Quarterly Holdings Report
for
Fidelity® SAI Investment Grade Securitized 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.
IVG-NPRT3-0724
1.9908925.100
U.S. Treasury Obligations - 3.2% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
4.125% 8/15/53 | 3,740,000 | 3,430,281 | |
4.25% 2/15/54 | 510,000 | 478,364 | |
4.625% 5/15/54 | 930,000 | 928,838 | |
U.S. Treasury Notes: | |||
3.5% 4/30/30 | 50,000 | 47,393 | |
4% 1/15/27 | 32,880,000 | 32,293,041 | |
4.25% 2/28/31 | 1,170,000 | 1,153,136 | |
4.5% 4/15/27 | 10,950,000 | 10,896,961 | |
4.5% 5/15/27 | 200,000 | 199,063 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $49,908,085) | 49,427,077 | ||
U.S. Government Agency - Mortgage Securities - 143.3% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 30.2% | |||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 5.945% 4/1/37 (b)(c) | 7,040 | 7,137 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (b)(c) | 1,932 | 1,959 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.94% 3/1/36 (b)(c) | 5,860 | 5,962 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (b)(c) | 1,380 | 1,413 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 6.162% 11/1/36 (b)(c) | 1,641 | 1,670 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 6.193% 5/1/36 (b)(c) | 1,046 | 1,063 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.710% 5.857% 8/1/35 (b)(c) | 15,959 | 16,313 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 6.028% 3/1/40 (b)(c) | 5,699 | 5,826 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (b)(c) | 7,611 | 7,810 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6.038% 7/1/35 (b)(c) | 1,553 | 1,580 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (b)(c) | 169,377 | 173,728 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (b)(c) | 12,609 | 12,884 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.304% 2/1/42 (b)(c) | 7,902 | 8,076 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 6.583% 3/1/35 (b)(c) | 1,529 | 1,542 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (b)(c) | 11,247 | 11,387 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.403% 10/1/33 (b)(c) | 2,475 | 2,505 | |
1.5% 11/1/35 to 7/1/51 | 25,987,161 | 20,048,497 | |
2% 2/1/28 to 3/1/52 (d) | 121,405,621 | 100,156,911 | |
2.5% 1/1/30 to 1/1/52 | 116,183,591 | 98,254,105 | |
3% 2/1/31 to 3/1/52 | 55,175,882 | 48,269,033 | |
3.5% 7/1/34 to 10/1/52 | 50,676,867 | 45,491,477 | |
4% 2/1/38 to 8/1/52 | 44,562,867 | 41,573,837 | |
4.5% 5/1/25 to 11/1/52 | 23,990,939 | 22,604,322 | |
5% 3/1/33 to 4/1/53 (e) | 21,826,762 | 21,251,206 | |
5.288% 8/1/41 (b) | 85,300 | 83,774 | |
5.5% 9/1/52 to 4/1/54 | 19,327,107 | 19,054,441 | |
6% 9/1/52 to 5/1/54 | 34,296,986 | 34,435,015 | |
6.5% 2/1/27 to 3/1/54 | 15,267,911 | 15,704,030 | |
6.712% 2/1/39 (b) | 29,834 | 30,223 | |
7% to 7% 7/1/26 to 5/1/30 | 40,541 | 41,423 | |
7.5% to 7.5% 8/1/25 to 9/1/32 | 59,964 | 63,059 | |
8% 3/1/37 | 4,836 | 5,069 | |
9% 10/1/30 | 15,255 | 16,114 | |
TOTAL FANNIE MAE | 467,343,391 | ||
Freddie Mac - 20.6% | |||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (b)(c) | 19,664 | 19,874 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (b)(c) | 57,839 | 58,821 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (b)(c) | 20,700 | 21,115 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.189% 10/1/42 (b)(c) | 9,226 | 9,384 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.711% 6/1/33 (b)(c) | 15,596 | 15,974 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (b)(c) | 53,166 | 54,121 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (b)(c) | 10,107 | 10,374 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (b)(c) | 15,257 | 15,639 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.500% 8.185% 10/1/35 (b)(c) | 893 | 917 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.356% 5/1/34 (b)(c) | 330 | 335 | |
1.5% 7/1/35 to 6/1/51 | 18,917,159 | 14,895,401 | |
2% 3/1/36 to 4/1/52 | 96,071,693 | 80,596,102 | |
2.5% 1/1/30 to 4/1/52 | 75,181,321 | 63,005,385 | |
3% 12/1/30 to 8/1/52 (f) | 44,910,113 | 38,751,378 | |
3.5% 3/1/32 to 10/1/52 (g) | 27,467,712 | 24,686,713 | |
4% 1/1/36 to 10/1/52 | 24,256,205 | 22,341,095 | |
4% 4/1/48 | 4,449 | 4,117 | |
4.5% 7/1/25 to 4/1/53 | 10,872,151 | 10,359,104 | |
5% 7/1/33 to 8/1/53 | 14,812,632 | 14,393,873 | |
5.5% 9/1/52 to 3/1/54 (f) | 35,211,017 | 34,812,251 | |
6% 11/1/28 to 4/1/54 | 10,286,674 | 10,387,913 | |
6.5% 9/1/24 to 1/1/54 (f) | 4,497,761 | 4,633,194 | |
7% 3/1/26 to 9/1/36 | 69,504 | 71,826 | |
7.5% 1/1/27 to 7/1/34 | 134,993 | 141,509 | |
TOTAL FREDDIE MAC | 319,286,415 | ||
Ginnie Mae - 34.0% | |||
3% 6/15/42 to 4/15/45 | 786,968 | 697,134 | |
3.5% 9/20/40 to 7/20/46 | 2,392,479 | 2,177,504 | |
4% 7/20/33 to 10/20/52 | 25,679,058 | 23,711,756 | |
4.5% 4/20/35 to 3/20/46 | 2,360,298 | 2,284,671 | |
5% 5/15/39 to 4/20/48 | 670,622 | 665,470 | |
5.5% 12/15/38 to 9/15/39 | 59,088 | 60,176 | |
6.5% 10/15/34 to 7/15/36 | 22,869 | 23,507 | |
7% to 7% 1/15/26 to 4/20/32 | 58,167 | 59,791 | |
7.5% to 7.5% 12/15/26 to 11/15/29 | 10,887 | 11,108 | |
8% 12/15/24 to 10/15/25 | 1,514 | 1,519 | |
8.5% 11/15/27 to 10/15/28 | 2,805 | 2,861 | |
2% 10/20/50 to 3/20/52 | 35,356,551 | 28,331,629 | |
2% 6/1/54 (h) | 14,050,000 | 11,249,533 | |
2% 6/1/54 (h) | 9,800,000 | 7,846,649 | |
2% 6/1/54 (h) | 7,100,000 | 5,684,817 | |
2% 6/1/54 (h) | 28,000,000 | 22,418,998 | |
2% 6/1/54 (h) | 750,000 | 600,509 | |
2% 6/1/54 (h) | 14,050,000 | 11,249,533 | |
2% 6/1/54 (h) | 28,200,000 | 22,579,134 | |
2% 6/1/54 (h) | 5,925,000 | 4,744,020 | |
2% 7/1/54 (h) | 28,400,000 | 22,760,348 | |
2.5% 8/20/51 to 1/20/52 | 27,038,549 | 22,229,151 | |
2.5% 6/1/54 (h) | 50,000 | 41,646 | |
2.5% 6/1/54 (h) | 25,450,000 | 21,198,038 | |
2.5% 6/1/54 (h) | 25,475,000 | 21,218,861 | |
2.5% 7/1/54 (h) | 25,500,000 | 21,255,622 | |
3% 6/1/54 (h) | 27,800,000 | 24,012,317 | |
3% 6/1/54 (h) | 20,850,000 | 18,009,238 | |
3% 6/1/54 (h) | 9,700,000 | 8,378,398 | |
3% 6/1/54 (h) | 9,200,000 | 7,946,522 | |
3.5% 6/1/54 (h) | 16,625,000 | 14,829,445 | |
3.5% 6/1/54 (h) | 8,300,000 | 7,403,573 | |
3.5% 6/1/54 (h) | 3,325,000 | 2,965,889 | |
3.5% 6/1/54 (h) | 4,025,000 | 3,590,287 | |
3.5% 6/1/54 (h) | 3,325,000 | 2,965,889 | |
3.5% 7/1/54 (h) | 16,650,000 | 14,859,551 | |
3.5% 7/1/54 (h) | 18,950,000 | 16,912,221 | |
4.5% 6/1/54 (h) | 21,100,000 | 19,933,862 | |
4.5% 7/1/54 (h) | 21,100,000 | 19,923,016 | |
5% 6/1/54 (h) | 17,050,000 | 16,537,840 | |
5% 6/1/54 (h) | 8,350,000 | 8,099,177 | |
5.5% 6/1/54 (h) | 150,000 | 148,759 | |
5.5% 6/1/54 (h) | 250,000 | 247,932 | |
5.5% 7/1/54 (h) | 200,000 | 198,135 | |
5.5% 7/1/54 (h) | 200,000 | 198,135 | |
