Quarterly Holdings Report
for
Fidelity® Real Estate High Income Fund
February 28, 2023
REHI-NPRT1-0423
1.814099.118
Nonconvertible Bonds - 2.7% | |||
Principal Amount (a) | Value ($) | ||
Healthcare - 0.1% | |||
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b) | 1,085,000 | 921,900 | |
Homebuilders/Real Estate - 1.4% | |||
American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (b) | 3,195,000 | 2,521,718 | |
American Tower Corp. 4.05% 3/15/32 | 1,785,000 | 1,589,736 | |
DTZ U.S. Borrower LLC 6.75% 5/15/28 (b) | 685,000 | 645,715 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b) | 2,290,000 | 1,887,054 | |
Kennedy-Wilson, Inc. 4.75% 3/1/29 | 1,520,000 | 1,235,494 | |
Uniti Group LP / Uniti Group Finance, Inc. 10.5% 2/15/28 (b) | 1,635,000 | 1,635,327 | |
TOTAL HOMEBUILDERS/REAL ESTATE | 9,515,044 | ||
Hotels - 1.0% | |||
Hilton Grand Vacations Borrower Escrow LLC 4.875% 7/1/31 (b) | 3,200,000 | 2,690,240 | |
Marriott Ownership Resorts, Inc.: | |||
4.5% 6/15/29 (b) | 900,000 | 755,307 | |
4.75% 1/15/28 | 2,250,000 | 1,987,830 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 1,459,843 | 1,449,136 | |
TOTAL HOTELS | 6,882,513 | ||
Telecommunications - 0.2% | |||
Uniti Group, Inc. 6% 1/15/30 (b) | 2,395,000 | 1,484,407 | |
TOTAL NONCONVERTIBLE BONDS (Cost $21,963,170) | 18,803,864 | ||
Asset-Backed Securities - 2.8% | |||
Principal Amount (a) | Value ($) | ||
American Homes 4 Rent Series 2015-SFR2 Class XS, 0% 10/17/52 (b)(c)(d)(e) | 2,537,360 | 25 | |
Capital Trust RE CDO Ltd. Series 2005-1A: | |||
Class D, 1 month U.S. LIBOR + 1.500% 3.3464% 3/20/50 (b)(c)(e)(f) | 750,000 | 0 | |
Class E, 1 month U.S. LIBOR + 2.100% 3.9464% 3/20/50 (b)(c)(e)(f) | 2,670,000 | 0 | |
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 6.4829% 1/28/40 (b)(c)(e)(f) | 3,107,938 | 0 | |
DataBank Issuer, LLC Series 2021-1A Class C, 4.43% 2/27/51 (b) | 1,500,000 | 1,287,040 | |
Diamond Infrastructure Funding LLC Series 2021-1A Class C, 3.475% 4/15/49 (b) | 859,000 | 667,339 | |
FirstKey Homes Trust Series 2021-SFR1 Class F1, 3.238% 8/17/38 (b) | 1,068,000 | 915,169 | |
Home Partners of America Trust: | |||
Series 2019-2 Class F, 3.866% 10/19/39 (b) | 2,035,331 | 1,732,237 | |
Series 2021-1 Class F, 3.325% 9/17/41 (b) | 904,514 | 688,469 | |
Series 2021-2 Class G, 4.505% 12/17/26 (b) | 5,365,773 | 4,622,162 | |
Series 2021-3 Class F, 4.242% 1/17/41 (b) | 1,235,277 | 993,397 | |
Merit Securities Corp. Series 13 Class M1, 7.88% 12/28/33 (c) | 536,065 | 532,525 | |
Progress Residential Series 2023-SFR1: | |||
Class E1, 6.15% 3/17/40 (b) | 648,000 | 597,242 | |
Class E2, 6.6% 3/17/40 (b) | 687,000 | 643,470 | |
Progress Residential Trust: | |||
Series 2019-SFR3: | |||
Class F, 3.867% 9/17/36 (b) | 1,228,000 | 1,178,818 | |
Class G, 4.116% 9/17/36 (b) | 998,000 | 948,205 | |
Series 2020-SFR1: | |||
