Quarterly Holdings Report
for
Fidelity® Intermediate Bond Fund
May 31, 2024
IBF-NPRT3-0724
1.804838.120
Nonconvertible Bonds - 39.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | 4,123 | 3,644 | |
4.3% 2/15/30 | 11,310 | 10,780 | |
NTT Finance Corp.: | |||
1.162% 4/3/26 (b) | 4,930 | 4,575 | |
1.591% 4/3/28 (b) | 6,562 | 5,757 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 4,944 | 4,429 | |
2.355% 3/15/32 | 7,604 | 6,173 | |
35,358 | |||
Media - 0.6% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.2% 3/15/28 | 3,155 | 2,968 | |
4.908% 7/23/25 | 701 | 694 | |
6.15% 11/10/26 | 10,200 | 10,280 | |
Discovery Communications LLC 3.625% 5/15/30 | 1,042 | 917 | |
Warnermedia Holdings, Inc.: | |||
3.755% 3/15/27 | 3,063 | 2,905 | |
4.054% 3/15/29 | 5,615 | 5,170 | |
22,934 | |||
Wireless Telecommunication Services - 0.3% | |||
Rogers Communications, Inc. 3.2% 3/15/27 | 1,601 | 1,516 | |
T-Mobile U.S.A., Inc.: | |||
2.4% 3/15/29 | 2,211 | 1,948 | |
2.625% 4/15/26 | 5,363 | 5,085 | |
3.5% 4/15/25 | 2,650 | 2,600 | |
11,149 | |||
TOTAL COMMUNICATION SERVICES | 69,441 | ||
CONSUMER DISCRETIONARY - 3.1% | |||
Automobiles - 1.6% | |||
General Motors Co. 6.125% 10/1/25 | 3,155 | 3,170 | |
General Motors Financial Co., Inc.: | |||
1.25% 1/8/26 | 3,578 | 3,343 | |
2.35% 2/26/27 | 2,587 | 2,383 | |
4.35% 4/9/25 | 3,786 | 3,742 | |
5.4% 4/6/26 | 8,860 | 8,831 | |
6% 1/9/28 | 6,100 | 6,197 | |
Mercedes-Benz Finance North America LLC 4.8% 3/30/28 (b) | 7,608 | 7,515 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 11/24/25 (b) | 7,754 | 7,282 | |
4.35% 6/8/27 (b) | 7,639 | 7,416 | |
5.7% 9/12/26 (b) | 9,700 | 9,725 | |
59,604 | |||
Household Durables - 0.1% | |||
Toll Brothers Finance Corp.: | |||
4.875% 11/15/25 | 2,776 | 2,744 | |
4.875% 3/15/27 | 1,352 | 1,329 | |
4,073 | |||
Leisure Products - 0.2% | |||
Brunswick Corp. 5.85% 3/18/29 | 8,511 | 8,498 | |
Specialty Retail - 0.9% | |||
Advance Auto Parts, Inc. 5.95% 3/9/28 | 5,890 | 5,841 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 341 | 335 | |
4% 4/15/30 | 3,155 | 2,957 | |
6.25% 11/1/28 | 4,041 | 4,195 | |
Lowe's Companies, Inc.: | |||
1.7% 9/15/28 | 3,155 | 2,744 | |
4.5% 4/15/30 | 9,316 | 9,009 | |
O'Reilly Automotive, Inc.: | |||
3.9% 6/1/29 | 3,155 | 2,976 | |
4.2% 4/1/30 | 5,353 | 5,072 | |
The Home Depot, Inc. 2.5% 4/15/27 | 225 | 211 | |
33,340 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Tapestry, Inc.: | |||
7% 11/27/26 | 1,248 | 1,281 | |
7.7% 11/27/30 | 8,100 | 8,463 | |
9,744 | |||
TOTAL CONSUMER DISCRETIONARY | 115,259 | ||
CONSUMER STAPLES - 1.9% | |||
Beverages - 0.1% | |||
Anheuser-Busch InBev Worldwide, Inc. 3.5% 6/1/30 | 1,070 | 988 | |
Molson Coors Beverage Co. 3% 7/15/26 | 2,839 | 2,705 | |
3,693 | |||
Consumer Staples Distribution & Retail - 0.3% | |||
7-Eleven, Inc. 0.95% 2/10/26 (b) | 1,459 | 1,353 | |
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1,719 | 1,529 | |
Dollar Tree, Inc. 4% 5/15/25 | 7,697 | 7,587 | |
10,469 | |||
Food Products - 0.0% | |||
JDE Peet's BV 1.375% 1/15/27 (b) | 1,001 | 904 | |
Personal Care Products - 0.3% | |||
Kenvue, Inc.: | |||
5% 3/22/30 | 7,415 | 7,405 | |
5.05% 3/22/28 | 4,575 | 4,588 | |
11,993 | |||
Tobacco - 1.2% | |||
Altria Group, Inc.: | |||
2.35% 5/6/25 | 634 | 615 | |
4.8% 2/14/29 | 964 | 945 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 1,892 | 1,882 | |
4.7% 4/2/27 | 3,990 | 3,921 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 7,824 | 7,306 | |
5.931% 2/2/29 | 7,000 | 7,150 | |
Imperial Tobacco Finance PLC 3.125% 7/26/24 (b) | 5,438 | 5,416 | |
Philip Morris International, Inc.: | |||
5.125% 11/17/27 | 10,015 | 9,995 | |
5.125% 2/13/31 | 5,374 | 5,289 | |
42,519 | |||
TOTAL CONSUMER STAPLES | 69,578 | ||
ENERGY - 3.0% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 2.061% 12/15/26 | 1,199 | 1,108 | |
Oil, Gas & Consumable Fuels - 2.9% | |||
Canadian Natural Resources Ltd. 3.9% 2/1/25 | 2,146 | 2,120 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 6,940 | 6,743 | |
DCP Midstream Operating LP 5.375% 7/15/25 | 2,410 | 2,399 | |
Eastern Gas Transmission & Storage, Inc. 3% 11/15/29 | 3,470 | 3,083 | |
Enbridge, Inc.: | |||
5.25% 4/5/27 | 4,591 | 4,581 | |
5.3% 4/5/29 | 3,837 | 3,830 | |
6% 11/15/28 | 7,927 | 8,136 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 3,786 | 3,686 | |
4.2% 4/15/27 | 5,070 | 4,908 | |
4.95% 6/15/28 | 6,355 | 6,252 | |
EQT Corp.: | |||
3.9% 10/1/27 | 1,892 | 1,801 | |
5.7% 4/1/28 | 339 | 340 | |
Equinor ASA 1.75% 1/22/26 | 696 | 659 | |
Hess Corp. 4.3% 4/1/27 | 12,303 | 11,976 | |
Hess Midstream Operations LP 5.625% 2/15/26 (b) | 5,241 | 5,208 | |
MPLX LP: | |||
1.75% 3/1/26 | 3,091 | 2,894 | |
4% 2/15/25 | 316 | 312 | |
4% 3/15/28 | 3,155 | 3,011 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 3,875 | 3,851 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 14,000 | 11,332 | |
6.7% 2/16/32 | 15,992 | 13,432 | |
Southeast Supply Header LLC 4.25% 6/15/24 (b) | 2,009 | 2,000 | |