6% 6/1/54 (h) | 6,700,000 | 6,744,071 | |
6% 6/1/54 (h) | 5,375,000 | 5,410,356 | |
6% 6/1/54 (h) | 8,100,000 | 8,153,280 | |
6% 6/1/54 (h) | 4,800,000 | 4,831,573 | |
6% 6/1/54 (h) | 8,300,000 | 8,354,596 | |
6% 6/1/54 (h) | 8,275,000 | 8,329,431 | |
6% 6/1/54 (h) | 9,525,000 | 9,587,654 | |
6% 7/1/54 (h) | 12,900,000 | 12,961,674 | |
6% 7/1/54 (h) | 925,000 | 929,422 | |
6% 7/1/54 (h) | 8,300,000 | 8,339,681 | |
6% 7/1/54 (h) | 6,700,000 | 6,732,032 | |
6% 7/1/54 (h) | 5,375,000 | 5,400,697 | |
TOTAL GINNIE MAE | 526,038,638 | ||
Uniform Mortgage Backed Securities - 58.5% | |||
2% 6/1/54 (h) | 105,150,000 | 81,055,813 | |
2% 6/1/54 (h) | 16,900,000 | 13,027,515 | |
2% 6/1/54 (h) | 13,725,000 | 10,580,038 | |
2% 6/1/54 (h) | 27,650,000 | 21,314,249 | |
2% 6/1/54 (h) | 12,150,000 | 9,365,936 | |
2% 6/1/54 (h) | 7,025,000 | 5,415,284 | |
2% 6/1/54 (h) | 19,050,000 | 14,684,862 | |
2% 6/1/54 (h) | 7,250,000 | 5,588,727 | |
2% 6/1/54 (h) | 11,000,000 | 8,479,448 | |
2% 6/1/54 (h) | 8,550,000 | 6,590,844 | |
2% 6/1/54 (h) | 12,100,000 | 9,327,393 | |
2% 6/1/54 (h) | 12,700,000 | 9,789,908 | |
2% 6/1/54 (h) | 2,150,000 | 1,657,347 | |
2% 6/1/54 (h) | 5,900,000 | 4,548,068 | |
2% 6/1/54 (h) | 3,100,000 | 2,389,663 | |
2% 6/1/54 (h) | 35,500,000 | 27,365,491 | |
2% 6/1/54 (h) | 11,750,000 | 9,057,592 | |
2% 7/1/54 (h) | 20,100,000 | 15,510,752 | |
2% 7/1/54 (h) | 116,900,000 | 90,209,298 | |
2% 7/1/54 (h) | 35,500,000 | 27,394,612 | |
2% 7/1/54 (h) | 27,100,000 | 20,912,506 | |
2.5% 6/1/54 (h) | 5,400,000 | 4,357,337 | |
2.5% 6/1/54 (h) | 13,175,000 | 10,631,095 | |
2.5% 6/1/54 (h) | 3,725,000 | 3,005,755 | |
2.5% 6/1/54 (h) | 10,100,000 | 8,149,833 | |
2.5% 6/1/54 (h) | 40,175,000 | 32,417,778 | |
2.5% 6/1/54 (h) | 11,000,000 | 8,876,056 | |
2.5% 6/1/54 (h) | 21,750,000 | 17,550,384 | |
2.5% 6/1/54 (h) | 10,950,000 | 8,835,710 | |
2.5% 6/1/54 (h) | 16,600,000 | 13,394,776 | |
2.5% 6/1/54 (h) | 300,000 | 242,074 | |
2.5% 6/1/54 (h) | 1,400,000 | 1,129,680 | |
2.5% 7/1/54 (h) | 13,150,000 | 10,620,169 | |
2.5% 7/1/54 (h) | 54,900,000 | 44,338,195 | |
2.5% 7/1/54 (h) | 13,175,000 | 10,640,359 | |
3% 6/1/54 (h) | 20,200,000 | 16,979,051 | |
3% 6/1/54 (h) | 6,650,000 | 5,589,638 | |
3% 6/1/54 (h) | 900,000 | 756,492 | |
3% 6/1/54 (h) | 500,000 | 420,274 | |
3% 6/1/54 (h) | 450,000 | 378,246 | |
3% 6/1/54 (h) | 2,600,000 | 2,185,422 | |
3% 7/1/54 (h) | 3,600,000 | 3,027,798 | |
3% 7/1/54 (h) | 2,100,000 | 1,766,215 | |
3% 7/1/54 (h) | 12,000,000 | 10,092,659 | |
3.5% 6/1/54 (h) | 46,675,000 | 40,900,808 | |
3.5% 6/1/54 (h) | 46,675,000 | 40,900,808 | |
3.5% 7/1/54 (h) | 4,325,000 | 3,786,910 | |
3.5% 7/1/54 (h) | 2,000,000 | 1,751,172 | |
3.5% 7/1/54 (h) | 17,350,000 | 15,191,421 | |
4% 6/1/54 (h) | 4,000,000 | 3,627,967 | |
4% 6/1/54 (h) | 7,850,000 | 7,119,886 | |
4% 6/1/54 (h) | 4,100,000 | 3,718,666 | |
4% 6/1/54 (h) | 3,750,000 | 3,401,219 | |
4% 7/1/54 (h) | 4,650,000 | 4,218,965 | |
4.5% 6/1/54 (h) | 700,000 | 655,293 | |
4.5% 6/1/54 (h) | 4,800,000 | 4,493,440 | |
4.5% 6/1/54 (h) | 25,000,000 | 23,403,335 | |
4.5% 6/1/54 (h) | 9,800,000 | 9,174,107 | |
5.5% 6/1/54 (h) | 4,350,000 | 4,278,801 | |
6% 6/1/54 (h) | 8,100,000 | 8,110,438 | |
6% 6/1/54 (h) | 17,175,000 | 17,197,132 | |
6% 6/1/54 (h) | 17,200,000 | 17,222,164 | |
6% 6/1/54 (h) | 20,650,000 | 20,676,610 | |
6% 6/1/54 (h) | 13,775,000 | 13,792,750 | |
6% 6/1/54 (h) | 6,850,000 | 6,858,827 | |
6% 7/1/54 (h) | 31,150,000 | 31,177,973 | |
6% 7/1/54 (h) | 10,900,000 | 10,909,788 | |
6.5% 6/1/54 (h) | 4,100,000 | 4,167,425 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 906,386,247 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,240,584,980) | 2,219,054,691 | ||
Asset-Backed Securities - 4.6% | |||
Principal Amount (a) | Value ($) | ||
Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (i) | 578,000 | 578,630 | |
Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28 | 766,000 | 761,577 | |
Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (i) | 277,000 | 275,981 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2019-A3 Class A3, 2.06% 8/15/28 | 2,500,000 | 2,334,106 | |
Series 2023-A1 Class A, 4.42% 5/15/28 | 7,730,000 | 7,609,111 | |
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | 1,494,315 | 1,493,235 | |
Carmax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/29 | 532,000 | 533,476 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 377,000 | 380,687 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (i) | 133,562 | 130,703 | |
Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/29 (i) | 713,000 | 709,453 | |
Chesapeake Funding II LLC: | |||
Series 2023-2A Class A1, 6.16% 10/15/35 (i) | 239,022 | 240,327 | |
Series 2024-1A Class A1, 5.52% 5/15/36 (i) | 845,488 | 843,591 | |
Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (i) | 890,000 | 888,174 | |
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 (j) | 1,500,000 | 1,473,594 | |
Dllaa 2023-1A Series 2023-1A: | |||
Class A2, 5.93% 7/20/26 (i) | 178,890 | 179,063 | |
Class A3, 5.64% 2/22/28 (i) | 171,000 | 171,534 | |
DLLAD: | |||
Series 2023-1A Class A3, 4.79% 1/20/28 (i) | 1,400,000 | 1,382,941 | |
Series 2024-1A Class A3, 5.3% 7/20/29 (i) | 230,000 | 229,747 | |
Enterprise Fleet Financing Series 2024-2: | |||
Class A2, 5.74% 12/20/26 (i) | 707,000 | 707,960 | |
Class A3, 5.61% 4/20/28 (i) | 483,000 | 483,673 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (i) | 596,000 | 601,724 | |
Ford Credit Auto Owner Trust: | |||
Series 2018-1 Class A, 3.19% 7/15/31 (i) | 5,400,000 | 5,316,740 | |
Series 2020-2 Class A, 1.06% 4/15/33 (i) | 4,600,000 | 4,328,480 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2023-1 Class A1, 4.92% 5/15/28 (i) | 740,000 | 732,601 | |
Series 2024-1 Class A1, 5.29% 4/15/29 (i) | 3,000,000 | 3,001,574 | |
GM Financial Automobile Leasing Trust Series 2023-2 Class A2A, 5.44% 10/20/25 | 72,750 | 72,702 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 359,000 | 359,518 | |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | 174,000 | 173,762 | |
Gm Financial Revolving Receiva Series 2024-1 Class A, 4.98% 12/11/36 (i) | 2,113,000 | 2,091,616 | |
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (i) | 1,296,000 | 1,293,073 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (i) | 10,481 | 7,574 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 243,000 | 241,369 | |
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | 1,000,000 | 1,000,184 | |
Hyundai Auto Lease Securitizat Series 2024-B Class A3, 5.41% 5/17/27 (i) | 1,277,000 | 1,278,842 | |
Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/29 | 802,000 | 796,979 | |
