Quarterly Holdings Report
for
Fidelity® SAI Sustainable Core Plus Bond Fund
May 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - 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.
SSU-NPRT3-0724
1.9904897.102
| Corporate Bonds - 29.1% | |||
Principal Amount (a) | Value ($) | ||
| Convertible Bonds - 0.1% | |||
| COMMUNICATION SERVICES - 0.0% | |||
| Media - 0.0% | |||
| DISH Network Corp.: | |||
| 0% 12/15/25 | 7,000 | 5,324 | |
| 3.375% 8/15/26 | 28,000 | 17,918 | |
| 23,242 | |||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Specialty Retail - 0.0% | |||
| Wayfair LLC 0.625% 10/1/25 | 3,000 | 2,813 | |
| INFORMATION TECHNOLOGY - 0.0% | |||
| Semiconductors & Semiconductor Equipment - 0.0% | |||
| MKS Instruments, Inc. 1.25% 6/1/30 (b) | 6,000 | 6,144 | |
| Wolfspeed, Inc. 1.875% 12/1/29 | 27,000 | 15,012 | |
| 21,156 | |||
| REAL ESTATE - 0.1% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| Rexford Industrial Realty LP: | |||
| 4.125% 3/15/29(b) | 3,000 | 2,921 | |
| 4.375% 3/15/27(b) | 3,000 | 2,949 | |
| 5,870 | |||
| Real Estate Management & Development - 0.1% | |||
| Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | 4,000 | 3,318 | |
| Redfin Corp. 0.5% 4/1/27 | 31,000 | 17,050 | |
| 20,368 | |||
TOTAL REAL ESTATE | 26,238 | ||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| PG&E Corp. 4.25% 12/1/27 (b) | 3,000 | 3,091 | |
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| NextEra Energy Partners LP 2.5% 6/15/26 (b) | 6,000 | 5,445 | |
| Sunnova Energy International, Inc. 0.25% 12/1/26 | 8,000 | 3,488 | |
| 8,933 | |||
TOTAL UTILITIES | 12,024 | ||
| TOTAL CONVERTIBLE BONDS | 85,473 | ||
| Nonconvertible Bonds - 29.0% | |||
| COMMUNICATION SERVICES - 2.5% | |||
| Diversified Telecommunication Services - 1.1% | |||
| Altice France SA 5.125% 7/15/29 (b) | 45,000 | 30,180 | |
| Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | 4,000 | 3,778 | |
| Frontier Communications Holdings LLC 8.75% 5/15/30 (b) | 10,000 | 10,348 | |
| IHS Holding Ltd.: | |||
| 5.625% 11/29/26(b) | 2,000 | 1,891 | |
| 6.25% 11/29/28(b) | 4,000 | 3,575 | |
| Iliad Holding SAS 8.5% 4/15/31 (b) | 30,000 | 30,377 | |
| Level 3 Financing, Inc.: | |||
| 4% 4/15/31(b) | 17,000 | 9,285 | |
| 11% 11/15/29(b) | 2,061 | 2,113 | |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | 5,000 | 3,300 | |
| TELUS Corp. 3.4% 5/13/32 | 200,000 | 173,008 | |
| Verizon Communications, Inc. 5.05% 5/9/33 | 445,000 | 437,852 | |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b) | 10,000 | 7,798 | |
| 713,505 | |||
| Entertainment - 0.3% | |||
| The Walt Disney Co. 2.65% 1/13/31 | 140,000 | 121,513 | |
| Universal Music Group NV 4% 6/13/31 (Reg. S) | EUR | 100,000 | 109,724 |
| 231,237 | |||
| Media - 1.1% | |||
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 20,000 | 17,998 | |
| Altice Financing SA 5.75% 8/15/29 (b) | 28,000 | 20,785 | |
| Altice France Holding SA: | |||
| 6% 2/15/28(b) | 12,000 | 3,735 | |
| 10.5% 5/15/27(b) | 2,000 | 740 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 4.25% 1/15/34(b) | 35,000 | 26,078 | |
| 4.75% 2/1/32(b) | 34,000 | 27,378 | |
| 5.5% 5/1/26(b) | 36,000 | 35,553 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 5.05% 3/30/29 | 20,000 | 19,164 | |
| 6.1% 6/1/29 | 41,000 | 41,045 | |
| 6.55% 6/1/34 | 22,000 | 22,045 | |
| Clear Channel Outdoor Holdings, Inc.: | |||
| 5.125% 8/15/27(b) | 19,000 | 17,949 | |
| 7.5% 6/1/29(b) | 2,000 | 1,642 | |
| 7.875% 4/1/30(b) | 20,000 | 19,891 | |
| 9% 9/15/28(b) | 22,000 | 22,898 | |
| CSC Holdings LLC: | |||
| 3.375% 2/15/31(b) | 37,000 | 21,668 | |
| 4.625% 12/1/30(b) | 29,000 | 12,193 | |
| DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b) | 24,000 | 22,536 | |
| DISH DBS Corp. 5.75% 12/1/28 (b) | 11,000 | 7,664 | |
| DISH Network Corp. 11.75% 11/15/27 (b) | 13,000 | 13,043 | |
| LCPR Senior Secured Financing DAC 6.75% 10/15/27 (b) | 9,000 | 8,477 | |
| Mcgraw-Hill Education, Inc. 8% 8/1/29 (b) | 7,000 | 6,526 | |
| Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b) | 5,000 | 5,167 | |
| Univision Communications, Inc.: | |||
| 7.375% 6/30/30(b) | 21,000 | 19,900 | |
| 8% 8/15/28(b) | 5,000 | 4,925 | |
| 8.5% 7/31/31(b)(c) | 15,000 | 14,750 | |
| Warnermedia Holdings, Inc.: | |||
| 4.279% 3/15/32 | 200,000 | 175,042 | |
| 5.141% 3/15/52 | 141,000 | 111,307 | |
| Ziggo Bond Co. BV 6% 1/15/27 (b) | 5,000 | 4,907 | |
| 705,006 | |||
| Wireless Telecommunication Services - 0.0% | |||
| AXIAN Telecom 7.375% 2/16/27 (b) | 4,000 | 3,893 | |
| C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | 25,000 | 23,837 | |
| Millicom International Cellular SA 4.5% 4/27/31 (b) | 3,000 | 2,565 | |
| 30,295 | |||
TOTAL COMMUNICATION SERVICES | 1,680,043 | ||
| CONSUMER DISCRETIONARY - 2.5% | |||
| Automobile Components - 0.1% | |||
| Hertz Corp. 4.625% 12/1/26 (b) | 14,000 | 10,870 | |
| Macquarie AirFinance Holdings: | |||
| 6.4% 3/26/29(b) | 10,000 | 10,105 | |
| 6.5% 3/26/31(b) | 10,000 | 10,154 | |
| 8.375% 5/1/28(b) | 5,000 | 5,258 | |
| ZF North America Capital, Inc.: | |||
| 4.75% 4/29/25(b) | 5,000 | 4,925 | |
| 6.75% 4/23/30(b) | 5,000 | 5,060 | |
| 46,372 | |||
| Automobiles - 0.2% | |||
| General Motors Co. 5.4% 10/15/29 | 100,000 | 99,128 | |
| McLaren Finance PLC 7.5% 8/1/26 (b) | 7,000 | 6,041 | |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC CME Term SOFR 6 Month Index + 6.020% 11.3101% 10/15/26 (b)(d)(e) | 40,000 | 39,324 | |
| 144,493 | |||
| Broadline Retail - 0.0% | |||
| Kohl's Corp. 4.25% 7/17/25 | 3,000 | 2,923 | |
| Macy's Retail Holdings LLC 5.875% 4/1/29 (b) | 3,000 | 2,889 | |
| Nordstrom, Inc. 4.375% 4/1/30 | 8,000 | 7,274 | |
| 13,086 | |||
| Diversified Consumer Services - 0.2% | |||
| GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (b) | 11,000 | 10,946 | |
| Sotheby's 7.375% 10/15/27 (b) | 25,000 | 21,761 | |
| StoneMor, Inc. 8.5% 5/15/29 (b) | 6,000 | 4,818 | |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | 59,000 | 57,354 | |
| 94,879 | |||
| Hotels, Restaurants & Leisure - 0.7% | |||
| Aramark Services, Inc.: | |||
| 5% 4/1/25(b) | 10,000 | 9,916 | |
| 5% 2/1/28(b) | 5,000 | 4,781 | |
| Carnival Corp. 6% 5/1/29 (b) | 73,000 | 71,347 | |
| ClubCorp Holdings, Inc. 8.5% 9/15/25 (b) | 22,000 | 19,908 | |
