,116,000 | 2,341,070 | |
4.25% 1/15/49 | 1,528,000 | 1,703,736 | |
5.75% 1/15/40 | 891,000 | 1,170,594 | |
Berkshire Hathaway, Inc.: | |||
2.75% 3/15/23 | 2,000,000 | 2,023,832 | |
3.125% 3/15/26 | 2,050,000 | 2,126,446 | |
4.5% 2/11/43 | 356,000 | 406,618 | |
Blackstone Private Credit Fund 2.7% 1/15/25 (b) | 4,700,000 | 4,585,692 | |
BP Capital Markets America, Inc.: | |||
3% 2/24/50 | 6,390,000 | 5,460,662 | |
3.017% 1/16/27 | 1,693,000 | 1,724,687 | |
3.06% 6/17/41 | 3,600,000 | 3,227,197 | |
3.633% 4/6/30 | 5,000,000 | 5,204,498 | |
Brixmor Operating Partnership LP: | |||
3.9% 3/15/27 | 1,005,000 | 1,045,721 | |
4.05% 7/1/30 | 1,138,000 | 1,180,611 | |
4.125% 6/15/26 | 1,346,000 | 1,422,452 | |
4.125% 5/15/29 | 1,216,000 | 1,285,903 | |
DH Europe Finance II SARL: | |||
2.6% 11/15/29 | 1,500,000 | 1,463,737 | |
3.4% 11/15/49 | 1,000,000 | 980,008 | |
Equitable Holdings, Inc. 5% 4/20/48 | 2,150,000 | 2,388,786 | |
Japan International Cooperation Agency 1.75% 4/28/31 | 2,622,000 | 2,518,717 | |
KfW: | |||
0% 4/18/36 | 13,551,000 | 10,010,141 | |
0.25% 10/19/23 | 7,000,000 | 6,870,036 | |
0.375% 7/18/25 | 3,680,000 | 3,511,432 | |
2% 10/4/22 | 908,000 | 913,966 | |
2% 5/2/25 | 682,000 | 687,634 | |
2.125% 3/7/22 | 1,458,000 | 1,458,333 | |
2.125% 1/17/23 | 2,139,000 | 2,158,392 | |
2.375% 12/29/22 | 3,716,000 | 3,757,066 | |
2.5% 11/20/24 | 5,558,000 | 5,681,646 | |
2.625% 2/28/24 | 6,735,000 | 6,882,378 | |
2.875% 4/3/28 | 2,738,000 | 2,886,886 | |
Landwirtschaftliche Rentenbank: | |||
1.75% 7/27/26 | 1,515,000 | 1,510,516 | |
2.5% 11/15/27 | 1,576,000 | 1,620,396 | |
3.125% 11/14/23 | 5,000,000 | 5,139,821 | |
Voya Financial, Inc.: | |||
3.65% 6/15/26 | 2,814,000 | 2,963,055 | |
5.7% 7/15/43 | 668,000 | 830,816 | |
129,732,595 | |||
Insurance - 0.8% | |||
ACE INA Holdings, Inc.: | |||
1.375% 9/15/30 | 6,000,000 | 5,369,937 | |
3.05% 12/15/61 | 1,400,000 | 1,250,601 | |
3.35% 5/3/26 | 4,752,000 | 4,935,560 | |
4.35% 11/3/45 | 713,000 | 814,362 | |
AFLAC, Inc.: | |||
3.6% 4/1/30 | 4,959,000 | 5,263,049 | |
4% 10/15/46 | 673,000 | 718,070 | |
Allstate Corp.: | |||
1.45% 12/15/30 | 7,877,000 | 7,071,324 | |
3.28% 12/15/26 | 841,000 | 872,905 | |
4.2% 12/15/46 | 1,348,000 | 1,486,772 | |
American International Group, Inc.: | |||
3.75% 7/10/25 | 3,168,000 | 3,295,284 | |
3.875% 1/15/35 | 481,000 | 504,022 | |
3.9% 4/1/26 | 672,000 | 707,395 | |
4.125% 2/15/24 | 5,700,000 | 5,936,058 | |
4.2% 4/1/28 | 3,307,000 | 3,584,582 | |
4.375% 6/30/50 | 2,390,000 | 2,641,065 | |
4.5% 7/16/44 | 1,582,000 | 1,755,167 | |
4.7% 7/10/35 | 1,034,000 | 1,165,690 | |
4.75% 4/1/48 | 923,000 | 1,064,215 | |
5.75% 4/1/48 (a) | 2,050,000 | 2,106,375 | |
Aon Corp. 3.75% 5/2/29 | 2,400,000 | 2,513,136 | |
Aon PLC: | |||
3.5% 6/14/24 | 3,556,000 | 3,648,218 | |
4% 11/27/23 | 535,000 | 551,660 | |
4.6% 6/14/44 | 285,000 | 313,265 | |
4.75% 5/15/45 | 1,048,000 | 1,165,276 | |
Arch Capital Group Ltd. 3.635% 6/30/50 | 2,400,000 | 2,297,643 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 4,000,000 | 3,575,888 | |
3.967% 11/15/46 | 445,000 | 490,503 | |
Brighthouse Financial, Inc.: | |||
3.7% 6/22/27 | 1,090,000 | 1,128,862 | |
4.7% 6/22/47 | 1,693,000 | 1,691,767 | |
Fairfax Financial Holdings Ltd. 4.625% 4/29/30 | 1,800,000 | 1,934,580 | |
Hartford Financial Services Group, Inc.: | |||
2.8% 8/19/29 | 1,256,000 | 1,245,029 | |
3.6% 8/19/49 | 1,607,000 | 1,569,672 | |
4.4% 3/15/48 | 1,731,000 | 1,923,585 | |
Lincoln National Corp.: | |||
3.625% 12/12/26 | 1,069,000 | 1,120,484 | |
4.35% 3/1/48 | 2,260,000 | 2,441,429 | |
Manulife Financial Corp. 4.15% 3/4/26 | 6,250,000 | 6,622,996 | |
Markel Corp. 5% 5/20/49 | 1,700,000 | 1,976,209 | |
Marsh & McLennan Companies, Inc.: | |||
2.375% 12/15/31 | 2,200,000 | 2,077,039 | |
3.5% 6/3/24 | 339,000 | 348,960 | |
3.875% 3/15/24 | 1,693,000 | 1,751,865 | |
4.05% 10/15/23 | 1,207,000 | 1,242,963 | |
4.2% 3/1/48 | 868,000 | 944,850 | |
4.35% 1/30/47 | 499,000 | 554,010 | |
4.375% 3/15/29 | 3,313,000 | 3,613,373 | |
4.9% 3/15/49 | 1,657,000 | 1,983,138 | |
MetLife, Inc.: | |||
4.05% 3/1/45 | 690,000 | 749,764 | |
4.125% 8/13/42 | 2,600,000 | 2,774,994 | |
4.368% 9/15/23 (a) | 5,600,000 | 5,797,462 | |
4.6% 5/13/46 | 4,308,000 | 5,066,976 | |
4.721% 12/15/44 (a) | 891,000 | 1,032,901 | |
5.875% 2/6/41 | 341,000 | 442,207 | |
Pricoa Global Funding I 5.625% 6/15/43 (a) | 1,000,000 | 1,025,000 | |
Principal Financial Group, Inc.: | |||
2.125% 6/15/30 | 1,760,000 | 1,665,648 | |
4.3% 11/15/46 | 1,425,000 | 1,584,499 | |
Progressive Corp.: | |||
2.45% 1/15/27 | 2,145,000 | 2,166,070 | |
4.125% 4/15/47 | 2,390,000 | 2,625,556 | |
4.2% 3/15/48 | 1,100,000 | 1,224,764 | |
Prudential Financial, Inc.: | |||
3.878% 3/27/28 | 740,000 | 790,988 | |
3.905% 12/7/47 | 2,119,000 | 2,206,591 | |
3.935% 12/7/49 | 1,910,000 | 1,995,725 | |
4.35% 2/25/50 | 2,633,000 | 2,944,075 | |
4.418% 3/27/48 | 1,132,000 | 1,268,487 | |
4.6% 5/15/44 | 1,400,000 | 1,586,539 | |
5.125% 3/1/52 (a) | 1,000,000 | 1,013,750 | |
5.7% 12/14/36 | 68,000 | 86,478 | |
The Chubb Corp.: | |||
6% 5/11/37 | 983,000 | 1,301,725 | |
6.5% 5/15/38 | 626,000 | 868,126 | |
The Travelers Companies, Inc.: | |||
4.1% 3/4/49 | 1,200,000 | 1,320,034 | |
4.3% 8/25/45 | 261,000 | 293,142 | |
6.25% 6/15/37 | 5,488,000 | 7,291,395 | |
Unum Group 4.5% 12/15/49 | 1,000,000 | 969,195 | |
Willis Group North America, Inc.: | |||
2.95% 9/15/29 | 3,000,000 | 2,938,507 | |
4.5% 9/15/28 | 3,479,000 | 3,707,969 | |
156,007,400 | |||
TOTAL FINANCIALS | 1,637,221,642 | ||
HEALTH CARE - 2.6% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 3,080,000 | 3,109,226 | |
2.9% 11/6/22 | 1,016,000 | 1,026,059 | |
2.95% 11/21/26 | 2,100,000 | 2,138,002 | |
3.2% 11/21/29 | 4,000,000 | 4,051,064 | |
3.25% 10/1/22 | 535,000 | 538,563 | |
3.6% 5/14/25 | 1,604,000 | 1,656,722 | |
3.8% 3/15/25 | 1,572,000 | 1,634,609 | |
4.05% 11/21/39 | 7,870,000 | 8,260,621 | |
4.25% 11/14/28 | 1,478,000 | 1,595,877 | |
4.25% 11/21/49 | 4,700,000 | 4,997,661 | |
4.3% 5/14/36 | 1,116,000 | 1,222,001 | |
4.4% 11/6/42 | 851,000 | 917,486 | |
4.45% 5/14/46 | 1,247,000 | 1,343,480 | |
4.55% 3/15/35 | 1,186,000 | 1,306,288 | |
4.7% 5/14/45 | 1,752,000 | 1,942,002 | |
4.75% 3/15/45 | 1,128,000 | 1,251,258 | |
4.875% 11/14/48 | 1,710,000 | 1,964,144 | |
Amgen, Inc.: | |||
1.65% 8/15/28 | 1,200,000 | 1,125,209 | |
1.9% 2/21/25 | 2,000,000 | 1,993,928 | |
2.6% 8/19/26 | 1,872,000 | 1,887,229 | |
2.77% 9/1/53 | 2,260,000 | 1,833,629 | |
2.8% 8/15/41 | 5,000,000 | 4,411,125 | |
3.125% 5/1/25 | 356,000 | 364,832 | |
3.15% 2/21/40 | 3,890,000 | 3,634,526 | |
3.375% 2/21/50 | 2,500,000 | 2,291,934 | |
4.4% 5/1/45 | 1,770,000 | 1,880,605 | |
4.663% 6/15/51 | 2,224,000 | 2,489,257 | |
4.95% 10/1/41 | 1,200,000 | 1,365,890 | |
Biogen, Inc. 3.15% 5/1/50 | 4,250,000 | 3,472,649 | |
Gilead Sciences, Inc.: | |||
1.65% 10/1/30 | 3,200,000 | 2,899,347 | |
2.8% 10/1/50 | 3,200,000 | 2,705,961 | |
3.65% 3/1/26 | 1,102,000 | 1,149,137 | |
4.15% 3/1/47 | 2,217,000 | 2,323,446 | |
4.75% 3/1/46 | 4,393,000 | 4,976,105 | |
Regeneron Pharmaceuticals, Inc. 1.75% 9/15/30 | 2,100,000 | 1,875,711 | |
81,635,583 | |||
Health Care Equipment & Supplies - 0.3% | |||
Abbott Laboratories: | |||
1.15% 1/30/28 | 5,000,000 | 4,694,736 | |
3.75% 11/30/26 | 7,242,000 | 7,725,944 | |
4.75% 11/30/36 | 802,000 | 949,737 | |
4.9% 11/30/46 | 2,854,000 | 3,523,828 | |
Baxter International, Inc.: | |||
1.915% 2/1/27 (b) | 4,700,000 | 4,556,654 | |
2.539% 2/1/32 (b) | 4,700,000 | 4,514,836 | |
Becton, Dickinson & Co.: | |||
2.823% 5/20/30 | 1,900,000 | 1,866,962 | |
3.363% 6/6/24 | 808,000 | 827,830 | |
3.7% 6/6/27 | 5,003,000 | 5,244,344 | |
4.669% 6/6/47 | 256,000 | 287,201 | |
4.685% 12/15/44 | 1,937,000 | 2,161,919 | |
Boston Scientific Corp.: | |||
3.45% 3/1/24 | 829,000 | 849,962 | |
4% 3/1/29 | 1,925,000 | 2,042,623 | |
4.7% 3/1/49 | 3,457,000 | 3,928,171 | |
Medtronic Global Holdings SCA 3.35% 4/1/27 | 2,611,000 | 2,724,607 | |
Medtronic, Inc. 4.625% 3/15/45 | 3,404,000 | 3,987,813 | |
Stryker Corp.: | |||
1.95% 6/15/30 | 1,650,000 | 1,527,462 | |
2.9% 6/15/50 | 2,850,000 | 2,518,875 | |
3.5% 3/15/26 | 3,600,000 | 3,737,804 | |
Zimmer Biomet Holdings, Inc. 3.55% 4/1/25 | 7,228,000 | 7,432,575 | |
65,103,883 | |||
Health Care Providers & Services - 1.1% | |||
Aetna, Inc.: | |||
2.8% 6/15/23 | 2,674,000 | 2,709,452 | |
4.125% 11/15/42 | 2,022,000 | 2,072,871 | |
6.625% 6/15/36 | 1,160,000 | 1,537,304 | |
AHS Hospital Corp. 2.78% 7/1/51 | 3,500,000 | 3,060,694 | |
Allina Health System, Inc. 3.887% 4/15/49 | 1,239,000 | 1,323,091 | |
AmerisourceBergen Corp. 2.7% 3/15/31 | 4,100,000 | 3,949,824 | |
Anthem, Inc.: | |||
3.3% 1/15/23 | 356,000 | 361,423 | |
3.65% 12/1/27 | 4,099,000 | 4,297,999 | |
3.7% 9/15/49 | 1,140,000 | 1,127,781 | |
4.375% 12/1/47 | 6,457,000 | 7,094,513 | |
4.625% 5/15/42 | 464,000 | 517,954 | |
4.65% 1/15/43 | 356,000 | 399,224 | |
Banner Health: | |||
2.907% 1/1/42 | 1,500,000 | 1,397,597 | |
2.913% 1/1/51 | 2,700,000 | 2,452,521 | |
Baptist Healthcare System Obli 3.54% 8/15/50 | 3,000,000 | 3,023,566 | |
Bon Secours Mercy Health, Inc. 2.095% 6/1/31 | 1,786,000 | 1,663,317 | |
Cardinal Health, Inc. 4.368% 6/15/47 | 2,476,000 | 2,535,906 | |
Children's Hospital Medical Center 4.268% 5/15/44 | 592,000 | 671,221 | |
Children's Hospital of Philadelphia 2.704% 7/1/50 | 1,964,000 | 1,728,870 | |
Cigna Corp.: | |||
1.25% 3/15/26 | 3,645,000 | 3,486,861 | |
2.375% 3/15/31 | 1,500,000 | 1,413,846 | |
3% 7/15/23 | 82,000 | 83,218 | |
3.75% 7/15/23 | 99,000 | 101,562 | |
4.125% 11/15/25 | 1,756,000 | 1,850,217 | |
4.375% 10/15/28 | 8,532,000 | 9,247,535 | |
4.5% 2/25/26 | 2,078,000 | 2,224,195 | |
4.8% 8/15/38 | 4,201,000 | 4,680,045 | |
4.8% 7/15/46 | 2,355,000 | 2,628,388 | |
4.9% 12/15/48 | 2,618,000 | 2,973,836 | |
6.125% 11/15/41 | 535,000 | 691,427 | |
CommonSpirit Health: | |||
3.91% 10/1/50 | 3,000,000 | 3,038,910 | |
4.35% 11/1/42 | 356,000 | 375,360 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 3,100,000 | 2,705,966 | |
2.875% 6/1/26 | 1,336,000 | 1,351,977 | |
3% 8/15/26 | 1,016,000 | 1,033,985 | |
3.25% 8/15/29 | 4,595,000 | 4,674,592 | |
3.75% 4/1/30 | 3,030,000 | 3,172,131 | |
3.875% 7/20/25 | 831,000 | 868,793 | |
4.1% 3/25/25 | 735,000 | 769,696 | |
4.3% 3/25/28 | 4,260,000 | 4,598,905 | |
4.875% 7/20/35 | 553,000 | 636,399 | |
5.05% 3/25/48 | 4,884,000 | 5,702,882 | |
5.125% 7/20/45 | 4,500,000 | 5,210,160 | |
5.3% 12/5/43 | 4,832,000 | 5,748,514 | |
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49 | 2,400,000 | 2,470,351 | |
HCA Holdings, Inc.: | |||
4.125% 6/15/29 | 1,540,000 | 1,614,014 | |
4.5% 2/15/27 | 5,500,000 | 5,829,127 | |
5.25% 6/15/26 | 1,499,000 | 1,623,130 | |
5.25% 6/15/49 | 3,120,000 | 3,549,074 | |
Humana, Inc.: | |||
1.35% 2/3/27 | 1,800,000 | 1,697,215 | |
2.15% 2/3/32 | 1,900,000 | 1,745,742 | |
3.85% 10/1/24 | 5,351,000 | 5,547,034 | |
3.95% 3/15/27 | 5,493,000 | 5,803,926 | |
4.95% 10/1/44 | 445,000 | 517,215 | |
Indiana University Health, Inc. 2.852% 11/1/51 | 3,600,000 | 3,304,171 | |
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50 | 2,292,000 | 2,447,504 | |
Kaiser Foundation Hospitals: | |||
2.81% 6/1/41 | 1,107,000 | 1,023,253 | |
3.266% 11/1/49 | 1,900,000 | 1,843,317 | |
4.15% 5/1/47 | 1,136,000 | 1,265,187 | |
4.875% 4/1/42 | 321,000 | 396,097 | |
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55 | 535,000 | 627,929 | |
MidMichigan Health 3.409% 6/1/50 | 833,000 | 810,377 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 624,000 | 696,367 | |
4.063% 8/1/56 | 469,000 | 538,873 | |
Novant Health, Inc. 3.168% 11/1/51 | 2,300,000 | 2,211,804 | |
NYU Hospitals Center 4.784% 7/1/44 | 1,355,000 | 1,579,501 | |
Orlando Health Obligated Group 3.327% 10/1/50 | 1,481,000 | 1,449,945 | |
Partners Healthcare System, Inc. 4.117% 7/1/55 | 624,000 | 727,580 | |
Piedmont Healthcare, Inc. 2.719% 1/1/42 | 2,688,000 | 2,398,081 | |
Providence St. Joseph Health Obligated Group 2.7% 10/1/51 | 3,600,000 | 3,064,656 | |
Quest Diagnostics, Inc. 2.95% 6/30/30 | 2,850,000 | 2,809,773 | |
Sutter Health 3.361% 8/15/50 | 3,600,000 | 3,434,521 | |
Trinity Health Corp. 2.632% 12/1/40 | 1,000,000 | 909,522 | |
UnitedHealth Group, Inc.: | |||
1.15% 5/15/26 | 1,800,000 | 1,723,254 | |
1.25% 1/15/26 | 1,100,000 | 1,063,549 | |
2% 5/15/30 | 1,500,000 | 1,417,717 | |
2.375% 10/15/22 | 2,000,000 | 2,015,080 | |
2.375% 8/15/24 | 956,000 | 968,703 | |
2.75% 5/15/40 | 5,332,000 | 4,926,440 | |
2.9% 5/15/50 | 1,100,000 | 1,006,878 | |
3.25% 5/15/51 | 1,800,000 | 1,747,902 | |
3.375% 4/15/27 | 963,000 | 1,010,699 | |
3.5% 6/15/23 | 1,586,000 | 1,624,997 | |
3.7% 8/15/49 | 1,728,000 | 1,789,188 | |
3.75% 7/15/25 | 5,080,000 | 5,323,175 | |
3.75% 10/15/47 | 1,704,000 | 1,758,378 | |
3.85% 6/15/28 | 5,270,000 | 5,647,799 | |
3.875% 12/15/28 | 371,000 | 399,343 | |
3.875% 8/15/59 | 1,798,000 | 1,895,226 | |
4.2% 1/15/47 | 642,000 | 710,628 | |
4.25% 6/15/48 | 370,000 | 412,766 | |
4.375% 3/15/42 | 2,103,000 | 2,346,193 | |
4.625% 7/15/35 | 1,100,000 | 1,267,505 | |
4.625% 11/15/41 | 1,000,000 | 1,155,786 | |
4.75% 7/15/45 | 297,000 | 351,967 | |
5.8% 3/15/36 | 1,100,000 | 1,407,098 | |
6.625% 11/15/37 | 1,100,000 | 1,537,726 | |
West Virginia University Health System Obligated Group 3.129% 6/1/50 | 1,400,000 | 1,281,115 | |
217,918,926 | |||
Life Sciences Tools & Services - 0.0% | |||
Danaher Corp. 4.375% 9/15/45 | 422,000 | 471,765 | |
PerkinElmer, Inc. 2.25% 9/15/31 | 1,900,000 | 1,738,115 | |
Thermo Fisher Scientific, Inc.: | |||
2.6% 10/1/29 | 788,000 | 776,303 | |
5.3% 2/1/44 | 1,038,000 | 1,310,140 | |
4,296,323 | |||
Pharmaceuticals - 0.8% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 5,100,000 | 4,887,526 | |
2.25% 5/28/31 | 2,100,000 | 2,017,513 | |
AstraZeneca PLC: | |||
4.375% 11/16/45 | 1,344,000 | 1,531,744 | |
4.375% 8/17/48 | 2,246,000 | 2,570,716 | |
6.45% 9/15/37 | 579,000 | 785,800 | |
Bayer U.S. Finance II LLC: | |||
2.85% 4/15/25 (b) | 682,000 | 681,593 | |
3.95% 4/15/45 (b) | 248,000 | 234,250 | |
Bristol-Myers Squibb Co.: | |||
2.35% 11/13/40 | 1,356,000 | 1,163,665 | |
2.9% 7/26/24 | 5,410,000 | 5,535,856 | |
3.2% 6/15/26 | 2,147,000 | 2,236,242 | |
3.25% 8/1/42 | 499,000 | 484,425 | |
3.4% 7/26/29 | 2,162,000 | 2,275,787 | |
3.9% 2/20/28 | 5,000,000 | 5,381,358 | |
4.125% 6/15/39 | 3,103,000 | 3,400,957 | |
4.25% 10/26/49 | 3,437,000 | 3,843,559 | |
4.35% 11/15/47 | 3,400,000 | 3,866,354 | |
4.55% 2/20/48 | 346,000 | 401,373 | |
5% 8/15/45 | 735,000 | 899,658 | |
Eli Lilly & Co.: | |||
2.25% 5/15/50 | 800,000 | 666,812 | |
3.95% 3/15/49 | 2,610,000 | 2,902,514 | |
GlaxoSmithKline Capital PLC 3% 6/1/24 | 4,550,000 | 4,643,298 | |
GlaxoSmithKline Capital, Inc. 6.375% 5/15/38 | 3,752,000 | 5,126,289 | |
Johnson & Johnson: | |||
0.55% 9/1/25 | 100,000 | 95,322 | |
1.3% 9/1/30 | 400,000 | 364,754 | |
2.1% 9/1/40 | 5,228,000 | 4,476,977 | |
2.45% 3/1/26 | 997,000 | 1,015,184 | |
2.45% 9/1/60 | 1,600,000 | 1,333,045 | |
3.4% 1/15/38 | 1,663,000 | 1,724,039 | |
3.5% 1/15/48 | 1,069,000 | 1,112,257 | |
3.625% 3/3/37 | 713,000 | 769,774 | |
4.5% 12/5/43 | 1,181,000 | 1,381,816 | |
4.85% 5/15/41 | 760,000 | 915,866 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 356,000 | 357,612 | |
2.9% 3/7/24 | 414,000 | 423,454 | |
3.6% 9/15/42 | 356,000 | 366,791 | |
3.7% 2/10/45 | 1,141,000 | 1,188,808 | |
3.9% 3/7/39 | 4,800,000 | 5,230,921 | |
4% 3/7/49 | 2,900,000 | 3,173,618 | |
Mylan NV 5.2% 4/15/48 | 2,735,000 | 2,944,655 | |
Novartis Capital Corp.: | |||
1.75% 2/14/25 | 1,000,000 | 993,822 | |
2.4% 5/17/22 | 2,067,000 | 2,071,501 | |
2.4% 9/21/22 | 668,000 | 672,706 | |
2.75% 8/14/50 | 2,900,000 | 2,639,955 | |
3% 11/20/25 | 1,866,000 | 1,922,605 | |
3.1% 5/17/27 | 49,000 | 50,699 | |
3.7% 9/21/42 | 504,000 | 533,434 | |
4% 11/20/45 | 934,000 | 1,028,554 | |
Perrigo Finance PLC: | |||
3.9% 6/15/30 | 1,691,000 | 1,550,701 | |
4.375% 3/15/26 | 441,000 | 442,080 | |
4.9% 12/15/44 | 322,000 | 298,526 | |
Pfizer, Inc.: | |||
2.55% 5/28/40 | 1,837,000 | 1,679,089 | |
2.7% 5/28/50 | 800,000 | 722,994 | |
2.95% 3/15/24 | 14,417,000 | 14,760,529 | |
3% 12/15/26 | 1,195,000 | 1,238,431 | |
3.2% 9/15/23 | 2,268,000 | 2,326,182 | |
3.45% 3/15/29 | 1,484,000 | 1,562,717 | |
3.9% 3/15/39 | 1,123,000 | 1,217,859 | |
4% 12/15/36 | 1,693,000 | 1,862,205 | |
4.125% 12/15/46 | 2,472,000 | 2,786,308 | |
4.2% 9/15/48 | 1,390,000 | 1,584,844 | |
4.3% 6/15/43 | 442,000 | 496,692 | |
4.4% 5/15/44 | 747,000 | 859,447 | |
7.2% 3/15/39 | 963,000 | 1,431,712 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.875% 9/23/23 | 85,000 | 86,096 | |
3.2% 9/23/26 | 6,983,000 | 7,167,442 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 3,710,000 | 3,441,874 | |
3.025% 7/9/40 | 3,356,000 | 3,030,123 | |
3.175% 7/9/50 | 1,800,000 | 1,612,094 | |
Utah Acquisition Sub, Inc.: | |||
3.95% 6/15/26 | 504,000 | 520,416 | |
5.25% 6/15/46 | 588,000 | 622,502 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 1,780,000 | 1,661,621 | |
4% 6/22/50 | 1,780,000 | 1,578,458 | |
Wyeth LLC 5.95% 4/1/37 | 1,000,000 | 1,310,598 | |
Zoetis, Inc.: | |||
3.25% 2/1/23 | 891,000 | 899,612 | |
3.95% 9/12/47 | 356,000 | 384,733 | |
4.7% 2/1/43 | 3,132,000 | 3,605,835 | |
153,067,178 | |||
TOTAL HEALTH CARE | 522,021,893 | ||
INDUSTRIALS - 2.2% | |||
Aerospace & Defense - 0.6% | |||
General Dynamics Corp.: | |||
3.375% 5/15/23 | 1,693,000 | 1,728,263 | |
3.75% 5/15/28 | 1,676,000 | 1,771,631 | |
4.25% 4/1/40 | 2,170,000 | 2,422,758 | |
4.25% 4/1/50 | 900,000 | 1,033,111 | |
L3Harris Technologies, Inc.: | |||
3.85% 12/15/26 | 1,330,000 | 1,396,517 | |
4.4% 6/15/28 | 5,400,000 | 5,825,770 | |
Lockheed Martin Corp.: | |||
3.55% 1/15/26 | 15,855,000 | 16,699,512 | |
4.09% 9/15/52 | 2,704,000 | 2,955,063 | |
4.7% 5/15/46 | 2,189,000 | 2,586,457 | |
Northrop Grumman Corp.: | |||
3.25% 1/15/28 | 1,497,000 | 1,529,425 | |
3.85% 4/15/45 | 335,000 | 342,873 | |
4.03% 10/15/47 | 3,356,000 | 3,539,274 | |
4.4% 5/1/30 | 2,958,000 | 3,259,243 | |
4.75% 6/1/43 | 1,713,000 | 1,971,278 | |
Raytheon Technologies Corp.: | |||
1.9% 9/1/31 | 6,600,000 | 6,010,705 | |
3.15% 12/15/24 | 1,586,000 | 1,621,104 | |
3.65% 8/16/23 | 480,000 | 492,157 | |
3.75% 11/1/46 | 686,000 | 693,292 | |
4.05% 5/4/47 | 2,548,000 | 2,681,346 | |
4.125% 11/16/28 | 5,752,000 | 6,215,009 | |
4.35% 4/15/47 | 1,176,000 | 1,291,906 | |
4.45% 11/16/38 | 3,300,000 | 3,676,532 | |
4.5% 6/1/42 | 1,315,000 | 1,470,654 | |
4.625% 11/16/48 | 1,247,000 | 1,440,518 | |
4.875% 10/15/40 | 178,000 | 205,328 | |
5.4% 5/1/35 | 1,060,000 | 1,283,677 | |
5.7% 4/15/40 | 1,356,000 | 1,719,800 | |
The Boeing Co.: | |||
2.125% 3/1/22 | 671,000 | 671,000 | |
2.196% 2/4/26 | 4,400,000 | 4,293,104 | |
2.5% 3/1/25 | 820,000 | 821,136 | |
2.7% 2/1/27 | 7,286,000 | 7,192,874 | |
2.8% 3/1/23 | 880,000 | 889,223 | |
2.95% 2/1/30 | 1,666,000 | 1,594,920 | |
3.625% 3/1/48 | 713,000 | 632,479 | |
3.65% 3/1/47 | 492,000 | 434,584 | |
3.75% 2/1/50 | 1,950,000 | 1,811,978 | |
5.15% 5/1/30 | 8,470,000 | 9,355,485 | |
5.705% 5/1/40 | 10,164,000 | 11,839,982 | |
5.805% 5/1/50 | 4,000,000 | 4,752,036 | |
6.875% 3/15/39 | 588,000 | 746,980 | |
120,898,984 | |||
Air Freight & Logistics - 0.1% | |||
FedEx Corp.: | |||
3.1% 8/5/29 | 2,300,000 | 2,334,742 | |
3.9% 2/1/35 | 1,052,000 | 1,097,220 | |
4.25% 5/15/30 | 1,866,000 | 2,021,261 | |
4.4% 1/15/47 | 1,425,000 | 1,505,321 | |
4.55% 4/1/46 | 267,000 | 290,674 | |
4.95% 10/17/48 | 2,731,000 | 3,114,413 | |
5.25% 5/15/50 | 2,143,000 | 2,570,089 | |
United Parcel Service, Inc.: | |||
2.4% 11/15/26 | 1,336,000 | 1,347,286 | |
3.4% 11/15/46 | 473,000 | 483,332 | |
3.75% 11/15/47 | 1,102,000 | 1,190,956 | |
4.45% 4/1/30 | 1,840,000 | 2,078,040 | |
5.3% 4/1/50 | 2,145,000 | 2,880,369 | |
6.2% 1/15/38 | 1,645,000 | 2,227,326 | |
23,141,029 | |||
Airlines - 0.1% | |||
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36 | 2,800,000 | 2,694,081 | |
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24 | 91,588 | 91,799 | |
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 1,062,655 | 1,045,852 | |
Southwest Airlines Co. 5.25% 5/4/25 | 7,660,000 | 8,282,125 | |
United Airlines 2015-1 Class AA pass-thru trust 3.45% 6/1/29 | 91,757 | 93,517 | |
United Airlines 2020-1 Class B Pass Through Trust 4.875% 7/15/27 | 3,110,400 | 3,174,566 | |
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30 | 1,284,901 | 1,300,251 | |
United Airlines, Inc. equipment trust certificate Series 2012-2B 4% 4/29/26 | 503,199 | 512,168 | |
17,194,359 | |||
Building Products - 0.1% | |||
Carrier Global Corp.: | |||
2.242% 2/15/25 | 2,700,000 | 2,692,391 | |
2.493% 2/15/27 | 2,000,000 | 1,989,613 | |
2.722% 2/15/30 | 3,000,000 | 2,917,524 | |
3.377% 4/5/40 | 2,702,000 | 2,539,531 | |
3.577% 4/5/50 | 2,550,000 | 2,425,135 | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75% 9/15/30 | 6,320,000 | 5,759,585 | |
Masco Corp.: | |||
2% 2/15/31 | 2,500,000 | 2,266,435 | |
3.125% 2/15/51 | 1,200,000 | 1,043,401 | |
Owens Corning 4.3% 7/15/47 | 1,600,000 | 1,689,240 | |
23,322,855 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc.: | |||
1.75% 2/15/32 | 2,300,000 | 2,051,212 | |
2.9% 7/1/26 | 7,752,000 | 7,861,082 | |
3.2% 3/15/25 | 2,009,000 | 2,055,016 | |
3.95% 5/15/28 | 1,872,000 | 1,988,580 | |
Waste Management, Inc.: | |||
2.4% 5/15/23 | 945,000 | 951,417 | |
2.5% 11/15/50 | 3,780,000 | 3,166,346 | |
2.9% 9/15/22 | 1,190,000 | 1,196,184 | |
4.15% 7/15/49 | 462,000 | 515,792 | |
19,785,629 | |||
Electrical Equipment - 0.1% | |||
Eaton Corp.: | |||
2.75% 11/2/22 | 1,020,000 | 1,029,881 | |
4% 11/2/32 | 2,939,000 | 3,207,979 | |
4.15% 11/2/42 | 339,000 | 363,995 | |
4,601,855 | |||
Industrial Conglomerates - 0.2% | |||
3M Co.: | |||
2% 6/26/22 | 713,000 | 715,334 | |
2% 2/14/25 | 4,092,000 | 4,077,408 | |
2.875% 10/15/27 | 12,000 | 12,330 | |
3.05% 4/15/30 | 8,000,000 | 8,188,939 | |
3.125% 9/19/46 | 492,000 | 463,795 | |
3.25% 8/26/49 | 1,508,000 | 1,438,125 | |
3.625% 10/15/47 | 1,900,000 | 1,911,150 | |
General Electric Co.: | |||
4.35% 5/1/50 | 2,400,000 | 2,689,144 | |
4.5% 3/11/44 | 5,413,000 | 6,031,516 | |
6.75% 3/15/32 | 863,000 | 1,114,040 | |
Honeywell International, Inc.: | |||
1.35% 6/1/25 | 1,800,000 | 1,761,875 | |
1.95% 6/1/30 | 100,000 | 94,257 | |
2.5% 11/1/26 | 1,276,000 | 1,291,820 | |
2.8% 6/1/50 | 2,800,000 | 2,647,264 | |
3.812% 11/21/47 | 249,000 | 273,873 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 1,200,000 | 1,195,956 | |
1% 9/15/25 | 1,810,000 | 1,721,652 | |
1.4% 9/15/27 | 144,000 | 134,322 | |
1.75% 2/15/31 | 1,860,000 | 1,644,470 | |
2% 6/30/30 | 3,360,000 | 3,059,442 | |
3.8% 12/15/26 | 1,515,000 | 1,593,417 | |
42,060,129 | |||
Machinery - 0.3% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 3,800,000 | 3,733,224 | |
1.7% 1/8/27 | 5,500,000 | 5,369,782 | |
2.4% 6/6/22 | 82,000 | 82,353 | |
2.4% 8/9/26 | 508,000 | 513,222 | |
2.85% 6/1/22 | 713,000 | 716,535 | |
3.45% 5/15/23 | 2,496,000 | 2,558,447 | |
Caterpillar, Inc.: | |||
2.6% 4/9/30 | 4,000,000 | 3,996,630 | |
3.25% 9/19/49 | 4,273,000 | 4,205,289 | |
3.803% 8/15/42 | 445,000 | 473,422 | |
5.3% 9/15/35 | 1,247,000 | 1,551,134 | |