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (i) | 170,543 | 170,650 | |
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (i) | 275,000 | 275,021 | |
Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28 | 818,000 | 817,299 | |
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (i) | 1,526,806 | 1,533,368 | |
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (i) | 1,410,000 | 1,399,264 | |
OBX Trust Series 2024-HYB1 Class A1, 3.5575% 3/25/53 (b)(i) | 6,661,160 | 6,325,975 | |
Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (i) | 728,000 | 727,672 | |
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (i) | 159,574 | 159,696 | |
Sfs Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/29 (i) | 415,000 | 414,423 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (i) | 972,791 | 840,400 | |
Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (i) | 324,000 | 323,215 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (i) | 1,378,000 | 1,379,581 | |
Toyota Lease Owner Trust: | |||
Series 2023 A Class A3, 4.93% 4/20/26 (i) | 272,000 | 270,537 | |
Series 2024-A Class A3, 5.25% 4/20/27 (i) | 774,000 | 771,653 | |
Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 1.8677% 8/25/51 (b)(i) | 715,417 | 695,830 | |
Volkswagen Auto Lease Trust 2024- Series 2024-A Class A3, 5.21% 6/21/27 | 681,000 | 678,862 | |
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29 | 4,002,000 | 3,982,493 | |
Wheels Fleet Lease Funding 1 L: | |||
Series 2023-2A Class A, 6.46% 8/18/38 (i) | 1,804,000 | 1,819,907 | |
Series 2024-1A Class A1, 5.49% 2/18/39 (i) | 3,765,000 | 3,756,811 | |
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (i) | 437,826 | 461,915 | |
World Omni Auto Receivables Trust: | |||
Series 2023 B Class A3, 4.66% 5/15/28 | 288,000 | 284,915 | |
Series 2023-C Class A3, 5.15% 11/15/28 | 214,000 | 213,090 | |
Series 2024-B Class A3, 5.27% 9/17/29 | 1,500,000 | 1,497,383 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 157,494 | 157,391 | |
TOTAL ASSET-BACKED SECURITIES (Cost $71,451,874) | 71,661,652 | ||
Collateralized Mortgage Obligations - 9.0% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 1.1% | |||
Ajax Mortgage Loan Trust sequential payer: | |||
Series 2021-C Class A, 2.115% 1/25/61 (i) | 202,843 | 194,757 | |
Series 2021-E Class A1, 1.74% 12/25/60 (i) | 1,730,291 | 1,466,446 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(i) | 78,744 | 77,284 | |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (i) | 838,898 | 823,475 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(i) | 11,517 | 11,404 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, CME Term SOFR 1 Month Index + 0.390% 4.3318% 5/27/37 (b)(c)(i) | 102,473 | 100,130 | |
Series 2014-3R Class 2A1, CME Term SOFR 1 Month Index + 0.810% 0% 5/27/37 (b)(c)(i)(k) | 70,297 | 7 | |
Gs Mtg-Backed Securities Trust 2024-Rpl Series 2024-RPL2 Class A1, 3.75% 7/25/61 (i) | 976,950 | 923,220 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (i) | 926,166 | 849,166 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (i) | 317,747 | 297,908 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (i) | 896,407 | 808,964 | |
Nymt Loan Trust 2024-Cp1 sequential payer Series 2024-CP1 Class A1, 3.75% 2/25/68 (i) | 1,264,786 | 1,153,540 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (i) | 49,961 | 48,016 | |
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (i) | 105,734 | 100,261 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (i) | 128,905 | 113,975 | |
Pret 2024-Rpl1 Trust sequential payer Series 2024-RPL1 Class A1, 3.9% 10/25/63 (i) | 2,122,385 | 1,985,654 | |
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(i) | 800,000 | 752,880 | |
PRPM, LLC Series 2024-RPL1 Class A1, 4.2% 12/25/64 (i) | 7,249,884 | 6,894,263 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (i) | 117,981 | 115,141 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (i) | 300,329 | 281,749 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0794% 9/25/43 (b)(c) | 251,460 | 239,356 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.3888% 9/25/33 (b) | 30,648 | 29,734 | |
TOTAL PRIVATE SPONSOR | 17,267,330 | ||
U.S. Government Agency - 7.9% | |||
Fannie Mae: | |||
floater Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6618% 12/25/33 (b)(j)(l) | 26,789 | 3,346 | |
planned amortization class: | |||
Series 1999-17 Class PG, 6% 4/25/29 | 23,013 | 23,139 | |
Series 1999-32 Class PL, 6% 7/25/29 | 30,997 | 31,022 | |
Series 1999-33 Class PK, 6% 7/25/29 | 22,359 | 22,369 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 3,835 | 3,878 | |
Series 2005-39 Class TE, 5% 5/25/35 | 59,424 | 58,735 | |
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4106% 8/25/35 (b)(c)(l) | 1,660 | 1,628 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 26,308 | 23,782 | |
Class GA, 1.75% 6/25/42 | 31,101 | 27,921 | |
Series 2021-68 Class KJ, 2.25% 10/25/51 | 4,873,655 | 4,104,058 | |
Series 2021-69 Class JK, 1.5% 10/25/51 | 428,011 | 346,593 | |
Series 2022-20 Class HC, 2.5% 4/25/52 | 4,704,957 | 4,131,088 | |
sequential payer: | |||
Series 2001-20 Class Z, 6% 5/25/31 | 27,734 | 27,782 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 10,781 | 10,777 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 6,889 | 6,973 | |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1118% 11/25/32 (b)(j)(l) | 4,337 | 87 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (j) | 3,986 | 60 | |
Series 2013-88 Class ZE, 3% 7/25/43 | 6,987,035 | 5,923,092 | |
Series 2020-101 Class BA, 1.5% 9/25/45 | 445,310 | 374,052 | |
Series 2020-3 Class DZ, 3.5% 2/25/40 | 6,366,698 | 5,803,662 | |
Series 2020-43 Class MA, 2% 1/25/45 | 970,990 | 862,985 | |
Series 2020-49 Class JA, 2% 8/25/44 | 165,268 | 147,984 | |
Series 2020-51 Class BA, 2% 6/25/46 | 6,282,958 | 5,292,270 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 693,533 | 585,992 | |
Series 2021-65 Class GA, 2% 7/25/49 | 11,395,008 | 8,979,238 | |
Series 2021-68 Class A, 2% 7/25/49 | 344,818 | 264,808 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 191,014 | 162,574 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 300,371 | 256,456 | |
Class BA, 2.5% 6/25/49 | 451,268 | 384,583 | |
Series 2021-96: | |||
Class AH, 2.5% 3/25/49 | 3,455,542 | 2,979,020 | |
Class HA, 2.5% 2/25/50 | 301,890 | 256,674 | |
Series 2022-1 Class KA, 3% 5/25/48 | 288,923 | 256,738 | |
Series 2022-11 Class B, 3% 6/25/49 | 534,128 | 477,987 | |
Series 2022-13: | |||
Class HA, 3% 8/25/46 | 720,190 | 654,744 | |
Class JA, 3% 5/25/48 | 414,053 | 371,949 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 730,839 | 631,554 | |