| Hilton Domestic Operating Co., Inc.: | |||
| 3.625% 2/15/32(b) | 31,000 | 26,291 | |
| 5.875% 4/1/29(b) | 5,000 | 4,957 | |
| 6.125% 4/1/32(b) | 5,000 | 4,943 | |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 100,000 | 117,855 |
| Life Time, Inc.: | |||
| 5.75% 1/15/26(b) | 11,000 | 10,937 | |
| 8% 4/15/26(b) | 46,000 | 46,310 | |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | 27,000 | 25,418 | |
| Royal Caribbean Cruises Ltd.: | |||
| 5.375% 7/15/27(b) | 7,000 | 6,858 | |
| 5.5% 4/1/28(b) | 63,000 | 61,546 | |
| 6.25% 3/15/32(b) | 15,000 | 14,932 | |
| Station Casinos LLC 6.625% 3/15/32 (b) | 5,000 | 4,908 | |
| Yum! Brands, Inc. 4.625% 1/31/32 | 19,000 | 17,307 | |
| 448,214 | |||
| Household Durables - 0.0% | |||
| Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | 5,000 | 4,991 | |
| Landsea Homes Corp. 8.875% 4/1/29 (b) | 3,000 | 2,908 | |
| TRI Pointe Homes, Inc.: | |||
| 5.25% 6/1/27 | 4,000 | 3,880 | |
| 5.7% 6/15/28 | 5,000 | 4,888 | |
| 16,667 | |||
| Leisure Products - 0.0% | |||
| Amer Sports Co. 6.75% 2/16/31 (b) | 15,000 | 14,944 | |
| Specialty Retail - 0.9% | |||
| At Home Group, Inc. 4.875% 7/15/28 (b) | 8,000 | 3,400 | |
| Bath & Body Works, Inc.: | |||
| 6.75% 7/1/36 | 9,000 | 8,956 | |
| 6.95% 3/1/33 | 8,000 | 7,802 | |
| Carvana Co.: | |||
| 4.875% 9/1/29(b) | 5,000 | 3,500 | |
| 5.625% 10/1/25(b) | 8,000 | 7,718 | |
| 12% 12/1/28 pay-in-kind(b)(d) | 4,218 | 4,409 | |
| 13% 6/1/30 pay-in-kind(b)(d) | 3,177 | 3,270 | |
| 14% 6/1/31 pay-in-kind(b)(d) | 19,892 | 20,961 | |
| Champions Financing, Inc. 8.75% 2/15/29 (b) | 12,000 | 12,337 | |
| Hudson Automotive Group 8% 5/15/32 (b) | 5,000 | 5,153 | |
| LBM Acquisition LLC 6.25% 1/15/29 (b) | 22,000 | 19,866 | |
| Lowe's Companies, Inc.: | |||
| 3.75% 4/1/32 | 130,000 | 117,571 | |
| 4.25% 4/1/52 | 130,000 | 102,125 | |
| Michaels Companies, Inc. 5.25% 5/1/28 (b) | 24,000 | 19,467 | |
| Sally Holdings LLC 6.75% 3/1/32 | 10,000 | 9,810 | |
| Staples, Inc.: | |||
| 7.5% 4/15/26(b) | 20,000 | 19,996 | |
| 10.75% 4/15/27(b) | 16,000 | 14,245 | |
| 10.75% 9/1/29(b)(c) | 11,000 | 10,644 | |
| The Home Depot, Inc. 3.25% 4/15/32 | 130,000 | 114,570 | |
| TJX Companies, Inc. 3.875% 4/15/30 | 120,000 | 113,190 | |
| 618,990 | |||
| Textiles, Apparel & Luxury Goods - 0.4% | |||
| Crocs, Inc. 4.125% 8/15/31 (b) | 23,000 | 20,003 | |
| Hanesbrands, Inc. 4.875% 5/15/26 (b) | 5,000 | 4,850 | |
| Tapestry, Inc.: | |||
| 3.05% 3/15/32 | 200,000 | 160,807 | |
| 7% 11/27/26 | 14,000 | 14,374 | |
| 7.05% 11/27/25 | 5,000 | 5,083 | |
| 7.35% 11/27/28 | 23,000 | 23,817 | |
| 7.7% 11/27/30 | 24,000 | 25,076 | |
| 7.85% 11/27/33 | 24,000 | 25,299 | |
| 279,309 | |||
TOTAL CONSUMER DISCRETIONARY | 1,676,954 | ||
| CONSUMER STAPLES - 0.9% | |||
| Beverages - 0.0% | |||
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | 21,000 | 19,405 | |
| Consumer Staples Distribution & Retail - 0.2% | |||
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
| 3.25% 3/15/26(b) | 12,000 | 11,429 | |
| 4.875% 2/15/30(b) | 6,000 | 5,612 | |
| Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (b) | 150,000 | 107,035 | |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | 5,000 | 3,695 | |
| KeHE Distributor / Nextwave 9% 2/15/29 (b) | 17,000 | 17,220 | |
| Performance Food Group, Inc. 4.25% 8/1/29 (b) | 6,000 | 5,452 | |
| Sigma Holdco BV 7.875% 5/15/26 (b) | 13,000 | 12,643 | |
| U.S. Foods, Inc. 4.625% 6/1/30 (b) | 8,000 | 7,346 | |
| 170,432 | |||
| Food Products - 0.5% | |||
| Darling Ingredients, Inc. 6% 6/15/30 (b) | 5,000 | 4,888 | |
| General Mills, Inc. 2.25% 10/14/31 | 350,000 | 287,016 | |
| Post Holdings, Inc.: | |||
| 4.5% 9/15/31(b) | 10,000 | 8,851 | |
| 4.625% 4/15/30(b) | 6,000 | 5,448 | |
| 6.25% 2/15/32(b) | 5,000 | 4,970 | |
| TreeHouse Foods, Inc. 4% 9/1/28 | 8,000 | 7,124 | |
| 318,297 | |||
| Household Products - 0.2% | |||
| Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S) | EUR | 100,000 | 107,856 |
TOTAL CONSUMER STAPLES | 615,990 | ||
| ENERGY - 0.9% | |||
| Energy Equipment & Services - 0.2% | |||
| Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b) | 12,000 | 11,861 | |
| CGG SA 8.75% 4/1/27 (b) | 24,000 | 22,986 | |
| Oceaneering International, Inc. 6% 2/1/28 | 25,000 | 24,632 | |
| Vallourec SA 7.5% 4/15/32 (b) | 30,000 | 30,869 | |
| 90,348 | |||
| Oil, Gas & Consumable Fuels - 0.7% | |||
| Baytex Energy Corp. 7.375% 3/15/32 (b) | 5,000 | 5,058 | |
| California Resources Corp.: | |||
| 7.125% 2/1/26(b) | 31,000 | 31,156 | |
| 8.25% 6/15/29(b)(c) | 10,000 | 10,015 | |
| Canacol Energy Ltd. 5.75% 11/24/28 (b) | 12,000 | 6,296 | |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | 23,000 | 20,686 | |
| CNX Resources Corp.: | |||
| 6% 1/15/29(b) | 9,000 | 8,782 | |
| 7.25% 3/1/32(b) | 5,000 | 5,069 | |
| 7.375% 1/15/31(b) | 5,000 | 5,088 | |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/33 (b) | 10,000 | 10,275 | |
| CVR Energy, Inc. 5.75% 2/15/28 (b) | 6,000 | 5,538 | |
| Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b) | 5,000 | 5,113 | |
| EG Global Finance PLC 12% 11/30/28 (b) | 30,000 | 31,072 | |
| Energean PLC 6.5% 4/30/27 (b) | 15,000 | 14,138 | |
| Global Partners LP/GLP Finance Corp. 6.875% 1/15/29 | 25,000 | 24,615 | |
| Golar LNG Ltd. 7% 10/20/25 (b) | 7,000 | 6,943 | |
| Harbour Energy PLC 5.5% 10/15/26 (b) | 6,000 | 5,873 | |
| Kosmos Energy Ltd.: | |||
| 7.5% 3/1/28(b) | 4,000 | 3,796 | |
| 7.75% 5/1/27(b) | 1,000 | 974 | |
| MEG Energy Corp. 5.875% 2/1/29 (b) | 82,000 | 79,584 | |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | 5,000 | 4,339 | |
| New Fortress Energy, Inc.: | |||
| 6.5% 9/30/26(b) | 49,000 | 46,121 | |
| 8.75% 3/15/29(b) | 9,000 | 8,639 | |
| Northern Oil & Gas, Inc. 8.125% 3/1/28 (b) | 23,000 | 23,384 | |
| Permian Resources Operating LLC 5.875% 7/1/29 (b) | 6,000 | 5,858 | |
| Prairie Acquiror LP 9% 8/1/29 (b) | 20,000 | 20,553 | |
| Southwestern Energy Co. 5.375% 3/15/30 | 6,000 | 5,771 | |
| Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29 | 64,000 | 58,729 | |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b) | 28,000 | 27,416 | |
| Tullow Oil PLC 7% 3/1/25 (b) | 3,000 | 2,900 | |
| 483,781 | |||
TOTAL ENERGY | 574,129 | ||
| FINANCIALS - 8.4% | |||
| Banks - 5.3% | |||