Cummins, Inc. 1.5% 9/1/30 | 3,890,000 | 3,491,396 | |
Deere & Co.: | |||
2.875% 9/7/49 | 2,470,000 | 2,266,015 | |
5.375% 10/16/29 | 1,278,000 | 1,522,323 | |
Illinois Tool Works, Inc. 3.9% 9/1/42 | 2,300,000 | 2,438,302 | |
Ingersoll-Rand Luxembourg Finance SA: | |||
3.8% 3/21/29 | 2,557,000 | 2,681,345 | |
4.65% 11/1/44 | 1,069,000 | 1,209,344 | |
Otis Worldwide Corp.: | |||
2.565% 2/15/30 | 3,000,000 | 2,900,023 | |
3.362% 2/15/50 | 2,000,000 | 1,863,890 | |
Parker Hannifin Corp.: | |||
2.7% 6/14/24 | 12,440,000 | 12,594,200 | |
3.25% 3/1/27 | 1,007,000 | 1,042,373 | |
4.1% 3/1/47 | 1,009,000 | 1,065,148 | |
Stanley Black & Decker, Inc. 2.3% 3/15/30 | 6,550,000 | 6,304,509 | |
62,578,906 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.35% 5/15/26 | 1,247,000 | 1,289,780 | |
Road & Rail - 0.5% | |||
Burlington Northern Santa Fe LLC: | |||
3% 3/15/23 | 499,000 | 505,522 | |
3.25% 6/15/27 | 36,000 | 37,818 | |
3.85% 9/1/23 | 80,000 | 82,608 | |
3.9% 8/1/46 | 827,000 | 870,736 | |
4.05% 6/15/48 | 3,755,000 | 4,075,702 | |
4.125% 6/15/47 | 508,000 | 564,619 | |
4.15% 4/1/45 | 303,000 | 329,546 | |
4.375% 9/1/42 | 802,000 | 898,261 | |
4.55% 9/1/44 | 535,000 | 611,292 | |
4.7% 9/1/45 | 418,000 | 490,866 | |
4.9% 4/1/44 | 713,000 | 859,428 | |
5.15% 9/1/43 | 2,203,000 | 2,725,944 | |
5.75% 5/1/40 | 1,100,000 | 1,411,972 | |
Canadian National Railway Co.: | |||
2.45% 5/1/50 | 2,900,000 | 2,419,533 | |
3.2% 8/2/46 | 588,000 | 565,035 | |
3.65% 2/3/48 | 1,127,000 | 1,154,021 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 3,800,000 | 3,685,492 | |
2.45% 12/2/31 | 3,800,000 | 3,646,981 | |
3.1% 12/2/51 | 3,800,000 | 3,445,082 | |
4.8% 8/1/45 | 1,500,000 | 1,727,212 | |
CSX Corp.: | |||
2.5% 5/15/51 | 85,000 | 70,036 | |
3.25% 6/1/27 | 91,000 | 94,258 | |
3.35% 11/1/25 | 4,900,000 | 5,066,690 | |
3.4% 8/1/24 | 825,000 | 850,211 | |
3.8% 11/1/46 | 1,019,000 | 1,035,649 | |
3.95% 5/1/50 | 637,000 | 668,448 | |
4.1% 3/15/44 | 1,207,000 | 1,279,097 | |
4.25% 3/15/29 | 3,300,000 | 3,584,127 | |
4.3% 3/1/48 | 1,600,000 | 1,749,147 | |
4.5% 3/15/49 | 1,729,000 | 1,949,627 | |
4.75% 11/15/48 | 1,032,000 | 1,203,366 | |
Kansas City Southern/Old 3.5% 5/1/50 | 3,200,000 | 3,055,636 | |
Norfolk Southern Corp.: | |||
2.3% 5/15/31 | 1,000,000 | 964,833 | |
3% 4/1/22 | 1,336,000 | 1,338,030 | |
3.65% 8/1/25 | 2,139,000 | 2,229,368 | |
3.8% 8/1/28 | 1,740,000 | 1,841,366 | |
3.95% 10/1/42 | 339,000 | 353,889 | |
4.05% 8/15/52 | 1,234,000 | 1,309,549 | |
4.15% 2/28/48 | 4,436,000 | 4,742,291 | |
4.65% 1/15/46 | 582,000 | 662,970 | |
Union Pacific Corp.: | |||
2.15% 2/5/27 | 1,800,000 | 1,775,440 | |
2.75% 3/1/26 | 1,187,000 | 1,205,008 | |
2.891% 4/6/36 | 7,001,000 | 6,772,177 | |
3% 4/15/27 | 891,000 | 916,376 | |
3.25% 2/5/50 | 2,700,000 | 2,592,731 | |
3.35% 8/15/46 | 841,000 | 813,446 | |
3.5% 6/8/23 | 2,000,000 | 2,046,736 | |
3.6% 9/15/37 | 588,000 | 603,761 | |
3.646% 2/15/24 | 2,975,000 | 3,068,420 | |
3.799% 10/1/51 | 499,000 | 518,716 | |
3.799% 4/6/71 | 2,083,000 | 2,098,900 | |
3.839% 3/20/60 | 2,844,000 | 2,921,632 | |
4.163% 7/15/22 | 2,330,000 | 2,338,063 | |
91,827,664 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 1,000,000 | 968,950 | |
2.625% 7/1/22 | 1,679,000 | 1,683,085 | |
2.75% 1/15/23 | 1,782,000 | 1,796,720 | |
3.125% 12/1/30 | 1,120,000 | 1,079,540 | |
3.625% 12/1/27 | 4,145,000 | 4,194,961 | |
3.75% 6/1/26 | 3,707,000 | 3,811,570 | |
3.875% 7/3/23 | 5,600,000 | 5,725,099 | |
4.25% 2/1/24 | 2,345,000 | 2,421,386 | |
21,681,311 | |||
TOTAL INDUSTRIALS | 428,382,501 | ||
INFORMATION TECHNOLOGY - 2.2% | |||
Communications Equipment - 0.1% | |||
Cisco Systems, Inc.: | |||
2.2% 9/20/23 | 39,000 | 39,286 | |
2.5% 9/20/26 | 91,000 | 93,002 | |
3.5% 6/15/25 | 761,000 | 797,408 | |
5.9% 2/15/39 | 4,673,000 | 6,173,573 | |
Motorola Solutions, Inc. 5.5% 9/1/44 | 1,400,000 | 1,641,885 | |
8,745,154 | |||
Electronic Equipment & Components - 0.1% | |||
Corning, Inc.: | |||
3.9% 11/15/49 | 3,700,000 | 3,727,579 | |
4.75% 3/15/42 | 891,000 | 1,025,947 | |
5.35% 11/15/48 | 1,000,000 | 1,250,542 | |
Dell International LLC/EMC Corp.: | |||
4% 7/15/24 | 2,050,000 | 2,127,050 | |
4.9% 10/1/26 | 1,685,000 | 1,825,156 | |
5.3% 10/1/29 | 6,046,000 | 6,742,592 | |
6.02% 6/15/26 | 2,877,000 | 3,210,297 | |
8.1% 7/15/36 | 3,200,000 | 4,431,256 | |
8.35% 7/15/46 | 1,049,000 | 1,590,791 | |
Tyco Electronics Group SA: | |||
3.45% 8/1/24 | 651,000 | 667,572 | |
7.125% 10/1/37 | 441,000 | 630,819 | |
27,229,601 | |||
IT Services - 0.6% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 5,500,000 | 5,377,625 | |
Fidelity National Information Services, Inc.: | |||
1.15% 3/1/26 | 5,023,000 | 4,742,297 | |
2.25% 3/1/31 | 4,000,000 | 3,642,032 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 10,000 | 10,102 | |
3.5% 7/1/29 | 4,099,000 | 4,153,342 | |
4.4% 7/1/49 | 2,682,000 | 2,858,801 | |
Global Payments, Inc.: | |||
1.2% 3/1/26 | 7,100,000 | 6,701,586 | |
2.9% 5/15/30 | 4,600,000 | 4,425,928 | |
4.8% 4/1/26 | 1,000,000 | 1,072,441 | |
IBM Corp.: | |||
1.95% 5/15/30 | 2,400,000 | 2,253,697 | |
2.95% 5/15/50 | 2,400,000 | 2,151,504 | |
3% 5/15/24 | 2,333,000 | 2,386,138 | |
3.5% 5/15/29 | 111,000 | 116,348 | |
3.625% 2/12/24 | 11,102,000 | 11,509,921 | |
4% 6/20/42 | 1,000,000 | 1,050,413 | |
4.15% 5/15/39 | 353,000 | 376,671 | |
4.25% 5/15/49 | 4,581,000 | 5,020,229 | |
4.7% 2/19/46 | 882,000 | 1,029,121 | |
MasterCard, Inc.: | |||
2.95% 6/1/29 | 2,430,000 | 2,495,914 | |
3.3% 3/26/27 | 1,600,000 | 1,680,739 | |
3.8% 11/21/46 | 677,000 | 724,071 | |
3.85% 3/26/50 | 4,600,000 | 4,999,940 | |
PayPal Holdings, Inc.: | |||
1.65% 6/1/25 | 4,300,000 | 4,213,390 | |
2.3% 6/1/30 | 2,800,000 | 2,667,189 | |
2.4% 10/1/24 | 1,000,000 | 1,007,945 | |
2.85% 10/1/29 | 3,160,000 | 3,147,240 | |
The Western Union Co. 2.85% 1/10/25 | 2,130,000 | 2,156,502 | |
Visa, Inc.: | |||
1.9% 4/15/27 | 5,100,000 | 5,026,745 | |
2.05% 4/15/30 | 13,400,000 | 12,977,395 | |
2.7% 4/15/40 | 1,000,000 | 940,268 | |
2.75% 9/15/27 | 2,125,000 | 2,177,093 | |
3.15% 12/14/25 | 1,606,000 | 1,664,222 | |
4.3% 12/14/45 | 2,719,000 | 3,146,994 | |
107,903,843 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Analog Devices, Inc. 2.8% 10/1/41 | 3,500,000 | 3,226,174 | |
Applied Materials, Inc.: | |||
2.75% 6/1/50 | 1,200,000 | 1,081,811 | |
4.35% 4/1/47 | 2,303,000 | 2,648,913 | |
Broadcom Corp./Broadcom Cayman LP: | |||
3.5% 1/15/28 | 1,247,000 | 1,273,269 | |
3.875% 1/15/27 | 3,047,000 | 3,172,532 | |
Broadcom, Inc.: | |||
2.45% 2/15/31 (b) | 3,200,000 | 2,956,067 | |
2.6% 2/15/33 (b) | 3,600,000 | 3,285,415 | |
3.15% 11/15/25 | 4,600,000 | 4,686,361 | |
3.419% 4/15/33 (b) | 2,500,000 | 2,437,832 | |
3.459% 9/15/26 | 3,250,000 | 3,345,886 | |
3.469% 4/15/34 (b) | 3,397,000 | 3,279,206 | |
3.75% 2/15/51 (b) | 3,200,000 | 2,985,931 | |
4.3% 11/15/32 | 1,700,000 | 1,791,135 | |
4.75% 4/15/29 | 3,167,000 | 3,441,425 | |
5% 4/15/30 | 4,750,000 | 5,244,822 | |
Intel Corp.: | |||
2.35% 5/11/22 | 3,030,000 | 3,036,311 | |
3.05% 8/12/51 | 2,100,000 | 1,907,195 | |
3.25% 11/15/49 | 2,050,000 | 1,920,259 | |
3.734% 12/8/47 | 583,000 | 587,777 | |
3.9% 3/25/30 | 4,700,000 | 5,058,512 | |
4.1% 5/19/46 | 1,247,000 | 1,327,802 | |
4.1% 5/11/47 | 428,000 | 456,072 | |
4.6% 3/25/40 | 1,869,000 | 2,115,798 | |
4.75% 3/25/50 | 4,291,000 | 5,016,672 | |
4.95% 3/25/60 | 1,000,000 | 1,227,016 | |
Lam Research Corp. 2.875% 6/15/50 | 2,800,000 | 2,497,397 | |
Micron Technology, Inc. 5.327% 2/6/29 | 2,750,000 | 3,064,243 | |
NVIDIA Corp.: | |||
2% 6/15/31 | 1,200,000 | 1,128,431 | |
2.85% 4/1/30 | 88,000 | 89,089 | |
3.5% 4/1/50 | 2,300,000 | 2,368,707 | |
NXP BV/NXP Funding LLC 5.55% 12/1/28 (b) | 1,300,000 | 1,477,683 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.65% 2/15/32 (b) | 2,200,000 | 2,070,411 | |
3.25% 5/11/41 (b) | 1,700,000 | 1,557,137 | |
4.3% 6/18/29 (b) | 4,080,000 | 4,346,521 | |
Qualcomm, Inc.: | |||
1.65% 5/20/32 | 2,200,000 | 1,980,072 | |
2.6% 1/30/23 | 1,336,000 | 1,352,032 | |
3.25% 5/20/27 | 20,000 | 20,848 | |
4.3% 5/20/47 | 1,800,000 | 2,032,546 | |
4.65% 5/20/35 | 1,200,000 | 1,389,280 | |
4.8% 5/20/45 | 2,790,000 | 3,317,970 | |
Texas Instruments, Inc. 4.15% 5/15/48 | 1,613,000 | 1,830,554 | |
98,033,114 | |||
Software - 0.5% | |||
Microsoft Corp.: | |||
2.525% 6/1/50 | 5,390,000 | 4,782,760 | |
2.675% 6/1/60 | 1,815,000 | 1,600,019 | |
2.7% 2/12/25 | 61,000 | 62,743 | |
2.875% 2/6/24 | 80,000 | 81,915 | |
2.921% 3/17/52 | 15,678,000 | 14,969,735 | |
3.041% 3/17/62 | 736,000 | 702,418 | |
3.45% 8/8/36 | 518,000 | 555,554 | |
3.625% 12/15/23 | 3,761,000 | 3,908,382 | |
Oracle Corp.: | |||
2.5% 5/15/22 | 1,711,000 | 1,712,834 | |
2.5% 4/1/25 | 9,270,000 | 9,257,543 | |
2.625% 2/15/23 | 1,782,000 | 1,793,688 | |
2.65% 7/15/26 | 1,604,000 | 1,593,010 | |
2.875% 3/25/31 | 5,200,000 | 4,963,175 | |
2.95% 11/15/24 | 4,600,000 | 4,661,409 | |
2.95% 5/15/25 | 891,000 | 897,623 | |
3.25% 11/15/27 | 3,047,000 | 3,081,720 | |
3.4% 7/8/24 | 842,000 | 861,376 | |
3.6% 4/1/50 | 500,000 | 434,659 | |
3.85% 7/15/36 | 1,805,000 | 1,734,702 | |
3.85% 4/1/60 | 3,600,000 | 3,102,613 | |
3.9% 5/15/35 | 3,200,000 | 3,135,909 | |
3.95% 3/25/51 | 5,200,000 | 4,763,415 | |
4% 7/15/46 | 1,746,000 | 1,604,700 | |
4% 11/15/47 | 4,491,000 | 4,098,635 | |
4.1% 3/25/61 | 1,520,000 | 1,377,738 | |
4.125% 5/15/45 | 535,000 | 497,520 | |
4.3% 7/8/34 | 1,691,000 | 1,746,135 | |
4.375% 5/15/55 | 2,781,000 | 2,637,322 | |
5.375% 7/15/40 | 2,898,000 | 3,189,244 | |
Salesforce.com, Inc. 2.9% 7/15/51 | 5,900,000 | 5,349,970 | |
VMware, Inc.: | |||
1% 8/15/24 | 7,800,000 | 7,574,358 | |
1.4% 8/15/26 | 8,200,000 | 7,771,917 | |
104,504,741 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Apple, Inc.: | |||
0.7% 2/8/26 | 700,000 | 669,380 | |
1.7% 8/5/31 | 2,700,000 | 2,502,758 | |
2.1% 9/12/22 | 1,515,000 | 1,523,904 | |
2.2% 9/11/29 | 6,000,000 | 5,889,205 | |
2.3% 5/11/22 | 1,425,000 | 1,428,256 | |
2.375% 2/8/41 | 5,500,000 | 4,898,687 | |
2.4% 1/13/23 | 5,347,000 | 5,396,611 | |
2.45% 8/4/26 | 3,672,000 | 3,727,848 | |
2.55% 8/20/60 | 3,400,000 | 2,817,161 | |
2.65% 5/11/50 | 2,594,000 | 2,301,453 | |
2.7% 5/13/22 | 1,186,000 | 1,190,546 | |
2.85% 8/5/61 | 2,700,000 | 2,398,780 | |
2.9% 9/12/27 | 4,000 | 4,127 | |
2.95% 9/11/49 | 2,630,000 | 2,451,819 | |
3% 11/13/27 | 1,782,000 | 1,852,567 | |
3.2% 5/13/25 | 1,870,000 | 1,937,679 | |
3.2% 5/11/27 | 8,593,000 | 8,988,625 | |
3.75% 11/13/47 | 1,243,000 | 1,328,033 | |
3.85% 5/4/43 | 4,217,000 | 4,534,548 | |
4.25% 2/9/47 | 445,000 | 507,795 | |
4.375% 5/13/45 | 836,000 | 955,672 | |
4.5% 2/23/36 | 1,651,000 | 1,940,815 | |
4.65% 2/23/46 | 4,507,000 | 5,468,427 | |
Hewlett Packard Enterprise Co.: | |||
4.9% 10/15/25 (a) | 1,737,000 | 1,863,314 | |
6.2% 10/15/35 (a) | 776,000 | 927,929 | |
6.35% 10/15/45 (a) | 1,669,000 | 1,990,323 | |
HP, Inc.: | |||
2.2% 6/17/25 | 2,800,000 | 2,781,863 | |
3.4% 6/17/30 | 2,820,000 | 2,847,465 | |
6% 9/15/41 | 1,367,000 | 1,633,070 | |
76,758,660 | |||
TOTAL INFORMATION TECHNOLOGY | 423,175,113 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.4% | |||
Air Products & Chemicals, Inc.: | |||
1.5% 10/15/25 | 1,500,000 | 1,468,645 | |
2.7% 5/15/40 | 1,561,000 | 1,421,281 | |
2.8% 5/15/50 | 1,000,000 | 896,018 | |
CF Industries Holdings, Inc. 5.375% 3/15/44 | 2,000,000 | 2,253,320 | |
DuPont de Nemours, Inc.: | |||
4.205% 11/15/23 | 31,000 | 32,108 | |
4.725% 11/15/28 | 3,056,000 | 3,381,561 | |
5.319% 11/15/38 | 3,700,000 | 4,398,587 | |
5.419% 11/15/48 | 1,000,000 | 1,254,975 | |
Eastman Chemical Co.: | |||
4.5% 12/1/28 | 2,700,000 | 2,923,575 | |
4.65% 10/15/44 | 535,000 | 585,136 | |
Ecolab, Inc.: | |||
2.7% 11/1/26 | 1,176,000 | 1,196,168 | |
2.75% 8/18/55 | 73,000 | 63,108 | |
3.95% 12/1/47 | 593,000 | 645,866 | |
4.8% 3/24/30 | 1,745,000 | 1,997,094 | |
International Flavors & Fragrances, Inc. 5% 9/26/48 | 1,500,000 | 1,714,769 | |
Linde, Inc./Connecticut: | |||
2.2% 8/15/22 | 356,000 | 356,938 | |
3.2% 1/30/26 | 1,130,000 | 1,173,827 | |
3.55% 11/7/42 | 1,356,000 | 1,431,644 | |
LYB International Finance BV: | |||
4% 7/15/23 | 569,000 | 585,243 | |
4.875% 3/15/44 | 1,043,000 | 1,146,512 | |
LYB International Finance II BV 3.5% 3/2/27 | 4,361,000 | 4,531,469 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 2,000,000 | 1,871,794 | |
3.625% 4/1/51 | 2,000,000 | 1,888,646 | |
4.2% 10/15/49 | 1,500,000 | 1,517,575 | |
LyondellBasell Industries NV 4.625% 2/26/55 | 667,000 | 700,082 | |
Nutrien Ltd.: | |||
2.95% 5/13/30 | 2,600,000 | 2,587,854 | |
4% 12/15/26 | 2,032,000 | 2,163,378 | |
4.2% 4/1/29 | 921,000 | 994,894 | |
5% 4/1/49 | 1,605,000 | 1,937,050 | |
5.25% 1/15/45 | 624,000 | 752,978 | |
5.625% 12/1/40 | 321,000 | 397,552 | |
Sherwin-Williams Co.: | |||
2.75% 6/1/22 | 42,000 | 42,097 | |
3.45% 6/1/27 | 5,613,000 | 5,839,238 | |
4.5% 6/1/47 | 1,520,000 | 1,667,289 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 4,695,000 | 4,377,898 | |
3.6% 11/15/50 | 2,883,000 | 2,757,045 | |
3.625% 5/15/26 | 1,767,000 | 1,844,611 | |
4.375% 11/15/42 | 869,000 | 929,330 | |
4.8% 11/30/28 | 1,524,000 | 1,697,095 | |
4.8% 5/15/49 | 1,277,000 | 1,443,818 | |
9.4% 5/15/39 | 535,000 | 898,811 | |
The Mosaic Co.: | |||
4.05% 11/15/27 | 2,727,000 | 2,882,843 | |
4.25% 11/15/23 | 1,941,000 | 2,006,762 | |
5.625% 11/15/43 | 668,000 | 825,608 | |
Westlake Corp.: | |||
3.6% 8/15/26 | 10,080,000 | 10,469,028 | |
5% 8/15/46 | 356,000 | 404,012 | |
86,355,132 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc.: | |||
3.2% 7/15/51 | 1,000,000 | 890,792 | |
4.25% 12/15/47 | 1,400,000 | 1,466,188 | |
2,356,980 | |||
Containers & Packaging - 0.1% | |||
International Paper Co.: | |||
4.4% 8/15/47 | 854,000 | 929,154 | |
5% 9/15/35 | 2,600,000 | 3,058,042 | |
5.15% 5/15/46 | 2,281,000 | 2,745,587 | |
WRKCo, Inc. 3% 6/15/33 | 2,820,000 | 2,723,033 | |
9,455,816 | |||
Metals & Mining - 0.2% | |||
Barrick Gold Corp. 5.25% 4/1/42 | 802,000 | 939,431 | |
Barrick North America Finance LLC 5.7% 5/30/41 | 2,354,000 | 2,929,788 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,000,000 | 1,260,778 | |
BHP Billiton Financial (U.S.A.) Ltd. 5% 9/30/43 | 3,615,000 | 4,361,538 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 1,100,000 | 1,027,888 | |
5.45% 6/9/44 | 1,141,000 | 1,388,538 | |
6.25% 10/1/39 | 2,100,000 | 2,709,223 | |
Nucor Corp.: | |||
2.979% 12/15/55 | 2,013,000 | 1,732,002 | |
4% 8/1/23 | 535,000 | 549,207 | |
Rio Tinto Finance (U.S.A.) Ltd.: | |||
5.2% 11/2/40 | 3,917,000 | 4,769,554 | |
7.125% 7/15/28 | 2,166,000 | 2,705,482 | |
Southern Copper Corp.: | |||
3.875% 4/23/25 | 2,654,000 | 2,723,336 | |
5.25% 11/8/42 | 1,029,000 | 1,181,292 | |
5.875% 4/23/45 | 3,010,000 | 3,728,412 | |
Vale Overseas Ltd.: | |||
3.75% 7/8/30 | 4,600,000 | 4,517,200 | |
6.875% 11/21/36 | 1,700,000 | 2,069,750 | |
Vale SA 5.625% 9/11/42 | 1,176,000 | 1,286,556 | |
39,879,975 | |||
Paper & Forest Products - 0.0% | |||
Suzano Austria GmbH: | |||
2.5% 9/15/28 | 3,800,000 | 3,457,050 | |
6% 1/15/29 | 4,000,000 | 4,367,000 | |
7,824,050 | |||
TOTAL MATERIALS | 145,871,953 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 2,000,000 | 1,809,342 | |
3% 5/18/51 | 2,250,000 | 1,973,015 | |
4.85% 4/15/49 | 2,300,000 | 2,688,134 | |
American Tower Corp.: | |||
1.3% 9/15/25 | 1,400,000 | 1,339,947 | |
2.1% 6/15/30 | 1,500,000 | 1,358,232 | |
3.1% 6/15/50 | 1,500,000 | 1,257,730 | |
3.55% 7/15/27 | 3,124,000 | 3,207,070 | |
3.6% 1/15/28 | 511,000 | 524,203 | |
3.8% 8/15/29 | 5,241,000 | 5,411,486 | |
AvalonBay Communities, Inc.: | |||
2.45% 1/15/31 | 2,000,000 | 1,952,037 | |
2.95% 5/11/26 | 4,800,000 | 4,921,028 | |
3.45% 6/1/25 | 8,100,000 | 8,366,716 | |
Boston Properties, Inc.: | |||
2.75% 10/1/26 | 1,247,000 | 1,250,765 | |
2.9% 3/15/30 | 396,000 | 385,526 | |
3.125% 9/1/23 | 339,000 | 344,273 | |
3.4% 6/21/29 | 5,000,000 | 5,110,846 | |
3.8% 2/1/24 | 2,128,000 | 2,187,135 | |
4.5% 12/1/28 | 2,800,000 | 3,057,197 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 2,169,000 | 2,080,720 | |
2.25% 1/15/31 | 3,900,000 | 3,514,887 | |
3.25% 1/15/51 | 2,380,000 | 2,042,000 | |
3.65% 9/1/27 | 3,123,000 | 3,229,576 | |
3.8% 2/15/28 | 3,000,000 | 3,119,602 | |
4.3% 2/15/29 | 2,600,000 | 2,744,198 | |
4.45% 2/15/26 | 2,000,000 | 2,114,523 | |
Duke Realty LP 1.75% 2/1/31 | 4,700,000 | 4,231,846 | |
Equinix, Inc.: | |||
1.45% 5/15/26 | 4,119,000 | 3,919,219 | |
2.5% 5/15/31 | 3,600,000 | 3,329,130 | |
ERP Operating LP: | |||
1.85% 8/1/31 | 3,100,000 | 2,873,646 | |
3% 4/15/23 | 335,000 | 339,062 | |
3% 7/1/29 | 3,570,000 | 3,612,773 | |
3.25% 8/1/27 | 2,314,000 | 2,394,152 | |
Healthpeak Properties, Inc.: | |||
2.875% 1/15/31 | 3,150,000 | 3,096,181 | |
3% 1/15/30 | 3,700,000 | 3,682,410 | |
3.4% 2/1/25 | 87,000 | 89,601 | |
Kilroy Realty LP 3.05% 2/15/30 | 3,200,000 | 3,134,829 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 3,000,000 | 2,835,649 | |
3.5% 4/15/23 | 677,000 | 686,252 | |
3.8% 4/1/27 | 713,000 | 749,107 | |
4.125% 12/1/46 | 1,782,000 | 1,843,079 | |
4.45% 9/1/47 | 924,000 | 1,006,282 | |
National Retail Properties, Inc. 3% 4/15/52 | 2,400,000 | 1,999,367 | |
Omega Healthcare Investors, Inc.: | |||
3.375% 2/1/31 | 1,000,000 | 945,933 | |
4.375% 8/1/23 | 294,000 | 301,632 | |
4.5% 1/15/25 | 1,428,000 | 1,487,182 | |
4.5% 4/1/27 | 3,693,000 | 3,898,087 | |
Prologis LP: | |||
1.25% 10/15/30 | 6,800,000 | 5,995,778 | |
2.25% 4/15/30 | 2,159,000 | 2,068,231 | |
3.25% 10/1/26 | 831,000 | 863,956 | |
Realty Income Corp.: | |||
2.85% 12/15/32 | 2,610,000 | 2,538,137 | |
3.25% 1/15/31 | 5,250,000 | 5,322,887 | |
Regency Centers LP 3.7% 6/15/30 | 2,020,000 | 2,106,638 | |
Simon Property Group LP: | |||
2.2% 2/1/31 | 1,700,000 | 1,590,261 | |
2.45% 9/13/29 | 2,340,000 | 2,260,099 | |
3.25% 9/13/49 | 420,000 | 385,914 | |
3.3% 1/15/26 | 5,700,000 | 5,841,374 | |
3.375% 10/1/24 | 1,600,000 | 1,645,996 | |
3.375% 12/1/27 | 4,210,000 | 4,340,069 | |
3.8% 7/15/50 | 2,369,000 | 2,390,961 | |
UDR, Inc. 2.1% 6/15/33 | 3,800,000 | 3,358,683 | |
Ventas Realty LP: | |||
3.25% 10/15/26 | 624,000 | 638,513 | |
3.5% 2/1/25 | 713,000 | 734,510 | |
3.85% 4/1/27 | 1,693,000 | 1,783,333 | |
4% 3/1/28 | 3,744,000 | 3,978,907 | |
4.125% 1/15/26 | 258,000 | 273,253 | |
4.375% 2/1/45 | 535,000 | 565,043 | |
4.875% 4/15/49 | 1,000,000 | 1,150,904 | |
Welltower, Inc.: | |||
4% 6/1/25 | 2,257,000 | 2,362,924 | |
4.95% 9/1/48 | 1,782,000 | 2,114,402 | |
Weyerhaeuser Co. 4% 4/15/30 | 2,460,000 | 2,614,818 | |
169,371,198 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP 3.95% 2/15/23 | 677,000 | 684,754 | |
CBRE Group, Inc. 4.875% 3/1/26 | 1,016,000 | 1,101,418 | |
Digital Realty Trust LP 3.7% 8/15/27 | 1,425,000 | 1,490,530 | |
Essex Portfolio LP 2.65% 3/15/32 | 4,300,000 | 4,112,800 | |
Mid-America Apartments LP: | |||
1.7% 2/15/31 | 2,100,000 | 1,898,387 | |
3.95% 3/15/29 | 1,700,000 | 1,819,303 | |
Tanger Properties LP 3.875% 7/15/27 | 1,105,000 | 1,142,307 | |
12,249,499 | |||
TOTAL REAL ESTATE | 181,620,697 | ||
UTILITIES - 2.1% | |||
Electric Utilities - 1.5% | |||
AEP Texas, Inc. 3.45% 5/15/51 | 1,500,000 | 1,361,866 | |
AEP Transmission Co. LLC 2.75% 8/15/51 | 3,000,000 | 2,560,674 | |
Alabama Power Co.: | |||
3.7% 12/1/47 | 1,049,000 | 1,063,197 | |
3.75% 3/1/45 | 178,000 | 176,904 | |
4.15% 8/15/44 | 829,000 | 878,807 | |
4.3% 7/15/48 | 1,048,000 | 1,135,047 | |
5.2% 6/1/41 | 686,000 | 804,942 | |
6% 3/1/39 | 1,800,000 | 2,310,508 | |
American Electric Power Co., Inc.: | |||
2.95% 12/15/22 | 713,000 | 719,379 | |
3.25% 3/1/50 | 2,003,000 | 1,753,041 | |
4.3% 12/1/28 | 3,117,000 | 3,344,923 | |
Appalachian Power Co. 4.45% 6/1/45 | 1,069,000 | 1,125,123 | |
Arizona Public Service Co. 3.35% 5/15/50 | 4,100,000 | 3,656,483 | |
Baltimore Gas & Electric Co.: | |||
2.9% 6/15/50 | 2,000,000 | 1,802,657 | |
3.35% 7/1/23 | 508,000 | 516,944 | |
3.5% 8/15/46 | 445,000 | 441,450 | |
CenterPoint Energy Houston Electric LLC: | |||
3.35% 4/1/51 | 3,700,000 | 3,564,584 | |
3.55% 8/1/42 | 339,000 | 339,209 | |
Cincinnati Gas & Electric Co. 4.3% 2/1/49 | 2,109,000 | 2,291,020 | |
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 1,009,000 | 1,049,010 | |
Commonwealth Edison Co.: | |||
2.75% 9/1/51 | 3,000,000 | 2,601,763 | |
3.1% 11/1/24 | 1,782,000 | 1,821,467 | |
3.2% 11/15/49 | 1,000,000 | 942,015 | |
3.65% 6/15/46 | 510,000 | 521,586 | |
3.7% 3/1/45 | 553,000 | 560,668 | |
3.75% 8/15/47 | 1,096,000 | 1,117,347 | |
4% 3/1/48 | 1,217,000 | 1,298,109 | |
4% 3/1/49 | 84,000 | 89,639 | |
Dominion Energy South Carolina 6.05% 1/15/38 | 2,800,000 | 3,585,526 | |
DTE Electric Co.: | |||
2.65% 6/15/22 | 1,425,000 | 1,426,201 | |
4.05% 5/15/48 | 1,570,000 | 1,711,301 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 1,069,000 | 1,104,025 | |
3.75% 6/1/45 | 356,000 | 357,095 | |
3.875% 3/15/46 | 696,000 | 717,676 | |
3.95% 3/15/48 | 1,100,000 | 1,142,867 | |
4% 9/30/42 | 668,000 | 696,975 | |
6.05% 4/15/38 | 111,000 | 142,790 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 1,300,000 | 1,235,203 | |
2.65% 9/1/26 | 2,379,000 | 2,390,306 | |
3.3% 6/15/41 | 4,630,000 | 4,237,869 | |
3.75% 4/15/24 | 13,569,000 | 13,997,651 | |
3.75% 9/1/46 | 1,627,000 | 1,554,333 | |
3.95% 10/15/23 | 435,000 | 446,445 | |
3.95% 8/15/47 | 1,420,000 | 1,402,561 | |
4.8% 12/15/45 | 2,998,000 | 3,301,521 | |
Duke Energy Florida LLC 3.4% 10/1/46 | 445,000 | 427,961 | |
Duke Energy Industries, Inc. 3.25% 10/1/49 | 3,100,000 | 2,854,258 | |
Duke Energy Progress LLC: | |||
2.8% 5/15/22 | 776,000 | 777,497 | |
4.15% 12/1/44 | 321,000 | 338,857 | |
4.375% 3/30/44 | 356,000 | 387,024 | |
Edison International: | |||
2.95% 3/15/23 | 1,460,000 | 1,468,215 | |
5.75% 6/15/27 | 7,890,000 | 8,758,887 | |
Entergy Corp.: | |||
0.9% 9/15/25 | 3,200,000 | 3,029,197 | |
2.8% 6/15/30 | 1,211,000 | 1,163,751 | |
2.95% 9/1/26 | 837,000 | 846,514 | |
3.75% 6/15/50 | 3,400,000 | 3,284,145 | |
4% 7/15/22 | 1,183,000 | 1,189,735 | |
Entergy Louisiana LLC 4% 3/15/33 | 677,000 | 730,250 | |
Entergy Mississippi LLC 3.85% 6/1/49 | 1,000,000 | 1,039,582 | |
Entergy, Inc.: | |||
3.55% 9/30/49 | 1,300,000 | 1,247,511 | |
4% 3/30/29 | 1,407,000 | 1,497,270 | |
Eversource Energy: | |||
2.55% 3/15/31 | 5,000,000 | 4,769,227 | |
2.9% 10/1/24 | 1,524,000 | 1,545,056 | |
3.35% 3/15/26 | 1,178,000 | 1,209,726 | |
3.45% 1/15/50 | 1,000,000 | 937,105 | |
Exelon Corp.: | |||
3.4% 4/15/26 | 2,000,000 | 2,062,741 | |
3.95% 6/15/25 | 3,502,000 | 3,642,754 | |
4.45% 4/15/46 | 1,100,000 | 1,187,485 | |
5.1% 6/15/45 | 196,000 | 226,239 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 1,950,000 | 1,833,000 | |
2.25% 9/1/30 | 1,950,000 | 1,785,167 | |
4.4% 7/15/27 | 1,515,000 | 1,569,086 | |
5.35% 7/15/47 | 1,969,000 | 2,080,544 | |
Florida Power & Light Co.: | |||
2.85% 4/1/25 | 3,700,000 | 3,778,674 | |
3.125% 12/1/25 | 909,000 | 936,115 | |
3.15% 10/1/49 | 252,000 | 240,222 | |
3.25% 6/1/24 | 842,000 | 866,763 | |
3.7% 12/1/47 | 1,100,000 | 1,130,849 | |
4.05% 10/1/44 | 3,466,000 | 3,720,201 | |
4.125% 6/1/48 | 2,192,000 | 2,410,250 | |
Georgia Power Co. 4.3% 3/15/42 | 2,000,000 | 2,086,808 | |
Indiana Michigan Power Co.: | |||