Class N, 2% 10/25/47 | 2,343,932 | 1,988,822 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 838,638 | 801,974 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 220,682 | 187,898 | |
Series 2022-49 Class TC, 4% 12/25/48 | 265,584 | 248,998 | |
Series 2022-5: | |||
Class 0, 2.5% 6/25/48 | 475,520 | 410,036 | |
Class BA, 2.5% 12/25/49 | 6,441,709 | 5,380,712 | |
Class DA, 2.25% 11/25/47 | 1,390,339 | 1,202,819 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 411,873 | 365,997 | |
Class E, 2.5% 11/25/47 | 435,456 | 381,671 | |
Series 2022-9 Class BA, 3% 5/25/48 | 564,142 | 501,276 | |
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2018% 12/25/36 (b)(j)(l) | 17,227 | 1,435 | |
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0018% 5/25/37 (b)(j)(l) | 8,702 | 797 | |
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6618% 3/25/33 (b)(j)(l) | 5,268 | 469 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 57,463 | 57,053 | |
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.9907% 6/25/37 (b)(c)(l) | 30,599 | 34,328 | |
Series 2007-66 Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9707% 7/25/37 (b)(c)(l) | 5,863 | 6,097 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 22,340 | 21,509 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 229,866 | 221,415 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 484,235 | 473,638 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 80,690 | 75,572 | |
Series 2011-67 Class AI, 4% 7/25/26 (j) | 1,472 | 26 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 62,794 | 1,973 | |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1118% 6/25/41 (b)(j)(l) | 3,448 | 15 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 17,101 | 243 | |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6118% 1/25/44 (b)(j)(l) | 30,112 | 2,581 | |
Series 2013-51 Class GI, 3% 10/25/32 (j) | 31,453 | 1,528 | |
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2818% 6/25/35 (b)(j)(l) | 48,644 | 2,969 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 181,055 | 28,913 | |
Series 2015-70 Class JC, 3% 10/25/45 | 235,156 | 217,960 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 109,575 | 17,656 | |
Series 2020-45 Class JL, 3% 7/25/40 | 46,314 | 40,869 | |
Series 2020-96 Class A, 1.5% 1/25/51 | 13,622,323 | 10,329,167 | |
Series 2021-59 Class H, 2% 6/25/48 | 194,418 | 153,451 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 210,380 | 166,888 | |
Class DM, 2% 1/25/48 | 223,574 | 177,354 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 348 Class 14, 6.5% 8/25/34 (b)(j) | 13,548 | 2,491 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(j) | 8,352 | 1,319 | |
Class 13, 6% 3/25/34 (j) | 12,837 | 2,226 | |
Series 359 Class 19, 6% 7/25/35 (b)(j) | 7,373 | 1,334 | |
Series 384 Class 6, 5% 7/25/37 (j) | 24,745 | 4,045 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2017-4676 Class VD, 4% 8/15/37 | 42,327 | 41,911 | |
Series 2017-4746 Class PA, 4% 2/15/47 | 174,226 | 166,254 | |
Series 2021-5141 Class JM, 1.5% 4/25/51 | 727,743 | 586,276 | |
Series 2021-5148: | |||
Class AD, 1.5% 10/25/51 | 426,354 | 343,672 | |
Class PC, 1.5% 10/25/51 | 422,481 | 336,686 | |
Series 2095 Class PE, 6% 11/15/28 | 29,628 | 29,706 | |
Series 2104 Class PG, 6% 12/15/28 | 9,551 | 9,578 | |
Series 2121 Class MG, 6% 2/15/29 | 12,732 | 12,769 | |
Series 2154 Class PT, 6% 5/15/29 | 23,823 | 23,900 | |
Series 2162 Class PH, 6% 6/15/29 | 2,921 | 2,923 | |
Series 2520 Class BE, 6% 11/15/32 | 27,384 | 27,623 | |
Series 2693 Class MD, 5.5% 10/15/33 | 394,694 | 390,397 | |
Series 2802 Class OB, 6% 5/15/34 | 41,917 | 42,078 | |
Series 3002 Class NE, 5% 7/15/35 | 36,810 | 36,260 | |
Series 3189 Class PD, 6% 7/15/36 | 36,327 | 37,046 | |
Series 3415 Class PC, 5% 12/15/37 | 12,513 | 12,318 | |
Series 3832 Class PE, 5% 3/15/41 | 155,540 | 152,978 | |
Series 4135 Class AB, 1.75% 6/15/42 | 23,967 | 21,648 | |
sequential payer: | |||
Series 2015-4492 Class LB, 4% 3/15/44 | 27,074 | 26,836 | |
Series 2015-4506 Class LB, 4% 4/15/44 | 58,020 | 57,439 | |
Series 2015-4522 Class LB, 4% 6/15/44 | 42,277 | 41,828 | |
Series 2015-4535 Class LB, 4% 8/15/44 | 40,788 | 40,367 | |
Series 2016-4636 Class AE, 4% 7/15/42 | 73,544 | 72,785 | |
Series 2017-4646 Class LA, 4% 9/15/45 | 123,497 | 120,849 | |
Series 2017-4661 Class AC, 4% 4/15/43 | 55,915 | 55,167 | |
Series 2020-4993 Class LA, 2% 8/25/44 | 924,515 | 828,417 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 312,461 | 276,380 | |
Class LY, 3% 10/25/40 | 237,622 | 210,137 | |
Series 2020-5058 Class BE, 3% 11/25/50 | 879,870 | 744,958 | |
Series 2021-5169 Class TP, 2.5% 6/25/49 | 353,165 | 300,613 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 1,091,052 | 925,104 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 218,397 | 188,434 | |
Series 2022-5189: | |||
Class DA, 2.5% 5/25/49 | 226,856 | 190,333 | |
Class TP, 2.5% 5/25/49 | 362,532 | 304,130 | |
Series 2022-5190: | |||
Class BA, 2.5% 11/25/47 | 213,623 | 184,099 | |
Class CA, 2.5% 5/25/49 | 303,752 | 254,763 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 257,036 | 216,547 | |
Series 2022-5197: | |||
Class A, 2.5% 6/25/49 | 303,753 | 254,763 | |
Class DA, 2.5% 11/25/47 | 162,188 | 139,965 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 782,635 | 686,088 | |
Series 2022-5199 Class 0, 3% 5/25/48 | 10,548,744 | 9,378,551 | |
Series 2022-5200 Class C, 3% 5/25/48 | 2,163,643 | 1,943,223 | |
Series 2022-5201 Class EB, 3% 2/25/48 | 6,654,680 | 5,970,593 | |
Series 2022-5202: | |||
Class AG, 3% 1/25/49 | 281,614 | 250,461 | |
Class LB, 2.5% 10/25/47 | 173,548 | 149,924 | |
Class UA, 3% 4/25/50 | 2,075,628 | 1,821,575 | |
Series 2022-5248 Class A, 4% 4/15/48 | 1,290,660 | 1,238,282 | |
Series 2024-5386 Class DC, 2% 12/25/40 | 6,669,799 | 5,790,745 | |
Series 2114 Class ZM, 6% 1/15/29 | 4,036 | 4,048 | |
Series 2135 Class JE, 6% 3/15/29 | 13,161 | 13,266 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 9,494 | 9,499 | |
Series 2281 Class ZB, 6% 3/15/30 | 5,540 | 5,589 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 22,147 | 22,318 | |
Series 2502 Class ZC, 6% 9/15/32 | 20,636 | 20,814 | |
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1618% 2/15/36 (b)(j)(l) | 12,656 | 939 | |
Series 2013-4281 Class AI, 4% 12/15/28 (j) | 1,820 | 12 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 212,547 | 198,849 | |
Series 2020-5000 Class BA, 2% 4/25/45 | 700,744 | 617,556 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 531,770 | 470,679 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 860,985 | 800,981 | |