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (d) | EUR | 100,000 | 104,713 |
| Banco Bilbao Vizcaya Argentaria SA 1% 1/16/30 (Reg. S) (d) | EUR | 100,000 | 105,999 |
| Bank of America Corp.: | |||
| 2.456% 10/22/25(d) | 410,000 | 404,695 | |
| 2.687% 4/22/32(d) | 70,000 | 58,830 | |
| 5.015% 7/22/33(d) | 198,000 | 192,915 | |
| 6.204% 11/10/28(d) | 25,000 | 25,711 | |
| Barclays PLC 0.577% 8/9/29 (Reg. S) (d) | EUR | 100,000 | 94,532 |
| BNP Paribas SA 4.042% 1/10/32 (Reg. S) (d) | EUR | 100,000 | 108,454 |
| BPCE SA 3.875% 1/11/29 (Reg. S) | EUR | 100,000 | 108,128 |
| Citigroup, Inc.: | |||
| 2.014% 1/25/26(d) | 260,000 | 253,688 | |
| 4.91% 5/24/33(d) | 254,000 | 243,577 | |
| Cooperatieve Rabobank UA 1% 1/19/34 (Reg. S) | EUR | 100,000 | 84,431 |
| HAT Holdings I LLC/HAT Holdings II LLC: | |||
| 3.375% 6/15/26(b) | 32,000 | 30,072 | |
| 6% 4/15/25(b) | 12,000 | 11,938 | |
| 8% 6/15/27(b) | 5,000 | 5,190 | |
| HSBC Holdings PLC 3% 5/29/30 (d) | GBP | 100,000 | 114,135 |
| ING Groep NV: | |||
| 1.4% 7/1/26(b)(d) | 200,000 | 190,976 | |
| 4.5% 5/23/29 (Reg. S)(d) | EUR | 100,000 | 110,797 |
| JPMorgan Chase & Co.: | |||
| 0.768% 8/9/25(d) | 385,000 | 381,338 | |
| 2.963% 1/25/33(d) | 70,000 | 59,309 | |
| 4.586% 4/26/33(d) | 224,000 | 212,035 | |
| 4.912% 7/25/33(d) | 26,000 | 25,197 | |
| KBC Group NV 4.375% 4/19/30 (Reg. S) (d) | EUR | 100,000 | 110,889 |
| Lloyds Banking Group PLC 4.75% 9/21/31 (Reg. S) (d) | EUR | 100,000 | 112,818 |
| NatWest Group PLC 4.771% 2/16/29 (Reg. S) (d) | EUR | 100,000 | 111,439 |
| Nordea Bank Abp 2.5% 5/23/29 (Reg. S) | EUR | 100,000 | 102,808 |
| Santander Holdings U.S.A., Inc.: | |||
| 5.807% 9/9/26(d) | 31,000 | 30,840 | |
| 6.499% 3/9/29(d) | 27,000 | 27,528 | |
| Societe Generale 0.625% 12/2/27 (Reg. S) (d) | EUR | 100,000 | 99,942 |
| UniCredit SpA: | |||
| 5.459% 6/30/35(b)(d) | 1,000 | 939 | |
| 5.861% 6/19/32(b)(d) | 4,000 | 3,917 | |
| Western Alliance Bancorp. 3% 6/15/31 (d) | 15,000 | 13,425 | |
| 3,541,205 | |||
| Capital Markets - 1.6% | |||
| AssuredPartners, Inc. 7.5% 2/15/32 (b) | 5,000 | 4,970 | |
| Coinbase Global, Inc. 3.625% 10/1/31 (b) | 5,000 | 3,976 | |
| Goldman Sachs Group, Inc.: | |||
| 3.102% 2/24/33(d) | 152,000 | 129,004 | |
| 3.615% 3/15/28(d) | 130,000 | 123,978 | |
| Morgan Stanley: | |||
| 0.864% 10/21/25(d) | 270,000 | 264,809 | |
| 2.943% 1/21/33(d) | 70,000 | 58,954 | |
| 4.889% 7/20/33(d) | 313,000 | 299,919 | |
| State Street Corp. 3.031% 11/1/34 (d) | 200,000 | 175,374 | |
| 1,060,984 | |||
| Consumer Finance - 0.3% | |||
| Ally Financial, Inc.: | |||
| 2.2% 11/2/28 | 140,000 | 120,719 | |
| 5.75% 11/20/25 | 5,000 | 4,977 | |
| Capstone Borrower, Inc. 8% 6/15/30 (b) | 5,000 | 5,079 | |
| Encore Capital Group, Inc. 8.5% 5/15/30 (b) | 10,000 | 10,011 | |
| OneMain Finance Corp.: | |||
| 3.875% 9/15/28 | 73,000 | 64,935 | |
| 9% 1/15/29 | 5,000 | 5,249 | |
| PRA Group, Inc. 8.875% 1/31/30 (b) | 5,000 | 4,944 | |
| SLM Corp. 4.2% 10/29/25 | 10,000 | 9,737 | |
| 225,651 | |||
| Financial Services - 0.2% | |||
| Block, Inc.: | |||
| 3.5% 6/1/31 | 109,000 | 93,364 | |
| 6.5% 5/15/32(b) | 15,000 | 15,139 | |
| GGAM Finance Ltd.: | |||
| 6.875% 4/15/29(b) | 5,000 | 5,038 | |
| 7.75% 5/15/26(b) | 5,000 | 5,095 | |
| 8% 2/15/27(b) | 20,000 | 20,579 | |
| 8% 6/15/28(b) | 20,000 | 20,709 | |
| Gn Bondco LLC 9.5% 10/15/31 (b) | 6,000 | 5,466 | |
| 165,390 | |||
| Insurance - 0.9% | |||
| AIA Group Ltd. 3.375% 4/7/30 (b) | 200,000 | 181,040 | |
| Equitable Financial Life Global Funding 1.3% 7/12/26 (b) | 200,000 | 182,765 | |
| Marsh & McLennan Companies, Inc. 2.375% 12/15/31 | 210,000 | 173,150 | |
| Swiss Re Finance Luxembourg SA 2.534% 4/30/50 (Reg. S) (d) | EUR | 100,000 | 98,740 |
| 635,695 | |||
| Mortgage Real Estate Investment Trusts - 0.1% | |||
| Rithm Capital Corp.: | |||
| 6.25% 10/15/25(b) | 2,000 | 1,982 | |
| 8% 4/1/29(b) | 5,000 | 4,866 | |
| Starwood Property Trust, Inc.: | |||
| 3.75% 12/31/24(b) | 11,000 | 10,801 | |
| 7.25% 4/1/29(b) | 20,000 | 19,890 | |
| 37,539 | |||
TOTAL FINANCIALS | 5,666,464 | ||
| HEALTH CARE - 2.1% | |||
| Biotechnology - 0.4% | |||
| Amgen, Inc. 3% 2/22/29 | 260,000 | 238,206 | |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 25,000 | 14,931 | |
| 253,137 | |||
| Health Care Equipment & Supplies - 0.1% | |||
| AdaptHealth LLC 5.125% 3/1/30 (b) | 30,000 | 26,204 | |
| Embecta Corp. 5% 2/15/30 (b) | 25,000 | 20,675 | |
| Sotera Health Holdings LLC 7.375% 6/1/31 (b) | 30,000 | 29,742 | |
| 76,621 | |||
| Health Care Providers & Services - 1.1% | |||
| Akumin, Inc. 8% 8/1/28 (b) | 23,000 | 18,055 | |
| AMN Healthcare 4% 4/15/29 (b) | 20,000 | 17,721 | |
| Cano Health, Inc. 6.25% 10/1/28 (b)(f) | 8,000 | 10 | |
| CHS/Community Health Systems, Inc.: | |||
| 4.75% 2/15/31(b) | 91,000 | 71,852 | |
| 5.25% 5/15/30(b) | 24,000 | 19,922 | |
| 6.875% 4/15/29(b) | 19,000 | 14,868 | |
| 10.875% 1/15/32(b)(c) | 1,000 | 1,033 | |
| Cigna Group 3.4% 3/15/51 | 150,000 | 101,931 | |
| DaVita, Inc. 3.75% 2/15/31 (b) | 29,000 | 24,337 | |
| Encompass Health Corp. 4.625% 4/1/31 | 10,000 | 9,039 | |
| Humana, Inc.: | |||
| 3.7% 3/23/29 | 130,000 | 121,214 | |
| 5.75% 12/1/28 | 110,000 | 111,755 | |
| LifePoint Health, Inc.: | |||
| 5.375% 1/15/29(b) | 25,000 | 21,102 | |
| 10% 6/1/32(b) | 5,000 | 5,018 | |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | 2,000 | 1,420 | |
| Modivcare, Inc. 5.875% 11/15/25 (b) | 26,000 | 25,853 | |
| Owens & Minor, Inc. 6.625% 4/1/30 (b) | 6,000 | 5,705 | |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | 26,000 | 22,400 | |
| Radiology Partners, Inc. 7.775% 1/31/29 pay-in-kind (b)(d) | 8,067 | 7,432 | |
| Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | 10,000 | 10,075 | |
| Tenet Healthcare Corp. 6.125% 10/1/28 | 136,000 | 134,721 | |
| 745,463 | |||
| Health Care Technology - 0.0% | |||
| IQVIA, Inc.: | |||
| 5% 10/15/26(b) | 5,000 | 4,888 | |
| 5% 5/15/27(b) | 10,000 | 9,714 | |
| 14,602 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Charles River Laboratories International, Inc. 3.75% 3/15/29 (b) | 3,000 | 2,714 | |
| Pharmaceuticals - 0.5% | |||
| AstraZeneca Finance LLC 1.75% 5/28/28 | 140,000 | 123,688 | |
| Bristol-Myers Squibb Co. 2.95% 3/15/32 | 70,000 | 60,058 | |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