3.2% 3/15/23 | 495,000 | 500,980 | |
3.25% 5/1/51 | 1,500,000 | 1,380,748 | |
Interstate Power and Light Co. 2.3% 6/1/30 | 2,510,000 | 2,408,790 | |
Kentucky Utilities Co. 5.125% 11/1/40 | 1,730,000 | 2,034,842 | |
MidAmerican Energy Co. 3.65% 8/1/48 | 4,102,000 | 4,147,939 | |
NextEra Energy Capital Holdings, Inc.: | |||
2.25% 6/1/30 | 1,301,000 | 1,214,842 | |
2.75% 11/1/29 | 8,382,000 | 8,234,915 | |
3.5% 4/1/29 | 5,000,000 | 5,169,693 | |
Northern States Power Co.: | |||
2.6% 6/1/51 | 1,000,000 | 855,737 | |
3.4% 8/15/42 | 356,000 | 350,093 | |
4.125% 5/15/44 | 802,000 | 868,338 | |
NSTAR Electric Co. 3.2% 5/15/27 | 1,364,000 | 1,409,206 | |
Oncor Electric Delivery Co. LLC: | |||
0.55% 10/1/25 | 6,243,000 | 5,851,376 | |
3.1% 9/15/49 | 2,471,000 | 2,285,520 | |
3.8% 9/30/47 | 2,700,000 | 2,788,537 | |
4.1% 11/15/48 | 1,000,000 | 1,077,460 | |
Pacific Gas & Electric Co.: | |||
2.1% 8/1/27 | 3,000,000 | 2,786,786 | |
2.5% 2/1/31 | 4,200,000 | 3,739,936 | |
3.25% 6/1/31 | 1,000,000 | 943,056 | |
3.3% 8/1/40 | 2,850,000 | 2,401,303 | |
3.45% 7/1/25 | 1,000,000 | 1,009,633 | |
4% 12/1/46 | 2,822,000 | 2,431,030 | |
4.3% 3/15/45 | 5,099,000 | 4,585,657 | |
4.55% 7/1/30 | 4,496,000 | 4,618,301 | |
PacifiCorp: | |||
3.6% 4/1/24 | 713,000 | 736,169 | |
4.125% 1/15/49 | 2,399,000 | 2,512,935 | |
6% 1/15/39 | 1,104,000 | 1,398,934 | |
6.25% 10/15/37 | 1,100,000 | 1,419,106 | |
PECO Energy Co. 3.9% 3/1/48 | 2,900,000 | 3,097,173 | |
Potomac Electric Power Co. 6.5% 11/15/37 | 678,000 | 921,050 | |
PPL Capital Funding, Inc. 3.1% 5/15/26 | 1,425,000 | 1,450,930 | |
PPL Electric Utilities Corp.: | |||
3% 10/1/49 | 2,479,000 | 2,287,616 | |
4.15% 10/1/45 | 624,000 | 674,702 | |
Progress Energy, Inc. 6% 12/1/39 | 926,000 | 1,142,712 | |
Public Service Co. of Colorado: | |||
2.9% 5/15/25 | 1,961,000 | 1,998,432 | |
3.8% 6/15/47 | 825,000 | 848,975 | |
6.25% 9/1/37 | 1,000,000 | 1,351,206 | |
Public Service Co. of Oklahoma 2.2% 8/15/31 | 1,500,000 | 1,401,213 | |
Public Service Electric & Gas Co.: | |||
2.45% 1/15/30 | 1,700,000 | 1,657,899 | |
3.15% 1/1/50 | 2,300,000 | 2,166,825 | |
3.65% 9/1/42 | 504,000 | 510,211 | |
4% 6/1/44 | 891,000 | 922,488 | |
Puget Sound Energy, Inc. 4.3% 5/20/45 | 2,142,000 | 2,323,564 | |
Southern California Edison Co.: | |||
2.25% 6/1/30 | 2,054,000 | 1,928,075 | |
2.95% 2/1/51 | 4,900,000 | 4,135,772 | |
4% 4/1/47 | 1,782,000 | 1,759,543 | |
4.65% 10/1/43 | 1,805,000 | 1,920,106 | |
Southern Co.: | |||
3.25% 7/1/26 | 1,961,000 | 2,010,809 | |
3.7% 4/30/30 | 5,713,000 | 5,889,084 | |
4.4% 7/1/46 | 1,305,000 | 1,367,307 | |
Southwestern Electric Power Co. 3.85% 2/1/48 | 1,600,000 | 1,541,328 | |
Tampa Electric Co.: | |||
4.45% 6/15/49 | 2,088,000 | 2,399,101 | |
6.15% 5/15/37 | 1,116,000 | 1,421,099 | |
Union Electric Co. 3.9% 9/15/42 | 659,000 | 686,714 | |
Virginia Electric & Power Co.: | |||
3.1% 5/15/25 | 713,000 | 729,823 | |
3.3% 12/1/49 | 1,440,000 | 1,377,849 | |
3.45% 2/15/24 | 490,000 | 504,026 | |
3.8% 4/1/28 | 2,657,000 | 2,823,206 | |
3.8% 9/15/47 | 2,543,000 | 2,629,577 | |
4.2% 5/15/45 | 2,128,000 | 2,301,955 | |
4.45% 2/15/44 | 490,000 | 544,260 | |
4.6% 12/1/48 | 3,452,000 | 3,951,937 | |
6% 5/15/37 | 356,000 | 458,413 | |
Wisconsin Electric Power Co.: | |||
1.7% 6/15/28 | 80,000 | 75,406 | |
4.25% 6/1/44 | 837,000 | 909,044 | |
Xcel Energy, Inc.: | |||
3.35% 12/1/26 | 535,000 | 552,609 | |
3.4% 6/1/30 | 1,740,000 | 1,796,772 | |
4% 6/15/28 | 13,000,000 | 13,766,414 | |
295,754,460 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. 4.125% 3/15/49 | 2,900,000 | 3,144,812 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 2,000,000 | 2,001,556 | |
ONE Gas, Inc. 4.658% 2/1/44 | 1,380,000 | 1,562,720 | |
Piedmont Natural Gas Co., Inc. 3.5% 6/1/29 | 8,457,000 | 8,715,838 | |
Southern California Gas Co. 2.6% 6/15/26 | 2,358,000 | 2,383,779 | |
Southern Co. Gas Capital Corp.: | |||
3.95% 10/1/46 | 2,409,000 | 2,399,347 | |
5.875% 3/15/41 | 2,600,000 | 3,246,390 | |
23,454,442 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP: | |||
2.639% 6/15/31 | 1,000,000 | 934,209 | |
3.55% 6/15/26 | 1,000,000 | 1,028,449 | |
4.75% 6/15/46 | 929,000 | 980,424 | |
Exelon Generation Co. LLC: | |||
3.25% 6/1/25 | 5,000,000 | 5,105,268 | |
6.25% 10/1/39 | 1,242,000 | 1,447,496 | |
The AES Corp. 1.375% 1/15/26 | 5,890,000 | 5,597,598 | |
15,093,444 | |||
Multi-Utilities - 0.4% | |||
Ameren Corp. 3.5% 1/15/31 | 8,850,000 | 9,096,172 | |
Berkshire Hathaway Energy Co.: | |||
3.25% 4/15/28 | 82,000 | 85,242 | |
3.7% 7/15/30 | 788,000 | 833,621 | |
3.8% 7/15/48 | 4,048,000 | 4,069,246 | |
4.05% 4/15/25 | 1,958,000 | 2,064,147 | |
4.5% 2/1/45 | 1,186,000 | 1,306,363 | |
5.15% 11/15/43 | 1,679,000 | 1,948,965 | |
CenterPoint Energy, Inc. 3.7% 9/1/49 | 1,420,000 | 1,372,447 | |
CMS Energy Corp. 4.875% 3/1/44 | 891,000 | 1,014,633 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.875% 6/15/47 | 510,000 | 509,147 | |
3.95% 4/1/50 | 4,295,000 | 4,418,517 | |
4.45% 3/15/44 | 1,425,000 | 1,530,199 | |
4.5% 5/15/58 | 2,690,000 | 2,911,359 | |
4.65% 12/1/48 | 1,866,000 | 2,081,613 | |
5.5% 12/1/39 | 1,445,000 | 1,728,494 | |
Consumers Energy Co.: | |||
2.65% 8/15/52 | 3,000,000 | 2,577,034 | |
4.35% 4/15/49 | 2,410,000 | 2,723,649 | |
Delmarva Power & Light Co. 4% 6/1/42 | 713,000 | 716,673 | |
Dominion Energy, Inc.: | |||
3.9% 10/1/25 | 2,299,000 | 2,397,816 | |
4.9% 8/1/41 | 356,000 | 399,062 | |
DTE Energy Co.: | |||
2.85% 10/1/26 | 1,069,000 | 1,079,136 | |
3.8% 3/15/27 | 2,408,000 | 2,484,652 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 4,288,000 | 4,051,095 | |
1.7% 2/15/31 | 3,300,000 | 2,888,086 | |
2.95% 9/1/29 | 1,420,000 | 1,400,056 | |
3.49% 5/15/27 | 1,364,000 | 1,406,459 | |
3.95% 3/30/48 | 1,782,000 | 1,747,103 | |
4.375% 5/15/47 | 852,000 | 890,877 | |
4.8% 2/15/44 | 980,000 | 1,062,929 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 1,438,000 | 1,487,118 | |
4.1% 6/15/30 | 2,600,000 | 2,696,686 | |
San Diego Gas & Electric Co. 4.5% 8/15/40 | 178,000 | 199,860 | |
Sempra Energy: | |||
3.25% 6/15/27 | 1,087,000 | 1,110,559 | |
4% 2/1/48 | 5,578,000 | 5,603,608 | |
6% 10/15/39 | 178,000 | 226,231 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (a)(c) | 753,000 | 602,400 | |
72,721,254 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp.: | |||
2.95% 9/1/27 | 1,600,000 | 1,630,195 | |
3.45% 5/1/50 | 1,200,000 | 1,153,828 | |
3.75% 9/1/28 | 5,687,000 | 5,998,020 | |
3.75% 9/1/47 | 3,254,000 | 3,245,081 | |
12,027,124 | |||
TOTAL UTILITIES | 419,050,724 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $5,300,375,213) | 5,123,565,649 | ||
U.S. Government and Government Agency Obligations - 40.3% | |||
U.S. Government Agency Obligations - 1.0% | |||
Fannie Mae: | |||
0.375% 8/25/25 | $8,339,000 | $7,950,917 | |
0.5% 6/17/25 | 10,000,000 | 9,598,889 | |
0.625% 4/22/25 | 6,300,000 | 6,095,059 | |
0.75% 10/8/27 | 11,000,000 | 10,337,401 | |
0.875% 8/5/30 | 9,584,000 | 8,685,590 | |
1.625% 10/15/24 | 4,500,000 | 4,499,254 | |
1.75% 7/2/24 | 5,641,000 | 5,658,888 | |
1.875% 4/5/22 | 5,747,000 | 5,756,086 | |
1.875% 9/24/26 | 2,379,000 | 2,389,136 | |
2% 10/5/22 | 6,571,000 | 6,616,092 | |
2.125% 4/24/26 | 713,000 | 722,503 | |
2.375% 1/19/23 | 5,335,000 | 5,395,585 | |
2.625% 9/6/24 | 713,000 | 730,948 | |
2.875% 9/12/23 | 1,373,000 | 1,403,892 | |
6.25% 5/15/29 | 2,000,000 | 2,571,337 | |
7.25% 5/15/30 | 5,220,000 | 7,320,856 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 2,300,000 | 2,192,209 | |
0.5% 4/14/25 | 9,755,000 | 9,397,207 | |
1.5% 8/15/24 | 1,280,000 | 1,278,181 | |
2% 9/9/22 | 6,775,000 | 6,818,412 | |
2.5% 2/13/24 | 890,000 | 907,780 | |
3.25% 6/9/28 | 1,700,000 | 1,835,813 | |
3.25% 11/16/28 | 4,230,000 | 4,570,811 | |
5.5% 7/15/36 | 270,000 | 373,080 | |
Freddie Mac: | |||
0.25% 8/24/23 | 18,087,000 | 17,806,746 | |
0.375% 7/21/25 | 5,568,000 | 5,322,233 | |
0.375% 9/23/25 | 10,325,000 | 9,830,693 | |
2.75% 6/19/23 | 4,316,000 | 4,398,720 | |
6.25% 7/15/32 | 9,453,000 | 13,054,789 | |
6.75% 3/15/31 | 5,634,000 | 7,766,491 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 6,800,000 | 6,590,821 | |
5.25% 9/15/39 | 3,565,000 | 4,781,622 | |
5.375% 4/1/56 | 961,000 | 1,505,615 | |
5.88% 4/1/36 | 7,540,000 | 10,532,483 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 194,696,139 | ||
U.S. Treasury Obligations - 39.3% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 15,433,000 | 12,834,710 | |
1.125% 8/15/40 | 104,511,000 | 86,588,996 | |
1.25% 5/15/50 | 78,395,000 | 62,538,387 | |
1.375% 11/15/40 | 177,971,000 | 153,889,299 | |
1.375% 8/15/50 | 19,324,000 | 15,908,332 | |
1.625% 11/15/50 | 143,869,000 | 126,053,972 | |
1.75% 8/15/41 | 37,702,000 | 34,556,239 | |
1.875% 2/15/41 | 218,999,000 | 205,876,168 | |
1.875% 2/15/51 | 157,669,000 | 146,779,985 | |
1.875% 11/15/51 | 89,202,000 | 83,222,678 | |
2% 11/15/41 | 114,433,000 | 109,551,717 | |
2% 2/15/50 | 130,000 | 124,490 | |
2% 8/15/51 | 53,187,000 | 51,017,968 | |
2.25% 5/15/41 | 31,812,000 | 31,711,345 | |
2.25% 8/15/46 | 8,327,300 | 8,239,798 | |
2.25% 8/15/49 | 2,736,600 | 2,759,369 | |
2.375% 11/15/49 | 7,928,000 | 8,220,345 | |
2.375% 5/15/51 | 48,694,000 | 50,773,005 | |
2.5% 2/15/45 | 22,226,600 | 22,946,360 | |
2.5% 2/15/46 | 12,667,600 | 13,118,388 | |
2.5% 5/15/46 | 4,826,500 | 4,998,444 | |
2.75% 11/15/42 | 2,055,000 | 2,211,533 | |
2.75% 8/15/47 | 3,057,800 | 3,347,097 | |
2.75% 11/15/47 | 3,369,900 | 3,694,516 | |
2.875% 5/15/43 | 1,252,400 | 1,373,041 | |
2.875% 8/15/45 | 12,491,000 | 13,779,134 | |
2.875% 11/15/46 | 2,461,500 | 2,731,688 | |
2.875% 5/15/49 | 2,016,400 | 2,290,898 | |
3% 11/15/44 | 41,796,400 | 46,905,030 | |
3% 5/15/45 | 16,727,200 | 18,802,418 | |
3% 11/15/45 | 8,342,000 | 9,408,538 | |
3% 2/15/47 | 23,518,100 | 26,711,417 | |
3% 5/15/47 | 519,600 | 591,715 | |
3% 2/15/48 | 4,353,000 | 5,007,820 | |
3% 2/15/49 | 8,691,000 | 10,085,973 | |
3.125% 11/15/41 | 1,577,000 | 1,796,117 | |
3.125% 2/15/43 | 19,043,200 | 21,681,725 | |
3.125% 8/15/44 | 76,300 | 87,250 | |
3.125% 5/15/48 | 466,400 | 549,714 | |
3.375% 5/15/44 | 2,243,400 | 2,663,161 | |
3.375% 11/15/48 | 4,431,700 | 5,472,111 | |
3.625% 8/15/43 | 16,520,900 | 20,253,591 | |
3.625% 2/15/44 | 20,662,700 | 25,384,450 | |
3.75% 11/15/43 | 11,612,800 | 14,509,196 | |
3.875% 8/15/40 | 1,400 | 1,758 | |
4.25% 5/15/39 | 1,432,500 | 1,883,178 | |
4.25% 11/15/40 | 144,500 | 189,843 | |
4.375% 2/15/38 | 4,701,900 | 6,234,609 | |
4.375% 11/15/39 | 17,800 | 23,767 | |
4.375% 5/15/40 | 1,900 | 2,539 | |
4.375% 5/15/41 | 5,235,500 | 7,005,753 | |
4.5% 2/15/36 | 5,419,200 | 7,171,126 | |
4.5% 5/15/38 | 4,680,500 | 6,294,175 | |
4.5% 8/15/39 | 4,873,900 | 6,603,563 | |
4.625% 2/15/40 | 3,832,100 | 5,261,503 | |
4.75% 2/15/37 | 9,026,400 | 12,323,504 | |
4.75% 2/15/41 | 489,700 | 683,610 | |
5% 5/15/37 | 8,448,700 | 11,828,510 | |
5.375% 2/15/31 | 9,530,300 | 12,354,024 | |
U.S. Treasury Notes: | |||
0.125% 5/31/22 | 58,000 | 57,950 | |
0.125% 7/31/22 | 3,496,000 | 3,488,899 | |
0.125% 8/31/22 | 14,376,000 | 14,334,444 | |
0.125% 9/30/22 | 2,000 | 1,993 | |
0.125% 11/30/22 | 918,000 | 912,514 | |
0.125% 12/31/22 | 37,801,000 | 37,526,352 | |
0.125% 2/28/23 | 16,267,000 | 16,111,955 | |
0.125% 3/31/23 | 19,952,000 | 19,731,437 | |
0.125% 4/30/23 | 62,479,000 | 61,702,893 | |
0.125% 5/31/23 | 1,000 | 986 | |
0.125% 7/31/23 | 91,192,000 | 89,692,319 | |
0.125% 8/15/23 | 61,266,000 | 60,215,384 | |
0.125% 12/15/23 | 5,282,000 | 5,160,679 | |
0.125% 1/15/24 | 142,502,000 | 139,000,682 | |
0.125% 2/15/24 | 31,088,000 | 30,282,869 | |
0.25% 9/30/23 | 87,700,000 | 86,182,379 | |
0.25% 11/15/23 | 226,261,000 | 221,868,355 | |
0.25% 6/15/24 | 12,074,000 | 11,721,213 | |
0.25% 5/31/25 | 34,270,000 | 32,722,495 | |
0.25% 6/30/25 | 2,937,000 | 2,799,902 | |
0.25% 7/31/25 | 54,787,000 | 52,171,777 | |
0.25% 8/31/25 | 64,170,000 | 60,989,073 | |
0.25% 9/30/25 | 97,254,000 | 92,307,722 | |
0.25% 10/31/25 | 25,756,000 | 24,412,865 | |
0.375% 4/15/24 | 46,275,000 | 45,174,161 | |
0.375% 8/15/24 | 15,500,000 | 15,054,375 | |
0.375% 9/15/24 | 150,900,000 | 146,331,738 | |
0.375% 11/30/25 | 181,970,000 | 173,084,747 | |
0.375% 12/31/25 | 186,712,000 | 177,434,748 | |
0.375% 1/31/26 | 124,970,000 | 118,535,997 | |
0.375% 7/31/27 | 41,405,000 | 38,440,337 | |
0.375% 9/30/27 | 35,380,000 | 32,743,084 | |
0.5% 3/15/23 | 8,059,000 | 8,007,687 | |
0.5% 11/30/23 | 124,902,000 | 122,906,496 | |
0.5% 2/28/26 | 62,514,000 | 59,532,375 | |
0.5% 4/30/27 | 76,857,000 | 72,119,487 | |
0.5% 5/31/27 | 35,607,000 | 33,356,527 | |
0.5% 6/30/27 | 6,547,000 | 6,126,560 | |
0.5% 10/31/27 | 85,135,000 | 79,238,736 | |
0.625% 10/15/24 | 9,400,000 | 9,165,734 | |
0.625% 7/31/26 | 47,986,000 | 45,695,418 | |
0.625% 3/31/27 | 798,000 | 754,484 | |
0.625% 11/30/27 | 1,471,000 | 1,376,936 | |
0.625% 12/31/27 | 11,851,000 | 11,084,851 | |
0.625% 5/15/30 | 23,469,000 | 21,327,454 | |
0.625% 8/15/30 | 30,836,000 | 27,943,921 | |
0.75% 12/31/23 | 86,700,000 | 85,616,250 | |
0.75% 11/15/24 | 180,070,000 | 175,919,948 | |
0.75% 3/31/26 | 42,400,000 | 40,752,031 | |
0.75% 4/30/26 | 228,803,000 | 219,668,754 | |
0.75% 5/31/26 | 85,730,000 | 82,233,823 | |
0.75% 8/31/26 | 52,800,000 | 50,527,125 | |
0.75% 1/31/28 | 54,976,000 | 51,731,127 | |
0.875% 6/30/26 | 71,968,000 | 69,356,349 | |
0.875% 9/30/26 | 57,100,000 | 54,894,067 | |
0.875% 11/15/30 | 122,829,000 | 113,468,086 | |
1% 12/15/24 | 15,700,000 | 15,436,289 | |
1% 7/31/28 | 3,300,000 | 3,135,645 | |
1.125% 10/31/26 | 167,200,000 | 162,471,375 | |
1.125% 2/29/28 | 119,508,000 | 114,979,768 | |
1.125% 2/15/31 | 39,652,000 | 37,358,070 | |
1.25% 7/31/23 | 13,243,000 | 13,236,792 | |
1.25% 8/31/24 | 46,487,300 | 46,113,222 | |
1.25% 11/30/26 | 106,012,000 | 103,614,306 | |
1.25% 12/31/26 | 14,400,000 | 14,067,000 | |
1.25% 3/31/28 | 15,582,000 | 15,084,106 | |
1.25% 4/30/28 | 53,309,000 | 51,580,622 | |
1.25% 5/31/28 | 39,296,000 | 37,992,785 | |
1.25% 6/30/28 | 77,172,000 | 74,537,300 | |
1.25% 9/30/28 | 114,316,000 | 110,198,838 | |
1.25% 8/15/31 | 154,327,000 | 146,538,309 | |
1.375% 6/30/23 | 11,597,800 | 11,615,922 | |
1.375% 8/31/23 | 1,414,100 | 1,414,818 | |
1.375% 9/30/23 | 14,100,300 | 14,105,257 | |
1.375% 1/31/25 | 9,913,000 | 9,841,750 | |
1.375% 8/31/26 | 2,670,800 | 2,627,608 | |
1.375% 10/31/28 | 60,500,000 | 58,762,988 | |
1.375% 12/31/28 | 22,700,000 | 22,040,281 | |
1.375% 11/15/31 | 80,171,000 | 76,851,420 | |
1.5% 8/15/22 | 2,045,800 | 2,054,031 | |
1.5% 9/15/22 | 4,000 | 4,017 | |
1.5% 2/28/23 | 2,682,400 | 2,692,669 | |
1.5% 3/31/23 | 10,176,900 | 10,215,461 | |
1.5% 9/30/24 | 20,957,000 | 20,904,608 | |
1.5% 10/31/24 | 41,850,000 | 41,733,932 | |
1.5% 11/30/24 | 37,250,000 | 37,129,228 | |
1.5% 8/15/26 | 11,644,100 | 11,520,381 | |
1.5% 1/31/27 | 50,200,000 | 49,607,797 | |
1.5% 11/30/28 | 113,349,000 | 110,975,755 | |
1.5% 2/15/30 | 87,477,000 | 85,447,261 | |
1.625% 8/31/22 | 286,200 | 287,497 | |
1.625% 12/15/22 | 71,000 | 71,377 | |
1.625% 4/30/23 | 8,446,600 | 8,488,173 | |
1.625% 5/31/23 | 9,273,600 | 9,319,968 | |
1.625% 10/31/23 | 16,784,500 | 16,848,097 | |
1.625% 2/15/26 | 1,812,700 | 1,804,769 | |
1.625% 5/15/26 | 999,900 | 994,861 | |
1.625% 9/30/26 | 1,274,000 | 1,266,933 | |
1.625% 10/31/26 | 22,470,000 | 22,346,240 | |
1.625% 11/30/26 | 2,021,000 | 2,009,632 | |
1.625% 8/15/29 | 101,338,600 | 100,063,951 | |
1.625% 5/15/31 | 82,292,000 | 80,861,534 | |
1.75% 3/31/22 | 1,478,600 | 1,480,506 | |
1.75% 5/31/22 | 2,861,800 | 2,870,918 | |
1.75% 9/30/22 | 5,131,500 | 5,160,766 | |
1.75% 1/31/23 | 4,570,000 | 4,598,741 | |
1.75% 6/30/24 | 7,244,300 | 7,278,258 | |
1.75% 7/31/24 | 31,872,800 | 32,019,714 | |
1.75% 12/31/24 | 45,915,000 | 46,081,800 | |
1.75% 11/15/29 | 23,793,000 | 23,715,859 | |
1.875% 3/31/22 | 2,300 | 2,303 | |
1.875% 8/31/22 | 1,817,700 | 1,828,209 | |
1.875% 9/30/22 | 1,780,600 | 1,792,077 | |
1.875% 10/31/22 | 4,883,700 | 4,917,466 | |
1.875% 6/30/26 | 15,666,100 | 15,751,162 | |
1.875% 7/31/26 | 33,197,000 | 33,368,172 | |
2% 7/31/22 | 1,366,000 | 1,373,790 | |
2% 11/30/22 | 26,380,700 | 26,586,799 | |
2% 4/30/24 | 10,425,000 | 10,531,286 | |
2% 5/31/24 | 35,935,300 | 36,307,286 | |
2% 6/30/24 | 4,459,800 | 4,506,663 | |
2% 2/15/25 | 647,800 | 654,531 | |
2% 8/15/25 | 6,441,400 | 6,504,556 | |
2% 11/15/26 | 11,997,900 | 12,131,470 | |
2.125% 5/15/22 | 16,000 | 16,057 | |
2.125% 12/31/22 | 24,694,600 | 24,922,253 | |
2.125% 11/30/23 | 20,730,600 | 20,981,635 | |
2.125% 2/29/24 | 9,378,800 | 9,498,600 | |
2.125% 3/31/24 | 53,728,900 | 54,415,203 | |
2.125% 7/31/24 | 2,225,100 | 2,255,174 | |
2.125% 9/30/24 | 16,014,500 | 16,229,695 | |
2.125% 11/30/24 | 2,535,000 | 2,569,163 | |
2.125% 5/15/25 | 1,939,000 | 1,965,964 | |
2.25% 12/31/23 | 522,200 | 529,829 | |
2.25% 1/31/24 | 6,447,500 | 6,544,716 | |
2.25% 4/30/24 | 73,068,600 | 74,204,589 | |
2.25% 10/31/24 | 23,871,200 | 24,274,027 | |
2.25% 11/15/24 | 15,315,800 | 15,576,647 | |
2.25% 12/31/24 | 13,968,400 | 14,213,393 | |
2.25% 11/15/25 | 18,937,500 | 19,297,756 | |
2.25% 2/15/27 | 944,000 | 966,273 | |
2.25% 8/15/27 | 5,291,000 | 5,421,828 | |
2.25% 11/15/27 | 43,039,100 | 44,098,266 | |
2.375% 1/31/23 | 7,523,300 | 7,613,227 | |
2.375% 2/29/24 | 50,172,600 | 51,056,500 | |
2.375% 8/15/24 | 5,198,200 | 5,297,697 | |
2.375% 5/15/27 | 22,662,000 | 23,348,057 | |
2.375% 5/15/29 | 10,691,200 | 11,090,867 | |
2.5% 3/31/23 | 19,298,800 | 19,576,974 | |
2.5% 8/15/23 | 17,319,200 | 17,618,903 | |
2.5% 1/31/24 | 45,416,000 | 46,306,580 | |
2.5% 5/15/24 | 17,021,500 | 17,378,553 | |
2.5% 1/31/25 | 20,661,800 | 21,171,081 | |
2.5% 2/28/26 | 9,949,100 | 10,239,800 | |
2.625% 12/31/23 | 39,045,500 | 39,885,893 | |
2.625% 3/31/25 | 2,858,900 | 2,942,545 | |
2.625% 12/31/25 | 10,880,100 | 11,244,753 | |
2.625% 1/31/26 | 9,021,000 | 9,324,754 | |
2.625% 2/15/29 | 20,536,100 | 21,612,641 | |
2.75% 4/30/23 | 11,148,100 | 11,346,240 | |
2.75% 5/31/23 | 800 | 815 | |
2.75% 7/31/23 | 10,000 | 10,206 | |
2.75% 8/31/23 | 12,756,800 | 13,023,896 | |
2.75% 11/15/23 | 12,801,100 | 13,091,625 | |
2.75% 2/15/24 | 24,170,600 | 24,772,977 | |
2.75% 2/28/25 | 3,753,700 | 3,873,936 | |
2.75% 6/30/25 | 3,682,400 | 3,808,983 | |
2.75% 2/15/28 | 24,880,400 | 26,220,637 | |
2.875% 9/30/23 | 500 | 512 | |
2.875% 10/31/23 | 33,848,500 | 34,662,980 | |
2.875% 11/30/23 | 22,756,900 | 23,330,267 | |
2.875% 4/30/25 | 12,040,300 | 12,485,697 | |
2.875% 5/31/25 | 21,522,000 | 22,324,872 | |
2.875% 5/15/28 | 46,361,100 | 49,236,937 | |
2.875% 8/15/28 | 38,531,600 | 40,998,526 | |
3% 10/31/25 | 7,767,100 | 8,118,743 | |
3.125% 11/15/28 | 3,802,200 | 4,112,465 | |
TOTAL U.S. TREASURY OBLIGATIONS | 7,786,735,322 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $8,183,543,439) | 7,981,431,461 | ||
U.S. Government Agency - Mortgage Securities - 28.0% | |||
Fannie Mae - 13.1% | |||
12 month U.S. LIBOR + 1.510% 1.788% 11/1/34 (a)(c) | 409,850 | 426,620 | |
12 month U.S. LIBOR + 1.640% 1.992% 4/1/41 (a)(c) | 84,089 | 88,229 | |
12 month U.S. LIBOR + 1.880% 2.149% 11/1/34 (a)(c) | 33,570 | 35,047 | |
1.5% 10/1/35 to 1/1/52 | 243,257,078 | 231,926,128 | |
2% 8/1/23 to 2/1/52 | 772,073,874 | 747,417,754 | |
2.5% 4/1/23 to 3/1/52 | 509,005,723 | 506,231,431 | |
3% 5/1/26 to 7/1/51 | 439,943,636 | 448,220,142 | |
3.5% 11/1/23 to 6/1/51 | 286,919,192 | 299,050,623 | |
4% 4/1/24 to 5/1/51 | 188,704,882 | 198,218,533 | |
4.5% to 4.5% 7/1/22 to 12/1/50 | 91,888,629 | 97,616,287 | |
5% 3/1/23 to 10/1/50 | 35,028,343 | 38,396,238 | |
5.5% 12/1/22 to 6/1/49 | 9,911,808 | 11,027,240 | |
6% to 6% 2/1/23 to 7/1/41 | 2,816,146 | 3,189,604 | |
6.5% 5/1/31 to 6/1/40 | 1,058,100 | 1,219,823 | |
TOTAL FANNIE MAE | 2,583,063,699 | ||
Freddie Mac - 8.7% | |||
12 month U.S. LIBOR + 1.940% 2.202% 9/1/37 (a)(c) | 39,897 | 42,053 | |
U.S. TREASURY 1 YEAR INDEX + 1.710% 1.835% 3/1/36 (a)(c) | 341,770 | 358,114 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.338% 12/1/35 (a)(c) | 163,764 | 172,116 | |
U.S. TREASURY 1 YEAR INDEX + 2.250% 2.375% 3/1/35 (a)(c) | 70,555 | 73,766 | |
1.5% 5/1/36 to 12/1/51 | 83,454,216 | 79,002,251 | |
2% 4/1/23 to 2/1/52 | 684,682,829 | 661,619,749 | |
2% 9/1/35 | 37,970,210 | 37,781,129 | |
2% 11/1/35 | 15,321,813 | 15,240,727 | |
2.5% 8/1/25 to 2/1/52 | 475,902,014 | 472,249,123 | |
3% 10/1/26 to 8/1/51 | 153,755,419 | 156,798,359 | |
3% 8/1/47 | 36,865 | 37,612 | |
3% 5/1/49 | 32,998 | 33,501 | |
3.5% 5/1/23 to 4/1/51 | 131,317,687 | 136,711,738 | |
3.5% 8/1/47 | 66,503 | 69,260 | |
3.5% 9/1/47 | 26,501 | 27,599 | |
3.5% 9/1/47 | 1,843,259 | 1,926,581 | |
4% 2/1/25 to 8/1/50 | 90,993,320 | 95,619,885 | |
4.5% 8/1/23 to 10/1/50 | 35,556,739 | 37,769,782 | |
5% 4/1/23 to 6/1/50 | 21,244,539 | 23,011,176 | |
5.5% 5/1/23 to 6/1/49 | 4,532,912 | 4,993,222 | |
6% 4/1/32 to 8/1/37 | 96,233 | 107,351 | |
6.5% 8/1/36 to 12/1/37 | 20,064 | 23,212 | |
TOTAL FREDDIE MAC | 1,723,668,306 | ||
Freddie Mac Multi-family Structured pass-thru certificates - 0.0% | |||
2.5% 2/1/32 | 11,826 | 12,030 | |
Ginnie Mae - 5.8% | |||
3.5% 11/15/40 to 6/20/51 | 186,827,399 | 194,102,423 | |
4% 1/15/25 to 4/20/51 | 88,167,985 | 92,276,334 | |
5% 1/20/39 to 8/20/50 | 13,265,136 | 14,338,370 | |
1.5% 6/20/45 to 12/20/51 | 4,473,500 | 4,196,845 | |
2% 3/20/51 to 1/20/52 | 292,358,191 | 286,184,568 | |
2% 3/1/52 (d) | 250,000 | 244,359 | |
2% 3/1/52 (d) | 250,000 | 244,359 | |
2% 3/1/52 (d) | 950,000 | 928,566 | |
2% 3/1/52 (d) | 1,000,000 | 977,438 | |
2.5% 10/20/42 to 12/20/51 | 266,085,921 | 266,376,500 | |
3% 4/15/42 to 5/20/51 | 229,523,380 | 234,722,642 | |
4.5% to 4.5% 3/20/33 to 5/20/51 | 41,006,841 | 43,451,374 | |
5.5% 12/20/32 to 6/20/49 | 2,302,142 | 2,530,638 | |
6% to 6% 5/20/34 to 12/15/40 | 792,346 | 891,304 | |
6.5% 8/20/36 to 1/15/39 | 145,405 | 165,934 | |
TOTAL GINNIE MAE | 1,141,631,654 | ||
Uniform Mortgage Backed Securities - 0.4% | |||
1.5% 3/1/52 (d) | 400,000 | 370,784 | |
1.5% 3/1/52 (d) | 12,700,000 | 11,772,391 | |
2% 3/1/52 (d) | 37,300,000 | 35,758,902 | |
2.5% 3/1/52 (d) | 3,450,000 | 3,403,101 | |
2.5% 3/1/52 (d) | 30,900,000 | 30,479,945 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 81,785,123 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $5,698,410,642) | 5,530,160,812 | ||
Asset-Backed Securities - 0.3% | |||
Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/28 | $2,360,000 | $2,323,992 | |
CarMax Auto Owner Trust: | |||
Series 2018-3 Class A3, 3.13% 6/15/23 | 37,119 | 37,166 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 8,000,000 | 7,837,903 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 1,662,000 | 1,673,093 | |
Citibank Credit Card Issuance Trust: | |||
Series 2013-A9 Class A9, 3.72% 9/8/25 | 834,000 | 860,543 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 1,693,000 | 1,718,187 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,750,000 | 3,048,953 | |
Discover Card Execution Note Trust: | |||
Series 2017-A4 Class A4, 2.53% 10/15/26 | 256,000 | 260,173 | |
Series 2018-A1 Class A1, 3.03% 8/15/25 | 3,422,000 | 3,478,064 | |
Ford Credit Auto Lease Trust Series 2021-A Class A3, 0.26% 2/15/24 | 8,000,000 | 7,957,329 | |