Class G, 4.028% 4/17/37 (b) | 1,638,000 | 1,519,492 | |
Class H, 5.268% 4/17/37 (b) | 462,000 | 429,062 | |
Series 2020-SFR3 Class H, 6.234% 10/17/27 (b) | 966,000 | 905,601 | |
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 9.3061% 12/5/36 (b)(c)(e)(f) | 5,990,273 | 1 | |
Tricon American Homes: | |||
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) | 664,000 | 647,710 | |
Series 2020-SFR1 Class F, 4.882% 7/17/38 (b) | 574,000 | 541,297 | |
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b) | 672,000 | 578,994 | |
TOTAL ASSET-BACKED SECURITIES (Cost $28,724,259) | 19,428,255 | ||
Collateralized Mortgage Obligations - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.0% | |||
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(c)(e) | 26,394 | 4,158 | |
U.S. Government Agency - 0.0% | |||
Fannie Mae REMIC Trust: | |||
Series 2002-W1 subordinate REMIC pass thru certificates, Class 3B3, 3.5487% 2/25/42 (b)(c)(e) | 24,467 | 11,360 | |
Series 2002-W6 subordinate REMIC pass thru certificates, Class 3B4, 3.7908% 1/25/42 (b)(c)(e) | 19,843 | 187 | |
Series 2003-W10 subordinate REMIC pass thru certificates: | |||
Class 2B4, 3.4331% 6/25/43 (c)(e)(g) | 84,310 | 22,132 | |
Class 2B5, 3.4331% 6/25/43 (c)(e)(g) | 8,880 | 88 | |
TOTAL U.S. GOVERNMENT AGENCY | 33,767 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $41,588) | 37,925 | ||
Commercial Mortgage Securities - 87.9% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 6.538% 4/15/36 (b)(c)(f) | 4,028,000 | 3,912,887 | |
Series 2015-200P Class F, 3.5958% 4/14/33 (b)(c) | 2,588,000 | 2,147,700 | |
BANK: | |||
sequential payer: | |||
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 2,650,000 | 2,146,125 | |
Series 2022-BNK40, Class A4, 3.3936% 3/15/64 (c) | 742,000 | 653,263 | |
Series 2022-BNK42: | |||
Class D, 2.5% 6/15/55 (b) | 1,664,000 | 913,762 | |
Class E, 2.5% 6/15/55 (b) | 1,302,000 | 632,354 | |
Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c) | 2,326,000 | 2,220,323 | |
Series 2023-BNK45 Class C, 6.2796% 2/15/56 (c) | 990,000 | 934,061 | |
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) | 4,416,000 | 3,097,787 | |
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) | 2,593,000 | 1,811,940 | |
Series 2017-BNK8: | |||
Class D, 2.6% 11/15/50 (b) | 4,653,000 | 2,957,598 | |
Class E, 2.8% 11/15/50 (b) | 2,625,000 | 1,436,354 | |
Series 2018-BN10 Class C, 4.163% 2/15/61 (c) | 664,000 | 566,526 | |
Series 2018-BN12 Class D, 3% 5/15/61 (b) | 2,082,000 | 1,338,100 | |
Series 2019-BN18 Class D, 3% 5/15/62 (b) | 4,284,000 | 2,797,454 | |
Series 2019-BN19 Class D, 3% 8/15/61 (b) | 3,753,000 | 2,297,958 | |
Series 2019-BN22 Class D, 2.5% 11/15/62 (b) | 2,465,000 | 1,536,525 | |
Series 2020-BN26 Class D, 2.5% 3/15/63 (b) | 1,269,000 | 774,993 | |
Series 2020-BN27 Class D, 2.5% 4/15/63 (b) | 921,000 | 558,386 | |