| 5.125% 4/30/31(b) | 25,000 | 22,093 | |
| 6.75% 5/15/34(b) | 5,000 | 4,982 | |
| Zoetis, Inc. 2% 5/15/30 | 140,000 | 116,912 | |
| 327,733 | |||
TOTAL HEALTH CARE | 1,420,270 | ||
| INDUSTRIALS - 2.1% | |||
| Aerospace & Defense - 0.2% | |||
| Bombardier, Inc.: | |||
| 6% 2/15/28(b) | 75,000 | 73,777 | |
| 7% 6/1/32(b)(c) | 5,000 | 5,018 | |
| 7.25% 7/1/31(b) | 5,000 | 5,104 | |
| Spirit Aerosystems, Inc. 9.75% 11/15/30 (b) | 5,000 | 5,463 | |
| TransDigm, Inc.: | |||
| 4.875% 5/1/29 | 6,000 | 5,563 | |
| 5.5% 11/15/27 | 5,000 | 4,863 | |
| 6.375% 3/1/29(b) | 30,000 | 29,935 | |
| 6.625% 3/1/32(b) | 5,000 | 5,015 | |
| 134,738 | |||
| Air Freight & Logistics - 0.1% | |||
| Rand Parent LLC 8.5% 2/15/30 (b) | 35,000 | 34,219 | |
| Building Products - 0.3% | |||
| Advanced Drain Systems, Inc. 6.375% 6/15/30 (b) | 5,000 | 4,990 | |
| Builders FirstSource, Inc. 6.375% 3/1/34 (b) | 20,000 | 19,606 | |
| Carrier Global Corp.: | |||
| 2.493% 2/15/27 | 130,000 | 121,028 | |
| 5.9% 3/15/34 | 4,000 | 4,155 | |
| 6.2% 3/15/54 | 4,000 | 4,290 | |
| Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b) | 8,000 | 6,507 | |
| Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | 10,000 | 9,537 | |
| 170,113 | |||
| Commercial Services & Supplies - 0.4% | |||
| APX Group, Inc.: | |||
| 5.75% 7/15/29(b) | 32,000 | 30,377 | |
| 6.75% 2/15/27(b) | 2,000 | 1,993 | |
| Artera Services LLC 8.5% 2/15/31 (b) | 80,000 | 81,742 | |
| Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | 27,000 | 28,986 | |
| Covanta Holding Corp. 4.875% 12/1/29 (b) | 75,000 | 68,353 | |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | 5,000 | 4,775 | |
| Stericycle, Inc. 3.875% 1/15/29 (b) | 63,000 | 57,202 | |
| 273,428 | |||
| Construction & Engineering - 0.1% | |||
| AECOM 5.125% 3/15/27 | 32,000 | 31,156 | |
| ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b) | 7,000 | 6,562 | |
| Railworks Holdings LP 8.25% 11/15/28 (b) | 10,000 | 10,100 | |
| 47,818 | |||
| Electrical Equipment - 0.0% | |||
| Atkore, Inc. 4.25% 6/1/31 (b) | 8,000 | 7,070 | |
| GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b) | 5,000 | 3,774 | |
| Sensata Technologies BV: | |||
| 4% 4/15/29(b) | 8,000 | 7,267 | |
| 5% 10/1/25(b) | 10,000 | 10,073 | |
| 28,184 | |||
| Ground Transportation - 0.2% | |||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | |||
| 5.375% 3/1/29(b) | 5,000 | 4,562 | |
| 5.75% 7/15/27(b) | 30,000 | 28,799 | |
| Uber Technologies, Inc.: | |||
| 4.5% 8/15/29(b) | 80,000 | 75,418 | |
| 8% 11/1/26(b) | 2,000 | 2,024 | |
| 110,803 | |||
| Industrial Conglomerates - 0.4% | |||
| Honeywell International, Inc. 1.75% 9/1/31 | 140,000 | 112,977 | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 5.25% 10/1/25 (b) | 2,000 | 1,961 | |
| Trane Technologies Financing Ltd.: | |||
| 3.8% 3/21/29 | 130,000 | 123,138 | |
| 5.25% 3/3/33 | 50,000 | 50,099 | |
| 288,175 | |||
| Machinery - 0.2% | |||
| Chart Industries, Inc. 9.5% 1/1/31 (b) | 5,000 | 5,399 | |
| Otis Worldwide Corp. 2.565% 2/15/30 | 140,000 | 121,909 | |
| TK Elevator Holdco GmbH 7.625% 7/15/28 (b) | 7,000 | 6,922 | |
| 134,230 | |||
| Marine Transportation - 0.0% | |||
| Seaspan Corp. 5.5% 8/1/29 (b) | 8,000 | 7,129 | |
| Passenger Airlines - 0.0% | |||
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (b) | 5,000 | 4,611 | |
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b) | 5,000 | 3,755 | |
| 8,366 | |||
| Trading Companies & Distributors - 0.0% | |||
| Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | 5,000 | 5,004 | |
| FLY Leasing Ltd. 7% 10/15/24 (b) | 1,000 | 995 | |
| Foundation Building Materials, Inc. 6% 3/1/29 (b) | 20,000 | 17,727 | |
| United Rentals North America, Inc. 6.125% 3/15/34 (b) | 10,000 | 9,811 | |
| 33,537 | |||
| Transportation Infrastructure - 0.2% | |||
| Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 100,000 | 113,314 |
TOTAL INDUSTRIALS | 1,384,054 | ||
| INFORMATION TECHNOLOGY - 1.3% | |||
| Communications Equipment - 0.1% | |||
| HTA Group Ltd.: | |||
| 7% 12/18/25(b) | 12,000 | 11,987 | |
| 7.5% 6/4/29(b)(c) | 45,000 | 44,701 | |
| IHS Netherlands Holdco BV 8% 9/18/27 (b) | 15,000 | 14,546 | |
| 71,234 | |||
| Electronic Equipment, Instruments & Components - 0.2% | |||
| Dell International LLC/EMC Corp. 6.2% 7/15/30 | 110,000 | 115,071 | |
| Insight Enterprises, Inc. 6.625% 5/15/32 (b) | 5,000 | 5,033 | |
| TTM Technologies, Inc. 4% 3/1/29 (b) | 8,000 | 7,247 | |
| 127,351 | |||
| IT Services - 0.1% | |||
| Ahead DB Holdings LLC 6.625% 5/1/28 (b) | 5,000 | 4,638 | |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 33,000 | 29,483 | |
| Virtusa Corp. 7.125% 12/15/28 (b) | 32,000 | 29,103 | |
| 63,224 | |||
| Semiconductors & Semiconductor Equipment - 0.5% | |||
| Entegris, Inc.: | |||
| 3.625% 5/1/29(b) | 77,000 | 68,415 | |
| 5.95% 6/15/30(b) | 54,000 | 53,154 | |
| Micron Technology, Inc. 2.703% 4/15/32 | 140,000 | 115,488 | |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.5% 5/11/31 | 140,000 | 116,312 | |
| ON Semiconductor Corp. 3.875% 9/1/28 (b) | 2,000 | 1,826 | |
| 355,195 | |||
| Software - 0.3% | |||
| Cloud Software Group, Inc.: | |||
| 6.5% 3/31/29(b) | 12,000 | 11,381 | |
| 8.25% 6/30/32(b) | 30,000 | 30,299 | |
| 9% 9/30/29(b) | 25,000 | 24,191 | |
| Elastic NV 4.125% 7/15/29 (b) | 34,000 | 30,400 | |
| Gen Digital, Inc.: | |||
| 5% 4/15/25(b) | 19,000 | 18,833 | |
| 7.125% 9/30/30(b) | 21,000 | 21,322 | |
| NCR Voyix Corp. 5.125% 4/15/29 (b) | 6,000 | 5,571 | |
| Open Text Corp.: | |||
| 3.875% 2/15/28(b) | 7,000 | 6,434 | |
| 3.875% 12/1/29(b) | 28,000 | 24,655 | |
| Open Text Holdings, Inc.: | |||
| 4.125% 2/15/30(b) | 5,000 | 4,445 | |
| 4.125% 12/1/31(b) | 6,000 | 5,163 | |
| Rackspace Finance LLC 3.5% 5/15/28 (b) | 3,340 | 1,319 | |
| UKG, Inc. 6.875% 2/1/31 (b) | 5,000 | 5,032 | |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | 2,000 | 1,827 | |
| 190,872 | |||
| Technology Hardware, Storage & Peripherals - 0.1% | |||
| Seagate HDD Cayman: | |||
| 4.125% 1/15/31 | 26,000 | 22,820 | |
| 4.75% 1/1/25 | 10,000 | 9,914 | |
| 5.75% 12/1/34 | 4,000 | 3,783 | |
| 8.25% 12/15/29(b) | 5,000 | 5,349 | |
| Western Digital Corp.: | |||
| 2.85% 2/1/29 | 4,000 | 3,449 | |
| 3.1% 2/1/32 | 3,000 | 2,433 | |