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A, 3.17% 3/15/25 | 3,396,000 | 3,419,178 | |
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25 | 7,920,000 | 7,823,595 | |
Mercedes-Benz Auto Lease Trust Series 2021-A Class A3, 0.25% 1/16/24 | 8,000,000 | 7,939,500 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $49,075,246) | 48,377,676 | ||
Commercial Mortgage Securities - 1.8% | |||
BANK sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 4,285,983 | 4,398,535 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 4,650,000 | 4,571,757 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 6,780,000 | 6,248,715 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 12,700,000 | 12,042,546 | |
BBCMS Mortgage Trust sequential payer Series 2021-C10 Class A5, 2.492% 7/15/54 | 11,850,000 | 11,468,167 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2020-B19 Class A5, 1.85% 9/15/53 | 3,100,000 | 2,863,340 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 10,300,000 | 10,019,010 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 4,705,000 | 4,770,884 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 4,179,000 | 4,467,176 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2014-GC25 Class A4, 3.635% 10/10/47 | 5,370,000 | 5,506,931 | |
Series 2015-GC29 Class A4, 3.192% 4/10/48 | 2,028,000 | 2,058,232 | |
Series 2015-P1 Class A5, 3.717% 9/15/48 | 1,045,000 | 1,079,850 | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | 3,308,000 | 3,380,162 | |
Series 2016-P4: | |||
Class A4, 2.902% 7/10/49 | 3,832,000 | 3,867,756 | |
Class AAB, 2.779% 7/10/49 | 1,943,181 | 1,960,505 | |
Series 2018-B2 Class A4, 4.009% 3/10/51 | 2,641,000 | 2,808,821 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR13 Class A3, 3.928% 11/10/46 | 5,712,277 | 5,802,042 | |
Series 2013-CR7 Class A4, 3.213% 3/10/46 | 2,062,124 | 2,080,895 | |
Series 2014-LC15 Class A4, 4.006% 4/10/47 | 1,909,000 | 1,960,745 | |
Series 2013-CR6 Class A4, 3.101% 3/10/46 | 3,344,000 | 3,357,840 | |
Series 2015-CR22 Class A5, 3.309% 3/10/48 | 3,462,000 | 3,537,635 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C3 Class A4, 3.7182% 8/15/48 | 2,240,000 | 2,307,191 | |
Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 3,480,000 | 3,445,893 | |
Class A5, 3.0161% 9/15/52 | 3,480,000 | 3,503,544 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-K104 Class A2, 2.253% 1/25/30 | 16,200,000 | 16,200,956 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 12,400,000 | 11,556,726 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 12,400,000 | 11,600,994 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 6,200,000 | 5,824,316 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 8,900,000 | 8,374,918 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 2,000,000 | 1,923,217 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 8,200,000 | 8,034,312 | |
Series 2021-K128 Class A2, 2.02% 3/25/31 | 6,410,000 | 6,246,172 | |
Series 2021-K129 Class A2, 1.914% 5/25/31 | 6,160,000 | 5,941,313 | |
Series 2021-K130 Class A2, 1.723% 6/25/31 | 7,200,000 | 6,826,805 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 7,800,000 | 7,626,732 | |
Series K034 Class A2, 3.531% 7/25/23 | 1,604,000 | 1,641,778 | |
Series K057 Class A2, 2.57% 7/25/26 | 2,844,000 | 2,903,463 | |
Series K080 Class A2, 3.926% 7/25/28 | 2,957,000 | 3,252,587 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 4,770,000 | 4,855,138 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 8,000,000 | 7,563,349 | |
Series K-1510 Class A2, 3.718% 1/25/31 | 2,646,000 | 2,923,376 | |
Series K020 Class A2, 2.373% 5/25/22 | 919,703 | 920,102 | |
Series K036 Class A2, 3.527% 10/25/23 | 1,600,000 | 1,641,853 | |
Series K046 Class A2, 3.205% 3/25/25 | 5,935,000 | 6,149,036 | |
Series K047 Class A2, 3.329% 5/25/25 | 688,000 | 716,180 | |
Series K053 Class A2, 2.995% 12/25/25 | 1,267,000 | 1,310,399 | |
Series K056 Class A2, 2.525% 5/25/26 | 3,698,000 | 3,768,610 | |
Series K062 Class A1, 3.032% 9/25/26 | 2,346,409 | 2,398,354 | |
Series K064 Class A2, 3.224% 3/25/27 | 3,075,000 | 3,228,812 | |
Series K068 Class A2, 3.244% 8/25/27 | 4,243,000 | 4,471,614 | |
Series K079 Class A2, 3.926% 6/25/28 | 1,386,000 | 1,522,084 | |
Series K094 Class A2, 2.903% 6/25/29 | 9,484,000 | 9,891,668 | |
Series K730 Class A2, 3.59% 1/25/25 | 6,894,000 | 7,150,345 | |
GS Mortgage Securities Trust sequential payer: | |||
Series 2013-GC10 Class A4, 2.681% 2/10/46 | 1,321,104 | 1,328,083 | |
Series 2014-GC26 Class A4, 3.364% 11/10/47 | 3,688,689 | 3,739,071 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 9,700,000 | 9,661,993 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2013-C12 Class A5, 3.6637% 7/15/45 | 3,566,000 | 3,620,084 | |
Series 2014-C21 Class A5, 3.7748% 8/15/47 | 6,016,000 | 6,189,449 | |
Series 2014-C23 Class A5, 3.9342% 9/15/47 | 1,702,000 | 1,758,959 | |
Series 2014-C24 Class A5, 3.6385% 11/15/47 | 4,646,000 | 4,767,860 | |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | 1,604,000 | 1,647,579 | |
JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2016-C2 Class ASB, 2.9542% 6/15/49 | 2,665,015 | 2,701,088 | |
Series 2020-COR7 Class A5, 2.1798% 5/13/53 | 8,000,000 | 7,562,666 | |
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47 | 2,326,851 | 2,336,666 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C13 Class A4, 3.9936% 1/15/46 (a) | 1,355,617 | 1,381,828 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2013-C11 Class A4, 4.1509% 8/15/46 (a) | 3,367,000 | 3,422,410 | |
Series 2015-C27 Class ASB, 3.557% 12/15/47 | 617,984 | 631,603 | |
Series 2016-C28 Class ASB, 3.288% 1/15/49 | 1,019,465 | 1,038,493 | |
Series 2015-C20 Class A4, 3.249% 2/15/48 | 2,625,000 | 2,680,471 | |
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53 | 4,000,000 | 3,945,811 | |
UBS Commercial Mortgage Trust sequential payer Series 2019-C16 Class A4, 3.6048% 4/15/52 | 7,470,000 | 7,784,184 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C52 Class A5, 2.892% 8/15/52 | 5,667,000 | 5,655,510 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 8,500,000 | 8,649,790 | |
Series 2020-C55 Class A5, 2.725% 2/15/53 | 3,600,000 | 3,553,323 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,485,000 | 3,780,763 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2013-C14 Class A4, 3.073% 6/15/46 | 1,461,127 | 1,472,284 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 2,576,000 | 2,647,309 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $368,866,879) | 355,930,658 | ||
Municipal Securities - 0.6% | |||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | 1,730,000 | 3,056,165 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $900,000 | $1,368,516 | |
Series 2010 S1, 7.043% 4/1/50 | 1,325,000 | 2,161,909 | |
California Gen. Oblig.: | |||
Series 2009, 7.55% 4/1/39 | 4,410,000 | 6,936,284 | |
Series 2010, 7.6% 11/1/40 | 6,390,000 | 10,226,399 | |
Series 2018, 3.5% 4/1/28 | 2,300,000 | 2,449,652 | |
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52 | 3,540,000 | 3,304,235 | |
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2021 A, 3.204% 1/15/51 | 2,200,000 | 2,232,295 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40 | 5,350,000 | 7,748,398 | |
Commonwealth Fing. Auth. Rev. Series 2016 A, 4.144% 6/1/38 | 1,365,000 | 1,540,074 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48 | 4,750,000 | 4,323,135 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2019 A, 3.144% 11/1/45 | 435,000 | 431,968 | |
Series 2021 C, 2.843% 11/1/46 | 4,000,000 | 3,798,924 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B: | |||
2.746% 6/1/34 | 1,920,000 | 1,876,940 | |
3.293% 6/1/42 | 1,000,000 | 980,521 | |
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46 | 1,175,000 | 1,137,002 | |
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 12,925,000 | 14,259,033 | |
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45 | 1,355,000 | 1,690,105 | |
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49 | 1,685,000 | 2,677,029 | |
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39 | 890,000 | 1,155,675 | |
Massachusetts Gen. Oblig. Series F, 3.277% 6/1/46 | 840,000 | 859,988 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2019 B, 3.395% 10/15/40 | 2,650,000 | 2,680,547 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41 | 3,000,000 | 2,920,221 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47 | 2,000,000 | 1,964,834 | |
New Jersey Tpk. Auth. Tpk. Rev. Series 2009 E, 7.414% 1/1/40 | 837,000 | 1,295,172 | |
New Jersey Trans. Trust Fund Auth. Series B: | |||
4.081% 6/15/39 | 2,700,000 | 2,836,501 | |
4.131% 6/15/42 | 2,700,000 | 2,788,891 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 1,610,000 | 2,273,591 | |
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37 | 1,910,000 | 2,393,820 | |
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39 | 1,095,000 | 1,453,657 | |
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34 | 6,000,000 | 5,691,911 | |
Port Auth. of New York & New Jersey: | |||
Series 180, 4.96% 8/1/46 | 920,000 | 1,138,956 | |
Series 2010 164, 5.647% 11/1/40 | 930,000 | 1,204,467 | |
Series 225, 3.175% 7/15/60 | 6,000,000 | 5,592,505 | |
Port of Morrow Transmission Facilities Rev. (Bonneville Coorporation Proj.) Series 2016 1, 2.987% 9/1/36 | 1,010,000 | 1,007,328 | |
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40 | 1,130,000 | 1,518,753 | |
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41 | 2,016,000 | 2,609,791 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series N: | |||
3.006% 5/15/50 | 3,000,000 | 2,924,754 | |
3.256% 5/15/60 | 3,000,000 | 3,060,246 | |
Univ. of California Revs.: | |||
Series 2009 R, 5.77% 5/15/43 | 175,000 | 228,898 | |
Series 2015 AP, 3.931% 5/15/45 | 665,000 | 712,277 | |
Univ. of Virginia Gen. Rev.: | |||
(Multi-Year Cap. Proj. Fing. Prog.) Series 2017 C, 4.179% 9/1/2117 | 845,000 | 1,043,947 | |
Series 2021 B, 2.584% 11/1/51 | 2,400,000 | 2,158,601 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $125,660,861) | 123,713,915 | ||
Foreign Government and Government Agency Obligations - 1.7% | |||
Alberta Province: | |||
1% 5/20/25 | $35,763,000 | $34,799,545 | |
2.95% 1/23/24 | 5,000,000 | 5,125,350 | |
3.3% 3/15/28 | 696,000 | 741,748 | |
British Columbia Province 2.25% 6/2/26 | 6,672,000 | 6,762,939 | |
Canadian Government 2% 11/15/22 | 845,000 | 850,854 | |
Chilean Republic: | |||
2.45% 1/31/31 | 6,000,000 | 5,637,375 | |
2.55% 7/27/33 | 2,900,000 | 2,639,000 | |
3.24% 2/6/28 | 2,067,000 | 2,096,455 | |
3.625% 10/30/42 | 3,150,000 | 2,992,106 | |
3.86% 6/21/47 | 3,039,000 | 2,952,199 | |
Export Development Canada: | |||
2.625% 2/21/24 | 5,020,000 | 5,127,629 | |
2.75% 3/15/23 | 3,680,000 | 3,732,845 | |
Hungarian Republic: | |||
5.375% 3/25/24 | 5,000,000 | 5,280,400 | |
5.75% 11/22/23 | 9,270,000 | 9,770,487 | |
Indonesian Republic: | |||
2.85% 2/14/30 | 5,800,000 | 5,728,588 | |
3.4% 9/18/29 | 1,000,000 | 1,027,063 | |
3.5% 2/14/50 | 4,200,000 | 3,883,163 | |
4.35% 1/11/48 | 901,000 | 920,245 | |
4.45% 4/15/70 | 1,300,000 | 1,350,518 | |
5.35% 2/11/49 | 2,000,000 | 2,332,720 | |
Israeli State: | |||
2.75% 7/3/30 | 1,310,000 | 1,329,205 | |
3.25% 1/17/28 | 2,565,000 | 2,686,838 | |
3.375% 1/15/50 | 4,900,000 | 4,783,429 | |
3.875% 7/3/50 | 4,660,000 | 4,948,920 | |
4% 6/30/22 | 1,247,000 | 1,259,485 | |
Italian Republic: | |||
1.25% 2/17/26 | 4,100,000 | 3,890,682 | |
2.375% 10/17/24 | 1,400,000 | 1,405,509 | |
2.875% 10/17/29 | 4,060,000 | 3,988,201 | |
4% 10/17/49 | 2,982,000 | 2,980,116 | |
6.875% 9/27/23 | 1,069,000 | 1,151,038 | |
Jordanian Kingdom 3% 6/30/25 | 341,000 | 351,931 | |
Korean Republic: | |||
2% 6/19/24 | 2,400,000 | 2,410,621 | |
2.5% 6/19/29 | 4,000,000 | 4,087,788 | |
2.75% 1/19/27 | 4,000,000 | 4,120,120 | |
Manitoba Province: | |||
2.1% 9/6/22 | 339,000 | 340,814 | |
2.125% 5/4/22 | 713,000 | 714,882 | |
3.05% 5/14/24 | 267,000 | 274,863 | |
Ontario Province: | |||
1.125% 10/7/30 | 3,750,000 | 3,440,400 | |
2.25% 5/18/22 | 1,038,000 | 1,042,100 | |
2.3% 6/15/26 | 22,624,000 | 22,904,990 | |
2.5% 4/27/26 | 891,000 | 910,094 | |
3.05% 1/29/24 | 2,120,000 | 2,176,604 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 2,180,000 | 1,926,303 | |
3.16% 1/23/30 | 3,711,000 | 3,642,115 | |
3.75% 3/16/25 | 11,010,000 | 11,318,280 | |
4% 9/22/24 | 272,000 | 281,061 | |
4.3% 4/29/53 | 1,012,000 | 948,307 | |
4.5% 4/16/50 | 3,012,000 | 2,925,970 | |
4.5% 4/1/56 | 4,200,000 | 4,022,288 | |
6.7% 1/26/36 | 1,760,000 | 2,162,930 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 6,740,000 | 5,772,389 | |
2.392% 1/23/26 | 7,870,000 | 7,689,482 | |
2.78% 12/1/60 | 1,000,000 | 760,813 | |
2.844% 6/20/30 | 3,820,000 | 3,664,335 | |
3.55% 3/10/51 | 4,400,000 | 3,989,700 | |
4.125% 8/25/27 | 919,000 | 967,707 | |
6.55% 3/14/37 | 2,718,000 | 3,440,478 | |
Philippine Republic: | |||
1.648% 6/10/31 | 1,850,000 | 1,630,516 | |
3% 2/1/28 | 3,387,000 | 3,417,009 | |
3.7% 3/1/41 | 3,000,000 | 2,861,580 | |
3.75% 1/14/29 | 1,000,000 | 1,041,360 | |
3.95% 1/20/40 | 3,734,000 | 3,683,068 | |
4.2% 1/21/24 | 678,000 | 695,872 | |
6.375% 10/23/34 | 1,849,000 | 2,357,678 | |
7.75% 1/14/31 | 3,000,000 | 4,001,580 | |
9.5% 2/2/30 | 2,500,000 | 3,578,400 | |
Polish Government: | |||
3.25% 4/6/26 | 1,176,000 | 1,212,480 | |
4% 1/22/24 | 4,321,000 | 4,454,260 | |
5% 3/23/22 | 2,585,000 | 2,585,336 | |
Quebec Province: | |||
1.5% 2/11/25 | 6,000,000 | 5,958,120 | |
2.5% 4/20/26 | 1,009,000 | 1,031,370 | |
2.75% 4/12/27 | 8,846,000 | 9,178,521 | |
2.875% 10/16/24 | 370,000 | 381,107 | |
United Mexican States: | |||
3.5% 2/12/34 | 16,778,000 | 15,720,986 | |
3.75% 4/19/71 | 7,000,000 | 5,509,000 | |
4.28% 8/14/41 | 3,000,000 | 2,808,000 | |
4.35% 1/15/47 | 2,568,000 | 2,377,968 | |
4.5% 1/31/50 | 2,200,000 | 2,073,500 | |
4.6% 1/23/46 | 1,034,000 | 992,640 | |
4.6% 2/10/48 | 3,128,000 | 2,984,112 | |
4.75% 4/27/32 | 5,000,000 | 5,335,000 | |
4.75% 3/8/44 | 1,730,000 | 1,704,915 | |
5.55% 1/21/45 | 2,198,000 | 2,398,018 | |
6.05% 1/11/40 | 3,556,000 | 4,052,062 | |
Uruguay Republic: | |||
4.125% 11/20/45 | 846,621 | 919,801 | |
4.375% 1/23/31 | 2,824,181 | 3,108,894 | |
4.975% 4/20/55 | 5,249,811 | 6,194,121 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $351,984,166) | 332,709,291 | ||
Supranational Obligations - 1.4% | |||
African Development Bank 0.875% 7/22/26 | 4,400,000 | 4,224,836 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 13,000,000 | 12,371,199 | |
0.75% 10/8/30 | 3,000,000 | 2,728,633 | |
1.5% 10/18/24 | 4,500,000 | 4,483,739 | |
1.75% 9/13/22 | 2,544,000 | 2,555,378 | |
1.875% 1/24/30 | 8,574,000 | 8,519,510 | |
2% 4/24/26 | 1,123,000 | 1,129,266 | |
2.5% 11/2/27 | 1,195,000 | 1,233,610 | |
2.625% 1/30/24 | 2,742,000 | 2,800,587 | |
2.625% 1/12/27 | 1,158,000 | 1,199,648 | |
2.75% 3/17/23 | 1,707,000 | 1,734,773 | |
2.75% 1/19/28 | 11,074,000 | 11,603,780 | |
Asian Infrastructure Investment Bank 0.25% 9/29/23 | 12,250,000 | 12,033,754 | |
Corporacion Andina de Fomento 4.375% 6/15/22 | 2,513,000 | 2,531,873 | |
European Bank for Reconstruction & Development: | |||
0.25% 7/10/23 | 13,180,000 | 12,988,428 | |
2.125% 3/7/22 | 836,000 | 836,162 | |
European Investment Bank: | |||
0.75% 9/23/30 | 7,250,000 | 6,587,228 | |
0.875% 5/17/30 | 1,760,000 | 1,620,935 | |
1.25% 2/14/31 | 6,300,000 | 5,958,412 | |
1.625% 3/14/25 | 21,997,000 | 21,880,962 | |
1.875% 2/10/25 | 535,000 | 538,233 | |
2% 12/15/22 | 2,525,000 | 2,543,748 | |
2.25% 3/15/22 | 2,834,000 | 2,836,040 | |
2.25% 8/15/22 | 335,000 | 337,214 | |
2.25% 6/24/24 | 4,115,000 | 4,168,622 | |
2.375% 6/15/22 | 2,496,000 | 2,508,336 | |
2.375% 5/24/27 | 713,000 | 733,154 | |
2.5% 3/15/23 | 3,743,000 | 3,792,266 | |
2.5% 10/15/24 | 1,020,000 | 1,042,153 | |
2.875% 8/15/23 | 1,888,000 | 1,928,228 | |
3.125% 12/14/23 | 2,459,000 | 2,531,846 | |
3.25% 1/29/24 | 356,000 | 367,809 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 4,000,000 | 3,849,094 | |
1.75% 4/14/22 | 335,000 | 335,552 | |
1.75% 9/14/22 | 1,096,000 | 1,101,198 | |
1.75% 3/14/25 | 16,400,000 | 16,417,709 | |
2% 6/2/26 | 713,000 | 717,078 | |
2% 7/23/26 | 6,000,000 | 6,044,280 | |
2.125% 1/15/25 | 326,000 | 330,169 | |
2.25% 6/18/29 | 3,189,000 | 3,255,873 | |
2.375% 7/7/27 | 1,200,000 | 1,229,538 | |
2.5% 1/18/23 | 1,241,000 | 1,256,983 | |
3% 10/4/23 | 637,000 | 653,097 | |
3% 2/21/24 | 14,887,000 | 15,318,288 | |
4.375% 1/24/44 | 2,313,000 | 3,049,838 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 5,350,000 | 5,102,685 | |
0.5% 10/28/25 | 8,582,000 | 8,184,539 | |
0.75% 3/11/25 | 64,000 | 62,198 | |
0.75% 8/26/30 | 8,100,000 | 7,359,579 | |
0.875% 5/14/30 | 3,108,000 | 2,860,106 | |
1.5% 8/28/24 | 7,014,000 | 6,995,670 | |
1.625% 1/15/25 | 21,300,000 | 21,270,693 | |
1.75% 4/19/23 | 1,195,000 | 1,202,063 | |
1.875% 10/7/22 | 3,030,000 | 3,049,108 | |
1.875% 6/19/23 | 2,992,000 | 3,014,401 | |
1.875% 10/27/26 | 849,000 | 851,094 | |
2.5% 3/19/24 | 677,000 | 690,045 | |
2.5% 11/25/24 | 1,016,000 | 1,038,835 | |
2.5% 7/29/25 | 676,000 | 692,253 | |
7.625% 1/19/23 | 988,000 | 1,044,401 | |
International Finance Corp.: | |||
0.375% 7/16/25 | 19,670,000 | 18,772,014 | |
0.75% 8/27/30 | 2,100,000 | 1,918,011 | |
2.875% 7/31/23 | 767,000 | 783,224 | |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $288,979,529) | 280,799,978 | ||
Bank Notes - 0.1% | |||
Bank of America NA 6% 10/15/36 | 2,144,000 | 2,715,968 | |
Citibank NA 3.65% 1/23/24 | 4,456,000 | 4,606,476 | |
Citizens Bank NA 2.25% 4/28/25 | 3,750,000 | 3,737,771 | |
Discover Bank: | |||
2.7% 2/6/30 | $5,000,000 | $4,817,335 | |
3.45% 7/27/26 | 2,273,000 | 2,340,712 | |
Truist Bank: | |||
2.636% 9/17/29 (a) | 5,000,000 | 5,020,551 | |
3.3% 5/15/26 | 1,355,000 | 1,400,554 | |
3.8% 10/30/26 | 427,000 | 449,671 | |
TOTAL BANK NOTES | |||
(Cost $25,287,484) | 25,089,038 | ||
Shares | Value | ||
Money Market Funds - 0.7% | |||
Fidelity Cash Central Fund 0.07% (e) | |||
(Cost $142,446,936) | 142,418,453 | 142,446,936 | |
TOTAL INVESTMENT IN SECURITIES - 100.8% | |||
(Cost $20,534,630,395) | 19,944,225,414 | ||
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (151,822,231) | ||
NET ASSETS - 100% | $19,792,403,183 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(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 $67,455,722 or 0.3% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) 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 0.07% | $801,300,338 | $2,784,991,740 | $3,443,845,142 | $96,093 | $-- | $-- | $142,446,936 | 0.3% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 593,030,905 | 593,030,905 | 60,035 | -- | -- | -- | 0.0% |
Total | $801,300,338 | $ 3,378,022,645 | $ 4,036,876,047 | $156,128 | $-- | $-- | $142,446,936 |
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 February 28, 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 | $5,123,565,649 | $-- | $5,123,565,649 | $-- |
U.S. Government and Government Agency Obligations | 7,981,431,461 | -- | 7,981,431,461 | -- |
U.S. Government Agency - Mortgage Securities | 5,530,160,812 | -- | 5,530,160,812 | -- |
Asset-Backed Securities | 48,377,676 | -- | 48,377,676 | -- |
Commercial Mortgage Securities | 355,930,658 | -- | 355,930,658 | -- |
Municipal Securities | 123,713,915 | -- | 123,713,915 | -- |
Foreign Government and Government Agency Obligations | 332,709,291 | -- | 332,709,291 | -- |
Supranational Obligations | 280,799,978 | -- | 280,799,978 | -- |
Bank Notes | 25,089,038 | -- | 25,089,038 | -- |
Money Market Funds | 142,446,936 | 142,446,936 | -- | -- |
Total Investments in Securities: | $19,944,225,414 | $142,446,936 | $19,801,778,478 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $20,392,183,459) | $19,801,778,478 | |
Fidelity Central Funds (cost $142,446,936) | 142,446,936 | |
Total Investment in Securities (cost $20,534,630,395) | $19,944,225,414 | |
Receivable for investments sold | 189,612,548 | |
Receivable for fund shares sold | 289,770 | |
Interest receivable | 85,521,135 | |
Distributions receivable from Fidelity Central Funds | 6,469 | |
Total assets | 20,219,655,336 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $6,500,000 | |
Delayed delivery | 84,256,746 | |
Payable for fund shares redeemed | 336,442,049 | |
Distributions payable | 584 | |
Other payables and accrued expenses | 52,774 | |
Total liabilities | 427,252,153 | |
Net Assets | $19,792,403,183 | |
Net Assets consist of: | ||
Paid in capital | $20,458,089,175 | |
Total accumulated earnings (loss) | (665,685,992) | |
Net Assets | $19,792,403,183 | |
Net Asset Value, offering price and redemption price per share ($19,792,403,183 ÷ 1,967,046,925 shares) | $10.06 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $163,484,435 | |
Income from Fidelity Central Funds (including $60,035 from security lending) | 156,128 | |
Total income | 163,640,563 | |
Expenses | ||
Custodian fees and expenses | $106,260 | |
Independent trustees' fees and expenses | 34,132 | |
Total expenses before reductions | 140,392 | |
Expense reductions | (244) | |
Total expenses after reductions | 140,148 | |
Net investment income (loss) | 163,500,415 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (29,742,637) | |
Total net realized gain (loss) | (29,742,637) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,016,827,543) | |
TBA sale commitments | 533,286 | |
Total change in net unrealized appreciation (depreciation) | (1,016,294,257) | |
Net gain (loss) | (1,046,036,894) | |
Net increase (decrease) in net assets resulting from operations | $(882,536,479) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | Year ended August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $163,500,415 | $262,274,617 |
Net realized gain (loss) | (29,742,637) | 11,898,785 |
Change in net unrealized appreciation (depreciation) | (1,016,294,257) | (255,976,713) |
Net increase (decrease) in net assets resulting from operations | (882,536,479) | 18,196,689 |
Distributions to shareholders | (174,064,738) | (423,322,340) |
Share transactions | ||
Proceeds from sales of shares | 2,945,219,570 | 9,942,585,788 |
Reinvestment of distributions | 174,063,513 | 423,322,340 |
Cost of shares redeemed | (3,079,175,319) | (2,312,782,358) |
Net increase (decrease) in net assets resulting from share transactions | 40,107,764 | 8,053,125,770 |
Total increase (decrease) in net assets | (1,016,493,453) | 7,648,000,119 |
Net Assets | ||
Beginning of period | 20,808,896,636 | 13,160,896,517 |
End of period | $19,792,403,183 | $20,808,896,636 |
Other Information | ||
Shares | ||
Sold | 282,325,622 | 935,225,091 |
Issued in reinvestment of distributions | 16,835,339 | 39,713,469 |
Redeemed | (297,760,910) | (216,271,966) |
Net increase (decrease) | 1,400,051 | 758,666,594 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Bond Index Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||
2022 | 2021 | 2020 | 2019 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $10.59 | $10.90 | $10.50 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .083 | .165 | .242 | .098 |