Series 2021-5133 Class BA, 1.5% 7/25/41 | 2,443,783 | 1,856,388 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 821,616 | 692,867 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 1,426,025 | 1,216,713 | |
Series 2022-5207 Class PA, 3% 6/25/51 | 4,981,259 | 4,366,182 | |
Series 2022-5210 Class AB, 3% 1/25/42 | 1,482,928 | 1,336,258 | |
Series 2022-5214 Class CB, 3.25% 4/25/52 | 3,745,542 | 3,412,095 | |
Series 2380 Class SY, 8.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.7618% 11/15/31 (b)(j)(l) | 20,138 | 680 | |
Series 2587 Class IM, 6.5% 3/15/33 (j) | 10,164 | 1,610 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 131,290 | 132,276 | |
Series 2947 Class XZ, 6% 3/15/35 | 69,899 | 70,744 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 86,707 | 86,742 | |
Series 3237 Class C, 5.5% 11/15/36 | 113,203 | 113,549 | |
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2218% 11/15/36 (b)(j)(l) | 42,950 | 3,337 | |
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1418% 6/15/37 (b)(j)(l) | 33,696 | 3,124 | |
Series 3949 Class MK, 4.5% 10/15/34 | 25,285 | 24,588 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 7,684 | 39 | |
Series 4149 Class IO, 3% 1/15/33 (j) | 17,029 | 1,219 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 2,327 | 36 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 79,694 | 3,730 | |
Series 4471 Class PA 4% 12/15/40 | 103,133 | 99,923 | |
target amortization class Series 2017-4692 Class KB, 4% 10/15/46 | 360,471 | 340,275 | |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 11,165 | 11,161 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51 | 542,491 | 438,191 | |
sequential payer: | |||
Series 2021-5159: | |||
Class EA, 2.5% 8/25/48 | 347,497 | 296,162 | |
Class GC, 2% 11/25/47 | 174,930 | 149,276 | |
Series 2021-5164 Class M, 2.5% 7/25/48 | 354,191 | 302,042 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 338,507 | 320,943 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2559% 6/16/37 (b)(j)(l) | 19,965 | 1,654 | |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7627% 7/20/60 (b)(c)(m) | 40,822 | 40,689 | |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7386% 9/20/60 (b)(c)(m) | 41,033 | 40,869 | |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7386% 8/20/60 (b)(c)(m) | 36,226 | 36,079 | |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 4/20/61 (b)(c)(m) | 11,158 | 11,142 | |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.0886% 5/20/61 (b)(c)(m) | 1,660 | 1,647 | |
Series 2019-11 Class F, CME Term SOFR 1 Month Index + 0.510% 5.8346% 1/20/49 (b)(c) | 75,924 | 74,770 | |
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9346% 10/20/49 (b)(c) | 125,955 | 122,062 | |
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8846% 2/20/49 (b)(c) | 247,360 | 241,196 | |
planned amortization class: | |||
Series 2011-136 Class WI, 4.5% 5/20/40 (j) | 6,430 | 364 | |
Series 2016-69 Class WA, 3% 2/20/46 | 100,889 | 90,644 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 37,107 | 32,702 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 57,057 | 55,251 | |
Series 2010-160 Class DY, 4% 12/20/40 | 331,222 | 313,154 | |
Series 2010-170 Class B, 4% 12/20/40 | 73,174 | 69,103 | |
Series 2017-139 Class BA, 3% 9/20/47 | 403,748 | 352,583 | |
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0659% 5/16/34 (b)(j)(l) | 35,528 | 1,891 | |
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7659% 8/17/34 (b)(j)(l) | 11,555 | 864 | |
Series 2011-52 Class HI, 7% 4/16/41 (j) | 125,884 | 17,276 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 194,288 | 186,809 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (m) | 2,757 | 2,627 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.36% 8/20/66 (b)(c)(m) | 233,970 | 232,806 | |
TOTAL U.S. GOVERNMENT AGENCY | 121,313,385 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $140,639,730) | 138,580,715 | ||
Commercial Mortgage Securities - 14.9% | |||
Principal Amount (a) | Value ($) | ||
Arbor Multifamily Mortgage Securities Trust sequential payer Series 2021-MF2 Class ASB, 2.2446% 6/15/54 (i) | 1,454,000 | 1,282,371 | |
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)(i) | 1,800,000 | 1,787,625 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (i) | 259,000 | 233,078 | |
BANK: | |||
sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 1,557,188 | 1,457,482 | |
Series 2018-BN10: | |||
Class A4, 3.428% 2/15/61 | 398,505 | 374,504 | |
Class ASB, 3.641% 2/15/61 | 642,836 | 623,965 | |
Series 2018-BN15 Class A3, 4.138% 11/15/61 | 2,450,553 | 2,340,249 | |
Series 2019-BN19 Class ASB, 3.071% 8/15/61 | 1,100,000 | 1,035,650 | |
Series 2020-BN26 Class ASB, 2.313% 3/15/63 | 2,500,000 | 2,280,028 | |
Series 2020-BN25 Class XB, 0.4392% 1/15/63 (b)(j) | 6,959,678 | 147,794 | |
Series 2021-BN33 Class XA, 1.0514% 5/15/64 (b)(j) | 4,822,584 | 236,549 | |
Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A4, 3.953% 8/15/61 | 600,000 | 565,581 | |
BANK Trust sequential payer Series 2017-BNK5: | |||
Class A5, 3.39% 6/15/60 | 1,480,783 | 1,389,681 | |
Class ASB, 3.179% 6/15/60 | 372,548 | 358,846 | |
Bank5 2023-5Yr3 sequential payer Series 2023-5YR3 Class A3, 6.724% 9/15/56 | 800,000 | 833,879 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2021-C11 Class A1, 0.752% 9/15/54 | 3,653,002 | 3,453,087 | |
Series 2021-C9 Class ASB, 1.96% 2/15/54 | 2,200,000 | 1,959,169 | |
Series 2023-C21 Class A3, 6.2964% 9/15/56 (b) | 400,000 | 417,034 | |
Bbcms Mtg Trust 2024-5C25 sequential payer Series 2024-5C25 Class A3, 5.946% 3/15/57 | 2,300,000 | 2,339,503 | |
Benchmark 2023-V3 Mtg Trust: | |||
sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56 | 615,000 | 631,858 | |
Series 2023-V3 Class XA, 0.8142% 7/15/56 (b) | 44,600,517 | 1,301,773 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 610,537 | 593,855 | |
Series 2021-B25 Class ASB, 2.271% 4/15/54 | 4,000,000 | 3,529,554 | |
Series 2021-B28 Class A1, 0.5974% 8/15/54 | 3,860,926 | 3,631,357 | |
Series 2024-V6 Class A3, 5.9255% 3/15/29 | 1,800,000 | 1,829,741 | |
Series 2019-B14 Class XA, 0.7684% 12/15/62 (b)(j) | 12,771,206 | 304,201 | |
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)(i) | 752,731 | 729,394 | |
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)(i) | 2,676,000 | 2,677,674 | |
BMO Mortgage Trust: | |||
sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | 4,700,000 | 4,855,988 | |
Series 2023-C6 Class XA, 0.7864% 9/15/56 (b)(j) | 19,067,769 | 1,063,730 | |
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2148% 4/15/37 (b)(c)(i) | 4,039,509 | 4,062,231 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2315% 2/15/36 (b)(c)(i) | 154,000 | 153,403 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0838% 5/15/38 (b)(c)(i) | 504,666 | 500,881 | |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8078% 4/15/37 (b)(c)(i) | 239,308 | 239,233 | |