Series 2020-BN28 Class E, 2.5% 3/15/63 (b) | 903,000 | 483,912 | |
Series 2020-BN29 Class E, 2.5% 11/15/53 (b) | 1,064,000 | 563,870 | |
Series 2020-BN30: | |||
Class E, 2.5% 12/15/53 (b) | 735,000 | 377,603 | |
Class MCDG, 2.9182% 12/15/53 (c) | 3,921,000 | 2,183,482 | |
Series 2022-BNK43 Class D, 3% 8/15/55 (b) | 2,614,000 | 1,467,466 | |
Series 2022-BNK44 Class C, 5.7461% 11/15/55 (c) | 5,014,000 | 4,464,669 | |
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3 Class D, 3.25% 2/15/50 (b) | 2,201,000 | 1,545,391 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class D, 3% 7/15/49 (b) | 726,000 | 540,513 | |
Barclays Commercial Mortgage Securities LLC Series 2019-C5: | |||
Class D, 2.5% 11/15/52 (b) | 726,000 | 467,461 | |
Class E, 2.5% 11/15/52 (b) | 2,545,000 | 1,504,571 | |
BBCMS Series 2022-C15, Class A5, 3.662% 4/15/55 | 3,015,000 | 2,703,938 | |
BBCMS Mortgage Trust: | |||
sequential payer: | |||
Series 2020-C8 Class E, 2.25% 10/15/53 (b) | 3,013,000 | 1,576,037 | |
Series 2022-C14 Class A5, 2.946% 2/15/55 | 1,486,000 | 1,257,959 | |
Series 2022-C17 Class D, 2.5% 9/15/55 (b) | 1,200,000 | 648,283 | |
Series 2016-ETC Class D, 3.6089% 8/14/36 (b)(c) | 1,749,000 | 1,399,683 | |
Series 2020-C6 Class E, 2.4% 2/15/53 (b) | 1,512,000 | 841,021 | |
Series 2020-C7 Class D, 3.6033% 4/15/53 (b)(c) | 840,000 | 541,542 | |
Series 2022-C16 Class A5, 4.6% 6/15/55 | 4,573,000 | 4,407,275 | |
Series 2022-C17 Class B, 4.889% 9/15/55 | 1,491,000 | 1,354,569 | |
Series 2022-C18, Class B, 6.1483% 12/15/55 (c) | 1,890,000 | 1,916,262 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2019-B14: | |||
Class 225D, 3.2943% 12/15/62 (b)(c) | 1,680,000 | 1,180,870 | |
Class 225E, 3.2943% 12/15/62 (b)(c)(e) | 1,132,000 | 725,213 | |
Series 2020-B20 Class E, 2% 10/15/53 (b) | 2,100,000 | 1,020,905 | |
Series 2020-B22, Class A5, 1.973% 1/15/54 | 1,484,000 | 1,174,646 | |
Series 2021-B29, Class A5, 2.3879% 9/15/54 | 2,055,000 | 1,661,368 | |
Series 2022-B33 Class A5, 3.4582% 3/15/55 | 2,477,000 | 2,188,081 | |
Series 2022-B34 Class A5, 3.786% 4/15/55 | 1,341,000 | 1,201,337 | |
Series 2018-B6 Class D, 3.1047% 10/10/51 (b)(c) | 1,877,000 | 1,244,490 | |
Series 2018-B7: | |||
Class D, 3% 5/15/53 (b)(c) | 833,000 | 567,252 | |
Class E, 3% 5/15/53 (b)(c) | 833,000 | 523,716 | |
Series 2019-B12 Class B, 3.5702% 8/15/52 | 1,186,000 | 1,006,924 | |
Series 2020-B18: | |||
Class AGNG, 4.3885% 7/15/53 (b)(c) | 4,074,000 | 3,348,098 | |
Class D, 2.25% 7/15/53 (b) | 1,500,000 | 868,234 | |
Series 2020-B21: | |||
Class D, 2% 12/17/53 (b) | 1,638,000 | 909,743 | |
Class E, 2% 12/17/53 (b) | 1,533,000 | 749,369 | |
Series 2020-B22 Class E, 2% 1/15/54 (b) | 1,826,000 | 919,448 | |
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(c) | 3,049,000 | 2,103,356 | |
Series 2021-B25: | |||