The Williams Companies, Inc.: | |||
4.55% 6/24/24 | 1,607 | 1,606 | |
5.4% 3/2/26 | 1,253 | 1,251 | |
Western Midstream Operating LP 6.35% 1/15/29 | 4,000 | 4,112 | |
109,523 | |||
TOTAL ENERGY | 110,631 | ||
FINANCIALS - 20.1% | |||
Banks - 10.7% | |||
Bank of America Corp.: | |||
1.197% 10/24/26 (c) | 11,041 | 10,384 | |
1.319% 6/19/26 (c) | 3,596 | 3,434 | |
2.496% 2/13/31 (c) | 3,155 | 2,706 | |
2.551% 2/4/28 (c) | 4,110 | 3,821 | |
3.384% 4/2/26 (c) | 5,584 | 5,475 | |
3.97% 3/5/29 (c) | 8,155 | 7,766 | |
3.974% 2/7/30 (c) | 4,290 | 4,042 | |
4.25% 10/22/26 | 3,730 | 3,635 | |
4.271% 7/23/29 (c) | 7,208 | 6,918 | |
4.376% 4/27/28 (c) | 5,400 | 5,254 | |
4.45% 3/3/26 | 2,199 | 2,161 | |
4.948% 7/22/28 (c) | 5,489 | 5,426 | |
Bank of Ireland Group PLC 5.601% 3/20/30 (b)(c) | 6,702 | 6,621 | |
Bank of Nova Scotia 4.5% 12/16/25 | 4,038 | 3,964 | |
Barclays PLC: | |||
2.279% 11/24/27 (c) | 8,259 | 7,613 | |
2.852% 5/7/26 (c) | 6,216 | 6,050 | |
5.304% 8/9/26 (c) | 2,635 | 2,619 | |
5.69% 3/12/30 (c) | 3,429 | 3,427 | |
5.829% 5/9/27 (c) | 5,000 | 5,001 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d) | 3,654 | 3,407 | |
2.219% 6/9/26 (b)(c) | 2,279 | 2,199 | |
Capital One NA 2.28% 1/28/26 (c) | 3,728 | 3,637 | |
Citigroup, Inc.: | |||
1.462% 6/9/27 (c) | 5,874 | 5,422 | |
2.666% 1/29/31 (c) | 5,530 | 4,788 | |
3.07% 2/24/28 (c) | 5,682 | 5,346 | |
3.106% 4/8/26 (c) | 3,533 | 3,455 | |
4.075% 4/23/29 (c) | 5,190 | 4,958 | |
4.6% 3/9/26 | 2,099 | 2,065 | |
Cooperatieve Rabobank UA 1.98% 12/15/27 (b)(c) | 2,686 | 2,458 | |
Credit Agricole SA 6.251% 1/10/35 (b)(c) | 10,500 | 10,629 | |
DNB Bank ASA: | |||
1.535% 5/25/27 (b)(c) | 2,813 | 2,599 | |
1.605% 3/30/28 (b)(c) | 6,094 | 5,473 | |
HSBC Holdings PLC: | |||
1.645% 4/18/26 (c) | 7,888 | 7,609 | |
2.999% 3/10/26 (c) | 5,241 | 5,131 | |
4.292% 9/12/26 (c) | 3,276 | 3,216 | |
5.21% 8/11/28 (c) | 9,616 | 9,527 | |
Huntington Bancshares, Inc. 4.443% 8/4/28 (c) | 3,163 | 3,061 | |
ING Groep NV: | |||
1.726% 4/1/27 (c) | 2,376 | 2,216 | |
5.335% 3/19/30 (c) | 5,470 | 5,426 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 3,236 | 3,205 | |
JPMorgan Chase & Co.: | |||
1.47% 9/22/27 (c) | 6,240 | 5,710 | |
1.764% 11/19/31 (c) | 4,010 | 3,235 | |
2.069% 6/1/29 (c) | 8,532 | 7,539 | |
2.083% 4/22/26 (c) | 4,480 | 4,339 | |
2.522% 4/22/31 (c) | 6,955 | 5,975 | |
2.947% 2/24/28 (c) | 11,415 | 10,718 | |
2.956% 5/13/31 (c) | 4,445 | 3,867 | |
3.875% 9/10/24 | 3,261 | 3,244 | |
4.125% 12/15/26 | 3,199 | 3,112 | |
4.25% 10/1/27 | 2,524 | 2,460 | |
Lloyds Banking Group PLC: | |||
5.462% 1/5/28 (c) | 10,500 | 10,472 | |
5.985% 8/7/27 (c) | 3,450 | 3,467 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.64% 10/13/27 (c) | 7,703 | 7,055 | |
2.193% 2/25/25 | 4,678 | 4,564 | |
5.017% 7/20/28 (c) | 8,580 | 8,515 | |
5.258% 4/17/30 (c) | 8,500 | 8,467 | |
Mizuho Financial Group, Inc.: | |||
1.234% 5/22/27 (c) | 6,310 | 5,811 | |
1.554% 7/9/27 (c) | 6,800 | 6,269 | |
4.254% 9/11/29 (c) | 1,965 | 1,878 | |
NatWest Group PLC: | |||
1.642% 6/14/27 (c) | 2,293 | 2,117 | |
3.073% 5/22/28 (c) | 2,293 | 2,141 | |
5.847% 3/2/27 (c) | 5,364 | 5,378 | |
Royal Bank of Canada 2.3% 11/3/31 | 6,190 | 5,098 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 5,673 | 5,201 | |
Societe Generale: | |||
1.792% 6/9/27 (b)(c) | 4,104 | 3,781 | |
4.25% 4/14/25 (b) | 1,994 | 1,961 | |
4.677% 6/15/27 (b) | 5,569 | 5,495 | |
4.75% 11/24/25 (b) | 4,777 | 4,689 | |
5.634% 1/19/30 (b)(c) | 10,410 | 10,325 | |
Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26 | 5,765 | 5,278 | |
The Toronto-Dominion Bank 2.8% 3/10/27 | 4,805 | 4,503 | |
Truist Financial Corp. 4.26% 7/28/26 (c) | 5,546 | 5,454 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 5,369 | 5,238 | |
3.526% 3/24/28 (c) | 6,680 | 6,351 | |
4.3% 7/22/27 | 6,170 | 5,998 | |
5.574% 7/25/29 (c) | 10,500 | 10,559 | |
6.303% 10/23/29 (c) | 8,500 | 8,796 | |
Westpac Banking Corp.: | |||
U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d) | 4,101 | 4,001 | |
4.11% 7/24/34 (c) | 1,134 | 1,042 | |
402,247 | |||
Capital Markets - 4.4% | |||
Ares Capital Corp. 3.25% 7/15/25 | 8,667 | 8,397 | |
Athene Global Funding: | |||
1.73% 10/2/26 (b) | 4,287 | 3,921 | |
2.646% 10/4/31 (b) | 6,246 | 5,092 | |
5.516% 3/25/27 (b) | 10,900 | 10,876 | |
5.583% 1/9/29 (b) | 2,486 | 2,484 | |
Blackstone Private Credit Fund 4.7% 3/24/25 | 9,745 | 9,640 | |
Deutsche Bank AG 4.5% 4/1/25 | 4,541 | 4,481 | |
Deutsche Bank AG New York Branch: | |||
2.129% 11/24/26 (c) | 6,196 | 5,867 | |
2.311% 11/16/27 (c) | 4,598 | 4,226 | |
5.706% 2/8/28 (c) | 8,800 | 8,783 | |
7.146% 7/13/27 (c) | 2,700 | 2,768 | |
Goldman Sachs Group, Inc.: | |||
1.093% 12/9/26 (c) | 5,874 | 5,483 | |
1.542% 9/10/27 (c) | 5,971 | 5,458 | |
3.615% 3/15/28 (c) | 2,500 | 2,384 | |
3.8% 3/15/30 | 4,330 | 4,021 | |
4.482% 8/23/28 (c) | 3,334 | 3,249 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 4,416 | 4,178 | |
3.75% 3/24/25 | 2,509 | 2,474 | |