| 47,748 | |||
TOTAL INFORMATION TECHNOLOGY | 855,624 | ||
| MATERIALS - 1.4% | |||
| Chemicals - 0.7% | |||
| Axalta Coating Systems LLC 3.375% 2/15/29 (b) | 6,000 | 5,350 | |
| Consolidated Energy Finance SA 12% 2/15/31 (b) | 5,000 | 5,224 | |
| International Flavors & Fragrances, Inc. 2.3% 11/1/30 (b) | 150,000 | 124,217 | |
| Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(d) | 10,762 | 8,906 | |
| Linde Finance BV 0.55% 5/19/32 (Reg. S) | EUR | 100,000 | 86,300 |
| Methanex Corp.: | |||
| 5.125% 10/15/27 | 27,000 | 26,073 | |
| 5.65% 12/1/44 | 82,000 | 71,466 | |
| NOVA Chemicals Corp.: | |||
| 4.25% 5/15/29(b) | 4,000 | 3,509 | |
| 5.25% 6/1/27(b) | 10,000 | 9,579 | |
| 8.5% 11/15/28(b) | 5,000 | 5,303 | |
| 9% 2/15/30(b) | 5,000 | 5,289 | |
| Olin Corp. 5% 2/1/30 | 17,000 | 15,972 | |
| Olympus Water U.S. Holding Corp.: | |||
| 6.25% 10/1/29(b) | 38,000 | 35,225 | |
| 9.75% 11/15/28(b) | 4,000 | 4,253 | |
| SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b) | 2,000 | 1,884 | |
| The Chemours Co. LLC 4.625% 11/15/29 (b) | 51,000 | 43,493 | |
| 452,043 | |||
| Construction Materials - 0.0% | |||
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | 17,000 | 16,999 | |
| VM Consolidated, Inc. 5.5% 4/15/29 (b) | 5,000 | 4,771 | |
| 21,770 | |||
| Containers & Packaging - 0.3% | |||
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
| 4% 9/1/29(b) | 25,000 | 20,639 | |
| 6% 6/15/27(b) | 17,000 | 16,622 | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
| 4.125% 8/15/26(b) | 3,000 | 2,551 | |
| 5.25% 4/30/25(b) | 16,000 | 15,752 | |
| 5.25% 8/15/27(b) | 1,000 | 588 | |
| Ball Corp. 6% 6/15/29 | 5,000 | 5,003 | |
| Berry Global, Inc. 5.625% 7/15/27 (b) | 35,000 | 34,538 | |
| Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b) | 10,000 | 9,840 | |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 10,000 | 9,816 | |
| Graphic Packaging International, Inc.: | |||
| 4.75% 7/15/27(b) | 6,000 | 5,812 | |
| 6.375% 7/15/32(b) | 40,000 | 40,079 | |
| OI European Group BV 4.75% 2/15/30 (b) | 6,000 | 5,499 | |
| Owens-Brockway Glass Container, Inc. 7.375% 6/1/32 (b) | 20,000 | 19,993 | |
| Sealed Air Corp./Sealed Air Corp. U.S. 7.25% 2/15/31 (b) | 5,000 | 5,135 | |
| 191,867 | |||
| Metals & Mining - 0.4% | |||
| ATI, Inc.: | |||
| 4.875% 10/1/29 | 32,000 | 29,904 | |
| 7.25% 8/15/30 | 5,000 | 5,119 | |
| Eldorado Gold Corp. 6.25% 9/1/29 (b) | 27,000 | 25,616 | |
| ERO Copper Corp. 6.5% 2/15/30 (b) | 46,000 | 44,270 | |
| First Quantum Minerals Ltd. 6.875% 10/15/27 (b) | 40,000 | 39,159 | |
| FMG Resources August 2006 Pty Ltd. 6.125% 4/15/32 (b) | 54,000 | 52,794 | |
| HudBay Minerals, Inc. 6.125% 4/1/29 (b) | 5,000 | 4,931 | |
| IAMGOLD Corp. 5.75% 10/15/28 (b) | 18,000 | 16,880 | |
| Mineral Resources Ltd. 8.5% 5/1/30 (b) | 64,000 | 66,265 | |
| 284,938 | |||
| Paper & Forest Products - 0.0% | |||
| LABL, Inc.: | |||
| 6.75% 7/15/26(b) | 1,000 | 988 | |
| 10.5% 7/15/27(b) | 3,000 | 2,920 | |
| Mercer International, Inc. 5.125% 2/1/29 | 11,000 | 9,632 | |
| 13,540 | |||
TOTAL MATERIALS | 964,158 | ||
| REAL ESTATE - 2.3% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
| Alexandria Real Estate Equities, Inc. 2% 5/18/32 | 220,000 | 171,488 | |
| Boston Properties, Inc.: | |||
| 2.45% 10/1/33 | 220,000 | 162,638 | |
| 6.75% 12/1/27 | 17,000 | 17,478 | |
| Brixmor Operating Partnership LP 5.75% 2/15/35 | 180,000 | 178,346 | |
| Corporate Office Properties LP 2% 1/15/29 | 150,000 | 126,879 | |
| Hudson Pacific Properties LP 5.95% 2/15/28 | 108,000 | 92,695 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 4.625% 8/1/29 | 10,000 | 7,280 | |
| 5% 10/15/27 | 63,000 | 51,635 | |
| 5.25% 8/1/26 | 5,000 | 4,539 | |
| Omega Healthcare Investors, Inc. 3.25% 4/15/33 | 4,000 | 3,205 | |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | 5,000 | 5,033 | |
| Prologis LP 2.875% 11/15/29 | 200,000 | 178,788 | |
| SBA Communications Corp. 3.125% 2/1/29 | 2,000 | 1,760 | |
| Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b) | 49,000 | 33,157 | |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | |||
| 10.5% 2/15/28(b) | 15,000 | 15,002 | |
| 10.5% 2/15/28(b) | 19,000 | 19,003 | |
| VICI Properties LP: | |||
| 5.75% 4/1/34 | 2,000 | 1,967 | |
| 6.125% 4/1/54 | 5,000 | 4,790 | |
| WP Carey, Inc. 2.45% 2/1/32 | 220,000 | 176,651 | |
| 1,252,334 | |||
| Real Estate Management & Development - 0.4% | |||
| Anywhere Real Estate Group LLC 7% 4/15/30 (b) | 3,200 | 2,778 | |
| CBRE Group, Inc. 2.5% 4/1/31 | 140,000 | 115,388 | |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | 44,000 | 37,531 | |
| Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b) | 17,000 | 11,666 | |
| Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) | 2,000 | 1,305 | |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | 36,000 | 34,156 | |
| Vonovia SE 0.625% 3/24/31 (Reg. S) | EUR | 100,000 | 85,415 |
| 288,239 | |||
TOTAL REAL ESTATE | 1,540,573 | ||
| UTILITIES - 4.6% | |||
| Electric Utilities - 1.4% | |||
| DPL, Inc.: | |||
| 4.125% 7/1/25 | 2,000 | 1,956 | |
| 4.35% 4/15/29 | 8,000 | 7,393 | |
| Duke Energy Carolinas LLC 3.95% 11/15/28 | 170,000 | 162,394 | |
| EnBW International Finance BV 3.85% 5/23/30 (Reg. S) | EUR | 100,000 | 109,144 |
| ENEL Finance International NV 0.875% 1/17/31 (Reg. S) | EUR | 100,000 | 90,369 |
| NextEra Energy Partners LP: | |||
| 4.5% 9/15/27(b) | 2,000 | 1,882 | |
| 7.25% 1/15/29(b) | 5,000 | 5,118 | |
| Northern States Power Co. 2.25% 4/1/31 | 265,000 | 221,151 | |
| Oncor Electric Delivery Co. LLC 4.15% 6/1/32 | 130,000 | 120,686 | |
| PG&E Corp.: | |||
| 5% 7/1/28 | 19,000 | 18,214 | |
| 5.25% 7/1/30 | 5,000 | 4,763 | |
| SSE PLC 1.75% 4/16/30 (Reg. S) | EUR | 100,000 | 96,990 |
| Wisconsin Electric Power Co. 4.75% 9/30/32 | 125,000 | 121,734 | |
| 961,794 | |||
| Independent Power and Renewable Electricity Producers - 1.0% | |||
| RWE AG 3.625% 1/10/32 (Reg. S) | EUR | 100,000 | 106,630 |
| Sunnova Energy Corp. 5.875% 9/1/26 (b) | 40,000 | 28,388 | |
| TerraForm Power Operating LLC 4.75% 1/15/30 (b) | 8,000 | 7,268 | |
| The AES Corp.: | |||
| 1.375% 1/15/26 | 140,000 | 130,732 | |
| 2.45% 1/15/31 | 527,000 | 432,741 | |
| 705,759 | |||
| Multi-Utilities - 2.2% | |||
| Consolidated Edison Co. of New York, Inc.: | |||