Class 300D, 2.9942% 4/15/54 (b)(c) | 6,055,000 | 3,946,743 | |
Class 300E, 2.9942% 4/15/54 (b)(c) | 1,113,000 | 703,936 | |
Series 2022-B35 Class D, 2.5% 5/15/55 (b) | 3,003,000 | 1,661,324 | |
Series 2022-B36 Class D, 2.5% 7/15/55 (b) | 1,872,000 | 960,903 | |
Series 2022-B37 Class C, 5.7513% 11/15/55 (c) | 2,090,000 | 1,873,562 | |
BHP Trust floater Series 2019-BXHP Class F, 1 month U.S. LIBOR + 2.930% 7.526% 8/15/36 (b)(c)(f) | 1,165,500 | 1,096,682 | |
Bmo 2023-C4 Mtg Trust Series 2023-C4: | |||
Class B, 5.3965% 2/15/56 (c) | 1,186,000 | 1,172,289 | |
Class C, 5.8636% 2/15/56 (c) | 1,147,000 | 1,039,530 | |
BMO Mortgage Trust Series 2022-C1: | |||
Class 360D, 3.9387% 2/17/55 (b)(c)(e) | 1,638,000 | 955,683 | |
Class 360E, 3.9387% 2/17/55 (b)(c) | 1,970,000 | 1,245,322 | |
Bx 2021-Xl2 floater Series 2021-XL2 Class J, 1 month U.S. LIBOR + 3.890% 8.478% 10/15/38 (b)(c)(f) | 3,486,302 | 3,242,889 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-MC Class G, 1 month U.S. LIBOR + 3.080% 7.6748% 4/15/34 (b)(c)(f) | 1,572,000 | 1,351,215 | |
Series 2021-PAC Class G, 1 month U.S. LIBOR + 2.940% 7.5341% 10/15/36 (b)(c)(f) | 3,192,000 | 3,027,465 | |
Series 2021-VINO: | |||
Class F, 1 month U.S. LIBOR + 2.800% 7.3903% 5/15/38 (b)(c)(f) | 3,427,000 | 3,238,618 | |
Class G, 1 month U.S. LIBOR + 3.950% 8.5403% 5/15/38 (b)(c)(f) | 4,994,000 | 4,733,082 | |
Series 2020-VIVA: | |||
Class D, 3.5488% 3/11/44 (b)(c) | 9,422,000 | 7,503,800 | |
Class E, 3.5488% 3/11/44 (b)(c) | 8,563,000 | 6,622,704 | |
Bx Commercial Mortgage Trust 2 floater Series 2022-LP2 Class G, CME Term SOFR 1 Month Index + 4.100% 8.6683% 2/15/39 (b)(c)(f) | 3,489,818 | 3,337,511 | |
BX Trust: | |||
floater: | |||
Series 2017-APPL Class F, 1 month U.S. LIBOR + 4.250% 8.963% 7/15/34 (b)(c)(f) | 1,530,940 | 1,516,528 | |
Series 2019-IMC Class G, 1 month U.S. LIBOR + 3.600% 8.188% 4/15/34 (b)(c)(f) | 3,255,000 | 3,062,084 | |
Series 2019-XL Class J, CME Term SOFR 1 Month Index + 2.760% 7.327% 10/15/36 (b)(c)(f) | 17,517,650 | 17,072,936 | |
Series 2021-ACNT Class G, 1 month U.S. LIBOR + 3.290% 7.883% 11/15/38 (b)(c)(f) | 2,541,000 | 2,416,381 | |
Series 2021-BXMF Class G, 1 month U.S. LIBOR + 3.340% 7.9375% 10/15/26 (b)(c)(f) | 4,374,000 | 4,085,753 | |
Series 2021-LBA Class GJV, 1 month U.S. LIBOR + 3.000% 7.588% 2/15/36 (b)(c)(f) | 1,033,000 | 950,878 | |
Series 2021-MFM1: | |||
Class F, CME Term SOFR 1 Month Index + 3.110% 7.6765% 1/15/34 (b)(c)(f) | 754,141 | 727,475 | |
Class G, CME Term SOFR 1 Month Index + 4.010% 8.5765% 1/15/34 (b)(c)(f) | 377,070 | 357,062 | |
Series 2021-SOAR: | |||
Class G, 7.388% 6/15/38 (b)(c) | 3,157,084 | 2,996,873 | |
Class J, 8.338% 6/15/38 (b)(c) | 2,977,445 | 2,841,300 | |
Series 2021-VOLT Class G, 1 month U.S. LIBOR + 2.850% 7.4379% 9/15/36 (b)(c)(f) | 2,448,000 | 2,350,257 | |
Series 2022-LBA6: | |||