Morgan Stanley: | |||
1.512% 7/20/27 (c) | 5,874 | 5,407 | |
2.188% 4/28/26 (c) | 3,470 | 3,362 | |
2.475% 1/21/28 (c) | 5,778 | 5,368 | |
3.772% 1/24/29 (c) | 5,000 | 4,739 | |
4.21% 4/20/28 (c) | 12,636 | 12,247 | |
5.449% 7/20/29 (c) | 7,193 | 7,218 | |
6.407% 11/1/29 (c) | 8,500 | 8,846 | |
Nuveen LLC 5.55% 1/15/30 (b) | 1,891 | 1,895 | |
S&P Global, Inc. 2.45% 3/1/27 | 4,416 | 4,115 | |
State Street Corp. 2.901% 3/30/26 (c) | 192 | 187 | |
UBS Group AG: | |||
1.305% 2/2/27 (b)(c) | 5,890 | 5,463 | |
2.593% 9/11/25 (b)(c) | 3,276 | 3,246 | |
4.55% 4/17/26 | 3,276 | 3,221 | |
6.373% 7/15/26 (b)(c) | 4,455 | 4,477 | |
163,573 | |||
Consumer Finance - 2.7% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.75% 1/30/26 | 3,495 | 3,280 | |
2.45% 10/29/26 | 1,390 | 1,293 | |
3% 10/29/28 | 1,456 | 1,316 | |
5.1% 1/19/29 | 4,311 | 4,251 | |
5.75% 6/6/28 | 7,897 | 7,962 | |
6.1% 1/15/27 | 5,500 | 5,579 | |
6.5% 7/15/25 | 1,093 | 1,101 | |
Ally Financial, Inc.: | |||
2.2% 11/2/28 | 4,756 | 4,101 | |
4.625% 3/30/25 | 1,892 | 1,874 | |
4.75% 6/9/27 | 6,877 | 6,677 | |
5.125% 9/30/24 | 6,184 | 6,169 | |
5.75% 11/20/25 | 1,287 | 1,281 | |
Capital One Financial Corp.: | |||
1.878% 11/2/27 (c) | 10,852 | 9,916 | |
2.359% 7/29/32 (c) | 6,310 | 4,925 | |
2.636% 3/3/26 (c) | 3,155 | 3,080 | |
3.2% 2/5/25 | 2,208 | 2,171 | |
4.985% 7/24/26 (c) | 2,403 | 2,381 | |
Discover Financial Services 4.5% 1/30/26 | 1,532 | 1,503 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 2,621 | 2,556 | |
3.375% 11/13/25 | 8,189 | 7,906 | |
5.85% 5/17/27 | 9,300 | 9,296 | |
6.95% 6/10/26 | 7,500 | 7,634 | |
Synchrony Financial 4.25% 8/15/24 | 3,155 | 3,144 | |
99,396 | |||
Financial Services - 1.2% | |||
Corebridge Financial, Inc.: | |||
3.65% 4/5/27 | 1,748 | 1,669 | |
3.85% 4/5/29 | 6,197 | 5,777 | |
3.9% 4/5/32 | 1,306 | 1,166 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 11,714 | 11,246 | |
Jackson Financial, Inc.: | |||
3.125% 11/23/31 | 642 | 532 | |
5.17% 6/8/27 | 1,211 | 1,198 | |
5.67% 6/8/32 | 4,044 | 4,048 | |
Jbs U.S.A. Holding Lux/ Jbs U.S.A. F: | |||
2.5% 1/15/27 | 3,631 | 3,344 | |
3% 2/2/29 | 3,155 | 2,790 | |
5.125% 2/1/28 | 7,571 | 7,441 | |
Nationwide Building Society 6.557% 10/18/27 (b)(c) | 6,900 | 7,037 | |
46,248 | |||
Insurance - 1.1% | |||
AFLAC, Inc. 3.6% 4/1/30 | 708 | 653 | |
AIA Group Ltd.: | |||
3.375% 4/7/30 (b) | 2,279 | 2,063 | |
3.9% 4/6/28 (b) | 5,569 | 5,330 | |
Equitable Financial Life Global Funding: | |||
1.3% 7/12/26 (b) | 3,155 | 2,883 | |
1.4% 8/27/27 (b) | 3,155 | 2,773 | |
1.7% 11/12/26 (b) | 4,021 | 3,663 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 2,963 | 2,584 | |
MassMutual Global Funding II 4.85% 1/17/29 (b) | 10,400 | 10,258 | |
RGA Global Funding 5.448% 5/24/29 (b) | 5,525 | 5,526 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 2,715 | 2,410 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 3,470 | 3,353 | |
41,496 | |||
TOTAL FINANCIALS | 752,960 | ||
HEALTH CARE - 1.6% | |||
Biotechnology - 0.1% | |||
Amgen, Inc.: | |||
5.15% 3/2/28 | 1,367 | 1,363 | |
5.25% 3/2/30 | 1,247 | 1,250 | |
2,613 | |||
Health Care Equipment & Supplies - 0.1% | |||
Alcon Finance Corp. 2.75% 9/23/26 (b) | 2,685 | 2,532 | |
Health Care Providers & Services - 1.0% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 6,671 | 5,882 | |
4.25% 12/15/27 | 3,155 | 3,002 | |
Cigna Group 3.4% 3/1/27 | 2,839 | 2,710 | |
HCA Holdings, Inc.: | |||
3.125% 3/15/27 | 8,266 | 7,788 | |
3.5% 9/1/30 | 1,577 | 1,411 | |
5.625% 9/1/28 | 3,155 | 3,169 | |
5.875% 2/1/29 | 1,739 | 1,764 | |
Humana, Inc.: | |||
1.35% 2/3/27 | 3,786 | 3,414 | |
3.7% 3/23/29 | 1,002 | 934 | |
5.375% 4/15/31 | 2,250 | 2,228 | |
ICON Investments Six Designated Activity 5.849% 5/8/29 | 3,472 | 3,516 | |
Sabra Health Care LP: | |||
3.2% 12/1/31 | 2,504 | 2,063 | |
3.9% 10/15/29 | 852 | 762 | |
38,643 | |||
Pharmaceuticals - 0.4% | |||
Bristol-Myers Squibb Co.: | |||
4.9% 2/22/29 | 4,417 | 4,390 | |
5.1% 2/22/31 | 3,569 | 3,561 | |
Haleon U.S. Capital LLC 3.375% 3/24/27 | 7,000 | 6,662 | |
Mylan NV 4.55% 4/15/28 | 965 | 926 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 279 | 267 | |
2.7% 6/22/30 | 968 | 815 | |
16,621 | |||
TOTAL HEALTH CARE | 60,409 | ||
INDUSTRIALS - 2.7% | |||
Aerospace & Defense - 1.1% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 1,364 | 1,354 | |
BAE Systems PLC: | |||
3.4% 4/15/30 (b) | 1,006 | 906 | |
5.125% 3/26/29 (b) | 2,932 | 2,908 | |
5.25% 3/26/31 (b) | 774 | 767 | |
5.3% 3/26/34 (b) | 9,000 | 8,867 | |
RTX Corp.: | |||
5.75% 1/15/29 | 1,653 | 1,696 | |
6% 3/15/31 | 7,900 | 8,203 | |
The Boeing Co.: | |||
2.7% 2/1/27 | 3,155 | 2,895 | |
5.04% 5/1/27 | 5,804 | 5,672 | |
5.15% 5/1/30 | 7,620 | 7,270 | |
6.298% 5/1/29 (b) | 1,046 | 1,054 | |
41,592 | |||
Building Products - 0.2% | |||
Carrier Global Corp. 2.493% 2/15/27 | 6,047 | 5,630 | |
Machinery - 0.5% | |||
Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | 4,559 | 4,195 | |