Net realized and unrealized gain (loss) | (.525) | (.182) | .422 | .501 |
Total from investment operations | (.442) | (.017) | .664 | .599 |
Distributions from net investment income | (.088) | (.174) | (.250) | (.099) |
Distributions from net realized gain | – | (.119) | (.014) | – |
Total distributions | (.088) | (.293) | (.264) | (.099) |
Net asset value, end of period | $10.06 | $10.59 | $10.90 | $10.50 |
Total ReturnD,E | (4.19)% | (.14)% | 6.42% | 6.01% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductionsH | - %I | -% | -% | - %I |
Expenses net of fee waivers, if anyH | - %I | -% | -% | - %I |
Expenses net of all reductionsH | - %I | -% | -% | - %I |
Net investment income (loss) | 1.61%I | 1.56% | 2.29% | 2.77%I |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $19,792,403 | $20,808,897 | $13,160,897 | $7,446,093 |
Portfolio turnover rateJ | 80%I | 108% | 71%K | 20%K,L |
A For the period April 26, 2019 (commencement of operations) through August 31, 2019.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Amount represents less than .005%.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Portfolio turnover rate excludes securities received or delivered in-kind.
L Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Series Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, 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. 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 February 28, 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. 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 losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $127,005,803 |
Gross unrealized depreciation | (720,732,987) |
Net unrealized appreciation (depreciation) | $(593,727,184) |
Tax cost | $20,537,952,598 |
At the prior fiscal period end, the Fund was required to defer approximately $14,308,068 of capital losses recognized during the period November 1,2020 to August 31, 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.
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. 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 Series Bond Index Fund | 2,835,237,310 | 3,601,044,509 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. 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.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
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 Series Bond Index Fund | $6,422 | $– | $– |
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 $244.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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 and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
10. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Series Bond Index Fund | - %-C | |||
Actual | $1,000.00 | $958.10 | $--D | |
Hypothetical-E | $1,000.00 | $1,024.79 | $--D |
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 181/ 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 Amount represents less than $.005.
E 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Bond Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2023.Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) the extent to which current market conditions have affected retention and recruitment of personnel; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of the funds' various management fee structures, including the basic group fee and the terms of Fidelity's voluntary expense limitation arrangements; (vi) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends; (vii) the impact on fund profitability of recent industry trends, such as the growth in passively managed funds and the continued waiver of money market fund fees; (viii) the types of management fee and total expense comparisons provided, and the challenges and limitations associated with such information; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons. In addition, the Board considered its discussions with Fidelity regarding Fidelity's efforts to maintain the continuous investment and shareholder services necessary for the funds during the current pandemic and economic circumstances.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 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.
SBX-SANN-0422
1.9892976.102
Fidelity® SAI Low Duration Income Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 6.8% | |
AAA | 18.5% | |
AA | 3.2% | |
A | 39.1% | |
BBB | 15.8% | |
BB and Below | 0.1% | |
Not Rated | 2.0% | |
Short-Term Investments and Net Other Assets | 14.5% |
We have used ratings from Moody’s Investors Service, Inc. Where Moody’s® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 57.1% | |
U.S. Government and U.S. Government Agency Obligations | 7.3% | |
Asset-Backed Securities | 17.7% | |
CMOs and Other Mortgage Related Securities | 2.5% | |
Other Investments | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 14.5% |
* Foreign investments - 22.0%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 57.1% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 0.6% | |||
NTT Finance Corp.: | |||
0.373% 3/3/23 (a) | $15,000,000 | $14,840,029 | |
0.583% 3/1/24 (a) | 3,719,000 | 3,612,198 | |
Verizon Communications, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (b)(c) | 6,019,000 | 6,034,267 | |
24,486,494 | |||
Entertainment - 0.3% | |||
The Walt Disney Co. 3% 9/15/22 | 14,035,000 | 14,184,205 | |
Media - 0.5% | |||
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.5701% 3/4/22 (b)(c) | 21,838,000 | 21,838,532 | |
Wireless Telecommunication Services - 0.3% | |||
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (b)(c) | 15,051,000 | 15,053,391 | |
TOTAL COMMUNICATION SERVICES | 75,562,622 | ||
CONSUMER DISCRETIONARY - 3.1% | |||
Automobiles - 2.7% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 0.6296% 2/22/23 (b)(c) | 6,998,000 | 7,001,874 | |
0.4% 10/21/22 | 6,541,000 | 6,516,720 | |
BMW U.S. Capital LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5792% 4/1/24 (a)(b)(c) | 13,993,000 | 14,072,133 | |
3.8% 4/6/23 (a) | 4,500,000 | 4,605,749 | |
Daimler Finance North America LLC 3 month U.S. LIBOR + 0.840% 1.1506% 5/4/23 (a)(b)(c) | 11,390,000 | 11,458,164 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.6689% 10/15/24 (b)(c) | 11,310,000 | 11,272,152 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8093% 3/8/24 (b)(c) | 9,606,000 | 9,627,291 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) | 8,000,000 | 8,074,921 | |
3.25% 1/5/23 | 3,000,000 | 3,040,059 | |
Volkswagen Group of America Finance LLC: | |||
0.75% 11/23/22 (a) | 15,450,000 | 15,348,765 | |
2.7% 9/26/22 (a) | 2,582,000 | 2,597,183 | |
2.9% 5/13/22 (a) | 11,000,000 | 11,040,009 | |
3.125% 5/12/23 (a) | 15,000,000 | 15,216,633 | |
119,871,653 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.420% 0.47% 2/14/24 (b)(c) | 11,071,000 | 11,079,514 | |
Textiles, Apparel & Luxury Goods - 0.2% | |||
VF Corp. 2.05% 4/23/22 | 7,168,000 | 7,180,544 | |
TOTAL CONSUMER DISCRETIONARY | 138,131,711 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 11,500,000 | 11,214,413 | |
Food & Staples Retailing - 0.1% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (a) | 1,550,000 | 1,537,593 | |
0.8% 2/10/24 (a) | 4,898,000 | 4,780,534 | |
6,318,127 | |||
Tobacco - 0.2% | |||
Imperial Tobacco Finance PLC 3.5% 2/11/23 (a) | 7,000,000 | 7,061,832 | |
TOTAL CONSUMER STAPLES | 24,594,372 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 1.231% 12/15/23 | 2,196,000 | 2,173,805 | |
Oil, Gas & Consumable Fuels - 1.6% | |||
Chevron Corp. 3 month U.S. LIBOR + 0.900% 1.2774% 5/11/23 (b)(c) | 15,141,000 | 15,287,309 | |
Enbridge, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 0.68% 2/16/24 (b)(c) | 10,987,000 | 11,015,127 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (b)(c) | 9,767,000 | 9,757,223 | |
2.9% 7/15/22 | 5,129,000 | 5,154,628 | |
Exxon Mobil Corp. 3 month U.S. LIBOR + 0.330% 0.7886% 8/16/22 (b)(c) | 16,722,000 | 16,750,907 | |
Kinder Morgan Energy Partners LP 3.95% 9/1/22 | 10,000,000 | 10,061,532 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 2,872,000 | 2,861,069 | |
70,887,795 | |||
TOTAL ENERGY | 73,061,600 | ||
FINANCIALS - 37.1% | |||
Banks - 21.2% | |||
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 0.7093% 2/4/25 (b)(c) | 18,000,000 | 18,012,420 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7389% 4/22/25 (b)(c) | 15,950,000 | 15,986,207 | |
0.523% 6/14/24 (b) | 12,000,000 | 11,781,819 | |
0.81% 10/24/24 (b) | 10,000,000 | 9,760,245 | |
2.816% 7/21/23 (b) | 5,555,000 | 5,583,720 | |
2.881% 4/24/23 (b) | 29,130,000 | 29,186,336 | |
3.004% 12/20/23 (b) | 25,300,000 | 25,524,850 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.570% 0.7898% 3/26/22 (b)(c) | 13,951,000 | 13,957,412 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3142% 9/15/23 (b)(c) | 13,800,000 | 13,781,789 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3189% 4/14/23 (b)(c) | 12,000,000 | 11,979,425 | |
Bank of Nova Scotia: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3092% 9/15/23 (b)(c) | 17,000,000 | 16,984,159 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4294% 7/31/24 (b)(c) | 14,300,000 | 14,282,550 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4939% 4/15/24 (b)(c) | 15,000,000 | 15,017,654 | |
1.95% 2/1/23 | 10,000,000 | 10,029,396 | |
Barclays Bank PLC 1.7% 5/12/22 | 1,768,000 | 1,769,529 | |
BNP Paribas SA 3.5% 3/1/23 (a) | 10,500,000 | 10,667,771 | |
BPCE SA: | |||
3 month U.S. LIBOR + 1.240% 1.4409% 9/12/23 (a)(b)(c) | 4,800,000 | 4,859,270 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6189% 1/14/25 (a)(b)(c) | 9,396,000 | 9,382,464 | |
Canadian Imperial Bank of Commerce U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3891% 6/22/23 (b)(c) | 14,351,000 | 14,339,376 | |
Capital One NA 3 month U.S. LIBOR + 0.820% 1.159% 8/8/22 (b)(c) | 4,000,000 | 4,007,939 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.430% 1.6009% 9/1/23 (b)(c) | 4,750,000 | 4,773,526 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7436% 1/25/26(b)(c) | 17,500,000 | 17,517,675 | |
2.7% 10/27/22 | 13,500,000 | 13,613,716 | |
2.876% 7/24/23 (b) | 9,200,000 | 9,250,398 | |
Citizens Bank NA 3 month U.S. LIBOR + 0.950% 1.1698% 3/29/23 (b)(c) | 5,000,000 | 5,014,253 | |
Credit Agricole SA 3.75% 4/24/23 (a) | 9,600,000 | 9,812,463 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 26,000,000 | 26,336,944 | |
Discover Bank 4.2% 8/8/23 | 10,000,000 | 10,292,347 | |
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (a)(b)(c) | 12,811,000 | 12,804,648 | |
First Republic Bank 2.5% 6/6/22 | 10,020,000 | 10,042,817 | |
HSBC Holdings PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (b)(c) | 13,000,000 | 13,013,114 | |
3.262% 3/13/23 (b) | 23,000,000 | 23,011,977 | |
3.95% 5/18/24 (b) | 8,000,000 | 8,176,975 | |
Intesa Sanpaolo SpA 3.125% 7/14/22 (a) | 14,000,000 | 14,072,012 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 1.230% 1.4889% 10/24/23 (b)(c) | 7,000,000 | 7,040,645 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.585% 6/1/25 (b)(c) | 15,475,000 | 15,416,910 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6292% 3/16/24 (b)(c) | 16,000,000 | 16,024,988 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.920% 0.97% 2/24/26 (b)(c) | 15,958,000 | 15,916,350 | |
0.697% 3/16/24 (b) | 12,000,000 | 11,848,991 | |
2.776% 4/25/23 (b) | 13,800,000 | 13,824,334 | |
3.375% 5/1/23 | 3,000,000 | 3,055,187 | |
3.559% 4/23/24 (b) | 10,000,000 | 10,187,964 | |
KeyBank NA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (b)(c) | 12,050,000 | 12,006,831 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.39% 1/3/24 (b)(c) | 15,000,000 | 14,982,442 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (b) | 6,318,000 | 6,218,325 | |
2.907% 11/7/23 (b) | 9,000,000 | 9,063,383 | |
4.05% 8/16/23 | 15,000,000 | 15,454,326 | |
M&T Bank Corp. 3 month U.S. LIBOR + 0.680% 0.9471% 7/26/23 (b)(c) | 4,700,000 | 4,729,465 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.700% 0.8876% 3/7/22 (b)(c) | 15,883,000 | 15,884,236 | |
3 month U.S. LIBOR + 0.860% 1.1271% 7/26/23 (b)(c) | 15,300,000 | 15,421,066 | |
2.623% 7/18/22 | 8,669,000 | 8,723,075 | |
2.665% 7/25/22 | 11,480,000 | 11,555,132 | |
3.218% 3/7/22 | 4,789,000 | 4,790,684 | |
3.455% 3/2/23 | 5,000,000 | 5,091,233 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.850% 1.0509% 9/13/23 (b)(c) | 2,945,000 | 2,953,462 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.960% 1.01% 5/22/26 (b)(c) | 16,000,000 | 16,010,240 | |
2.721% 7/16/23 (b) | 18,950,000 | 19,030,812 | |
3.549% 3/5/23 | 5,000,000 | 5,101,537 | |
Morgan Stanley Domestic Hold 2.95% 8/24/22 | 13,494,000 | 13,593,488 | |
NatWest Markets PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 8/12/24 (a)(b)(c) | 14,209,000 | 14,216,086 | |
2.375% 5/21/23 (a) | 5,000,000 | 5,033,810 | |
3.625% 9/29/22 (a) | 9,000,000 | 9,125,227 | |
Rabobank Nederland 3.95% 11/9/22 | 10,000,000 | 10,183,892 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (b)(c) | 15,700,000 | 15,704,271 | |
Societe Generale U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.050% 1.0995% 1/21/26 (a)(b)(c) | 18,000,000 | 18,054,307 | |
Sumitomo Mitsui Banking Corp. 3.2% 7/18/22 | 6,421,000 | 6,472,648 | |
Sumitomo Mitsui Financial Group, Inc. 0.508% 1/12/24 | 852,000 | 830,624 | |
Synchrony Bank 3% 6/15/22 | 9,500,000 | 9,539,944 | |
Synovus Financial Corp. 3.125% 11/1/22 | 12,029,000 | 12,102,320 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 0.7009% 12/1/22 (b)(c) | 12,858,000 | 12,889,230 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2693% 6/2/23 (b)(c) | 16,000,000 | 15,971,638 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4043% 3/4/24 (b)(c) | 16,000,000 | 15,966,080 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4993% 9/28/23 (b)(c) | 7,342,000 | 7,348,963 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (b)(c) | 15,810,000 | 15,840,263 | |
0.25% 1/6/23 | 10,000,000 | 9,917,558 | |
Truist Bank: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2489% 1/17/24 (b)(c) | 16,000,000 | 15,980,189 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.730% 0.7793% 3/9/23 (b)(c) | 14,724,000 | 14,791,676 | |
Truist Financial Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4493% 6/9/25 (b)(c) | 16,000,000 | 15,951,072 | |
2.2% 3/16/23 | 9,180,000 | 9,230,729 | |
943,702,829 | |||
Capital Markets - 7.8% | |||
Credit Suisse AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4295% 8/9/23 (b)(c) | 17,000,000 | 16,970,403 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4396% 2/2/24 (b)(c) | 16,147,000 | 16,128,876 | |
2.8% 4/8/22 | 11,303,000 | 11,328,539 | |
Deutsche Bank AG New York Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5496% 11/8/23 (b)(c) | 17,390,000 | 17,353,887 | |
3.3% 11/16/22 | 10,000,000 | 10,106,733 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.750% 1.2139% 2/23/23 (b)(c) | 16,400,000 | 16,457,350 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/8/23 (b)(c) | 8,200,000 | 8,193,760 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 11/17/23 (b)(c) | 16,800,000 | 16,808,495 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6693% 12/6/23 (b)(c) | 9,860,000 | 9,871,360 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7495% 1/24/25 (b)(c) | 17,500,000 | 17,513,300 | |
0.523% 3/8/23 | 15,600,000 | 15,490,527 | |
0.627% 11/17/23 (b) | 12,500,000 | 12,396,991 | |
2.905% 7/24/23 (b) | 5,000,000 | 5,025,912 | |
2.908% 6/5/23 (b) | 21,900,000 | 21,986,145 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 2,000,000 | 1,975,912 | |
Moody's Corp. 2.625% 1/15/23 | 3,700,000 | 3,732,206 | |
Morgan Stanley: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6743% 1/24/25 (b)(c) | 17,500,000 | 17,517,850 | |
0.56% 11/10/23 (b) | 11,540,000 | 11,449,797 | |
2.75% 5/19/22 | 7,500,000 | 7,529,650 | |
3.125% 1/23/23 | 10,000,000 | 10,142,862 | |
3.737% 4/24/24 (b) | 5,035,000 | 5,128,906 | |
4.875% 11/1/22 | 15,000,000 | 15,341,004 | |
NASDAQ, Inc. 0.445% 12/21/22 | 6,732,000 | 6,689,262 | |
UBS AG London Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/1/23 (a)(b)(c) | 16,000,000 | 16,004,044 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5194% 1/13/25 (a)(b)(c) | 15,000,000 | 14,994,300 | |
1.75% 4/21/22 (a) | 14,179,000 | 14,188,979 | |
UBS Group AG: | |||
3 month U.S. LIBOR + 0.950% 1.4564% 8/15/23 (a)(b)(c) | 10,000,000 | 10,031,814 | |
3.491% 5/23/23 (a) | 15,000,000 | 15,065,909 | |
345,424,773 | |||
Consumer Finance - 3.4% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (b)(c) | 15,093,000 | 15,052,400 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.610% 0.9266% 8/1/22 (b)(c) | 10,997,000 | 11,012,672 | |
3 month U.S. LIBOR + 0.620% 1.1% 5/20/22 (b)(c) | 14,202,000 | 14,209,308 | |
2.75% 5/20/22 | 21,951,000 | 22,004,548 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (b) | 12,000,000 | 11,819,355 | |
3.2% 1/30/23 | 22,000,000 | 22,308,432 | |
John Deere Capital Corp. 2.75% 3/15/22 | 3,246,000 | 3,248,152 | |
Synchrony Financial 2.85% 7/25/22 | 10,000,000 | 10,052,271 | |
Toyota Motor Credit Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (b)(c) | 16,000,000 | 16,000,859 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.3691% 4/6/23 (b)(c) | 12,000,000 | 11,997,246 | |
0.45% 7/22/22 | 12,460,000 | 12,433,876 | |
150,139,119 | |||
Diversified Financial Services - 1.7% | |||
Athene Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (a)(b)(c) | 16,500,000 | 16,516,665 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.710% 0.7641% 1/7/25 (a)(b)(c) | 20,600,000 | 20,597,136 | |
0.95% 1/8/24 (a) | 7,649,000 | 7,475,555 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 12,000,000 | 12,278,915 | |
GA Global Funding Trust 1.25% 12/8/23 (a) | 9,000,000 | 8,834,918 | |
Jackson Financial, Inc. 1.125% 11/22/23 (a) | 11,755,000 | 11,564,192 | |
77,267,381 | |||
Insurance - 3.0% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 6,465,000 | 6,525,150 | |
Equitable Financial Life Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4383% 4/6/23 (a)(b)(c) | 12,000,000 | 11,998,663 | |
0.5% 11/17/23 (a) | 15,000,000 | 14,684,205 | |
Metropolitan Life Global Funding I: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.619% 1/13/23 (a)(b)(c) | 15,072,000 | 15,118,271 | |
3.875% 4/11/22 (a) | 4,000,000 | 4,012,879 | |
Metropolitan Tower Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5989% 1/17/23 (a)(b)(c) | 21,099,000 | 21,169,193 | |
0.55% 7/13/22 (a) | 17,297,000 | 17,280,517 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 0.5113% 1/10/23 (a)(b)(c) | 12,954,000 | 12,964,791 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2696% 2/2/23 (a)(b)(c) | 6,000,000 | 5,999,222 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.310% 0.3589% 4/26/24 (a)(b)(c) | 8,000,000 | 8,007,468 | |
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3792% 3/25/24 (a)(b)(c) | 9,564,000 | 9,569,962 | |
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4281% 4/12/24 (a)(b)(c) | 7,300,000 | 7,303,119 | |
134,633,440 | |||
TOTAL FINANCIALS | 1,651,167,542 | ||
HEALTH CARE - 3.3% | |||
Biotechnology - 1.1% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.1296% 11/21/22 (b)(c) | 6,384,000 | 6,407,048 | |
2.3% 11/21/22 | 3,000,000 | 3,018,497 | |
2.9% 11/6/22 | 20,000,000 | 20,198,008 | |
3.25% 10/1/22 | 21,429,000 | 21,571,726 | |
51,195,279 | |||
Health Care Providers & Services - 1.3% | |||
Anthem, Inc.: | |||
0.45% 3/15/23 | 17,000,000 | 16,819,081 | |
2.95% 12/1/22 | 10,000,000 | 10,113,568 | |
Cigna Corp. 0.613% 3/15/24 | 10,258,000 | 9,996,589 | |
Humana, Inc. 0.65% 8/3/23 | 20,523,000 | 20,202,381 | |
57,131,619 | |||
Life Sciences Tools & Services - 0.4% | |||
PerkinElmer, Inc. 0.55% 9/15/23 | 12,400,000 | 12,186,548 | |
Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.5789% 10/18/24 (b)(c) | 6,184,000 | 6,188,564 | |
18,375,112 | |||
Pharmaceuticals - 0.5% | |||
Mylan NV 3.125% 1/15/23 (a) | 5,500,000 | 5,554,759 | |
Viatris, Inc. 1.125% 6/22/22 | 15,000,000 | 15,006,357 | |
20,561,116 | |||
TOTAL HEALTH CARE | 147,263,126 | ||
INDUSTRIALS - 3.4% | |||
Aerospace & Defense - 0.2% | |||
The Boeing Co. 4.508% 5/1/23 | 7,000,000 | 7,192,467 | |
Industrial Conglomerates - 1.0% | |||
Honeywell International, Inc.: | |||
3 month U.S. LIBOR + 0.370% 0.709% 8/8/22 (b)(c) | 16,702,000 | 16,724,069 | |
0.483% 8/19/22 | 2,302,000 | 2,299,022 | |
Siemens Financieringsmaatschappij NV: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/11/24 (a)(b)(c) | 15,000,000 | 15,026,829 | |
0.4% 3/11/23 (a) | 9,327,000 | 9,214,218 | |
43,264,138 | |||
Machinery - 1.6% | |||
Caterpillar Financial Services Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (b)(c) | 16,000,000 | 15,994,262 | |
0.25% 3/1/23 | 10,000,000 | 9,896,334 | |
0.95% 5/13/22 | 15,487,000 | 15,492,889 | |
1.9% 9/6/22 | 5,300,000 | 5,322,399 | |
Daimler Trucks Finance North America LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5493% 6/14/23 (a)(b)(c) | 15,000,000 | 14,996,447 | |
1.125% 12/14/23 (a) | 12,000,000 | 11,822,176 | |
73,524,507 | |||
Road & Rail - 0.3% | |||
Canadian Pacific Railway Co. 1.35% 12/2/24 | 13,000,000 | 12,682,652 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp. 3 month U.S. LIBOR + 0.350% 0.5528% 12/15/22 (b)(c) | 15,000,000 | 14,991,582 | |
TOTAL INDUSTRIALS | 151,655,346 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
IT Services - 0.4% | |||
IBM Corp. 2.85% 5/13/22 | 14,723,000 | 14,789,237 | |
Semiconductors & Semiconductor Equipment - 0.1% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (b)(c) | 5,416,000 | 5,414,973 | |
Software - 0.2% | |||
VMware, Inc. 0.6% 8/15/23 | 10,018,000 | 9,836,021 | |
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 1,000,000 | 1,014,574 | |
TOTAL INFORMATION TECHNOLOGY | 31,054,805 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 1,563,000 | 1,557,929 | |
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.5% | |||
Kimco Realty Corp. 3.4% 11/1/22 | 10,500,000 | 10,623,561 | |
Simon Property Group LP U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.4794% 1/11/24 (b)(c) | 9,519,000 | 9,527,325 | |
20,150,886 | |||
UTILITIES - 5.1% | |||
Electric Utilities - 3.9% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 8,709,000 | 8,703,459 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (b)(c) | 7,302,000 | 7,285,132 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (b)(c) | 10,000,000 | 9,985,328 | |
Exelon Corp. 3.497% 6/1/22 (b) | 10,616,000 | 10,649,126 | |
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2995% 5/10/23 (b)(c) | 8,596,000 | 8,596,001 | |
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.3493% 6/28/24 (b)(c) | 13,012,000 | 12,893,006 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (b)(c) | 18,000,000 | 17,980,686 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4496% 11/3/23 (b)(c) | 17,000,000 | 17,000,102 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (b)(c) | 8,165,000 | 8,183,078 | |
0.65% 3/1/23 | 5,000,000 | 4,951,880 | |
PPL Electric Utilities Corp.: | |||