Class F, CME Term SOFR 1 Month Index + 3.350% 7.9125% 1/15/39 (b)(c)(f) | 4,315,000 | 4,044,590 | |
Class G, CME Term SOFR 1 Month Index + 4.200% 8.7625% 1/15/39 (b)(c)(f) | 1,381,000 | 1,310,802 | |
floater sequential payer Series 2021-LGCY Class J, 1 month U.S. LIBOR + 3.190% 7.781% 10/15/36 (b)(c)(f) | 1,390,000 | 1,267,743 | |
sequential payer Series 2019-OC11 Class A, 3.202% 12/9/41 (b) | 4,453,000 | 3,835,554 | |
Series 2019-OC11 Class E, 3.944% 12/9/41 (b)(c) | 12,933,000 | 10,317,934 | |
BXP Trust Series 2021-601L Class E, 2.7755% 1/15/44 (b)(c) | 709,000 | 423,964 | |
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class F, 9.892% 3/15/35 (b)(c) | 2,283,000 | 2,251,789 | |
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (b)(c) | 3,093,000 | 2,128,290 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 7.838% 12/15/37 (b)(c)(f) | 11,968,000 | 11,672,253 | |
Camb Commercial Mortgage Trust Series 2021-CX2 Class D, 2.7712% 11/10/46 (b)(c) | 736,000 | 518,971 | |
CD Mortgage Trust Series 2017-CD3 Class D, 3.25% 2/10/50 (b) | 4,073,000 | 2,610,159 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC15 Class D, 5.1699% 9/10/46 (b)(c) | 7,323,000 | 6,918,858 | |
Series 2016-C3 Class D, 3% 11/15/49 (b) | 4,412,000 | 2,743,647 | |
Series 2019-GC41: | |||
Class D, 3% 8/10/56 (b) | 2,273,000 | 1,412,701 | |
Class E, 3% 8/10/56 (b) | 1,848,000 | 1,066,126 | |
Series 2019-GC43 Class E, 3% 11/10/52 (b) | 2,772,000 | 1,636,116 | |
Series 2020-420K Class E, 3.3118% 11/10/42 (b)(c) | 2,081,000 | 1,512,224 | |
Series 2020-GC46: | |||
Class D, 2.6% 2/15/53 (b) | 2,756,000 | 1,700,968 | |
Class E, 2.6% 2/15/53 (b) | 329,000 | 185,560 | |
Series 2022-GC48: | |||
Class D, 2.5% 6/15/55 (b) | 3,129,000 | 1,678,224 | |
Class E, 2.5% 6/15/55 (b) | 2,562,000 | 1,226,118 | |
Cologix Data Centers U.S. Issuer, LLC / Cologix Data Centers U.S. Co.-Issuer, LLC Series 2021-1A Class C, 5.99% 12/26/51 (b) | 1,500,000 | 1,255,719 | |
COMM Mortgage Trust: | |||
floater Series 2018-HCLV Class G, 1 month U.S. LIBOR + 5.150% 9.7443% 9/15/33 (b)(c)(f) | 1,487,000 | 1,144,013 | |
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 2,840,000 | 2,342,829 | |
Series 2012-CR1: | |||
Class D, 5.3443% 5/15/45 (b)(c) | 7,226,000 | 5,057,744 | |
Class G, 2.462% 5/15/45 (b)(e) | 2,322,000 | 667,190 | |
Series 2013-CR10 Class D, 4.8612% 8/10/46 (b)(c) | 3,673,000 | 3,517,624 | |
Series 2014-CR15 Class D, 4.6718% 2/10/47 (b)(c) | 1,060,000 | 999,720 | |
Series 2014-CR17 Class E, 4.8448% 5/10/47 (b)(c) | 589,000 | 417,144 | |
Series 2014-UBS2 Class D, 4.9813% 3/10/47 (b)(c) | 3,454,000 | 3,088,585 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(c) | 4,405,000 | 3,674,398 | |
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) | 3,969,000 | 2,850,798 | |
Series 2019-CD4 Class C, 4.3497% 5/10/50 (c) | 1,920,000 | 1,531,598 | |