Series 2023-XL3 Class B, CME Term SOFR 1 Month Index + 2.190% 7.5076% 12/9/40 (b)(c)(i) | 270,000 | 271,519 | |
floater sequential payer: | |||
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1015% 6/15/38 (b)(c)(i) | 2,350,534 | 2,334,432 | |
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7084% 3/15/41 (b)(c)(i) | 3,651,806 | 3,654,090 | |
Series 2019-OC11 Class XA, 0.742% 12/9/41 (b)(i)(j) | 114,700,000 | 4,043,496 | |
BX Commercial Mortgage Trust 2024-Xl4: | |||
floater Series 2024-XL5 Class B, CME Term SOFR 1 Month Index + 1.690% 7.008% 3/15/41 (b)(c)(i) | 624,298 | 623,517 | |
floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7588% 2/15/39 (b)(c)(i) | 6,877,955 | 6,888,702 | |
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(i) | 2,048,000 | 2,050,560 | |
BX Trust: | |||
floater: | |||
Series 2022-IND Class B, CME Term SOFR 1 Month Index + 1.940% 7.2568% 4/15/37 (b)(c)(i) | 3,896,343 | 3,896,343 | |
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(i) | 2,425,000 | 2,426,516 | |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 1/15/34 (b)(c)(i) | 3,571,546 | 3,553,770 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.360% 6.684% 12/15/37 (b)(c)(i) | 1,650,000 | 1,650,648 | |
CD Mortgage Trust sequential payer: | |||
Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 254,731 | 246,649 | |
Series 2017-CD5 Class A3, 3.171% 8/15/50 | 750,000 | 696,727 | |
CFCRE Commercial Mortgage Trust sequential payer Series 2016-C7 Class A2, 3.5853% 12/10/54 | 1,583,583 | 1,500,392 | |
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1 Class A3, 3.197% 8/15/50 | 4,838,234 | 4,530,424 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2016-C1 Class A4, 3.209% 5/10/49 | 8,600,000 | 8,210,503 | |
Series 2016-P4 Class A4, 2.902% 7/10/49 | 3,389,000 | 3,189,598 | |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 539,497 | 526,450 | |
Series 2015-GC27 Class A5, 3.137% 2/10/48 | 3,100,000 | 3,061,281 | |
Series 2015-GC33 Class XA, 0.8666% 9/10/58 (b)(j) | 7,522,357 | 60,676 | |
Series 2016-P6 Class XA, 0.5536% 12/10/49 (b)(j) | 6,100,841 | 66,864 | |
Series 2019-GC41 Class XA, 1.0389% 8/10/56 (b)(j) | 5,000,110 | 175,397 | |
Citigroup Commercial Mtg Trust 2018-C6 sequential payer Series 2018-C6 Class A3, 4.145% 11/10/51 | 1,500,000 | 1,390,516 | |
COMM Mortgage Trust: | |||
sequential payer Series 2015-CR24 Class A5, 3.696% 8/10/48 | 1,230,000 | 1,199,350 | |
Series 2014-CR20 Class XA, 0.9184% 11/10/47 (b)(j) | 1,700,011 | 82 | |
Series 2014-LC17 Class XA, 0.6416% 10/10/47 (b)(j) | 4,553,414 | 46 | |
Series 2014-UBS6 Class XA, 0.8128% 12/10/47 (b)(j) | 3,911,353 | 2,178 | |
Commercial Mortgage Trust sequential payer Series 2018-CD7 Class ASB, 4.213% 8/15/51 | 205,985 | 199,955 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C4 Class A3, 3.5438% 11/15/48 | 1,753,256 | 1,708,752 | |
Series 2017-CX10 Class ASB, 3.3269% 11/15/50 | 238,673 | 231,767 | |
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 454,610 | 439,814 | |
DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2 Class A, 5.8433% 1/15/41 (b)(i) | 163,000 | 162,239 | |
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)(i) | 3,555,861 | 3,526,969 | |
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5517% 11/15/38 (b)(c)(i) | 2,207,431 | 2,190,882 | |
Fannie Mae sequential payer Series 2019-M5 Class A2, 3.273% 2/25/29 | 2,901,876 | 2,701,805 | |
Freddie Mac sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 52,691 | 51,335 | |
Series 2016-K055 Class A2, 2.673% 3/25/26 | 19,000,000 | 18,188,892 | |
Series 2018-K732 Class A2, 3.7% 5/25/25 | 3,930,467 | 3,867,011 | |
Series 2019-K735 Class A2, 2.862% 5/25/26 | 4,866,027 | 4,663,687 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 200,000 | 194,560 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3815% 9/15/31 (b)(c)(i) | 1,554,769 | 1,547,584 | |
Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3815% 10/15/36 (b)(c)(i) | 1,116,351 | 1,106,583 | |
sequential payer: | |||
Series 2015-GC30 Class A4, 3.382% 5/10/50 | 2,619,000 | 2,555,544 | |
Series 2017-GS8 Class AAB, 3.313% 11/10/50 | 283,362 | 274,558 | |
Series 2018-GS10: | |||
Class A4, 3.89% 7/10/51 | 1,500,000 | 1,410,667 | |
Class A5, 4.155% 7/10/51 | 400,000 | 374,232 | |
Class AAB, 4.106% 7/10/51 | 161,616 | 157,403 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 2,036,548 | 1,877,759 | |
Series 2019-GC38 Class A3, 3.703% 2/10/52 | 1,400,000 | 1,301,637 | |
Series 2020-GC45 Class AAB, 2.8428% 2/13/53 | 600,000 | 558,236 | |
Series 2015-GC34 Class XA, 1.1922% 10/10/48 (b)(j) | 3,628,361 | 41,590 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8056% 8/15/39 (b)(c)(i) | 816,405 | 820,487 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2015-C33 Class A3, 3.5043% 12/15/48 | 533,055 | 518,547 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/49 | 2,038,357 | 1,988,423 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4 Class ASB, 2.9941% 12/15/49 | 131,382 | 126,937 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (i) | 443,741 | 410,460 | |
Class XAFX, 1.116% 7/5/33 (b)(i)(j) | 3,810,547 | 84,606 | |
LCCM Mortgage Loan Trust sequential payer Series 2017-LC26 Class A3, 3.289% 7/12/50 (i) | 126,923 | 119,511 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(i) | 332,189 | 331,278 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0253% 10/15/48 (b)(j) | 4,286,727 | 32,824 | |
Morgan Stanley Bank of America Merrill Lynch Trust sequential payer Series 2017-C34 Class ASB, 3.354% 11/15/52 | 636,784 | 613,288 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.214% 8/15/33 (b)(c)(i) | 704,715 | 579,276 | |
sequential payer: | |||
Series 2017-HR2: | |||
Class A3, 3.33% 12/15/50 | 594,485 | 552,203 | |
Class A4, 3.587% 12/15/50 | 560,000 | 522,520 | |
Series 2018-L1: | |||
Class A3, 4.139% 10/15/51 | 5,000,000 | 4,713,721 | |
Class ASB, 4.238% 10/15/51 | 3,309,238 | 3,221,313 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 7,100,000 | 6,620,730 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (i) | 562,697 | 531,075 | |
Series 2019-MEAD Class B, 3.1771% 11/10/36 (b)(i) | 81,443 | 76,052 | |
Series 2021-L6 Class XA, 1.2029% 6/15/54 (b)(j) | 1,062,839 | 55,410 | |
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)(i) | 471,040 | 477,812 | |
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9155% 10/15/36 (b)(c)(i) | 3,792,076 | 3,754,541 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.008% 7/15/36 (b)(c)(i) | 2,406,000 | 2,384,990 | |