3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 4,027,000 | 4,016,237 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3793% 6/24/24 (b)(c) | 11,827,000 | 11,785,639 | |
Southern California Edison Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (b)(c) | 17,800,000 | 17,813,571 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6892% 4/3/23 (b)(c) | 12,000,000 | 12,003,080 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.830% 0.8792% 4/1/24 (b)(c) | 12,000,000 | 12,023,160 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (b)(c) | 8,433,000 | 8,425,829 | |
2.95% 7/1/23 | 2,000,000 | 2,024,514 | |
174,319,828 | |||
Gas Utilities - 0.5% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (b)(c) | 6,128,000 | 6,122,436 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (b)(c) | 4,681,000 | 4,681,056 | |
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.8109% 3/11/23 (b)(c) | 7,650,000 | 7,650,332 | |
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5483% 9/14/23 (b)(c) | 2,073,000 | 2,068,461 | |
20,522,285 | |||
Multi-Utilities - 0.7% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 6,967,000 | 6,968,289 | |
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (b)(c) | 5,803,000 | 5,803,532 | |
DTE Energy Co. 0.55% 11/1/22 | 17,140,000 | 17,055,227 | |
Public Service Enterprise Group, Inc. 2.65% 11/15/22 | 2,000,000 | 2,015,796 | |
31,842,844 | |||
TOTAL UTILITIES | 226,684,957 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,550,530,555) | 2,540,884,896 | ||
U.S. Government and Government Agency Obligations - 7.3% | |||
U.S. Government Agency Obligations - 0.5% | |||
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (b)(c) | 13,071,000 | 13,078,566 | |
Freddie Mac U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.130% 0.18% 8/5/22 (b)(c) | 8,562,000 | 8,566,674 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 21,645,240 | ||
U.S. Treasury Obligations - 6.8% | |||
U.S. Treasury Notes: | |||
0.125% 5/31/22 | $69,799,000 | $69,738,495 | |
0.125% 6/30/22 | 115,365,400 | 115,213,290 | |
0.125% 12/31/22 | 56,000,000 | 55,593,125 | |
0.375% 10/31/23 | 62,414,000 | 61,351,012 | |
TOTAL U.S. TREASURY OBLIGATIONS | 301,895,922 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $325,105,928) | 323,541,162 | ||
Asset-Backed Securities - 17.7% | |||
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | $1,044,000 | $1,041,270 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (a)(b)(c) | 10,424,000 | 10,361,581 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 10,292,000 | 10,239,768 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (a)(b)(c) | 12,657,000 | 12,653,924 | |
American Express Credit Account Master Trust: | |||
Series 2018-9 Class A, 1 month U.S. LIBOR + 0.380% 0.5711% 4/15/26 (b)(c) | 2,500,000 | 2,509,042 | |
Series 2019-3 Class A, 2% 4/15/25 | 5,000,000 | 5,029,817 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2021-2 Class A2, 0.26% 11/18/24 | 7,105,555 | 7,090,336 | |
Series 2021-3 Class A2, 0.41% 2/18/25 | 17,000,000 | 16,897,896 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (a)(b)(c) | 8,970,000 | 8,963,820 | |
BMW Vehicle Lease Trust: | |||
Series 2021-1 Class A3, 0.29% 1/25/24 | 15,000,000 | 14,902,103 | |
Series 2022-1 Class A2, 0.67% 5/28/24 | 12,719,000 | 12,667,617 | |
CarMax Auto Owner Trust: | |||
Series 2020-4: | |||
Class A2, 0.31% 1/16/24 | 3,669,052 | 3,666,562 | |
Class A3, 0.5% 8/15/25 | 5,827,000 | 5,757,223 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 5,281,000 | 5,173,996 | |
Series 2021-3 Class A2A, 0.29% 9/16/24 | 11,953,299 | 11,913,362 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A2, 0.3% 7/10/24 | 10,134,307 | 10,116,109 | |
Series 2021-P3 Class A2, 0.38% 1/10/25 | 7,973,604 | 7,906,699 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(c) | 2,864,000 | 2,845,235 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (a)(b)(c) | 10,797,000 | 10,730,393 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (a)(b)(c) | 10,852,000 | 10,746,160 | |
Chesapeake Funding II LLC Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 0.4211% 4/15/33 (a)(b)(c) | 6,663,195 | 6,610,410 | |
Citibank Credit Card Issuance Trust Series 2018-A2 Class A2, 1 month U.S. LIBOR + 0.330% 0.5007% 1/20/25 (b)(c) | 20,000,000 | 20,035,416 | |
CNH Equipment Trust Series 2021-C Class A2, 0.33% 1/15/25 | 10,576,000 | 10,475,106 | |
Dell Equipment Finance Trust: | |||
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 3,757,000 | 3,707,615 | |
Series 2021-2 Class A2, 0.33% 12/22/26 (a) | 13,003,000 | 12,854,121 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) | 7,124,541 | 7,050,861 | |
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (a) | 17,000,000 | 16,885,648 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 0.4557% 12/11/34 (a)(b)(c) | 8,802,455 | 8,785,308 | |
Drive Auto Receivables Trust: | |||
Series 2021-2 Class A2, 0.36% 5/15/24 | 6,202,756 | 6,191,674 | |
Series 2021-3 Class A2, 0.52% 1/15/25 | 16,694,000 | 16,647,671 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 9,297,000 | 9,293,793 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 11,835,000 | 11,718,365 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 2,557,363 | 2,522,054 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (a) | 8,740,000 | 8,553,129 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A: | |||
Class A2, 0.27% 1/16/24 | 1,384,844 | 1,384,637 | |
Class A3, 0.3% 10/15/24 | 3,518,000 | 3,511,506 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 2,649,223 | 2,647,488 | |
Ford Credit Floorplan Master Owner Trust Series 2019-3 Class A2, 1 month U.S. LIBOR + 0.600% 0.7911% 9/15/24 (b)(c) | 5,195,000 | 5,203,680 | |
GM Financial Automobile Leasing Trust: | |||
Series 2021-2 Class A2, 0.22% 7/20/23 | 6,987,149 | 6,973,354 | |
Series 2021-3 Class A2, 0.24% 12/20/23 | 15,520,641 | 15,443,359 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4: | |||
Class A2, 0.26% 11/16/23 | 2,409,779 | 2,408,916 | |
Class A3, 0.38% 8/18/25 | 6,766,000 | 6,677,038 | |
GMF Floorplan Owner Revolving Trust Series 2020-2 Class A, 0.69% 10/15/25 (a) | 7,642,000 | 7,524,481 | |
HPEFS Equipment Trust: | |||
Series 2021-2A Class A2, 0.3% 9/20/28 (a) | 6,738,192 | 6,709,179 | |
Series 2022-1A Class A2, 1.02% 5/21/29 (a) | 13,153,000 | 13,075,867 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2021-A Class A3, 0.33% 1/16/24 (a) | 5,867,000 | 5,833,954 | |
Series 2021-B Class A2, 0.19% 10/16/23 (a) | 10,371,089 | 10,318,606 | |
Series 2022-A Class A2, 0.81% 4/15/24 (a) | 13,500,000 | 13,424,088 | |
Hyundai Auto Receivables Trust Series 2020-C: | |||
Class A2, 0.26% 9/15/23 | 2,625,362 | 2,623,902 | |
Class A3, 0.38% 5/15/25 | 7,449,000 | 7,354,350 | |
John Deere Owner Trust Series 2021-A Class A3, 0.36% 9/15/25 | 15,000,000 | 14,736,174 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (a)(b)(c) | 7,538,000 | 7,504,773 | |
Marlette Funding Trust: | |||
Series 2021-2A Class A, 0.51% 9/15/31 (a) | 3,753,403 | 3,736,994 | |
Series 2021-3A Class A, 0.65% 12/15/31 (a) | 3,977,041 | 3,947,275 | |
Series 2022-1A Class A, 1.36% 4/15/32 (a) | 8,966,000 | 8,959,148 | |
Mercedes-Benz Auto Lease Trust Series 2021-B Class A2, 0.22% 1/16/24 | 13,951,040 | 13,911,313 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 3/10/22 (a)(b)(c) | 8,147,000 | 8,118,730 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (a)(b)(c) | 11,000,000 | 10,907,633 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (a)(b)(c) | 7,834,415 | 7,819,953 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (a)(b)(c) | 11,221,000 | 11,218,329 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (a) | 5,909,000 | 5,852,651 | |
Santander Drive Auto Receivables Trust: | |||
Series 2021-2 Class A2, 0.28% 4/15/24 | 3,382,986 | 3,382,299 | |
Series 2021-3 Class A2, 0.29% 5/15/24 | 6,568,704 | 6,559,349 | |
Series 2021-4 Class A2, 0.37% 8/15/24 | 10,958,943 | 10,934,814 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B: | |||
Class A2, 0.42% 11/20/23 (a) | 4,557,251 | 4,548,034 | |
Class A3, 0.57% 4/22/24 (a) | 8,450,000 | 8,333,550 | |
Series 2021-A Class A2, 0.32% 2/20/24 (a) | 8,019,830 | 7,978,279 | |
Series 2021-B Class A2, 0.31% 1/22/24 (a) | 6,820,075 | 6,783,099 | |
Series 2021-C Class A2, 0.29% 4/22/24 (a) | 9,436,211 | 9,395,068 | |
Series 2022-A Class A2, 0.97% 3/20/25 (a) | 15,000,000 | 14,920,380 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 7,764,000 | 7,735,949 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (a)(b)(c) | 10,983,000 | 10,918,914 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (a)(b)(c) | 10,114,000 | 10,056,269 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (a)(b)(c) | 12,036,000 | 11,958,861 | |
Tesla Auto Lease Trust: | |||
Series 2021-A Class A2, 0.36% 3/20/25 (a) | 9,207,403 | 9,136,542 | |
Series 2021-B Class A2, 0.36% 9/22/25 (a) | 12,379,000 | 12,349,735 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 179,407 | 178,359 | |
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 3,379,816 | 3,356,390 | |
Series 2021-3 Class A, 0.83% 7/20/31 (a) | 5,662,502 | 5,609,113 | |
Series 2021-4 Class A, 0.84% 9/20/31 (a) | 8,291,016 | 8,165,586 | |
Series 2021-5 Class A, 1.31% 11/20/31 (a) | 10,967,799 | 10,838,616 | |
Verizon Master Trust Series 2022-1 Class A, 1.04% 1/20/27 | 17,500,000 | 17,403,663 | |
Volkswagen Auto Lease Trust: | |||
Series 2019-A Class A3, 1.99% 11/21/22 | 526,184 | 526,591 | |
Series 2020-A: | |||
Class A2, 0.27% 4/20/23 | 5,154,510 | 5,150,435 | |
Class A3, 0.39% 1/22/24 | 10,316,000 | 10,263,858 | |
Volkswagen Auto Loan Enhanced Trust Series 2021-1 Class A2, 0.49% 10/21/24 | 17,500,000 | 17,377,112 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (a)(b)(c) | 10,783,000 | 10,744,968 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (a)(b)(c) | 6,946,559 | 6,935,344 | |
World Omni Auto Receivables Trust: | |||
Series 2021-C Class A2, 0.22% 9/16/24 | 15,748,922 | 15,686,695 | |
Series 2021-D Class A2, 0.35% 12/16/24 | 11,916,000 | 11,855,046 | |
World Omni Automobile Lease Securitization Trust Series 2020-B: | |||
Class A2, 0.32% 9/15/23 | 2,876,872 | 2,874,951 | |
Class A3, 0.45% 2/15/24 | 4,816,000 | 4,774,782 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $791,764,467) | 787,104,113 | ||
Collateralized Mortgage Obligations - 1.6% | |||
Private Sponsor - 1.6% | |||
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (a)(b) | 3,373,582 | 3,348,230 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 1,869,087 | 1,857,677 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 2,490,894 | 2,478,394 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (a) | 3,135,465 | 3,102,749 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (a)(b) | 11,776,000 | 11,775,993 | |
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 9/10/22 (a)(b)(c) | 15,000,000 | 14,981,384 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (a)(b) | 8,521,981 | 8,472,827 | |
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (a) | 5,972,389 | 5,905,616 | |
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.42% 1/21/70 (a)(b)(c) | 18,000,000 | 17,970,174 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $70,139,372) | 69,893,044 | ||
Commercial Mortgage Securities - 0.9% | |||
BAMLL Commercial Mortgage Securities Trust floater Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 2,702,000 | 2,678,741 | |
BX Commercial Mortgage Trust floater Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (a)(b)(c) | 6,864,000 | 6,795,286 | |
BX Trust floater: | |||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (a)(b)(c) | 4,756,000 | 4,705,488 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (a)(b)(c) | 4,422,000 | 4,322,356 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 2,858,398 | 2,809,791 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 6,595,000 | 6,458,960 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 3,836,532 | 3,759,667 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (a)(b)(c) | 2,275,000 | 2,226,696 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 4,580,000 | 4,488,277 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $38,763,309) | 38,245,262 | ||
Bank Notes - 0.9% | |||
Capital One NA 2.15% 9/6/22 | 12,023,000 | 12,090,525 | |
Huntington National Bank 2.5% 8/7/22 | 5,000,000 | 5,026,640 | |
Truist Bank 2.8% 5/17/22 | 24,385,000 | 24,447,590 | |
TOTAL BANK NOTES | |||
(Cost $41,619,422) | 41,564,755 | ||
Certificates of Deposit - 2.9% | |||
Barclays Bank PLC yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 2/2/23 (b)(c) | $14,750,000 | $14,745,425 | |
0.28% 5/17/22 | 15,000,000 | 14,992,692 | |
Credit Suisse AG yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 3/20/23 (b)(c) | 13,800,000 | 13,790,139 | |
Lloyds Bank Corporate Markets PLC yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/13/23 (b)(c) | 13,800,000 | 13,795,046 | |
Mizuho Corporate Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 7/25/22 (b)(c) | 13,800,000 | 13,799,887 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 13,800,000 | 13,798,009 | |
Sumitomo Mitsui Banking Corp. yankee U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.280% 0.33% 2/10/23 (b)(c) | 13,800,000 | 13,796,017 | |
Sumitomo Mitsui Trust Bank Ltd. yankee: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.160% 0.21% 8/1/22 (b)(c) | 15,000,000 | 14,999,487 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.190% 0.24% 8/19/22 (b)(c) | 13,800,000 | 13,799,077 | |
TOTAL CERTIFICATES OF DEPOSIT | |||
(Cost $127,550,000) | 127,515,779 | ||
Commercial Paper - 6.8% | |||
American Electric Power Co., Inc. 0.8% 4/27/22 | 13,800,000 | 13,785,837 | |
Cigna Corp. 0.8% 4/25/22 | 15,000,000 | 14,985,464 | |
Enel Finance America LLC: | |||
yankee: | |||
0.37% 7/11/22 | 15,000,000 | 14,949,405 | |
0.4% 9/22/22 | 18,100,000 | 17,980,373 | |
0.63% 7/14/22 | 12,000,000 | 11,958,157 | |
0.4% 8/11/22 | 13,000,000 | 12,940,186 | |
General Motors Financial Co., Inc.: | |||
0.4% 3/28/22 | 9,200,000 | 9,196,157 | |
0.45% 3/22/22 | 10,000,000 | 9,996,963 | |
HSBC U.S.A., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 2/1/23 (b)(c) | 14,750,000 | 14,738,811 | |
yankee 0.35% 5/13/22 | 15,000,000 | 14,983,874 | |
0.33% 9/13/22 | 15,000,000 | 14,914,797 | |
0.33% 10/4/22 | 18,200,000 | 18,080,421 | |
NatWest Markets PLC yankee: | |||
0.3% 6/21/22 | 16,000,000 | 15,960,426 | |
0.35% 4/19/22 | 15,000,000 | 14,988,896 | |
0.6% 7/26/22 | 5,000,000 | 4,982,096 | |
0.6% 7/27/22 | 11,000,000 | 10,960,209 | |
Sempra Energy 1% 5/23/22 | 13,800,000 | 13,774,498 | |
Societe Generale yankee: | |||
0.25% 8/31/22 (b)(c) | 13,800,000 | 13,799,224 | |
0.295% 4/28/22 | 15,000,000 | 14,991,789 | |
Thermo Fisher Scientific, Inc. 0.51% 6/1/22 | 18,000,000 | 17,962,987 | |
UBS AG London Branch yankee 0.45% 9/7/22 | 15,000,000 | 14,936,414 | |
Viatris, Inc. 0.68% 4/26/22 | 12,000,000 | 11,984,154 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $303,248,646) | 302,851,138 | ||
Shares | Value | ||
Money Market Funds - 4.8% | |||
Fidelity Cash Central Fund 0.07% (d) | |||
(Cost $215,231,518) | 215,188,480 | 215,231,518 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $4,463,953,217) | 4,446,831,667 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 1,348,905 | ||
NET ASSETS - 100% | $4,448,180,572 |
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 $1,093,052,977 or 24.6% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 0.07% | $400,290,556 | $1,076,177,810 | $1,261,236,848 | $104,755 | $-- | $-- | $215,231,518 | 0.4% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 113,257,762 | 113,257,762 | 10,020 | -- | -- | -- | 0.0% |
Total | $400,290,556 | $1,189,435,572 | $1,374,494,610 | $114,775 | $-- | $-- | $215,231,518 |
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 February 28, 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 | $2,540,884,896 | $-- | $2,540,884,896 | $-- |
U.S. Government and Government Agency Obligations | 323,541,162 | -- | 323,541,162 | -- |
Asset-Backed Securities | 787,104,113 | -- | 787,104,113 | -- |
Collateralized Mortgage Obligations | 69,893,044 | -- | 69,893,044 | -- |
Commercial Mortgage Securities | 38,245,262 | -- | 38,245,262 | -- |
Bank Notes | 41,564,755 | -- | 41,564,755 | -- |
Certificates of Deposit | 127,515,779 | -- | 127,515,779 | -- |
Commercial Paper | 302,851,138 | -- | 302,851,138 | -- |
Money Market Funds | 215,231,518 | 215,231,518 | -- | -- |
Total Investments in Securities: | $4,446,831,667 | $215,231,518 | $4,231,600,149 | $-- |
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 | 78.0% |
Canada | 6.2% |
United Kingdom | 5.5% |
Cayman Islands | 3.4% |
Japan | 2.9% |
France | 1.6% |
Others (Individually Less Than 1%) | 2.4% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $4,248,721,699) | $4,231,600,149 | |
Fidelity Central Funds (cost $215,231,518) | 215,231,518 | |
Total Investment in Securities (cost $4,463,953,217) | $4,446,831,667 | |
Cash | 10,094 | |
Receivable for fund shares sold | 17,288,028 | |
Interest receivable | 9,597,133 | |
Distributions receivable from Fidelity Central Funds | 14,491 | |
Prepaid expenses | 2,656 | |
Receivable from investment adviser for expense reductions | 365,374 | |
Total assets | 4,474,109,443 | |
Liabilities | ||
Payable for fund shares redeemed | 24,654,389 | |
Distributions payable | 123,256 | |
Accrued management fee | 1,112,968 | |
Other payables and accrued expenses | 38,258 | |
Total liabilities | 25,928,871 | |
Net Assets | $4,448,180,572 | |
Net Assets consist of: | ||
Paid in capital | $4,464,381,040 | |
Total accumulated earnings (loss) | (16,200,468) | |
Net Assets | $4,448,180,572 | |
Net Asset Value, offering price and redemption price per share ($4,448,180,572 ÷ 446,392,831 shares) | $9.96 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $9,626,872 | |
Income from Fidelity Central Funds (including $10,020 from security lending) | 114,775 | |
Total income | 9,741,647 | |
Expenses | ||
Management fee | $6,583,801 | |
Custodian fees and expenses | 23,791 | |
Independent trustees' fees and expenses | 7,216 | |
Registration fees | (14,857) | |
Audit | 27,037 | |
Legal | 2,549 | |
Miscellaneous | 8,688 | |
Total expenses before reductions | 6,638,225 | |
Expense reductions | (1,842,415) | |
Total expenses after reductions | 4,795,810 | |
Net investment income (loss) | 4,945,837 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 187,491 | |
Total net realized gain (loss) | 187,491 | |
Change in net unrealized appreciation (depreciation) on investment securities | (21,597,636) | |
Net gain (loss) | (21,410,145) | |
Net increase (decrease) in net assets resulting from operations | $(16,464,308) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | For the period September 15, 2020 (commencement of operations) through August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $4,945,837 | $5,877,832 |
Net realized gain (loss) | 187,491 | 352,129 |
Change in net unrealized appreciation (depreciation) | (21,597,636) | 4,476,086 |
Net increase (decrease) in net assets resulting from operations | (16,464,308) | 10,706,047 |
Distributions to shareholders | (5,360,768) | (5,062,422) |
Share transactions | ||
Proceeds from sales of shares | 1,135,677,367 | 5,972,784,806 |
Reinvestment of distributions | 4,704,024 | 4,678,859 |
Cost of shares redeemed | (898,060,484) | (1,755,422,549) |
Net increase (decrease) in net assets resulting from share transactions | 242,320,907 | 4,222,041,116 |
Total increase (decrease) in net assets | 220,495,831 | 4,227,684,741 |
Net Assets | ||
Beginning of period | 4,227,684,741 | – |
End of period | $4,448,180,572 | $4,227,684,741 |
Other Information | ||
Shares | ||
Sold | 113,632,920 | 597,093,559 |
Issued in reinvestment of distributions | 470,767 | 467,674 |
Redeemed | (89,884,592) | (175,387,497) |
Net increase (decrease) | 24,219,095 | 422,173,736 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Low Duration Income Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |
2022 | 2021 A | |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.01 | $10.00 |
Income from Investment Operations | ||
Net investment income (loss)B,C | .011 | .016 |
Net realized and unrealized gain (loss) | (.049) | .007 |
Total from investment operations | (.038) | .023 |
Distributions from net investment income | (.010) | (.013) |
Distributions from net realized gain | (.002) | – |
Total distributions | (.012) | (.013) |
Net asset value, end of period | $9.96 | $10.01 |
Total ReturnD,E | (.38)% | .23% |
Ratios to Average Net AssetsC,F,G | ||
Expenses before reductions | .30%H | .34%H |
Expenses net of fee waivers, if any | .22%H | .22%H |
Expenses net of all reductions | .22%H | .22%H |
Net investment income (loss) | .23%H | .17%H |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $4,448,181 | $4,227,685 |
Portfolio turnover rateI | 47%H | 15%H,J |
A For the period September 15, 2020 (commencement of operations) through August 31, 2021.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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 February 28, 2022
1. Organization.
Fidelity SAI Low Duration Income Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, U.S. government and government agency obligations commercial paper and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and commercial 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. 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 February 28, 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 market discount.
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 | $1,262,129 |
Gross unrealized depreciation | (17,682,155) |
Net unrealized appreciation (depreciation) | $(16,420,026) |
Tax cost | $4,463,251,693 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other IBOR-based reference rates. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not expect the adoption of ASU 2020-04 to have a material impact on the Fund's financial statements.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI Low Duration Income Fund | 1,059,719,548 | 758,430,171 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .30% of the Fund's average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Prior Fiscal Year Affiliated Exchanges In-Kind. Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
Shares | Total Proceeds ($) | |
Fidelity SAI Low Duration Income Fund | 357,344,436 | 3,573,444,362 |
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI Low Duration Income Fund | $3,368 |
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 SAI Low Duration Income Fund | $1,088 | $– | $– |
8. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .22% of average net assets. This reimbursement will remain in place through December 31, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $1,842,387.
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 $28.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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.
10. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity SAI Low Duration Income Fund | .22% | |||
Actual | $1,000.00 | $996.20 | $1.09 | |
Hypothetical-C | $1,000.00 | $1,023.70 | $1.10 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Low Duration Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the period of the fund's operations shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
LDI-SANN-0422
1.9900848.101
Fidelity® SAI Short-Term Bond Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
February 28, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 36.0% | |
AAA | 15.7% | |
AA | 1.6% | |
A | 19.2% | |
BBB | 19.9% | |
BB and Below | 0.9% | |
Not Rated | 4.4% | |
Short-Term Investments and Net Other Assets | 2.3% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Corporate Bonds | 40.2% | |
U.S. Government and U.S. Government Agency Obligations | 36.0% | |
Asset-Backed Securities | 12.7% | |
CMOs and Other Mortgage Related Securities | 8.5% | |
Other Investments | 0.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.3% |
* Foreign investments - 15.3%
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 40.2% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.5% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc. 0.9% 3/25/24 | $5,000,000 | $4,913,893 | |
NTT Finance Corp.: | |||
0.373% 3/3/23 (a) | 3,840,000 | 3,799,047 | |
0.583% 3/1/24 (a) | 1,597,000 | 1,551,137 | |
Verizon Communications, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (b)(c) | 2,637,000 | 2,643,689 | |
0.75% 3/22/24 | 1,969,000 | 1,927,140 | |
14,834,906 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 3% 9/15/22 | 1,000,000 | 1,010,631 | |
Media - 0.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 5,374,000 | 5,413,321 | |
Discovery Communications LLC 2.95% 3/20/23 | 3,000,000 | 3,031,889 | |
8,445,210 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 3,440,000 | 3,536,389 | |
TOTAL COMMUNICATION SERVICES | 27,827,136 | ||
CONSUMER DISCRETIONARY - 1.8% | |||
Automobiles - 1.5% | |||
BMW U.S. Capital LLC 3.45% 4/12/23 (a) | 5,956,000 | 6,066,779 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.840% 1.1506% 5/4/23 (a)(b)(c) | 2,870,000 | 2,887,176 | |
0.75% 3/1/24 (a) | 3,927,000 | 3,825,761 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) | 2,500,000 | 2,523,413 | |
1.05% 3/8/24 | 984,000 | 958,777 | |
1.2% 10/15/24 | 4,500,000 | 4,379,671 | |
1.25% 1/8/26 | 3,096,000 | 2,921,317 | |
Volkswagen Group of America Finance LLC: | |||
0.875% 11/22/23 (a) | 4,500,000 | 4,406,783 | |
2.9% 5/13/22 (a) | 1,683,000 | 1,689,121 | |
29,658,798 | |||
Distributors - 0.2% | |||
Genuine Parts Co. 1.75% 2/1/25 | 3,041,000 | 2,989,319 | |
Textiles, Apparel & Luxury Goods - 0.1% | |||
VF Corp. 2.05% 4/23/22 | 2,295,000 | 2,299,016 | |
TOTAL CONSUMER DISCRETIONARY | 34,947,133 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 5,000,000 | 4,875,832 | |
Food & Staples Retailing - 0.4% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (a) | 667,000 | 661,661 | |
0.8% 2/10/24 (a) | 2,817,000 | 2,749,442 | |
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (a) | 4,326,000 | 4,163,269 | |
7,574,372 | |||
Food Products - 0.3% | |||
Conagra Brands, Inc. 0.5% 8/11/23 | 3,008,000 | 2,948,562 | |
JDE Peet's BV 0.8% 9/24/24 (a) | 3,828,000 | 3,666,416 | |
6,614,978 | |||
Tobacco - 1.1% | |||
Altria Group, Inc. 2.35% 5/6/25 | 621,000 | 619,082 | |
BAT Capital Corp. 3.222% 8/15/24 | 5,286,000 | 5,349,294 | |
BAT International Finance PLC 1.668% 3/25/26 | 3,286,000 | 3,120,629 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 3,612,000 | 3,652,068 | |
3.75% 7/21/22 (a) | 2,978,000 | 2,990,302 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 3,030,000 | 3,019,454 | |
2.875% 5/1/24 | 3,258,000 | 3,321,495 | |
22,072,324 | |||
TOTAL CONSUMER STAPLES | 41,137,506 | ||
ENERGY - 3.0% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 1.231% 12/15/23 | 959,000 | 949,307 | |
Oil, Gas & Consumable Fuels - 2.9% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 2,208,000 | 2,168,454 | |
Chevron Corp. 1.141% 5/11/23 | 3,083,000 | 3,071,736 | |
ConocoPhillips Co. 2.4% 3/7/25 (d) | 1,906,000 | 1,907,844 | |
Enbridge, Inc.: | |||
0.55% 10/4/23 | 5,000,000 | 4,894,207 | |
2.15% 2/16/24 | 737,000 | 738,095 | |
2.5% 2/14/25 | 769,000 | 771,535 | |
Energy Transfer LP: | |||
3.6% 2/1/23 | 1,867,000 | 1,886,780 | |
4.2% 9/15/23 | 952,000 | 978,961 | |
4.25% 3/15/23 | 2,222,000 | 2,264,525 | |
Enterprise Products Operating LP 3.35% 3/15/23 | 3,500,000 | 3,543,813 | |
Equinor ASA 1.75% 1/22/26 | 690,000 | 676,641 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 1,826,000 | 1,859,465 | |
Kinder Morgan, Inc. 3.15% 1/15/23 | 3,142,000 | 3,178,311 | |
MPLX LP: | |||
1.75% 3/1/26 | 4,929,000 | 4,723,918 | |
4.5% 7/15/23 | 2,562,000 | 2,630,249 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 1,348,000 | 1,349,685 | |
Phillips 66 Co.: | |||
0.9% 2/15/24 | 4,500,000 | 4,420,831 | |
3.7% 4/6/23 | 2,697,000 | 2,755,227 | |
3.85% 4/9/25 | 3,943,000 | 4,097,709 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 3,370,000 | 3,326,516 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 3,085,000 | 3,085,000 | |
Western Gas Partners LP 3 month U.S. LIBOR + 1.850% 1.8444% 1/13/23 (b)(c) | 1,253,000 | 1,248,231 | |
55,577,733 | |||
TOTAL ENERGY | 56,527,040 | ||
FINANCIALS - 22.1% | |||
Banks - 11.9% | |||
Bank of America Corp.: | |||
0.81% 10/24/24 (b) | 3,000,000 | 2,928,073 | |
0.976% 4/22/25 (b) | 4,000,000 | 3,876,447 | |
1.843% 2/4/25 (b) | 5,000,000 | 4,951,282 | |
3.004% 12/20/23 (b) | 12,232,000 | 12,340,710 | |
Bank of Nova Scotia 0.8% 6/15/23 | 5,422,000 | 5,360,720 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 2,279,000 | 2,221,160 | |
2.852% 5/7/26 (b) | 2,387,000 | 2,386,126 | |
4.338% 5/16/24 (b) | 3,000,000 | 3,082,847 | |
BNP Paribas SA 3.5% 3/1/23 (a) | 10,101,000 | 10,262,396 | |
BPCE SA 1.625% 1/14/25 (a) | 6,000,000 | 5,888,647 | |
Canadian Imperial Bank of Commerce: | |||
0.45% 6/22/23 | 2,000,000 | 1,966,040 | |
0.95% 6/23/23 | 8,205,000 | 8,119,549 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (b) | 2,294,000 | 2,228,242 | |
2.014% 1/25/26 (b) | 5,000,000 | 4,921,280 | |
3.106% 4/8/26 (b) | 3,286,000 | 3,329,031 | |
Danske Bank A/S 3.875% 9/12/23 (a) | 3,715,000 | 3,803,556 | |
DNB Bank ASA 0.856% 9/30/25 (a)(b) | 5,000,000 | 4,834,298 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (b) | 4,500,000 | 4,349,602 | |
1.162% 11/22/24 (b) | 5,000,000 | 4,890,819 | |
1.645% 4/18/26 (b) | 3,331,000 | 3,211,095 | |
Intesa Sanpaolo SpA: | |||
3.125% 7/14/22 (a) | 1,000,000 | 1,005,144 | |
3.25% 9/23/24 (a) | 4,970,000 | 5,024,075 | |
JPMorgan Chase & Co.: | |||
0.697% 3/16/24 (b) | 4,000,000 | 3,949,664 | |
0.824% 6/1/25 (b) | 3,418,000 | 3,306,939 | |
1.514% 6/1/24 (b) | 6,888,000 | 6,861,227 | |
Lloyds Banking Group PLC 0.695% 5/11/24 (b) | 2,769,000 | 2,725,315 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
0.848% 9/15/24 (b) | 3,944,000 | 3,871,017 | |
0.953% 7/19/25 (b) | 3,500,000 | 3,379,934 | |
0.962% 10/11/25 (b) | 5,000,000 | 4,815,571 | |
2.193% 2/25/25 | 4,466,000 | 4,429,805 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (b) | 2,087,000 | 2,044,602 | |
2.651% 5/22/26 (b) | 3,989,000 | 3,989,563 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (b) | 2,599,000 | 2,605,108 | |
3.875% 9/12/23 | 6,951,000 | 7,119,062 | |
NatWest Markets PLC: | |||
0.8% 8/12/24 (a) | 2,224,000 | 2,132,162 | |
3.625% 9/29/22 (a) | 5,000,000 | 5,069,571 | |
PNC Bank NA 2.5% 8/27/24 | 5,418,000 | 5,471,770 | |
Rabobank Nederland 3.95% 11/9/22 | 5,000,000 | 5,091,946 | |
Regions Financial Corp. 2.25% 5/18/25 | 1,933,000 | 1,936,388 | |
Royal Bank of Canada: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (b)(c) | 5,000,000 | 5,001,360 | |
1.6% 4/17/23 | 3,286,000 | 3,289,509 | |
2.55% 7/16/24 | 4,245,000 | 4,290,376 | |
Santander Holdings U.S.A., Inc.: | |||
3.4% 1/18/23 | 1,000,000 | 1,014,794 | |
3.5% 6/7/24 | 3,539,000 | 3,607,479 | |
Societe Generale 2.226% 1/21/26 (a)(b) | 7,500,000 | 7,325,787 | |
Svenska Handelsbanken AB 0.625% 6/30/23 (a) | 5,060,000 | 4,997,523 | |
Synovus Financial Corp. 3.125% 11/1/22 | 7,000,000 | 7,042,667 | |
The Toronto-Dominion Bank 0.75% 6/12/23 | 8,265,000 | 8,178,019 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (b) | 4,022,000 | 4,008,042 | |
2.164% 2/11/26 (b) | 9,858,000 | 9,737,993 | |
228,274,332 | |||
Capital Markets - 4.9% | |||
Credit Suisse AG: | |||
0.52% 8/9/23 | 3,750,000 | 3,680,322 | |
1% 5/5/23 | 3,943,000 | 3,912,952 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 1,264,000 | 1,225,323 | |
0.962% 11/8/23 | 3,081,000 | 3,023,872 | |
1.447% 4/1/25 (b) | 2,890,000 | 2,821,454 | |
2.222% 9/18/24 (b) | 12,004,000 | 11,975,530 | |
Goldman Sachs Group, Inc.: | |||
0.523% 3/8/23 | 3,350,000 | 3,326,491 | |
0.627% 11/17/23 (b) | 3,500,000 | 3,471,157 | |
1.757% 1/24/25 (b) | 10,000,000 | 9,887,603 | |
2.905% 7/24/23 (b) | 6,153,000 | 6,184,887 | |
2.908% 6/5/23 (b) | 4,197,000 | 4,213,509 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 3,425,000 | 3,383,749 | |
Moody's Corp. 4.875% 2/15/24 | 2,500,000 | 2,621,630 | |
Morgan Stanley: | |||
0.731% 4/5/24 (b) | 4,000,000 | 3,944,689 | |
0.79% 5/30/25 (b) | 4,350,000 | 4,194,328 | |
2.75% 5/19/22 | 3,159,000 | 3,171,489 | |
3.737% 4/24/24 (b) | 2,949,000 | 3,004,001 | |
4% 7/23/25 | 3,286,000 | 3,441,585 | |
4.875% 11/1/22 | 5,000,000 | 5,113,668 | |
UBS AG London Branch: | |||
0.375% 6/1/23 (a) | 4,081,000 | 4,019,448 | |
1.375% 1/13/25 (a) | 3,559,000 | 3,479,839 | |
UBS Group AG 1.008% 7/30/24 (a)(b) | 4,110,000 | 4,051,380 | |
94,148,906 | |||
Consumer Finance - 2.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (b)(c) | 5,000,000 | 4,986,550 | |
1.15% 10/29/23 | 4,000,000 | 3,907,346 | |
1.65% 10/29/24 | 4,707,000 | 4,568,138 | |
1.75% 1/30/26 | 2,616,000 | 2,478,587 | |
4.125% 7/3/23 | 1,217,000 | 1,244,176 | |
4.875% 1/16/24 | 986,000 | 1,023,349 | |
Ally Financial, Inc.: | |||
3.05% 6/5/23 | 2,805,000 | 2,838,297 | |
5.125% 9/30/24 | 3,126,000 | 3,312,478 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (b) | 4,000,000 | 3,939,785 | |
2.6% 5/11/23 | 2,196,000 | 2,214,484 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 3,339,000 | 3,360,036 | |
4.14% 2/15/23 | 1,769,000 | 1,788,901 | |
Hyundai Capital America 1% 9/17/24 (a) | 4,487,000 | 4,314,882 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 4,618,000 | 4,786,000 | |
4.375% 3/19/24 | 3,952,000 | 4,086,514 | |
48,849,523 | |||
Diversified Financial Services - 1.3% | |||
Athene Global Funding: | |||
0.95% 1/8/24 (a) | 3,290,000 | 3,215,398 | |
1% 4/16/24 (a) | 4,000,000 | 3,894,578 | |
1.716% 1/7/25 (a) | 3,920,000 | 3,823,856 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 3,200,000 | 3,274,377 | |
GA Global Funding Trust 1.25% 12/8/23 (a) | 5,000,000 | 4,908,288 | |
Jackson Financial, Inc. 1.125% 11/22/23 (a) | 5,000,000 | 4,918,840 | |
USAA Capital Corp. 1.5% 5/1/23 (a) | 674,000 | 673,233 | |
24,708,570 | |||
Insurance - 1.4% | |||
American International Group, Inc. 2.5% 6/30/25 | 3,286,000 | 3,300,505 | |
Equitable Financial Life Global Funding: | |||
0.5% 11/17/23 (a) | 5,000,000 | 4,894,735 | |
1.1% 11/12/24 (a) | 5,000,000 | 4,831,827 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (a) | 1,726,000 | 1,639,821 | |
Metropolitan Life Global Funding I 0.9% 6/8/23 (a) | 2,778,000 | 2,756,264 | |
Pacific Life Global Funding II 1.2% 6/24/25 (a) | 2,709,000 | 2,615,862 | |
Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (a)(b)(c) | 1,828,000 | 1,831,515 | |
Protective Life Global Funding 0.502% 4/12/23 (a) | 5,000,000 | 4,936,909 | |
26,807,438 | |||
TOTAL FINANCIALS | 422,788,769 | ||
HEALTH CARE - 2.6% | |||
Biotechnology - 0.8% | |||
AbbVie, Inc.: | |||
2.3% 11/21/22 | 4,395,000 | 4,422,098 | |
2.9% 11/6/22 | 8,000,000 | 8,079,203 | |
3.25% 10/1/22 | 2,000,000 | 2,013,321 | |
14,514,622 | |||
Health Care Providers & Services - 0.8% | |||
Anthem, Inc.: | |||
0.45% 3/15/23 | 4,206,000 | 4,161,239 | |
3.125% 5/15/22 | 3,580,000 | 3,596,432 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 990,000 | 964,771 | |
3.05% 11/30/22 | 2,467,000 | 2,497,915 | |
Humana, Inc. 0.65% 8/3/23 | 4,595,000 | 4,523,215 | |
15,743,572 | |||
Life Sciences Tools & Services - 0.5% | |||
PerkinElmer, Inc. 0.85% 9/15/24 | 4,620,000 | 4,457,209 | |
Thermo Fisher Scientific, Inc. 1.215% 10/18/24 | 5,000,000 | 4,883,746 | |
9,340,955 | |||
Pharmaceuticals - 0.5% | |||
AstraZeneca Finance LLC 0.7% 5/28/24 | 3,267,000 | 3,179,818 | |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 3,302,000 | 3,467,730 | |
Mylan NV 3.125% 1/15/23 (a) | 3,221,000 | 3,253,069 | |
9,900,617 | |||
TOTAL HEALTH CARE | 49,499,766 | ||
INDUSTRIALS - 2.2% | |||
Aerospace & Defense - 0.4% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 4,227,000 | 4,209,860 | |
1.95% 2/1/24 | 1,500,000 | 1,493,999 | |
4.875% 5/1/25 | 2,307,000 | 2,452,532 | |
8,156,391 | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. 2.9% 10/28/24 | 3,718,000 | 3,670,949 | |
Commercial Services & Supplies - 0.2% | |||
Republic Services, Inc. 0.875% 11/15/25 | 4,500,000 | 4,244,132 | |
Industrial Conglomerates - 0.3% | |||
Roper Technologies, Inc. 3.65% 9/15/23 | 2,500,000 | 2,565,619 | |
Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (a) | 2,595,000 | 2,536,850 | |
5,102,469 | |||
Machinery - 0.3% | |||
Caterpillar Financial Services Corp. 0.25% 3/1/23 | 5,000,000 | 4,948,167 | |
Daimler Trucks Finance North America LLC 1.625% 12/13/24 (a) | 1,613,000 | 1,581,995 | |
6,530,162 | |||
Road & Rail - 0.4% | |||
Canadian Pacific Railway Co. 1.35% 12/2/24 | 7,345,000 | 7,165,698 | |
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 1,322,000 | 1,280,951 | |
0.8% 8/18/24 | 1,945,000 | 1,869,610 | |
International Lease Finance Corp. 5.875% 8/15/22 | 3,589,000 | 3,658,481 | |
6,809,042 | |||
Transportation Infrastructure - 0.0% | |||
Avolon Holdings Funding Ltd. 3.625% 5/1/22 (a) | 476,000 | 476,849 | |
TOTAL INDUSTRIALS | 42,155,692 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 1,371,000 | 1,427,086 | |
IT Services - 0.3% | |||
PayPal Holdings, Inc. 1.35% 6/1/23 | 1,647,000 | 1,641,787 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 775,000 | 784,643 | |
4.25% 6/9/23 | 2,949,000 | 3,026,079 | |
5,452,509 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (b)(c) | 2,353,000 | 2,352,554 | |
Microchip Technology, Inc. 0.983% 9/1/24 (a) | 2,203,000 | 2,119,800 | |
4,472,354 | |||
Software - 0.3% | |||
VMware, Inc.: | |||
0.6% 8/15/23 | 4,384,000 | 4,304,364 | |
1% 8/15/24 | 2,883,000 | 2,799,599 | |
7,103,963 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Apple, Inc. 0.75% 5/11/23 | 3,511,000 | 3,488,026 | |
TOTAL INFORMATION TECHNOLOGY | 21,943,938 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.3% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (a) | 1,975,000 | 2,010,378 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 719,000 | 716,667 | |
The Mosaic Co. 3.25% 11/15/22 | 1,116,000 | 1,129,926 | |
Westlake Corp. 0.875% 8/15/24 | 1,332,000 | 1,291,189 | |
5,148,160 | |||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
American Tower Corp. 1.3% 9/15/25 | 1,459,000 | 1,396,417 | |
Crown Castle International Corp. 1.35% 7/15/25 | 342,000 | 328,080 | |
Welltower, Inc. 3.625% 3/15/24 | 1,604,000 | 1,647,551 | |
3,372,048 | |||
UTILITIES - 3.3% | |||
Electric Utilities - 2.1% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (a)(b)(c) | 3,803,000 | 3,800,580 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (b)(c) | 3,198,000 | 3,190,613 | |
Edison International 2.95% 3/15/23 | 5,000,000 | 5,028,134 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (b)(c) | 4,500,000 | 4,493,397 | |
Exelon Corp. 3.497% 6/1/22 (b) | 3,112,000 | 3,121,711 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 365,000 | 343,100 | |
2.05% 3/1/25 | 2,028,000 | 1,972,352 | |
Florida Power & Light Co. 2.85% 4/1/25 | 926,000 | 945,690 | |
ITC Holdings Corp. 2.7% 11/15/22 | 2,247,000 | 2,265,826 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (b)(c) | 5,000,000 | 4,994,635 | |
0.65% 3/1/23 | 3,500,000 | 3,466,316 | |
PPL Electric Utilities Corp. 3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (b)(c) | 1,790,000 | 1,785,216 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (b)(c) | 3,695,000 | 3,691,858 | |
0.6% 2/26/24 | 1,338,000 | 1,297,667 | |
40,397,095 | |||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (b)(c) | 4,686,000 | 4,681,745 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (b)(c) | 2,052,000 | 2,052,025 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 722,000 | 722,562 | |
ONE Gas, Inc. 0.85% 3/11/23 | 5,000,000 | 4,958,124 | |
12,414,456 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP 0.833% 6/15/24 | 2,029,000 | 1,956,604 | |
Multi-Utilities - 0.4% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (b)(c) | 3,063,000 | 3,063,567 | |
DTE Energy Co. 2.25% 11/1/22 | 3,961,000 | 3,984,732 | |
NiSource, Inc. 0.95% 8/15/25 | 1,507,000 | 1,423,741 | |
8,472,040 | |||
TOTAL UTILITIES | 63,240,195 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $781,451,304) | 768,587,383 | ||
U.S. Treasury Obligations - 35.2% | |||
U.S. Treasury Notes: | |||
0.25% 5/15/24 | $330,625,000 | $321,442,398 | |
0.25% 7/31/25 | 79,359,800 | 75,571,609 | |
0.375% 8/15/24 (e) | 78,000,000 | 75,757,500 | |
0.375% 4/30/25 | 65,643,900 | 63,030,965 | |
0.75% 12/31/23 | 30,000,000 | 29,625,000 | |
2.125% 3/31/24 | 51,101,500 | 51,754,242 | |
2.375% 8/15/24 | 54,665,500 | 55,711,832 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $691,582,223) | 672,893,546 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Fannie Mae - 0.3% | |||
4.5% 3/1/39 to 9/1/49 | 3,660,243 | 3,925,098 | |
5.5% 11/1/34 | 706,177 | 778,405 | |
7.5% 11/1/31 | 146 | 166 | |
TOTAL FANNIE MAE | 4,703,669 | ||
Freddie Mac - 0.1% | |||
3% 2/1/34 | 2,222,916 | 2,285,530 | |
8.5% 5/1/26 to 7/1/28 | 12,130 | 13,400 | |
TOTAL FREDDIE MAC | 2,298,930 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 1/15/25 to 8/15/32 | 85,160 | 94,341 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $7,272,247) | 7,096,940 | ||
Asset-Backed Securities - 12.7% | |||
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) | $455,000 | $453,810 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (a)(b)(c) | 4,510,000 | 4,482,994 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (a)(b)(c) | 4,518,000 | 4,495,071 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (a)(b)(c) | 5,435,000 | 5,433,679 | |
Ajax Mortgage Loan Trust Series 2021-B Class A, 2.239% 6/25/66 (a)(b) | 1,337,404 | 1,305,569 | |
American Express Credit Account Master Trust Series 2021-1 Class A, 0.9% 11/15/26 | 5,630,000 | 5,507,384 | |
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26 | 4,632,000 | 4,549,337 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (a)(b)(c) | 3,925,000 | 3,922,296 | |
Bank of America Credit Card Master Trust: | |||
Series 2020-A1 Class A1, 0.34% 5/15/26 | 5,085,000 | 4,966,114 | |
Series 2021-A1 Class A1, 0.44% 9/15/26 | 4,673,000 | 4,543,117 | |
Capital One Multi-Asset Execution Trust Series 2021-A3 Class A3, 1.04% 11/15/26 | 5,927,000 | 5,799,907 | |
CarMax Auto Owner Trust: | |||
Series 2018-4 Class A3, 3.36% 9/15/23 | 309,813 | 311,371 | |
Series 2020-4 Class A3, 0.5% 8/15/25 | 2,597,000 | 2,565,902 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A3, 0.49% 3/10/26 | 3,701,000 | 3,651,943 | |
Series 2021-P3 Class A3, 0.7% 11/10/26 | 3,730,000 | 3,636,556 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (a)(b)(c) | 1,244,000 | 1,235,849 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (a)(b)(c) | 4,739,000 | 4,709,765 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (a)(b)(c) | 4,220,000 | 4,178,842 | |
Chesapeake Funding II LLC Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 647,543 | 649,306 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 293,590 | 294,048 | |
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/34 (b)(c) | 70,095 | 68,779 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 510,267 | 508,998 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (a) | 452,351 | 452,159 | |
Class A3, 0.57% 10/23/23 (a) | 1,910,000 | 1,901,210 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 1,645,000 | 1,623,377 | |
Discover Card Execution Note Trust: | |||
Series 2021-A1 Class A1, 0.58% 9/15/26 | 5,550,000 | 5,377,769 | |
Series 2022-A1 Class A1, 1.96% 2/16/27 | 3,099,000 | 3,105,688 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 224,052 | 224,363 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) | 3,117,356 | 3,085,117 | |
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (a) | 5,000,000 | 4,966,367 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (a) | 2,384,486 | 2,347,100 | |
Drive Auto Receivables Trust Series 2021-2 Class A2, 0.36% 5/15/24 | 2,515,596 | 2,511,101 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (a)(b)(c) | 4,077,000 | 4,075,593 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 2,291,897 | 2,298,703 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 2,829,891 | 2,802,002 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 1,110,616 | 1,095,282 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (a) | 3,825,000 | 3,743,217 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A Class A3, 0.3% 10/15/24 | 1,540,000 | 1,537,157 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 1,156,129 | 1,155,372 | |
Ford Credit Auto Owner Trust Series 2019-A Class A3, 2.78% 9/15/23 | 175,371 | 175,944 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 7,267,000 | 7,147,164 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 3,026,000 | 2,986,213 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 1,575,000 | 1,549,798 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 3,406,000 | 3,353,623 | |
Hyundai Auto Receivables Trust Series 2020-C Class A3, 0.38% 5/15/25 | 3,319,000 | 3,276,827 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 1,416,000 | 1,423,509 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (a)(b)(c) | 3,305,000 | 3,290,432 | |
Marlette Funding Trust: | |||
Series 2021-2A Class A, 0.51% 9/15/31 (a) | 1,644,509 | 1,637,319 | |
Series 2021-3A Class A, 0.65% 12/15/31 (a) | 1,741,453 | 1,728,419 | |
Series 2022-1A Class A, 1.36% 4/15/32 (a) | 3,830,000 | 3,827,073 | |
Mercedes-Benz Auto Lease Trust Series 2019-B Class A3, 2% 10/17/22 | 203,713 | 203,848 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (a) | 2,375,210 | 2,383,609 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 3/10/22 (a)(b)(c) | 3,572,000 | 3,559,605 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (a)(b)(c) | 4,380,000 | 4,343,221 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (a) | 4,502,000 | 4,375,934 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (a)(b)(c) | 3,430,024 | 3,423,692 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (a)(b)(c) | 4,900,000 | 4,898,834 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4319% 1/25/36 (b)(c) | 117,981 | 117,842 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (a)(b) | 772,041 | 758,117 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (a)(b) | 2,690,932 | 2,562,047 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (a) | 2,530,000 | 2,505,874 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (a) | 3,766,000 | 3,714,100 | |
Series 2021-A Class A3, 0.51% 7/22/24 (a) | 2,246,000 | 2,213,802 | |
Securitized Term Auto Receivables Trust Series 2019-1A Class A3, 2.986% 2/27/23 (a) | 52,420 | 52,508 | |
SLM Student Loan Trust Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7528% 12/15/25 (a)(b)(c) | 1,131,618 | 1,130,427 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (a)(b)(c) | 3,398,000 | 3,385,723 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (a)(b)(c) | 4,807,000 | 4,778,951 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (a)(b)(c) | 4,433,000 | 4,407,696 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (a)(b)(c) | 5,233,000 | 5,199,462 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (b)(c) | 86,419 | 85,586 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (a) | 1,885,000 | 1,877,046 | |
Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (a) | 3,226,000 | 3,158,753 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (a) | 2,401,000 | 2,346,863 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (a) | 77,245 | 76,793 | |
Series 2021-2 Class A, 0.91% 6/20/31 (a) | 1,483,937 | 1,473,651 | |
Series 2021-3 Class A, 0.83% 7/20/31 (a) | 2,477,614 | 2,454,254 | |
Series 2021-4 Class A, 0.84% 9/20/31 (a) | 3,604,039 | 3,549,515 | |
Series 2021-5 Class A, 1.31% 11/20/31 (a) | 4,347,872 | 4,296,661 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (a) | 830,552 | 819,375 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (a) | 3,071,703 | 3,013,558 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (a)(b) | 3,907,759 | 3,907,193 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 3,250,000 | 3,158,252 | |
Series 2021-2 Class A, 0.99% 4/20/28 | 4,700,000 | 4,596,819 | |
Volkswagen Auto Lease Trust Series 2019-A Class A3, 1.99% 11/21/22 | 234,580 | 234,762 | |
Volvo Financial Equipment LLC Series 2019-1A Class A3, 3% 3/15/23 (a) | 5,606 | 5,613 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (a)(b)(c) | 4,300,000 | 4,284,834 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (a)(b)(c) | 3,047,801 | 3,042,881 | |
World Omni Auto Receivables Trust Series 2021-D Class A2, 0.35% 12/16/24 | 5,000,000 | 4,974,424 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24 | 2,154,000 | 2,135,565 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $246,435,790) | 243,476,225 | ||
Collateralized Mortgage Obligations - 3.5% | |||
Private Sponsor - 3.1% | |||
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (a) | 3,671,904 | 3,590,258 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 852,453 | 840,239 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (a)(b) | 1,477,410 | 1,466,308 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) | 814,116 | 809,146 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) | 1,089,340 | 1,083,873 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (a) | 1,372,182 | 1,357,865 | |
CSMC Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (a) | 4,864,093 | 4,733,468 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (a)(b) | 5,000,000 | 4,999,997 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (a) | 2,221,791 | 2,175,653 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.9476% 8/25/60 (a)(b)(c) | 193,704 | 193,800 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 3,662,000 | 3,676,003 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (a)(b) | 4,108,950 | 4,052,680 | |
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 0.6257% 9/10/22 (a)(b)(c) | 6,000,000 | 5,992,553 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) | 1,280,605 | 1,253,114 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (a) | 1,627,264 | 1,624,545 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (a)(b) | 3,720,511 | 3,699,051 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (a)(b) | 3,664,921 | 3,568,380 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (a) | 2,949,581 | 2,898,639 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (a) | 585,037 | 571,077 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (a) | 2,620,000 | 2,626,631 | |
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (a) | 2,724,332 | 2,693,873 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (b)(c) | 898 | 875 | |
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.42% 1/21/70 (a)(b)(c) | 6,250,000 | 6,239,644 | |
TOTAL PRIVATE SPONSOR | 60,147,672 | ||
U.S. Government Agency - 0.4% | |||
Fannie Mae: | |||
floater Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 0.4869% 5/25/45 (b)(c) | 1,746,863 | 1,752,269 | |
sequential payer Series 2001-40 Class Z, 6% 8/25/31 | 32,599 | 34,571 | |
Series 2016-27: | |||
Class HK, 3% 1/25/41 | 1,748,649 | 1,789,348 | |
Class KG, 3% 1/25/40 | 801,249 | 819,941 | |
Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 0.5369% 7/25/46 (b)(c) | 2,066,166 | 2,078,281 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-4433 Class DE, 2% 8/15/32 | 69,235 | 69,377 | |
Series 2015-4437 Class DE, 2% 10/15/32 | 91,325 | 91,574 | |
Series 3949 Class MK, 4.5% 10/15/34 | 195,725 | 207,917 | |
TOTAL U.S. GOVERNMENT AGENCY | 6,843,278 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $67,775,618) | 66,990,950 | ||
Commercial Mortgage Securities - 5.4% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (a)(b)(c) | 1,181,000 | 1,170,834 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 1,099,000 | 1,093,373 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54 | 3,963,790 | 3,881,588 | |
Series 2018-B7 Class A1, 3.436% 5/15/53 | 706,046 | 712,975 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (a)(b)(c) | 2,278,000 | 2,233,841 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (a)(b)(c) | 2,101,000 | 2,053,658 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (a)(b)(c) | 1,700,000 | 1,663,904 | |
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (a)(b)(c) | 2,932,000 | 2,902,648 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (a)(b)(c) | 2,082,000 | 2,059,888 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (a)(b)(c) | 1,935,000 | 1,891,397 | |
floater sequential payer Series 2021-SOAR Class A, 0.861% 6/15/38 (a)(b) | 1,898,000 | 1,855,230 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (a)(b)(c) | 2,104,341 | 2,080,687 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (a)(b)(c) | 3,355,062 | 3,340,345 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (a) | 3,729,222 | 3,607,818 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (a) | 2,268,517 | 2,158,765 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (a)(b)(c) | 821,166 | 810,874 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (a)(b)(c) | 3,039,362 | 3,005,211 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (a)(b)(c) | 1,251,341 | 1,230,062 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 1,779,687 | 1,787,800 | |
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 488,220 | 496,350 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 1,337,654 | 1,360,807 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class ASB, 3.452% 7/15/47 | 2,047,517 | 2,074,229 | |
Series 2020-SBX Class A, 1.67% 1/10/38 (a) | 4,412,000 | 4,262,201 | |
Series 2012-CR4 Class ASB, 2.436% 10/15/45 | 702,998 | 704,511 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 321,675 | 322,307 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (a)(b)(c) | 3,927,000 | 3,895,466 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 527,101 | 514,470 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (a)(b)(c) | 3,675,000 | 3,583,124 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (a)(b)(c) | 2,887,000 | 2,827,448 | |
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (a)(b)(c) | 919,342 | 910,500 | |
Freddie Mac Series K720 Class A2, 2.716% 6/25/22 | 729,309 | 730,763 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (a)(b)(c) | 1,243,000 | 1,229,725 | |
sequential payer Series 2012-GCJ7 Class A/S, 4.085% 5/10/45 | 409,731 | 409,607 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (a)(b) | 3,208,511 | 3,216,764 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 2,716,191 | 2,731,868 | |
Series 2017-GS8 Class A1, 2.222% 11/10/50 | 748,681 | 750,424 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 1,440,902 | 1,443,197 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (a) | 4,059,499 | 4,079,162 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (a)(b)(c) | 1,364,955 | 1,351,231 | |
sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 287,282 | 288,105 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) | 866,000 | 869,484 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 2,221,322 | 2,228,031 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 2,432,813 | 2,442,982 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (a)(b)(c) | 1,683,828 | 1,650,092 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (a)(b)(c) | 995,000 | 973,874 | |
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 840,846 | 850,923 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 2,396,136 | 2,402,061 | |
Series 2019-H7 Class A1, 2.327% 7/15/52 | 1,220,308 | 1,221,216 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (a)(b)(c) | 4,690,000 | 4,506,361 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (a)(b)(c) | 2,005,000 | 1,964,846 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (a)(b)(c) | 2,222,139 | 2,213,637 | |
sequential payer Series 2013-C6 Class ASB, 2.7877% 4/10/46 | 435,586 | 437,327 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 1,674,011 | 1,709,769 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 2,100,056 | 2,146,774 | |
WF-RBS Commercial Mortgage Trust sequential payer: | |||
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 72,599 | 73,024 | |
Series 2013-C14 Class ASB, 2.977% 6/15/46 | 590,900 | 595,301 | |
Series 2014-C20 Class ASB, 3.638% 5/15/47 | 437,789 | 445,075 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $105,356,312) | 103,453,934 | ||
Bank Notes - 0.3% | |||
First Republic Bank 1.912% 2/12/24 (b) | 1,657,000 | 1,654,168 | |
Truist Bank 1.25% 3/9/23 | 3,943,000 | 3,936,725 | |
TOTAL BANK NOTES | |||
(Cost $5,646,041) | 5,590,893 | ||
Commercial Paper - 2.1% | |||
Enel Finance America LLC yankee: | |||
0.37% 7/11/22 | $5,500,000 | $5,481,449 | |
0.4% 9/27/22 | 5,000,000 | 4,965,625 | |
General Motors Financial Co., Inc.: | |||
0.4% 3/28/22 | 7,000,000 | 6,997,076 | |
0.43% 3/7/22 | 5,000,000 | 4,999,611 | |
0.45% 3/22/22 | 5,000,000 | 4,998,481 | |
HSBC U.S.A., Inc. 0.33% 10/4/22 | 5,000,000 | 4,967,149 | |
Sempra Energy 1% 5/23/22 | 5,000,000 | 4,990,760 | |
Viatris, Inc. 0.68% 4/26/22 | 3,000,000 | 2,996,039 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $40,452,454) | 40,396,190 | ||
Shares | Value | ||
Money Market Funds - 4.7% | |||
Fidelity Cash Central Fund 0.07% (f) | 17,186,472 | $17,189,910 | |
Fidelity Securities Lending Cash Central Fund 0.07% (f)(g) | 73,258,060 | 73,265,386 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $90,455,296) | 90,455,296 | ||
TOTAL INVESTMENT IN SECURITIES - 104.5% | |||
(Cost $2,036,427,285) | 1,998,941,357 | ||
NET OTHER ASSETS (LIABILITIES) - (4.5)% | (86,975,883) | ||
NET ASSETS - 100% | $1,911,965,474 |
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 $473,861,774 or 24.8% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Security or a portion of the security is on loan at period end.