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) | 1,146,000 | 816,009 | |
Commercial Mortgage Trust Series 2016-CD2 Class D, 2.7299% 11/10/49 (c) | 1,680,000 | 945,843 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class D, 4.8719% 8/15/45 (b)(c) | 311,084 | 286,983 | |
Class E, 4.8719% 8/15/45 (b)(c) | 5,385,400 | 4,460,695 | |
Class F, 4.25% 8/15/45 (b) | 7,162,000 | 5,070,892 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b)(e) | 1,556,000 | 776,192 | |
Core Industrial Trust floater Series 2019-CORE Class E, 1 month U.S. LIBOR + 1.900% 6.488% 12/15/31 (b)(c)(f) | 2,385,600 | 2,215,939 | |
CPT Mortgage Trust sequential payer Series 2019-CPT: | |||
Class E, 2.9968% 11/13/39 (b)(c) | 1,785,000 | 1,170,723 | |
Class F, 2.9968% 11/13/39 (b)(c) | 2,772,000 | 1,719,648 | |
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, 1 month U.S. LIBOR + 4.210% 8.8047% 6/15/34 (b)(f) | 2,561,600 | 2,295,998 | |
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b) | 914 | 913 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2021-4SZN Class A, CME Term SOFR 1 Month Index + 3.960% 8.5295% 11/15/23 (b)(c)(f) | 7,098,000 | 6,975,716 | |
Series 2019-UVIL Class E, 3.2833% 12/15/41 (b)(c) | 2,289,000 | 1,513,607 | |
Series 2020-NET Class F, 3.7042% 8/15/37 (b)(c) | 918,000 | 773,309 | |
Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 8.1357% 5/15/23 (b)(c)(f) | 3,269,728 | 3,085,229 | |
CRSNT Trust floater Series 2021-MOON: | |||
Class F, 1 month U.S. LIBOR + 3.500% 8.09% 4/15/36 (b)(c)(f) | 840,000 | 749,266 | |
Class G, 1 month U.S. LIBOR + 4.500% 9.09% 4/15/36 (b)(c)(f) | 493,000 | 438,882 | |
CSAIL Commercial Mortgage Trust Series 2017-C8 Class D, 4.4374% 6/15/50 (b)(c) | 3,902,000 | 2,762,260 | |
DBGS Mortgage Trust: | |||
Series 2018-C1: | |||
Class C, 4.6317% 10/15/51 (c) | 777,000 | 670,736 | |
Class D, 2.8817% 10/15/51 (b)(c) | 3,459,000 | 2,359,096 | |
Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(c) | 1,000,000 | 624,155 | |
DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/45 (b)(c) | 1,029,000 | 663,758 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class J, 1 month U.S. LIBOR + 3.610% 8.2029% 11/15/38 (b)(c)(f) | 4,570,000 | 4,319,736 | |
Extended Stay America Trust floater Series 2021-ESH Class F, 1 month U.S. LIBOR + 3.700% 8.288% 7/15/38 (b)(c)(f) | 1,509,193 | 1,454,356 | |
GS Mortgage Securities Corp. II Series 2010-C1 Class B, 5.148% 8/10/43 (b) | 176,069 | 174,462 | |
GS Mortgage Securities Corp. Trust floater Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 7.238% 10/15/36 (b)(c)(f) | 2,550,000 | 2,325,675 | |
GS Mortgage Securities Trust: | |||
sequential payer Series 2019-GSA1 Class A4, 3.0479% 11/10/52 | 2,965,000 | 2,593,756 | |
Series 2011-GC5: | |||
Class D, 5.1538% 8/10/44 (b)(c) | 1,929,752 | 800,391 | |
Class E, 5.1538% 8/10/44 (b)(c)(e) | 2,432,000 | 222,375 | |