| 3.35% 4/1/30 | 190,000 | 173,108 | |
| 5.375% 5/15/34 | 200,000 | 199,550 | |
| Dominion Energy, Inc. 2.25% 8/15/31 | 409,000 | 330,813 | |
| E.ON SE 0.625% 11/7/31 (Reg. S) | EUR | 100,000 | 87,596 |
| NiSource, Inc.: | |||
| 1.7% 2/15/31 | 370,000 | 293,651 | |
| 5.35% 4/1/34 | 150,000 | 146,686 | |
| Puget Energy, Inc. 4.224% 3/15/32 | 255,000 | 226,701 | |
| 1,458,105 | |||
TOTAL UTILITIES | 3,125,658 | ||
| TOTAL NONCONVERTIBLE BONDS | 19,503,917 | ||
| TOTAL CORPORATE BONDS (Cost $20,293,007) | 19,589,390 | ||
| U.S. Treasury Obligations - 43.5% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Treasury Bills, yield at date of purchase 4.85% 1/23/25 | 3,500,000 | 3,388,013 | |
| U.S. Treasury Bonds: | |||
| 2.25% 5/15/41 (g) | 133,000 | 95,074 | |
| 2.25% 2/15/52 | 2,410,000 | 1,509,168 | |
| 3.25% 5/15/42 | 100,000 | 82,254 | |
| 3.375% 8/15/42 | 600,000 | 501,258 | |
| 3.625% 2/15/53 | 182,000 | 152,432 | |
| 3.625% 5/15/53 | 110,000 | 92,142 | |
| 4% 11/15/42 | 225,000 | 205,093 | |
| 4.125% 8/15/53 | 570,000 | 522,797 | |
| 4.25% 2/15/54 | 3,810,000 | 3,573,647 | |
| 4.5% 2/15/44 | 85,000 | 82,490 | |
| 4.625% 5/15/54 | 560,000 | 559,300 | |
| U.S. Treasury Notes: | |||
| 3.75% 12/31/28 | 600,000 | 580,734 | |
| 3.75% 12/31/30 | 35,000 | 33,504 | |
| 3.875% 12/31/27 | 700,000 | 683,257 | |
| 3.875% 8/15/33 | 450,000 | 428,836 | |
| 4% 1/31/29 | 1,350,000 | 1,320,416 | |
| 4% 1/31/31 | 2,109,000 | 2,048,037 | |
| 4% 2/15/34 | 1,494,000 | 1,436,341 | |
| 4.125% 3/31/31 | 1,975,000 | 1,931,797 | |
| 4.25% 2/28/31 | 2,330,000 | 2,296,415 | |
| 4.375% 11/30/28 | 800,000 | 794,906 | |
| 4.375% 5/15/34 | 130,000 | 128,842 | |
| 4.5% 11/15/33 | 1,955,000 | 1,955,305 | |
| 4.625% 9/30/28 | 1,100,000 | 1,102,965 | |
| 4.625% 4/30/29 | 15,000 | 15,073 | |
| 4.625% 4/30/31 | 2,180,000 | 2,196,009 | |
| 4.875% 10/31/28 | 1,600,000 | 1,620,625 | |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $30,467,353) | 29,336,730 | ||
| U.S. Government Agency - Mortgage Securities - 33.6% | |||
Principal Amount (a) | Value ($) | ||
| Fannie Mae - 4.4% | |||
| 2% 6/1/35 to 5/1/42 | 1,458,730 | 1,261,988 | |
| 2.5% 7/1/51 to 5/1/52 | 494,041 | 400,405 | |
| 3% 2/1/52 to 5/1/52 | 90,515 | 76,518 | |
| 3.5% 12/1/46 to 1/1/50 | 249,629 | 226,861 | |
| 4% 1/1/51 to 4/1/52 | 67,795 | 62,275 | |
| 4.5% 10/1/52 | 99,708 | 93,406 | |
| 5% 12/1/52 | 46,029 | 44,355 | |
| 5.5% 4/1/54 | 96,576 | 95,055 | |
| 6% 11/1/53 to 5/1/54 | 307,057 | 308,176 | |
| 6.5% 10/1/53 | 372,912 | 379,133 | |
TOTAL FANNIE MAE | 2,948,172 | ||
| Freddie Mac - 1.7% | |||
| 1.5% 4/1/41 to 4/1/51 | 247,926 | 191,451 | |
| 2% 4/1/42 | 267,335 | 222,469 | |
| 2.5% 7/1/36 to 12/1/51 | 363,246 | 306,373 | |
| 3% 5/1/35 to 5/1/51 | 128,756 | 115,683 | |
| 3.5% 7/1/42 to 11/1/42 | 44,240 | 40,244 | |
| 4% 10/1/52 | 42,827 | 39,399 | |
| 4.5% 11/1/52 | 92,572 | 86,720 | |
| 5% 12/1/52 | 45,048 | 43,761 | |
| 5.5% 3/1/54 | 98,817 | 97,261 | |
TOTAL FREDDIE MAC | 1,143,361 | ||
| Ginnie Mae - 6.2% | |||
| 2% 10/20/50 to 2/20/51 | 314,209 | 251,834 | |
| 2% 6/1/54 (c) | 150,000 | 120,102 | |
| 2% 6/1/54 (c) | 100,000 | 80,068 | |
| 2% 6/1/54 (c) | 100,000 | 80,068 | |
| 2% 6/1/54 (c) | 250,000 | 200,170 | |
| 2% 6/1/54 (c) | 150,000 | 120,102 | |
| 2% 6/1/54 (c) | 300,000 | 240,204 | |
| 2% 6/1/54 (c) | 50,000 | 40,034 | |
| 2% 7/1/54 (c) | 300,000 | 240,426 | |
| 2.5% 6/1/54 (c) | 350,000 | 291,525 | |
| 2.5% 6/1/54 (c) | 350,000 | 291,525 | |
| 2.5% 7/1/54 (c) | 300,000 | 250,066 | |
| 3% 6/1/54 (c) | 250,000 | 215,938 | |
| 3% 6/1/54 (c) | 150,000 | 129,563 | |
| 3% 6/1/54 (c) | 100,000 | 86,375 | |
| 3% 6/1/54 (c) | 50,000 | 43,188 | |
| 3.5% 6/1/54 (c) | 175,000 | 156,099 | |
| 3.5% 6/1/54 (c) | 75,000 | 66,900 | |
| 3.5% 6/1/54 (c) | 25,000 | 22,300 | |
| 3.5% 6/1/54 (c) | 50,000 | 44,600 | |
| 3.5% 6/1/54 (c) | 25,000 | 22,300 | |
| 3.5% 7/1/54 (c) | 150,000 | 133,870 | |
| 3.5% 7/1/54 (c) | 200,000 | 178,493 | |
| 4% 10/20/52 | 98,262 | 90,224 | |
| 4% 6/1/54 (c) | 150,000 | 137,749 | |
| 4.5% 4/20/53 | 97,886 | 92,497 | |
| 5% 6/1/54 (c) | 175,000 | 169,743 | |
| 5% 6/1/54 (c) | 75,000 | 72,747 | |
| 5.5% 6/1/54 (c) | 50,000 | 49,586 | |
| 5.5% 7/1/54 (c) | 50,000 | 49,534 | |
| 6.5% 6/1/54 (c) | 100,000 | 101,472 | |
| 6.5% 7/1/54 (c) | 100,000 | 101,319 | |
TOTAL GINNIE MAE | 4,170,621 | ||
| Uniform Mortgage Backed Securities - 21.3% | |||
| 2% 6/1/54 (c) | 1,300,000 | 1,002,117 | |
| 2% 6/1/54 (c) | 200,000 | 154,172 | |
| 2% 6/1/54 (c) | 200,000 | 154,172 | |
| 2% 6/1/54 (c) | 400,000 | 308,344 | |
| 2% 6/1/54 (c) | 200,000 | 154,172 | |
| 2% 6/1/54 (c) | 100,000 | 77,086 | |
| 2% 6/1/54 (c) | 250,000 | 192,715 | |
| 2% 6/1/54 (c) | 150,000 | 115,629 | |
| 2% 6/1/54 (c) | 200,000 | 154,172 | |
| 2% 6/1/54 (c) | 100,000 | 77,086 | |
| 2% 6/1/54 (c) | 150,000 | 115,629 | |
| 2% 6/1/54 (c) | 200,000 | 154,172 | |
| 2% 6/1/54 (c) | 150,000 | 115,629 | |
| 2% 6/1/54 (c) | 175,000 | 134,900 | |
| 2% 6/1/54 (c) | 400,000 | 308,344 | |
| 2% 6/1/54 (c) | 175,000 | 134,900 | |
| 2% 7/1/54 (c) | 300,000 | 231,504 | |
| 2% 7/1/54 (c) | 1,700,000 | 1,311,855 | |
| 2% 7/1/54 (c) | 500,000 | 385,840 | |
| 2% 7/1/54 (c) | 400,000 | 308,672 | |
| 2.5% 6/1/54 (c) | 550,000 | 443,803 | |
| 2.5% 6/1/54 (c) | 150,000 | 121,037 | |
| 2.5% 6/1/54 (c) | 350,000 | 282,420 | |
| 2.5% 6/1/54 (c) | 150,000 | 121,037 | |
| 2.5% 6/1/54 (c) | 225,000 | 181,556 | |
| 2.5% 6/1/54 (c) | 225,000 | 181,556 | |
| 2.5% 6/1/54 (c) | 125,000 | 100,864 | |
| 2.5% 6/1/54 (c) | 250,000 | 201,729 | |
| 2.5% 6/1/54 (c) | 175,000 | 141,210 | |
| 2.5% 7/1/54 (c) | 1,000,000 | 807,617 | |
| 2.5% 7/1/54 (c) | 250,000 | 201,904 | |
| 2.5% 7/1/54 (c) | 250,000 | 201,904 | |
| 3% 6/1/54 (c) | 700,000 | 588,383 | |
| 3% 6/1/54 (c) | 50,000 | 42,027 | |
| 3% 6/1/54 (c) | 300,000 | 252,164 | |
| 3% 6/1/54 (c) | 300,000 | 252,164 | |
| 3% 7/1/54 (c) | 200,000 | 168,211 | |
| 3% 7/1/54 (c) | 650,000 | 546,686 | |
| 3% 7/1/54 (c) | 350,000 | 294,369 | |
| 3.5% 6/1/54 (c) | 575,000 | 503,866 | |
| 3.5% 6/1/54 (c) | 575,000 | 503,866 | |
| 3.5% 7/1/54 (c) | 450,000 | 394,014 | |
| 3.5% 7/1/54 (c) | 125,000 | 109,448 | |
| 4% 6/1/54 (c) | 250,000 | 226,748 | |
| 4% 6/1/54 (c) | 150,000 | 136,049 | |