(f) 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.
(g) 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 0.07% | $35,820,642 | $365,578,349 | $384,209,081 | $7,532 | $-- | $-- | $17,189,910 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | -- | 198,155,669 | 124,890,283 | 31,642 | -- | -- | 73,265,386 | 0.2% |
Total | $35,820,642 | $563,734,018 | $509,099,364 | $39,174 | $-- | $-- | $90,455,296 |
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 February 28, 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 | $768,587,383 | $-- | $768,587,383 | $-- |
U.S. Government and Government Agency Obligations | 672,893,546 | -- | 672,893,546 | -- |
U.S. Government Agency - Mortgage Securities | 7,096,940 | -- | 7,096,940 | -- |
Asset-Backed Securities | 243,476,225 | -- | 243,476,225 | -- |
Collateralized Mortgage Obligations | 66,990,950 | -- | 66,990,950 | -- |
Commercial Mortgage Securities | 103,453,934 | -- | 103,453,934 | -- |
Bank Notes | 5,590,893 | -- | 5,590,893 | -- |
Commercial Paper | 40,396,190 | -- | 40,396,190 | -- |
Money Market Funds | 90,455,296 | 90,455,296 | -- | -- |
Total Investments in Securities: | $1,998,941,357 | $90,455,296 | $1,908,486,061 | $-- |
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 | 84.7% |
United Kingdom | 3.6% |
Cayman Islands | 3.4% |
Canada | 2.7% |
Japan | 1.4% |
France | 1.2% |
Ireland | 1.0% |
Others (Individually Less Than 1%) | 2.0% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $72,003,480) — See accompanying schedule: Unaffiliated issuers (cost $1,945,971,989) | $1,908,486,061 | |
Fidelity Central Funds (cost $90,455,296) | 90,455,296 | |
Total Investment in Securities (cost $2,036,427,285) | $1,998,941,357 | |
Receivable for investments sold | 4,749,934 | |
Receivable for fund shares sold | 7,748,443 | |
Interest receivable | 5,165,972 | |
Distributions receivable from Fidelity Central Funds | 7,383 | |
Prepaid expenses | 1,162 | |
Total assets | 2,016,614,251 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $19,046,875 | |
Delayed delivery | 1,903,751 | |
Payable for fund shares redeemed | 9,903,386 | |
Distributions payable | 8,829 | |
Accrued management fee | 470,463 | |
Other payables and accrued expenses | 50,086 | |
Collateral on securities loaned | 73,265,387 | |
Total liabilities | 104,648,777 | |
Net Assets | $1,911,965,474 | |
Net Assets consist of: | ||
Paid in capital | $1,949,891,315 | |
Total accumulated earnings (loss) | (37,925,841) | |
Net Assets | $1,911,965,474 | |
Net Asset Value, offering price and redemption price per share ($1,911,965,474 ÷ 195,186,925 shares) | $9.80 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $7,009,794 | |
Income from Fidelity Central Funds (including $31,642 from security lending) | 39,174 | |
Total income | 7,048,968 | |
Expenses | ||
Management fee | $2,832,599 | |
Custodian fees and expenses | 17,567 | |
Independent trustees' fees and expenses | 3,153 | |
Registration fees | 7,150 | |
Audit | 48,342 | |
Legal | 1,114 | |
Miscellaneous | 3,799 | |
Total expenses before reductions | 2,913,724 | |
Expense reductions | (15,878) | |
Total expenses after reductions | 2,897,846 | |
Net investment income (loss) | 4,151,122 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (732,285) | |
Total net realized gain (loss) | (732,285) | |
Change in net unrealized appreciation (depreciation) on investment securities | (40,259,232) | |
Net gain (loss) | (40,991,517) | |
Net increase (decrease) in net assets resulting from operations | $(36,840,395) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2022 (Unaudited) | For the period September 15, 2020 (commencement of operations) through August 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $4,151,122 | $7,562,396 |
Net realized gain (loss) | (732,285) | 471,454 |
Change in net unrealized appreciation (depreciation) | (40,259,232) | 2,773,304 |
Net increase (decrease) in net assets resulting from operations | (36,840,395) | 10,807,154 |
Distributions to shareholders | (4,613,724) | (7,278,749) |
Share transactions | ||
Proceeds from sales of shares | 443,617,772 | 2,493,989,974 |
Reinvestment of distributions | 4,575,321 | 7,261,129 |
Cost of shares redeemed | (339,998,897) | (659,554,111) |
Net increase (decrease) in net assets resulting from share transactions | 108,194,196 | 1,841,696,992 |
Total increase (decrease) in net assets | 66,740,077 | 1,845,225,397 |
Net Assets | ||
Beginning of period | 1,845,225,397 | – |
End of period | $1,911,965,474 | $1,845,225,397 |
Other Information | ||
Shares | ||
Sold | 44,726,016 | 249,481,130 |
Issued in reinvestment of distributions | 461,269 | 725,612 |
Redeemed | (34,338,898) | (65,868,204) |
Net increase (decrease) | 10,848,387 | 184,338,538 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Short-Term Bond Fund
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |
2022 | 2021 A | |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.01 | $10.00 |
Income from Investment Operations | ||
Net investment income (loss)B,C | .022 | .047 |
Net realized and unrealized gain (loss) | (.208) | .007 |
Total from investment operations | (.186) | .054 |
Distributions from net investment income | (.020) | (.044) |
Distributions from net realized gain | (.004) | – |
Total distributions | (.024) | (.044) |
Net asset value, end of period | $9.80 | $10.01 |
Total ReturnD,E | (1.86)% | .54% |
Ratios to Average Net AssetsC,F,G | ||
Expenses before reductions | .31%H | .34%H |
Expenses net of fee waivers, if any | .31%H | .34%H |
Expenses net of all reductions | .31%H | .34%H |
Net investment income (loss) | .44%H | .49%H |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $1,911,965 | $1,845,225 |
Portfolio turnover rateI | 59%H | 70%J,K |
A For the period September 15, 2020 (commencement of operations) through August 31, 2021.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
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.
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity SAI Short-Term Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, U.S. government and government agency obligations, and commercial paper 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. 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 February 28, 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. 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 market discount 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 | $1,313,056 |
Gross unrealized depreciation | (37,922,035) |
Net unrealized appreciation (depreciation) | $(36,608,979) |
Tax cost | $2,035,550,336 |
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.
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. 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 ($) | |
Fidelity SAI Short-Term Bond Fund | 373,793,818 | 370,825,805 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
Prior Fiscal Year Affiliated Exchanges In-Kind. Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
Shares | Total Proceeds ($) | |
Fidelity SAI Short-Term Bond Fund | 158,747,412 | 1,585,886,645 |
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI Short-Term Bond Fund | $1,471 |
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 SAI Short-Term Bond Fund | $3,482 | $– | $– |
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 $95.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $15,783.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Short Duration Fund | |
Fidelity SAI Short-Term Bond Fund | 12% |
10. 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 (September 1, 2021 to February 28, 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 September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity SAI Short-Term Bond Fund | .31% | |||
Actual | $1,000.00 | $981.40 | $1.52 | |
Hypothetical-C | $1,000.00 | $1,023.26 | $1.56 |
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 181/ 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 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Short-Term Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the period of the fund's operations shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.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.
SST-SANN-0422
1.9900846.101
Fidelity® Tactical Bond Fund
Semi-Annual Report
February 28, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
As of February 28, 2022 | ||
U.S. Government and U.S. Government Agency Obligations | 33.1% | |
AAA | 1.1% | |
A | 6.0% | |
BBB | 13.3% | |
BB and Below | 31.2% | |
Not Rated | 9.4% | |
Equities | 0.4% | |
Short-Term Investments and Net Other Assets | 5.5% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of February 28, 2022*,** | ||
Corporate Bonds | 24.2% | |
U.S. Government and U.S. Government Agency Obligations | 33.1% | |
Asset-Backed Securities | 5.9% | |
Other Investments | 31.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.5% |
* Foreign investments - 12.8%
** Futures and Swaps - 5.3%
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Schedule of Investments February 28, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 11.7% | |||
Principal Amount(a) | Value | ||
COMMUNICATION SERVICES - 1.7% | |||
Media - 0.8% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.7% 4/1/51 | $250,000 | $209,739 | |
Wireless Telecommunication Services - 0.9% | |||
Millicom International Cellular SA 4.5% 4/27/31 (b) | 250,000 | 232,750 | |
TOTAL COMMUNICATION SERVICES | 442,489 | ||
CONSUMER STAPLES - 1.1% | |||
Food Products - 1.1% | |||
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (b) | 250,000 | 265,313 | |
ENERGY - 1.8% | |||
Oil, Gas & Consumable Fuels - 1.8% | |||
DCP Midstream Operating LP 5.85% 5/21/43 (b)(c) | 260,000 | 241,800 | |
Petroleos Mexicanos 7.69% 1/23/50 | 250,000 | 223,750 | |
465,550 | |||
FINANCIALS - 7.1% | |||
Banks - 4.1% | |||
Bank of America Corp. 2.299% 7/21/32 (c) | 280,000 | 259,743 | |
Citigroup, Inc. 4.412% 3/31/31 (c) | 240,000 | 260,032 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 250,000 | 263,517 | |
JPMorgan Chase & Co. 4.493% 3/24/31 (c) | 230,000 | 252,456 | |
1,035,748 | |||
Capital Markets - 2.0% | |||
Goldman Sachs Group, Inc. 2.383% 7/21/32 (c) | 280,000 | 259,551 | |
Morgan Stanley 2.511% 10/20/32 (c) | 280,000 | 264,371 | |
523,922 | |||
Consumer Finance - 1.0% | |||
Ford Motor Credit Co. LLC 3.375% 11/13/25 | 250,000 | 246,250 | |
TOTAL FINANCIALS | 1,805,920 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,963,524) | 2,979,272 | ||
U.S. Treasury Obligations - 32.6% | |||
U.S. Treasury Notes 1.875% 2/15/32 | |||
(Cost $8,190,798) | 8,300,000 | 8,335,017 | |
Asset-Backed Securities - 5.9% | |||
Cedar Funding Ltd. Series 2022-15A Class B, CME TERM SOFR 3 MONTH INDEX + 1.800% 0% 4/20/35 (b)(c)(d)(e) | $750,000 | $749,255 | |
SYMP Series 2022-32A Class B, CME TERM SOFR 3 MONTH INDEX + 1.850% 1.85% 4/23/35 (b)(c)(d)(e) | 760,000 | 759,620 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $1,509,620) | 1,508,875 | ||
Foreign Government and Government Agency Obligations - 3.8% | |||
Dominican Republic: | |||
5.5% 2/22/29 (b) | 250,000 | 248,797 | |
6% 2/22/33 (b) | 250,000 | 245,594 | |
United Mexican States: | |||
7.75% 5/29/31 | MXN | 5,100,000 | 246,399 |
7.75% 11/13/42 | MXN | 5,300,000 | 247,173 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,003,621) | 987,963 | ||
Shares | Value | ||
Fixed-Income Funds - 42.0% | |||
Fidelity Floating Rate Central Fund (f) | 49,866 | 4,975,650 | |
Fidelity High Income Central Fund (f) | 6,753 | 748,884 | |
Fidelity International Credit Central Fund (f) | 51,933 | 4,990,275 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $10,791,039) | 10,714,809 | ||
Principal Amount | Value | ||
Preferred Securities - 2.0% | |||
ENERGY - 1.0% | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Enbridge, Inc. 5.75% 7/15/80 (c) | 250,000 | 262,484 | |
FINANCIALS - 1.0% | |||
Banks - 1.0% | |||
Bank of Nova Scotia 4.9% (c)(g) | 240,000 | 246,749 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $516,717) | 509,233 | ||
Shares | Value | ||
Money Market Funds - 7.7% | |||
Fidelity Cash Central Fund 0.07% (h) | |||
(Cost $1,959,593) | 1,959,201 | 1,959,593 | |
TOTAL INVESTMENT IN SECURITIES - 105.7% | |||
(Cost $26,934,912) | 26,994,762 | ||
NET OTHER ASSETS (LIABILITIES) - (5.7)% | (1,466,389) | ||
NET ASSETS - 100% | $25,528,373 |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 257,413 | MXN | 5,255,000 | Goldman Sachs Bank USA | 3/30/22 | $2,157 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $2,157 | |||||
Unrealized Appreciation | 2,157 | |||||
Unrealized Depreciation | 0 |
Currency Abbreviations
MXN – Mexican peso
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,006,646 or 11.8% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) 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, other than the Commodity Strategy Central Fund, 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.
(g) Security is perpetual in nature with no stated maturity date.
(h) 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 0.07% | $-- | $27,158,378 | $25,198,785 | $253 | $-- | $-- | $1,959,593 | 0.0% |
Fidelity Floating Rate Central Fund | -- | 5,009,989 | -- | 9,989 | -- | (34,339) | 4,975,650 | 0.2% |
Fidelity High Income Central Fund | -- | 751,982 | -- | 2,000 | -- | (3,098) | 748,884 | 0.0% |
Fidelity International Credit Central Fund | -- | 5,029,068 | -- | 29,068 | -- | (38,793) | 4,990,275 | 0.9% |
Total | $-- | $37,949,417 | $25,198,785 | $41,310 | $-- | $(76,230) | $12,674,402 |
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 February 28, 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 | $2,979,272 | $-- | $2,979,272 | $-- |
U.S. Government and Government Agency Obligations | 8,335,017 | -- | 8,335,017 | -- |
Asset-Backed Securities | 1,508,875 | -- | 1,508,875 | -- |
Foreign Government and Government Agency Obligations | 987,963 | -- | 987,963 | -- |
Fixed-Income Funds | 10,714,809 | 10,714,809 | -- | -- |
Preferred Securities | 509,233 | -- | 509,233 | -- |
Money Market Funds | 1,959,593 | 1,959,593 | -- | -- |
Total Investments in Securities: | $26,994,762 | $12,674,402 | $14,320,360 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | $2,157 | $-- | $2,157 | $-- |
Total Assets | $2,157 | $-- | $2,157 | $-- |
Liabilities | ||||
Forward Foreign Currency Contracts | $-- | $-- | $-- | $-- |
Total Liabilities | $-- | $-- | $-- | $-- |
Total Derivative Instruments: | $2,157 | $-- | $2,157 | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 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 | |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(a) | $2,157 | $0 |
Total Foreign Exchange Risk | 2,157 | 0 |
Total Value of Derivatives | $2,157 | $0 |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
United States of America | 68.6% |
United Kingdom | 4.4% |
Luxembourg | 3.6% |
Cayman Islands | 3.2% |
Mexico | 3.1% |
Canada | 2.4% |
Netherlands | 2.1% |
Germany | 2.1% |
Dominican Republic | 1.9% |
France | 1.9% |
Italy | 1.5% |
Multi-National | 1.2% |
Ireland | 1.1% |
Others (Individually Less Than 1%) | 2.9% |
100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $14,184,280) | $14,320,360 | |
Fidelity Central Funds (cost $12,750,632) | 12,674,402 | |
Total Investment in Securities (cost $26,934,912) | $26,994,762 | |
Cash | 1 | |
Unrealized appreciation on forward foreign currency contracts | 2,157 | |
Receivable for fund shares sold | 19 | |
Interest receivable | 52,466 | |
Distributions receivable from Fidelity Central Funds | 271 | |
Receivable from investment adviser for expense reductions | 12,068 | |
Total assets | 27,061,744 | |
Liabilities | ||
Payable for investments purchased | ||
Delayed delivery | $1,509,620 | |
Accrued management fee | 7,913 | |
Distribution and service plan fees payable | 2,057 | |
Other affiliated payables | 1,806 | |
Other payables and accrued expenses | 11,975 | |
Total liabilities | 1,533,371 | |
Net Assets | $25,528,373 | |
Net Assets consist of: | ||
Paid in capital | $25,411,408 | |
Total accumulated earnings (loss) | 116,965 | |
Net Assets | $25,528,373 | |
Net Asset Value and Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($2,519,834 ÷ 250,828 shares)(a) | $10.05 | |
Maximum offering price per share (100/96.00 of $10.05) | $10.47 | |
Class M: | ||
Net Asset Value and redemption price per share ($2,630,022 ÷ 261,796 shares)(a) | $10.05 | |
Maximum offering price per share (100/96.00 of $10.05) | $10.47 | |
Class C: | ||
Net Asset Value and offering price per share ($2,524,582 ÷ 251,326 shares)(a) | $10.05 | |
Fidelity Tactical Bond Fund: | ||
Net Asset Value, offering price and redemption price per share ($12,828,010 ÷ 1,276,882 shares) | $10.05 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($2,512,904 ÷ 250,132 shares) | $10.05 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($2,513,021 ÷ 250,142 shares) | $10.05 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
For the period February 10, 2022 (commencement of operations) through February 28, 2022 (Unaudited) | ||
Investment Income | ||
Interest | $11,060 | |
Income from Fidelity Central Funds | 41,310 | |
Total income | 52,370 | |
Expenses | ||
Management fee | $7,913 | |
Transfer agent fees | 1,216 | |
Distribution and service plan fees | 1,986 | |
Accounting fees and expenses | 590 | |
Custodian fees and expenses | 329 | |
Registration fees | 5,773 | |
Audit | 5,944 | |
Total expenses before reductions | 23,751 | |
Expense reductions | (12,069) | |
Total expenses after reductions | 11,682 | |
Net investment income (loss) | 40,688 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 26,535 | |
Forward foreign currency contracts | (359) | |
Foreign currency transactions | 138 | |
Total net realized gain (loss) | 26,314 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 136,080 | |
Fidelity Central Funds | (76,230) | |
Forward foreign currency contracts | 2,157 | |
Assets and liabilities in foreign currencies | (79) | |
Total change in net unrealized appreciation (depreciation) | 61,928 | |
Net gain (loss) | 88,242 | |
Net increase (decrease) in net assets resulting from operations | $128,930 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
For the period February 10, 2022 (commencement of operations) through February 28, 2022 (Unaudited) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $40,688 |
Net realized gain (loss) | 26,314 |
Change in net unrealized appreciation (depreciation) | 61,928 |
Net increase (decrease) in net assets resulting from operations | 128,930 |
Distributions to shareholders | (11,965) |
Share transactions - net increase (decrease) | 25,411,408 |
Total increase (decrease) in net assets | 25,528,373 |
Net Assets | |
Beginning of period | – |
End of period | $25,528,373 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Tactical Bond Fund Class A
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .014 |
Net realized and unrealized gain (loss) | .040 |
Total from investment operations | .054 |
Distributions from net investment income | (.004) |
Total distributions | (.004) |
Net asset value, end of period | $10.05 |
Total ReturnD,E,F | .54% |
Ratios to Average Net AssetsC,G,H | |
Expenses before reductions | 1.97%I |
Expenses net of fee waivers, if any | 1.00%I |
Expenses net of all reductions | 1.00%I |
Net investment income (loss) | 2.99%I |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,520 |
Portfolio turnover rateJ | 14%K |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Total returns do not include the effect of the sales charges.
G 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.
H 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.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Tactical Bond Fund Class M
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .014 |
Net realized and unrealized gain (loss) | .040 |
Total from investment operations | .054 |
Distributions from net investment income | (.004) |
Total distributions | (.004) |
Net asset value, end of period | $10.05 |
Total ReturnD,E,F | .54% |
Ratios to Average Net AssetsC,G,H | |
Expenses before reductions | 1.97%I |
Expenses net of fee waivers, if any | 1.00%I |
Expenses net of all reductions | 1.00%I |
Net investment income (loss) | 2.99%I |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,630 |
Portfolio turnover rateJ | 14%K |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Total returns do not include the effect of the sales charges.
G 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.
H 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.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Tactical Bond Fund Class C
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .011 |
Net realized and unrealized gain (loss) | .040 |
Total from investment operations | .051 |
Distributions from net investment income | (.001) |
Total distributions | (.001) |
Net asset value, end of period | $10.05 |
Total ReturnD,E,F | .51% |
Ratios to Average Net AssetsC,G,H | |
Expenses before reductions | 2.73%I |
Expenses net of fee waivers, if any | 1.75%I |
Expenses net of all reductions | 1.75%I |
Net investment income (loss) | 2.24%I |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,525 |
Portfolio turnover rateJ | 14%K |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Total returns do not include the effect of the contingent deferred sales charge.
G 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.
H 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.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Tactical Bond Fund
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .016 |
Net realized and unrealized gain (loss) | .039 |
Total from investment operations | .055 |
Distributions from net investment income | (.005) |
Total distributions | (.005) |
Net asset value, end of period | $10.05 |
Total ReturnD,E | .55% |
Ratios to Average Net AssetsC,F,G | |
Expenses before reductions | 1.62%H |
Expenses net of fee waivers, if any | .75%H |
Expenses net of all reductions | .75%H |
Net investment income (loss) | 3.24%H |
Supplemental Data | |
Net assets, end of period (000 omitted) | $12,828 |
Portfolio turnover rateI | 14%J |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Tactical Bond Fund Class I
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .016 |
Net realized and unrealized gain (loss) | .039 |
Total from investment operations | .055 |
Distributions from net investment income | (.005) |
Total distributions | (.005) |
Net asset value, end of period | $10.05 |
Total ReturnD,E | .55% |
Ratios to Average Net AssetsC,F,G | |
Expenses before reductions | 1.72%H |
Expenses net of fee waivers, if any | .75%H |
Expenses net of all reductions | .75%H |
Net investment income (loss) | 3.24%H |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,513 |
Portfolio turnover rateI | 14%J |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Tactical Bond Fund Class Z
Six months ended (Unaudited) February 28, | |
2022 A | |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .016 |
Net realized and unrealized gain (loss) | .040 |
Total from investment operations | .056 |
Distributions from net investment income | (.006) |
Total distributions | (.006) |
Net asset value, end of period | $10.05 |
Total ReturnD,E | .56% |
Ratios to Average Net AssetsC,F,G | |
Expenses before reductions | 1.62%H |
Expenses net of fee waivers, if any | .66%H |
Expenses net of all reductions | .66%H |
Net investment income (loss) | 3.33%H |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,513 |
Portfolio turnover rateI | 14%J |
A For the period February 10, 2022 (commencement of operations) through February 28, 2022.
B Calculated based on average shares outstanding during the period.
C 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.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2022
1. Organization.
Fidelity Tactical Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Tactical Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
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 Floating Rate Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Foreign Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | .01% |
Fidelity International Credit Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in debt securities of foreign issuers, including debt securities of issuers located in emerging markets. Foreign currency exposure is hedged utilizing foreign currency contracts. | Foreign Securities Futures Options Restricted Securities Swaps | 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% |
(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 Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. 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 February 28, 2022 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
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 | $169,577 |
Gross unrealized depreciation | (107,106) |
Net unrealized appreciation (depreciation) | $62,471 |
Tax cost | $26,934,448 |
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.
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 forward foreign currency contracts. 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 facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, 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.
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.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Tactical Bond Fund | 16,780,502 | – |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .50% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .60% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $330 | $329 |
Class M | -% | .25% | 338 | 328 |
Class C | .75% | .25% | 1,318 | 1,318 |
$1,986 | $1,975 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares. For the period, there were no sales charge amounts retained by FDC.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Class A | $197 | .15 |
Class M | 197 | .15 |
Class C | 197 | .15 |
Fidelity Tactical Bond Fund | 357 | .05 |
Class I | 197 | .15 |
Class Z | 71 | .05 |
$1,216 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
% of Average Net Assets | |
Fidelity Tactical Bond Fund | .04 |
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. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Class A | 1.00% | $1,266 |
Class M | 1.00% | 1,295 |
Class C | 1.75% | 1,276 |
Fidelity Tactical Bond Fund | .75% | 5,721 |
Class I | .75% | 1,260 |
Class Z | .66% | 1,251 |
$12,069 |
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2022(a) | |
Fidelity Tactical Bond Fund | |
Distributions to shareholders | |
Class A | $1,060 |
Class M | 1,097 |
Class C | 340 |
Fidelity Tactical Bond Fund | 6,711 |
Class I | 1,326 |
Class Z | 1,431 |
Total | $11,965 |
(a) For the period February 10, 2022 (commencement of operations) through February 28, 2022.
9. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
Shares | Dollars | |
Six months ended February 28, 2022(a) | Six months ended February 28, 2022 (a) | |
Fidelity Tactical Bond Fund | ||
Class A | ||
Shares sold | 250,722 | $2,507,206 |
Reinvestment of distributions | 106 | 1,060 |
Net increase (decrease) | 250,828 | $2,508,266 |
Class M | ||
Shares sold | 261,687 | $2,616,632 |
Reinvestment of distributions | 109 | 1,097 |
Net increase (decrease) | 261,796 | $2,617,729 |
Class C | ||
Shares sold | 251,292 | $2,512,936 |
Reinvestment of distributions | 34 | 340 |
Net increase (decrease) | 251,326 | $2,513,276 |
Fidelity Tactical Bond Fund | ||
Shares sold | 1,276,214 | $12,762,669 |
Reinvestment of distributions | 668 | 6,711 |
Net increase (decrease) | 1,276,882 | $12,769,380 |
Class I | ||
Shares sold | 250,000 | $2,500,000 |
Reinvestment of distributions | 132 | 1,326 |
Net increase (decrease) | 250,132 | $2,501,326 |
Class Z | ||
Shares sold | 250,000 | $2,500,000 |
Reinvestment of distributions | 142 | 1,431 |
Net increase (decrease) | 250,142 | $2,501,431 |
(a) For the period February 10, 2022 (commencement of operations) through February 28, 2022.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, 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, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
Fund | Affiliated % |
Fidelity Tactical Bond Fund | 98% |
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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 10, 2022 to February 28, 2022). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (February 10, 2022 to February 28, 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 | Ending Account Value February 28, 2022 | Expenses Paid During Period | |
Fidelity Tactical Bond Fund | ||||
Class A | 1.00% | |||
Actual | $1,000.00 | $1,005.40 | $.52-B | |
Hypothetical-C | $1,000.00 | $1,019.84 | $5.01-D | |
Class M | 1.00% | |||
Actual | $1,000.00 | $1,005.40 | $.52-B | |
Hypothetical-C | $1,000.00 | $1,019.84 | $5.01-D | |
Class C | 1.75% | |||
Actual | $1,000.00 | $1,005.10 | $.91-B | |
Hypothetical-C | $1,000.00 | $1,016.12 | $8.75-D | |
Fidelity Tactical Bond Fund | .75% | |||
Actual | $1,000.00 | $1,005.50 | $.39-B | |
Hypothetical-C | $1,000.00 | $1,021.08 | $3.76-D | |
Class I | .75% | |||
Actual | $1,000.00 | $1,005.50 | $.39-B | |
Hypothetical-C | $1,000.00 | $1,021.08 | $3.76-D | |
Class Z | .66% | |||
Actual | $1,000.00 | $1,005.60 | $.34-B | |
Hypothetical-C | $1,000.00 | $1,021.52 | $3.31-D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 19/365 (to reflect the period February 10, 2022 to February 28, 2022).
C 5% return per year before expenses
D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Tactical Bond Fund
At its November 2021 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC(FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information.Nature, Extent, and Quality of Services Provided. The Board considered Fidelity’s staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund’s investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity’s global investment organization and that Fidelity’s analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s risk management, compliance, cybersecurity and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contract and under separate agreements covering transfer agency pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the Fidelity funds’ compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund’s Advisory Contracts. The Board considered the Investment Advisers’ strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds.Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio In reviewing the Advisory Contracts, the Board considered the fund’s proposed management fee rate and the projected total expense ratio of each class of the fund. The Board noted that the fund’s proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of each class of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.The Board also noted that FMR has contractually agreed to reimburse each class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed a certain limit through December 31, 2023.Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review at the time it approved the Advisory Contracts. In connection with its future renewal of the fund’s Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing,distributing, managing, administering, and servicing the fund and servicing the fund’s shareholders.Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund’s Advisory Contracts should be approved.TBF-SANN-0422
1.9904497.100
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: | April 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: | April 21, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | April 21, 2022 |