Ingersoll Rand, Inc. 5.176% 6/15/29 | 11,100 | 11,075 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 3,274 | 3,180 | |
18,450 | |||
Passenger Airlines - 0.2% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 2,345 | 2,166 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 3,470 | 3,431 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 1,423 | 1,319 | |
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27 | 1,645 | 1,597 | |
8,513 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
0.8% 8/18/24 | 2,601 | 2,573 | |
2.2% 1/15/27 | 2,431 | 2,236 | |
4,809 | |||
Transportation Infrastructure - 0.6% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (b) | 4,492 | 4,389 | |
3.25% 2/15/27 (b) | 1,761 | 1,641 | |
3.95% 7/1/24 (b) | 1,922 | 1,919 | |
4.375% 5/1/26 (b) | 645 | 626 | |
5.5% 1/15/26 (b) | 1,159 | 1,148 | |
5.75% 11/15/29 (b) | 11,100 | 11,017 | |
6.375% 5/4/28 (b) | 2,418 | 2,452 | |
23,192 | |||
TOTAL INDUSTRIALS | 102,186 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Electronic Equipment, Instruments & Components - 0.2% | |||
Amphenol Corp.: | |||
5.05% 4/5/27 | 1,615 | 1,611 | |
5.05% 4/5/29 | 2,329 | 2,322 | |
Dell International LLC/EMC Corp. 5.25% 2/1/28 | 1,935 | 1,943 | |
5,876 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Broadcom, Inc. 1.95% 2/15/28 (b) | 3,155 | 2,807 | |
Micron Technology, Inc. 4.185% 2/15/27 | 5,395 | 5,238 | |
8,045 | |||
Software - 0.5% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (b) | 9,500 | 8,883 | |
Roper Technologies, Inc.: | |||
1.4% 9/15/27 | 3,155 | 2,792 | |
2% 6/30/30 | 3,615 | 3,006 | |
VMware, Inc.: | |||
1% 8/15/24 | 3,856 | 3,818 | |
1.4% 8/15/26 | 1,693 | 1,550 | |
20,049 | |||
TOTAL INFORMATION TECHNOLOGY | 33,970 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.2% | |||
International Flavors & Fragrances, Inc.: | |||
1.23% 10/1/25 (b) | 631 | 594 | |
1.832% 10/15/27 (b) | 3,155 | 2,797 | |
LYB International Finance III LLC 1.25% 10/1/25 | 3,039 | 2,866 | |
6,257 | |||
REAL ESTATE - 1.0% | |||
Equity Real Estate Investment Trusts (REITs) - 1.0% | |||
American Homes 4 Rent LP 3.625% 4/15/32 | 1,201 | 1,040 | |
Boston Properties, Inc. 3.2% 1/15/25 | 1,892 | 1,861 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 1,848 | 1,822 | |
4.125% 6/15/26 | 849 | 824 | |
Corporate Office Properties LP 2% 1/15/29 | 2,288 | 1,935 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 4,013 | 3,137 | |
Kite Realty Group Trust 4% 3/15/25 | 1,514 | 1,491 | |
LXP Industrial Trust (REIT) 4.4% 6/15/24 | 751 | 750 | |
Omega Healthcare Investors, Inc.: | |||
4.5% 1/15/25 | 701 | 694 | |
4.5% 4/1/27 | 8,075 | 7,802 | |
5.25% 1/15/26 | 5,148 | 5,092 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 475 | 342 | |
Realty Income Corp. 2.1% 3/15/28 | 2,984 | 2,660 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 857 | 846 | |
4.25% 2/1/26 | 1,417 | 1,396 | |
Sun Communities Operating LP 2.3% 11/1/28 | 540 | 471 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 2,514 | 2,464 | |
3% 1/15/30 | 1,315 | 1,151 | |
4% 3/1/28 | 737 | 700 | |
VICI Properties LP: | |||
5.125% 5/15/32 | 556 | 525 | |
5.75% 4/1/34 | 450 | 443 | |
Vornado Realty LP 2.15% 6/1/26 | 590 | 542 | |
WP Carey, Inc. 3.85% 7/15/29 | 400 | 370 | |
38,358 | |||
UTILITIES - 2.7% | |||
Electric Utilities - 1.5% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 3,786 | 3,645 | |
Cleveland Electric Illuminating Co. 3.5% 4/1/28 (b) | 5,961 | 5,549 | |
Duke Energy Corp. 4.5% 8/15/32 | 9,500 | 8,890 | |
Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b) | 7,007 | 5,660 | |
Exelon Corp.: | |||
2.75% 3/15/27 | 491 | 459 | |
3.35% 3/15/32 | 5,013 | 4,376 | |
5.15% 3/15/29 | 2,001 | 1,991 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 365 | 343 | |
2.05% 3/1/25 | 2,045 | 1,987 | |
Georgia Power Co. 4.65% 5/16/28 | 3,548 | 3,486 | |
Southern Co.: | |||
5.113% 8/1/27 (e) | 3,155 | 3,137 | |
5.2% 6/15/33 | 3,560 | 3,490 | |
5.5% 3/15/29 | 3,579 | 3,618 | |
Virginia Electric & Power Co. 2.4% 3/30/32 | 3,155 | 2,575 | |
Vistra Operations Co. LLC 5% 7/31/27 (b) | 6,060 | 5,861 | |
55,067 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
The AES Corp.: | |||
1.375% 1/15/26 | 6,940 | 6,481 | |
2.45% 1/15/31 | 2,693 | 2,211 | |
3.3% 7/15/25 (b) | 3,832 | 3,722 | |
3.95% 7/15/30 (b) | 4,133 | 3,724 | |
16,138 | |||
Multi-Utilities - 0.8% | |||
Berkshire Hathaway Energy Co.: | |||
3.25% 4/15/28 | 3,786 | 3,542 | |
3.7% 7/15/30 | 295 | 272 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 1,517 | 1,436 | |
2.95% 9/1/29 | 3,786 | 3,384 | |
5.25% 3/30/28 | 4,191 | 4,180 | |
Public Service Enterprise Group, Inc. 2.45% 11/15/31 | 12,500 | 10,240 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 1,892 | 1,854 | |
4.224% 3/15/32 | 3,155 | 2,805 | |
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.6965% 5/15/67 (c)(d) | 2,134 | 2,102 | |
29,815 | |||
TOTAL UTILITIES | 101,020 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,503,008) | 1,460,069 | ||