| 4% 6/1/54 (c) | 125,000 | 113,374 | |
| 4% 7/1/54 (c) | 300,000 | 272,191 | |
| 4.5% 6/1/54 (c) | 100,000 | 93,613 | |
| 4.5% 6/1/54 (c) | 25,000 | 23,403 | |
| 5% 6/1/54 (c) | 100,000 | 96,203 | |
| 5% 6/1/54 (c) | 100,000 | 96,203 | |
| 5.5% 6/1/54 (c) | 300,000 | 295,090 | |
| 5.5% 6/1/54 (c) | 300,000 | 295,090 | |
| 6% 6/1/54 (c) | 75,000 | 75,097 | |
| 6% 6/1/54 (c) | 50,000 | 50,064 | |
| 6% 6/1/54 (c) | 75,000 | 75,097 | |
| 6% 6/1/54 (c) | 50,000 | 50,064 | |
| 6% 6/1/54 (c) | 25,000 | 25,032 | |
| 6% 6/1/54 (c) | 100,000 | 100,129 | |
| 6% 7/1/54 (c) | 50,000 | 50,045 | |
| 6% 7/1/54 (c) | 50,000 | 50,045 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 14,356,482 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $22,736,194) | 22,618,636 | ||
| Asset-Backed Securities - 5.8% | |||
Principal Amount (a) | Value ($) | ||
| Aimco Series 2024-BA Class ARR, CME Term SOFR 3 Month Index + 1.500% 6.8277% 4/16/37 (b)(d)(e) | 250,000 | 251,250 | |
| Aimco Clo 21 Ltd. / Aimco Clo 2 Series 2024-21A Class A1, CME Term SOFR 3 Month Index + 1.500% 6.8251% 4/18/37 (b)(d)(e) | 250,000 | 250,250 | |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8246% 7/20/35 (b)(d)(e) | 250,000 | 250,549 | |
| Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6152% 4/25/34 (b)(d)(e) | 250,000 | 250,528 | |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 Month Index + 1.550% 6.837% 4/23/37 (b)(d)(e) | 550,000 | 553,383 | |
| Cedar Funding Ltd. Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(d)(e) | 260,000 | 260,367 | |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6362% 4/20/34 (b)(d)(e) | 200,000 | 200,431 | |
| Dryden CLO, Ltd. Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7362% 10/20/34 (b)(d)(e) | 310,000 | 310,695 | |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6902% 4/15/31 (b)(d)(e) | 250,000 | 250,632 | |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/51 (b) | 98,000 | 91,550 | |
| RR Ltd. / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 Month Index + 1.550% 6.8406% 4/15/37 (b)(d)(e) | 300,000 | 302,728 | |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6662% 4/20/33 (b)(d)(e) | 310,000 | 310,767 | |
| Verizon Master Trust Series 2021-2 Class A, 0.99% 4/20/28 | 107,000 | 105,078 | |
| Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 7.1702% 1/20/37 (b)(d)(e) | 250,000 | 253,000 | |
| Voya Clo Ltd. Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.520% 6.8461% 4/15/37 (b)(d)(e) | 250,000 | 250,393 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $3,860,219) | 3,891,601 | ||
| Commercial Mortgage Securities - 0.5% | |||
Principal Amount (a) | Value ($) | ||
| BXHPP Trust floater Series 2021-FILM Class A, CME Term SOFR 1 Month Index + 0.760% 6.0815% 8/15/36 (b)(d)(e) | 250,000 | 240,078 | |
| District of Columbia Commercial Mtg Trust 2023-District of Columbia sequential payer Series 2023-DC Class A, 6.3143% 9/12/40 (b) | 100,000 | 102,065 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $345,044) | 342,143 | ||
| Foreign Government and Government Agency Obligations - 0.3% | |||
Principal Amount (a) | Value ($) | ||
| Colombian Republic 8% 11/14/35 | 200,000 | 203,900 | |
| German Federal Republic 2.5% 7/4/44 | EUR | 30,000 | 30,917 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $234,814) | 234,817 | ||
| Common Stocks - 0.0% | |||
| Shares | Value ($) | ||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Automobile Components - 0.0% | |||
| Aptiv PLC (h) | 25 | 2,082 | |
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| New Fortress Energy, Inc. Class A | 114 | 2,890 | |
| HEALTH CARE - 0.0% | |||
| Health Care Providers & Services - 0.0% | |||
| Centene Corp. (h) | 58 | 4,152 | |
| INFORMATION TECHNOLOGY - 0.0% | |||
| Electronic Equipment, Instruments & Components - 0.0% | |||
| Coherent Corp. (h) | 93 | 5,307 | |
| TOTAL COMMON STOCKS (Cost $15,031) | 14,431 | ||
| Bank Loan Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
| CONSUMER DISCRETIONARY - 0.1% | |||
| Automobile Components - 0.0% | |||
| Power Stop LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1973% 1/26/29 (d)(e)(i) | 5,000 | 4,850 | |
| Diversified Consumer Services - 0.0% | |||
| Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5854% 3/4/28 (d)(e)(i) | 19,949 | 17,131 | |
| Hotels, Restaurants & Leisure - 0.0% | |||
| ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.5635% 9/18/26 (d)(e)(i) | 6,001 | 6,029 | |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5911% 12/30/26 (d)(e)(i) | 11,956 | 10,521 | |
| 16,550 | |||
| Specialty Retail - 0.1% | |||
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 5/30/31 (e)(i)(j) | 15,000 | 14,869 | |
| Staples, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 8/23/29 (e)(i)(j) | 5,000 | 4,763 | |
| 19,632 | |||
TOTAL CONSUMER DISCRETIONARY | 58,163 | ||
| HEALTH CARE - 0.0% | |||
| Health Care Providers & Services - 0.0% | |||
| Cano Health, Inc.: | |||
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4626% 11/23/27 (d)(e)(f)(i) | 5,970 | 1,484 | |
| Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 11.000% 16.3213% 10/7/24 (d)(e)(i)(k) | 949 | 945 | |
| Tranche DD, term loan CME Term SOFR 1 Month Index + 11.000% 16.3213% 10/7/24 (d)(e)(i)(k) | 619 | 616 | |
| 3,045 | |||
| INDUSTRIALS - 0.0% | |||
| Commercial Services & Supplies - 0.0% | |||
| Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8268% 8/1/30 (d)(e)(i) | 3,980 | 4,001 | |
| Professional Services - 0.0% | |||
| Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0795% 4/29/29 (d)(e)(i) | 8,977 | 7,922 | |
TOTAL INDUSTRIALS | 11,923 | ||
| INFORMATION TECHNOLOGY - 0.0% | |||
| Software - 0.0% | |||
| Ascend Learning LLC 2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1792% 12/10/29 (d)(e)(i) | 3,000 | 2,942 | |
| Rackspace Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6858% 5/15/28 (d)(e)(i) | 776 | 779 | |
| 3,721 | |||
| MATERIALS - 0.0% | |||
| Chemicals - 0.0% | |||
| American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4302% 6/4/28 (d)(e)(i) | 1,995 | 1,803 | |
| UTILITIES - 0.0% | |||
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.571% 8/27/28 (d)(e)(i) | 9,890 | 9,346 | |
| TOTAL BANK LOAN OBLIGATIONS (Cost $91,307) | 88,001 | ||