Series 2021-MFP: | |||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(i) | 1,017,825 | 1,014,044 | |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5111% 11/15/38 (b)(c)(i) | 907,894 | 902,219 | |
Ubs Commercial Mortgage Trust sequential payer Series 2017-C4 Class ASB, 3.366% 10/15/50 | 475,443 | 460,986 | |
UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2017-C7 Class ASB, 3.586% 12/15/50 | 1,492,843 | 1,446,356 | |
Series 2018-C12 Class A4, 4.0299% 8/15/51 | 2,469,981 | 2,316,920 | |
Series 2018-C9 Class A4, 4.117% 3/15/51 | 300,000 | 278,556 | |
Series 2017-C7 Class XA, 0.9864% 12/15/50 (b)(j) | 5,207,884 | 146,393 | |
Wells Fargo Commercial Mortgage sequential payer Series 2018-C45 Class ASB, 4.147% 6/15/51 | 3,934,784 | 3,827,022 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater: | |||
Series 2016-C35 Class A4FL, CME Term SOFR 1 Month Index + 1.160% 6.485% 7/15/48 (b)(c)(i) | 4,000,000 | 3,997,639 | |
Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6315% 5/15/31 (b)(c)(i) | 13,457,000 | 13,217,313 | |
sequential payer: | |||
Series 2012-C41 Class A3, 3.21% 11/15/50 | 5,000,000 | 4,658,880 | |
Series 2017-C38 Class ASB, 3.261% 7/15/50 | 223,374 | 217,527 | |
Series 2017-C40 Class A3, 3.317% 10/15/50 | 6,565,000 | 6,172,439 | |
Series 2017-C42 Class ASB, 3.488% 12/15/50 | 235,415 | 228,357 | |
Series 2018-C46 Class ASB, 4.086% 8/15/51 | 2,194,389 | 2,139,119 | |
Series 2018-C47: | |||
Class A3, 4.175% 9/15/61 | 4,822,464 | 4,607,740 | |
Class ASB, 4.365% 9/15/61 | 882,812 | 863,321 | |
Series 2015-C31 Class XA, 0.947% 11/15/48 (b)(j) | 3,778,637 | 34,664 | |
Series 2017-C42 Class XA, 0.8591% 12/15/50 (b)(j) | 7,305,835 | 179,941 | |
Series 2018-C46 Class XA, 0.9139% 8/15/51 (b)(j) | 3,716,309 | 78,541 | |
WF-RBS Commercial Mortgage Trust Series 2014-C24 Class XA, 0.8311% 11/15/47 (b)(j) | 2,343,525 | 956 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $229,814,251) | 230,130,072 | ||
Money Market Funds - 9.7% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (n) (Cost $149,399,742) | 149,369,868 | 149,399,742 | |
Purchased Swaptions - 0.4% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.2% | ||||
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | 2,600,000 | 104,993 | |
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.94% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034. | 5/10/29 | 12,900,000 | 515,017 | |
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 4.05% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034. | 4/23/29 | 27,800,000 | 1,063,355 | |
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.755% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | 4,800,000 | 205,715 | |
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 5,300,000 | 203,432 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 15,900,000 | 977,097 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.865% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | 4,500,000 | 167,380 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 8,300,000 | 301,637 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.9625% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034. | 5/14/29 | 8,600,000 | 345,367 | |
TOTAL PUT OPTIONS | 3,883,993 | |||
Call Options - 0.2% | ||||
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | 2,600,000 | 49,668 | |
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.94% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034. | 5/10/29 | 12,900,000 | 513,205 | |
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 4.05% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034. | 4/23/29 | 27,800,000 | 1,174,132 | |
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.755% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring March 2034. | 3/19/29 | 4,800,000 | 173,184 | |
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 5,300,000 | 107,277 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 15,900,000 | 145,610 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.865% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035. | 5/15/25 | 4,500,000 | 124,742 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 8,300,000 | 180,148 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.9625% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034. | 5/14/29 | 8,600,000 | 339,778 | |
TOTAL CALL OPTIONS | 2,807,744 | |||
TOTAL PURCHASED SWAPTIONS (Cost $7,042,202) | 6,691,737 |
TOTAL INVESTMENT IN SECURITIES - 185.1% (Cost $2,888,840,864) | 2,864,945,686 |
NET OTHER ASSETS (LIABILITIES) - (85.1)% | (1,316,878,931) |
NET ASSETS - 100.0% | 1,548,066,755 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 6/1/54 | (28,400,000) | (22,739,269) |
2% 6/1/54 | (7,200,000) | (5,764,885) |
2% 6/1/54 | (3,800,000) | (3,042,578) |
2.5% 6/1/54 | (50,000) | (41,646) |
2.5% 6/1/54 | (25,500,000) | (21,239,684) |
3.5% 6/1/54 | (16,650,000) | (14,851,745) |
3.5% 6/1/54 | (18,950,000) | (16,903,337) |
4.5% 6/1/54 | (21,100,000) | (19,933,862) |
5.5% 6/1/54 | (200,000) | (198,346) |
5.5% 6/1/54 | (200,000) | (198,346) |
6% 6/1/54 | (6,700,000) | (6,744,071) |
6% 6/1/54 | (5,375,000) | (5,410,356) |
6% 6/1/54 | (12,900,000) | (12,984,854) |
6% 6/1/54 | (925,000) | (931,084) |
6% 6/1/54 | (4,800,000) | (4,831,573) |
6% 6/1/54 | (8,300,000) | (8,354,596) |
6% 6/1/54 | (6,700,000) | (6,744,071) |
6% 6/1/54 | (5,375,000) | (5,410,356) |
TOTAL GINNIE MAE | (156,324,659) | |
Uniform Mortgage Backed Securities | ||
2% 6/1/54 | (35,500,000) | (27,365,491) |
2% 6/1/54 | (11,750,000) | (9,057,592) |
2% 6/1/54 | (20,100,000) | (15,494,264) |
2% 6/1/54 | (116,900,000) | (90,113,405) |
2% 6/1/54 | (1,300,000) | (1,002,117) |
2% 6/1/54 | (8,400,000) | (6,475,215) |
2% 6/1/54 | (35,500,000) | (27,365,491) |
2% 6/1/54 | (27,100,000) | (20,890,276) |
2.5% 6/1/54 | (5,400,000) | (4,357,337) |
2.5% 6/1/54 | (13,175,000) | (10,631,095) |
2.5% 6/1/54 | (3,725,000) | (3,005,755) |
2.5% 6/1/54 | (13,150,000) | (10,610,922) |
2.5% 6/1/54 | (54,900,000) | (44,299,590) |
2.5% 6/1/54 | (5,400,000) | (4,357,337) |
2.5% 6/1/54 | (13,175,000) | (10,631,095) |
3% 6/1/54 | (3,600,000) | (3,025,970) |
3% 6/1/54 | (2,100,000) | (1,765,149) |
3% 6/1/54 | (2,600,000) | (2,185,422) |
3% 6/1/54 | (1,300,000) | (1,092,711) |
3% 6/1/54 | (12,000,000) | (10,086,565) |
3% 6/1/54 | (2,600,000) | (2,185,422) |
3% 6/1/54 | (5,300,000) | (4,454,900) |
3.5% 6/1/54 | (4,325,000) | (3,789,952) |
3.5% 6/1/54 | (2,000,000) | (1,752,579) |
3.5% 6/1/54 | (46,675,000) | (40,900,808) |
3.5% 6/1/54 | (25,000,000) | (21,907,235) |
3.5% 6/1/54 | (17,350,000) | (15,203,621) |