U.S. Treasury Obligations - 44.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Treasury Notes: | |||
2.625% 7/31/29 | 6,203 | 5,669 | |
2.75% 8/15/32 | 263,567 | 232,162 | |
3.125% 11/15/28 (f) | 103,974 | 98,085 | |
3.125% 8/31/29 | 49,219 | 46,058 | |
3.25% 6/30/29 | 48,588 | 45,813 | |
3.375% 5/15/33 | 28,378 | 26,046 | |
3.5% 1/31/30 | 11,428 | 10,851 | |
3.5% 2/15/33 | 59,782 | 55,507 | |
3.625% 3/31/28 | 13,051 | 12,614 | |
3.625% 3/31/30 | 64,183 | 61,282 | |
3.75% 5/31/30 | 84,750 | 81,383 | |
3.875% 12/31/29 | 51,311 | 49,692 | |
3.875% 8/15/33 | 51,003 | 48,604 | |
4% 1/15/27 | 31,621 | 31,057 | |
4% 10/31/29 | 21,763 | 21,224 | |
4% 1/31/31 | 45,263 | 43,955 | |
4% 2/15/34 | 36,266 | 34,866 | |
4.125% 2/15/27 | 54,850 | 54,040 | |
4.125% 9/30/27 | 39,854 | 39,236 | |
4.125% 8/31/30 | 121,542 | 118,969 | |
4.125% 11/15/32 | 9,586 | 9,335 | |
4.25% 3/15/27 | 88,608 | 87,583 | |
4.25% 2/28/31 | 29,043 | 28,624 | |
4.375% 11/30/30 | 46,541 | 46,187 | |
4.375% 5/15/34 | 13,193 | 13,076 | |
4.5% 4/15/27 | 52,000 | 51,748 | |
4.5% 5/15/27 | 56,124 | 55,861 | |
4.5% 5/31/29 | 20,547 | 20,550 | |
4.5% 11/15/33 | 41,173 | 41,179 | |
4.625% 9/15/26 | 50,360 | 50,163 | |
4.625% 10/15/26 | 32,855 | 32,737 | |
4.625% 11/15/26 | 51,854 | 51,688 | |
4.625% 5/31/31 | 11,133 | 11,213 | |
4.875% 10/31/28 | 10,960 | 11,101 | |
4.875% 10/31/30 | 19,158 | 19,538 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,705,352) | 1,647,696 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 0.4% | |||
2.5% 10/1/31 to 1/1/33 | 2,036 | 1,879 | |
3% 11/1/32 to 12/1/32 | 7,186 | 6,734 | |
3.5% 9/1/34 to 10/1/34 | 2,579 | 2,446 | |
4.5% 3/1/39 to 8/1/39 | 648 | 626 | |
5.5% 11/1/34 to 6/1/36 | 563 | 569 | |
6.5% 7/1/32 to 8/1/36 | 334 | 343 | |
7% 8/1/25 to 7/1/28 | 1 | 1 | |
7.5% 11/1/24 to 8/1/29 | 6 | 6 | |
TOTAL FANNIE MAE | 12,604 | ||
Freddie Mac - 0.0% | |||
5.5% 3/1/34 to 7/1/35 | 954 | 965 | |
7.5% 7/1/27 to 9/1/31 | 2 | 2 | |
TOTAL FREDDIE MAC | 967 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 1/15/28 to 11/15/32 | 305 | 312 | |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $14,995) | 13,883 | ||
Asset-Backed Securities - 10.9% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
AASET Trust: | |||
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 178 | 157 | |
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 1,078 | 1,012 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 2,554 | 2,332 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 3,193 | 2,818 | |
American Express Credit Account Master Trust Series 2024-2 Class A, 5.24% 4/15/31 | 10,741 | 10,853 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 365 | 336 | |
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(c)(d) | 3,399 | 3,402 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.6362% 4/22/31 (b)(c)(d) | 5,438 | 5,448 | |
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 6.6371% 4/17/33 (b)(c)(d) | 15,541 | 15,560 | |
Bank of America Credit Card Master Trust: | |||
Series 2023-A1 Class A1, 4.79% 5/15/28 | 2,593 | 2,572 | |
Series 2023-A2 Class A2, 4.98% 11/15/28 | 4,812 | 4,791 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5644% 2/25/35 (c)(d) | 219 | 217 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 2,414 | 2,133 | |
BMW Vehicle Owner Trust Series 2023-A Class A3, 5.47% 2/25/28 | 975 | 975 | |
Carmax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/29 | 1,250 | 1,253 | |
Castlelake Aircraft Securitization Trust: | |||
Series 2019-1A Class A, 3.967% 4/15/39 (b) | 1,615 | 1,454 | |
Series 2021-1R Class A, 2.741% 8/15/41 (b) | 1,606 | 1,500 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 3,134 | 2,947 | |
Cedar Funding Ltd. Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(c)(d) | 6,373 | 6,382 | |
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(c)(d) | 3,008 | 3,010 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 655 | 641 | |
Chase Auto Owner Trust 2024-2 Series 2024-2A Class A4, 5.48% 11/26/29 (b) | 1,500 | 1,508 | |
Chase Issuance Trust: | |||
Series 2023-A1 Class A, 5.16% 9/15/28 | 9,348 | 9,327 | |
Series 2023-A2 Class A, 5.08% 9/15/30 | 8,477 | 8,507 | |
Series 2024-A2 Class A, 4.63% 1/15/31 | 13,000 | 12,824 | |
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | 10,727 | 10,265 | |
Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (b) | 2,028 | 2,024 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 7,320 | 6,685 | |
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b) | 529 | 531 | |
DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b) | 546 | 545 | |
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b) | 4,670 | 4,550 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6902% 4/15/31 (b)(c)(d) | 5,454 | 5,468 | |
Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/28 (b) | 1,144 | 1,146 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | 2,053 | 2,073 | |
Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 1.32% 7/15/36 (b)(c)(d)(g) | 10,126 | 10,138 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6613% 5/20/36 (b)(c)(d) | 5,033 | 5,061 | |
Ford Crdt Auto Owner Trust 202 Series 2024-A Class A4, 5.01% 9/15/29 | 2,800 | 2,783 | |
Ford Credit Auto Owner Trust: | |||
Series 2020-1 Class B, 2.29% 8/15/31 (b) | 2,000 | 1,951 | |
Series 2023-2 Class A, 5.28% 2/15/36 (b) | 7,988 | 8,004 | |
Series 2024-1 Class A, 4.87% 8/15/36 (b) | 7,176 | 7,068 | |
Ford Credit Auto Owner Trust 2 Series 2023-1 Class A, 4.85% 8/15/35 (b) | 11,603 | 11,427 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2018-4 Class A, 4.06% 11/15/30 | 1,475 | 1,406 | |
Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 4,184 | 4,142 | |
Series 2024-1: | |||
Class A1, 5.29% 4/15/29 (b) | 8,539 | 8,543 | |
Class B, 5.48% 4/15/29 (b) | 5,501 | 5,471 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 1,115 | 1,117 | |
Gm Financial Revolving Receiva: | |||
Series 2023-1 Class A, 5.12% 4/11/35 (b) | 7,253 | 7,209 | |
Series 2023-2 Class A, 5.77% 8/11/36 (b) | 11,424 | 11,671 | |
Series 2024-1 Class A, 4.98% 12/11/36 (b) | 5,692 | 5,634 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2023-1: | |||
Class A1, 5.34% 6/15/28 (b) | 5,924 | 5,911 | |
Class B, 5.73% 6/15/28 (b) | 4,517 | 4,514 | |
Series 2024-1A: | |||
Class A1, 5.13% 3/15/29 (b) | 10,783 | 10,732 | |
Class B, 5.33% 3/15/29 (b) | 5,100 | 5,074 | |
Series 2024-2A: | |||
Class A, 5.06% 3/15/31 (b) | 12,352 | 12,270 | |
Class B, 5.35% 3/15/31 (b) | 1,275 | 1,264 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 565 | 514 | |
Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/28 | 1,125 | 1,126 | |
Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/31 (b)(c)(d) | 4,490 | 4,495 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5862% 1/22/31 (b)(c)(d) | 7,481 | 7,498 | |
Mercedes-Benz Auto Lease Trust Series 2024-A Class A4, 5.32% 2/15/30 | 6,065 | 6,050 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 185 | 179 | |
Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, CME Term SOFR 1 Month Index + 5.360% 10.6894% 8/25/34 (c)(d)(h) | 95 | 121 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5787% 7/17/32 (b)(c)(d) | 6,158 | 6,170 | |
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b) | 3,127 | 3,103 | |
Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 0% 8/8/32 (b)(c)(d)(g) | 5,721 | 5,725 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3874% 5/20/29 (b)(c)(d) | 1,246 | 1,247 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6844% 1/25/36 (c)(d) | 56 | 55 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 2,699 | 2,628 | |
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(c)(d) | 4,777 | 4,789 | |
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26 | 839 | 838 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 2,575 | 2,343 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 1,805 | 1,769 | |
1.631% 5/15/51 (b) | 9,464 | 8,541 | |
1.884% 7/15/50 (b) | 703 | 657 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | 1,297 | 1,143 | |
Subway Funding LLC Issuer Series 2024-1A: | |||
Class A2I, 6.028% 7/30/54 (b) | 2,683 | 2,683 | |
Class A2II, 6.268% 7/30/54 (b) | 2,843 | 2,843 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6502% 7/15/32 (b)(c)(d) | 4,706 | 4,713 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6102% 1/15/34 (b)(c)(d) | 6,275 | 6,283 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5509% 11/18/30 (b)(c)(d) | 2,818 | 2,825 | |
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5202% 7/15/30 (b)(c)(d) | 5,389 | 5,399 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2994% 9/25/34 (c)(d) | 70 | 71 | |
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 6.212% 5/17/32 (b)(c) | 391 | 384 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 1,787 | 1,556 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1235% 4/6/42 (b)(c)(d) | 1,143 | 817 | |
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b) | 888 | 883 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b) | 277 | 275 | |
Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b) | 1,787 | 1,759 | |
Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(c) | 2,860 | 2,780 | |
Verizon Master Trust: | |||
Series 2023-4 Class A1A, 5.16% 6/20/29 | 6,694 | 6,676 | |
Series 2023-7 Class A1A, 5.67% 11/20/29 | 10,000 | 10,089 | |
Series 2024-2 Class A, 4.83% 12/22/31 (b) | 7,262 | 7,143 | |
Volkswagen Auto Loan Enhanced: | |||
Series 2023-1 Class A3, 5.02% 6/20/28 | 3,045 | 3,024 | |
Series 2023-2: | |||
Class A3, 5.48% 12/20/28 | 5,281 | 5,304 | |
Class A4, 5.57% 4/22/30 | 4,900 | 4,949 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | 6,255 | 6,310 | |
World Omni Automobile Lease Se Series 2024-A Class A3, 5.26% 10/15/27 | 4,080 | 4,072 | |
TOTAL ASSET-BACKED SECURITIES (Cost $409,671) | 406,465 | ||
Collateralized Mortgage Obligations - 1.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Private Sponsor - 1.3% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-C Class A, 2.115% 1/25/61 (b) | 1,075 | 1,033 | |