| Preferred Securities - 0.4% | |||
Principal Amount (a) | Value ($) | ||
| COMMUNICATION SERVICES - 0.2% | |||
| Diversified Telecommunication Services - 0.2% | |||
| Telefonica Europe BV 2.502% (Reg. S) (d)(l) | EUR | 100,000 | 101,859 |
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Energy Transfer LP CME Term SOFR 3 Month Index + 4.280% 9.612% (d)(e)(l) | 31,000 | 30,856 | |
| FINANCIALS - 0.1% | |||
| Banks - 0.0% | |||
| Citigroup, Inc. 7.125% (d)(l) | 5,000 | 4,986 | |
| M&T Bank Corp. 3.5% (d)(l) | 5,000 | 4,114 | |
| 9,100 | |||
| Capital Markets - 0.1% | |||
| Goldman Sachs Group, Inc. 7.5% (d)(l) | 30,000 | 30,822 | |
| Consumer Finance - 0.0% | |||
| Ally Financial, Inc. 4.7% (d)(l) | 30,000 | 26,411 | |
TOTAL FINANCIALS | 66,333 | ||
| INDUSTRIALS - 0.1% | |||
| Trading Companies & Distributors - 0.1% | |||
| AerCap Holdings NV 5.875% 10/10/79 (d) | 22,000 | 21,852 | |
| Aircastle Ltd. 5.25% (b)(d)(l) | 15,000 | 14,250 | |
| 36,102 | |||
| TOTAL PREFERRED SECURITIES (Cost $229,206) | 235,150 | ||
| Money Market Funds - 12.9% | |||
| Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (m) (Cost $8,668,808) | 8,667,075 | 8,668,809 | |
| TOTAL INVESTMENT IN SECURITIES - 126.2% (Cost $86,940,983) | 85,019,708 |
NET OTHER ASSETS (LIABILITIES) - (26.2)% | (17,654,470) |
| NET ASSETS - 100.0% | 67,365,238 |
| TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
| Ginnie Mae | ||
| 2% 6/1/54 | (300,000) | (240,204) |
| 2.5% 6/1/54 | (300,000) | (249,879) |
| 3.5% 6/1/54 | (150,000) | (133,800) |
| 3.5% 6/1/54 | (200,000) | (178,399) |
| 5.5% 6/1/54 | (50,000) | (49,586) |
| 6.5% 6/1/54 | (100,000) | (101,472) |
| TOTAL GINNIE MAE | (953,340) | |
| Uniform Mortgage Backed Securities | ||
| 2% 6/1/54 | (300,000) | (231,258) |
| 2% 6/1/54 | (1,700,000) | (1,310,460) |
| 2% 6/1/54 | (100,000) | (77,086) |
| 2% 6/1/54 | (500,000) | (385,429) |
| 2% 6/1/54 | (400,000) | (308,344) |
| 2% 6/1/54 | (400,000) | (308,344) |
| 2% 6/1/54 | (175,000) | (134,900) |
| 2.5% 6/1/54 | (1,000,000) | (806,914) |
| 2.5% 6/1/54 | (250,000) | (201,729) |
| 2.5% 6/1/54 | (250,000) | (201,729) |
| 2.5% 6/1/54 | (175,000) | (141,210) |
| 2.5% 6/1/54 | (250,000) | (201,729) |
| 3% 6/1/54 | (350,000) | (294,191) |
| 3% 6/1/54 | (200,000) | (168,109) |
| 3% 6/1/54 | (650,000) | (546,356) |
| 3.5% 6/1/54 | (575,000) | (503,866) |
| 3.5% 6/1/54 | (450,000) | (394,330) |
| 3.5% 6/1/54 | (125,000) | (109,536) |
| 4% 6/1/54 | (300,000) | (272,098) |
| 5% 6/1/54 | (100,000) | (96,203) |
| 5.5% 6/1/54 | (300,000) | (295,090) |
| 6% 6/1/54 | (50,000) | (50,064) |
| 6% 6/1/54 | (50,000) | (50,064) |
| 6% 6/1/54 | (100,000) | (100,129) |
| 6% 6/1/54 | (100,000) | (100,129) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (7,289,297) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $8,267,608) | (8,242,637) | |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | Sep 2024 | 203,703 | (189) | (189) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 6 | Sep 2024 | 634,781 | (1,932) | (1,932) |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 2 | Sep 2024 | 224,063 | (1,488) | (1,488) |
| TOTAL PURCHASED | (3,609) | ||||
| Sold | |||||
| Bond Index Contracts | |||||
| Eurex Euro-Bobl Contracts (Germany) | 5 | Sep 2024 | 626,020 | (114) | (114) |
| Eurex Euro-Bund Contracts (Germany) | 1 | Sep 2024 | 141,035 | (56) | (56) |
| TOTAL SOLD | (170) | ||||
| TOTAL FUTURES CONTRACTS | (3,779) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 1.5% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 1.1% | |||||
| Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
| EUR | 6,000 | USD | 6,539 | Citibank, N. A. | 8/22/24 | (5) |
| EUR | 5,000 | USD | 5,435 | JPMorgan Chase Bank, N.A. | 8/22/24 | 10 |
| USD | 5,450 | EUR | 5,000 | BNP Paribas S.A. | 8/22/24 | 4 |
| USD | 1,974,518 | EUR | 1,826,000 | Goldman Sachs Bank USA | 8/22/24 | (14,087) |
| USD | 456,346 | EUR | 418,000 | JPMorgan Chase Bank, N.A. | 8/22/24 | 1,123 |
| USD | 364,421 | GBP | 291,000 | Bank of America, N.A. | 8/22/24 | (6,540) |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (19,495) | |||||
| Unrealized Appreciation | 1,137 | |||||
| Unrealized Depreciation | (20,632) | |||||
Currency Abbreviations
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |
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 $9,215,608 or 13.7% of net assets. |
| (c) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (f) | Non-income producing - Security is in default. |
| (g) | 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 $32,212. |
| (h) | Non-income producing |
| (i) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (j) | The coupon rate will be determined upon settlement of the loan after period end. |
| (k) | Level 3 security |
| (l) | Security is perpetual in nature with no stated maturity date. |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | 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% | 3,711,918 | 31,074,399 | 26,117,484 | 287,099 | (24) | - | 8,668,809 | 0.0% |
| Total | 3,711,918 | 31,074,399 | 26,117,484 | 287,099 | (24) | - | 8,668,809 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
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:
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 service 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 any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
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.Corporate Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations and Preferred Securities 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 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward 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.
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):
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, 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 the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared 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. 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.
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.
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.
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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