4% 6/1/54 | (4,000,000) | (3,627,967) |
4% 6/1/54 | (3,900,000) | (3,537,268) |
4% 6/1/54 | (4,650,000) | (4,217,512) |
4% 6/1/54 | (100,000) | (90,699) |
4% 6/1/54 | (4,000,000) | (3,627,967) |
4.5% 6/1/54 | (700,000) | (655,293) |
4.5% 6/1/54 | (4,800,000) | (4,493,440) |
4.5% 6/1/54 | (4,800,000) | (4,493,440) |
4.5% 6/1/54 | (700,000) | (655,293) |
4.5% 6/1/54 | (14,500,000) | (13,573,934) |
5.5% 6/1/54 | (4,350,000) | (4,278,801) |
5.5% 7/1/54 | (4,350,000) | (4,278,121) |
6% 6/1/54 | (2,600,000) | (2,603,350) |
6% 6/1/54 | (8,100,000) | (8,110,438) |
6% 6/1/54 | (31,150,000) | (31,190,140) |
6% 6/1/54 | (10,900,000) | (10,914,046) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (494,355,025) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $652,215,841) | (650,679,684) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 210 | Sep 2024 | 42,777,656 | (39,737) | (39,737) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 3 | Sep 2024 | 367,313 | (6,284) | (6,284) |
TOTAL PURCHASED | (46,021) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 400 | Sep 2024 | 43,518,750 | 201,472 | 201,472 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 974 | Sep 2024 | 103,046,156 | 305,074 | 305,074 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 131 | Sep 2024 | 15,204,188 | 177,825 | 177,825 |
TOTAL SOLD | 684,371 | ||||
TOTAL FUTURES CONTRACTS | 638,350 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 2.8% | |||||
The notional amount of futures sold as a percentage of Net Assets is 10.5% |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2)(3) | Value ($)(1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Buy Protection | ||||||||||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 850,000 | 126,715 | (242,989) | (116,274) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 260,000 | 38,760 | (60,042) | (21,282) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 250,000 | 37,269 | (55,821) | (18,552) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 130,000 | 19,380 | (35,753) | (16,373) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 270,000 | 40,251 | (66,101) | (25,850) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 480,000 | 71,557 | (115,253) | (43,696) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 520,000 | 77,520 | (121,354) | (43,834) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 300,000 | 44,723 | (58,239) | (13,516) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 1,100,000 | 163,984 | (181,333) | (17,349) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 560,000 | 83,483 | (158,245) | (74,762) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 280,000 | 41,742 | (78,448) | (36,706) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 280,000 | 41,742 | (74,014) | (32,272) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 780,000 | 116,280 | (187,014) | (70,734) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 390,000 | 58,140 | (96,457) | (38,317) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 120,000 | 17,889 | (28,391) | (10,502) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80,000 | 11,926 | (18,419) | (6,493) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1,600,000 | 238,523 | (267,669) | (29,146) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 2,000,000 | 298,154 | (337,110) | (38,956) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | 1,200,000 | 137,000 | (195,588) | (58,588) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | 700,000 | 79,917 | (86,886) | (6,969) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | 400,000 | 45,667 | (56,514) | (10,847) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | JPMorgan Securities LLC | (3%) | Monthly | 600,000 | 68,500 | (79,614) | (11,114) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1,200,000 | 137,000 | (168,419) | (31,419) | ||
TOTAL BUY PROTECTION | 1,996,122 | (2,769,673) | (773,551) | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 9,000,000 | (101,503) | 90,080 | (11,423) | |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 15,710,000 | (233,524) | 275,865 | 42,341 | |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 2,200,000 | (32,702) | 29,157 | (3,545) | |
TOTAL SELL PROTECTION | (367,729) | 395,102 | 27,373 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 1,628,393 | (2,374,571) | (746,178) |
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Jun 2026 | 72,235,000 | 671,531 | 0 | 671,531 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Jun 2027 | 13,485,000 | 172,540 | 0 | 172,540 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Jun 2029 | 1,283,000 | 23,356 | 0 | 23,356 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Jun 2031 | 29,154,000 | 667,720 | 0 | 667,720 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Jun 2044 | 6,363,000 | (6,182) | 0 | (6,182) | |
TOTAL INTEREST RATE SWAPS | 1,528,965 | 0 | 1,528,965 |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(d) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $3,252,250. |
(e) | Security or a portion of the security has been segregated as collateral for open . At period end, the value of securities pledged amounted to $. |
(f) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $3,798,890. |
(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 $3,202,992. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $144,093,202 or 9.3% of net assets. |
(j) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(k) | Level 3 security |
(l) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(m) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(n) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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% | 23,034,885 | 1,299,681,208 | 1,173,316,099 | 6,000,714 | (252) | - | 149,399,742 | 0.3% |
Total | 23,034,885 | 1,299,681,208 | 1,173,316,099 | 6,000,714 | (252) | - | 149,399,742 | |
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:
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. U.S. Treasury Obligations 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.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 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):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, 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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded 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.
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.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
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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