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 3,363 | 2,878 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 1,778 | 1,598 | |
BRAVO Residential Funding Trust sequential payer: | |||
Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 1,567 | 1,408 | |
Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 7,104 | 6,292 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 296 | 285 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 979 | 958 | |
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c) | 1,487 | 1,418 | |
CFMT LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 3,008 | 2,960 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 458 | 398 | |
Csmc Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 5,631 | 5,426 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 1,990 | 1,943 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 1,728 | 1,530 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c) | 3,916 | 3,752 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 661 | 602 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 622 | 564 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 1,332 | 1,249 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 88 | 79 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 238 | 229 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c) | 3,139 | 3,019 | |
Series 2021-2 Class A1, 5.115% 3/25/26 (b) | 3,364 | 3,309 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 534 | 473 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 754 | 665 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 2,636 | 2,576 | |
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(c) | 4,271 | 4,019 | |
RMF Buyout Issuance Trust sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 556 | 542 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 49 | 49 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d) | 1 | 1 | |
TOTAL PRIVATE SPONSOR | 49,255 | ||
U.S. Government Agency - 0.0% | |||
Fannie Mae Series 2013-16 Class GP, 3% 3/25/33 | 597 | 575 | |
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34 | 151 | 147 | |
TOTAL U.S. GOVERNMENT AGENCY | 722 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $53,192) | 49,977 | ||
Commercial Mortgage Securities - 3.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.467% 1/15/39 (b)(c)(d) | 1,605 | 1,594 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,164 | 1,047 | |
BANK sequential payer Series 2018-BN15 Class ASB, 4.285% 11/15/61 | 2,112 | 2,063 | |
Bank sequential payer Series 2021-BN36 Class ASB, 2.283% 9/15/64 | 10,250 | 9,002 | |
BANK: | |||
Series 2021-BN33 Class XA, 1.0514% 5/15/64 (c)(i) | 12,381 | 607 | |
Series 2022-BNK41 Class ASB, 3.7902% 4/15/65 (c) | 6,700 | 6,247 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2019-C5 Class ASB, 2.99% 11/15/52 | 3,470 | 3,275 | |
Series 2022-C14 Class ASB, 2.901% 2/15/55 | 1,300 | 1,160 | |
BCP Trust floater Series 2021-330N Class A, CME Term SOFR 1 Month Index + 0.910% 6.2305% 6/15/38 (b)(c)(d) | 7,697 | 7,299 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2021-B31 Class AAB, 2.615% 12/15/54 | 8,000 | 7,044 | |
Series 2018-B7 Class A2, 4.377% 5/15/53 | 1,695 | 1,669 | |
Series 2019-B12 Class XA, 1.0238% 8/15/52 (c)(i) | 15,964 | 507 | |
Series 2019-B14 Class XA, 0.7684% 12/15/62 (c)(i) | 16,093 | 383 | |
Series 2020-B17 Class XA, 1.4131% 3/15/53 (c)(i) | 30,834 | 1,418 | |
Series 2020-B19 Class XA, 1.7575% 9/15/53 (c)(i) | 20,853 | 1,251 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1815% 9/15/26 (b)(c)(d) | 3,041 | 2,947 | |
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6589% 3/15/41 (b)(c)(d) | 1,522 | 1,523 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0674% 10/15/26 (b)(c)(d) | 2,587 | 2,561 | |
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1206% 10/15/36 (b)(c)(d) | 5,672 | 5,616 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0838% 5/15/38 (b)(c)(d) | 1,701 | 1,688 | |
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0782% 12/9/40 (b)(c)(d) | 2,217 | 2,230 | |
floater sequential payer: | |||
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3633% 4/15/34 (b)(c)(d) | 665 | 659 | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1015% 6/15/38 (b)(c)(d) | 2,339 | 2,323 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2815% 11/15/38 (b)(c)(d) | 2,778 | 2,766 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(c)(d) | 1,603 | 1,610 | |
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(d) | 5,461 | 5,464 | |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 1/15/34 (b)(c)(d) | 770 | 766 | |
CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50 | 992 | 955 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 3,980 | 3,754 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 2,861 | 2,604 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC37 Class AAB, 3.098% 4/10/49 | 222 | 217 | |
Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 879 | 828 | |
CSAIL Commercial Mortgage Trust sequential payer Series 2020-C19 Class ASB, 2.5501% 3/15/53 | 11,986 | 11,061 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 11/15/38 (b)(c)(d) | 3,944 | 3,912 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5115% 7/15/38 (b)(c)(d) | 1,191 | 1,190 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3815% 10/15/36 (b)(c)(d) | 1,714 | 1,699 | |
sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 241 | 237 | |
Series 2011-GC5 Class A/S, 5.1513% 8/10/44 (b)(c) | 2,357 | 2,286 | |
Series 2013-GC13 Class A/S, 3.8427% 7/10/46 (b)(c) | 4,156 | 3,967 | |
Series 2015-GC30 Class A/S, 3.777% 5/10/50 | 519 | 502 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C22 Class A4, 3.8012% 9/15/47 | 1,256 | 1,249 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9315% 9/15/29 (b)(c)(d) | 841 | 802 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 174 | 160 | |
Series 2018-AON Class D, 4.6132% 7/5/31 (b)(c) | 3,378 | 2,052 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2,058 | 1,904 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 3/15/38 (b)(c)(d) | 2,260 | 2,227 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(d) | 1,380 | 1,376 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 2,448 | 2,310 | |
Series 2021-L6 Class XA, 1.2029% 6/15/54 (c)(i) | 4,336 | 226 | |
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4059% 10/15/28 (b)(c)(d) | 1,829 | 1,855 | |
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9155% 10/15/36 (b)(c)(d) | 3,741 | 3,704 | |
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(d) | 2,640 | 2,630 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2018-C8 Class ASB, 3.903% 2/15/51 | 4,594 | 4,465 | |
Series 2017-C7 Class XA, 0.9864% 12/15/50 (c)(i) | 46,866 | 1,317 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1,920 | 1,535 | |
Series 2020-LAB Class X, 0.4294% 10/10/42 (b)(c)(i) | 57,901 | 1,283 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2017-C41 Class ASB, 3.39% 11/15/50 | 211 | 205 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 949 | 925 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $146,250) | 138,156 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
United Mexican States: | |||
3.25% 4/16/30 | 2,368 | 2,079 | |
3.5% 2/12/34 | 1,965 | 1,608 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,316) | 3,687 | ||
Bank Notes - 0.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
First Citizens Bank & Trust Co. 2.969% 9/27/25 (c) (Cost $4,416) | 4,416 | 4,367 | |
Money Market Funds - 1.4% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.39% (j) (Cost $51,757) | 51,746,585 | 51,757 | |
TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $3,892,957) | 3,776,057 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (33,156) |
NET ASSETS - 100.0% | 3,742,901 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 442 | Sep 2024 | 90,037 | (84) | (84) |
The notional amount of futures purchased as a percentage of Net Assets is 2.4% |
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $717,340,000 or 19.2% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $640,000. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | Level 3 security |
(i) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(j) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate (Amounts in thousands) | Value, beginning of period ($) | 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 5.39% | 28,002 | 855,179 | 831,424 | 976 | - | - | 51,757 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.39% | 10,752 | 310,157 | 320,909 | 15 | - | - | - | 0.0% |
Total | 38,754 | 1,165,336 | 1,152,333 | 991 | - | - | 51,757 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column 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
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized 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 investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations and Bank Notes are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services 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 services. 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 any open-end mutual 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.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative 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 gain exposure to certain types of assets and/or 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(s):
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.
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. 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 specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
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.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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