Class F, 4.5% 8/10/44 (b)(e) | 4,308,000 | 15,110 | |
Series 2012-GCJ9 Class D, 4.6117% 11/10/45 (b)(c) | 3,737,992 | 3,457,434 | |
Series 2013-GC12 Class D, 4.2984% 6/10/46 (b)(c) | 869,000 | 850,503 | |
Series 2013-GC16: | |||
Class D, 5.3111% 11/10/46 (b)(c) | 3,923,000 | 3,710,094 | |
Class F, 3.5% 11/10/46 (b) | 2,530,000 | 2,314,116 | |
Series 2016-GS2 Class D, 2.753% 5/10/49 (b) | 2,058,050 | 1,536,138 | |
Series 2017-GS6 Class D, 3.243% 5/10/50 (b) | 4,676,000 | 3,316,569 | |
Series 2019-GC38 Class D, 3% 2/10/52 (b) | 1,162,000 | 798,908 | |
Series 2019-GC39 Class D, 3% 5/10/52 (b) | 2,830,000 | 1,832,430 | |
Series 2019-GC40 Class D, 3% 7/10/52 (b) | 2,079,000 | 1,374,637 | |
Series 2019-GC42: | |||
Class C, 3.6926% 9/10/52 (c) | 831,000 | 673,182 | |
Class D, 2.8% 9/10/52 (b) | 4,807,000 | 2,952,327 | |
Class E, 2.8% 9/10/52 (b) | 2,519,000 | 1,430,097 | |
Series 2019-GS5 Class C, 4.299% 3/10/50 (c) | 2,499,000 | 2,129,538 | |
Series 2019-GSA1 Class E, 2.8% 11/10/52 (b) | 1,655,000 | 974,572 | |
Series 2020-GC45: | |||
Class D, 2.85% 2/13/53 (b) | 2,289,000 | 1,444,987 | |
Class SWD, 3.2185% 12/13/39 (b)(c) | 1,764,000 | 1,130,128 | |
Series 2020-GC47 Class D, 3.4543% 5/12/53 (b)(c) | 756,000 | 501,504 | |
Hilton U.S.A. Trust Series 2016-HHV: | |||
Class E, 4.1935% 11/5/38 (b)(c) | 3,079,000 | 2,724,920 | |
Class F, 4.1935% 11/5/38 (b)(c) | 5,977,000 | 5,120,457 | |
Home Partners of America Trust Series 2019-1: | |||
Class E, 3.604% 9/17/39 (b) | 1,309,200 | 1,147,872 | |
Class F, 4.101% 9/17/39 (b) | 212,434 | 186,282 | |
Hudson Yards Mortgage Trust: | |||
Series 2019-30HY Class E, 3.4431% 7/10/39 (b)(c) | 1,947,000 | 1,486,554 | |
Series 2019-55HY Class F, 2.9428% 12/10/41 (b)(c) | 1,617,000 | 1,117,211 | |
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) | 2,083,000 | 1,937,526 | |
Intown Mortgage Trust floater Series 2022-STAY Class E, CME Term SOFR 1 Month Index + 5.030% 9.5934% 8/15/39 (b)(c)(f) | 1,623,000 | 1,618,941 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) | 604,000 | 432,700 | |
Series 2014-C26 Class D, 3.8741% 1/15/48 (b)(c) | 2,329,000 | 1,875,700 | |
Series 2015-C32 Class C, 4.6544% 11/15/48 (c) | 1,500,000 | 1,086,773 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3832% 12/15/49 (b)(c) | 2,418,000 | 1,648,981 | |
JPMDB Commercial Mortgage Securities Trust: | |||
Series 2017-C7 Class D, 3% 10/15/50 (b) | 3,285,000 | 2,224,886 | |
Series 2018-C8 Class D, 3.3106% 6/15/51 (b)(c) | 1,171,000 | 768,511 | |
Series 2019-COR6: | |||
Class D, 2.5% 11/13/52 (b) | 1,354,000 | 765,695 | |
Class E, 2.5% 11/13/52 (b) | 2,582,000 | 1,361,886 | |
Series 2020-COR7 Class D, 1.75% 5/13/53 (b) | 1,535,000 | 865,285 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2019-MFP Class F, 1 month U.S. LIBOR + 3.000% 7.588% 7/15/36 (b)(c)(f) | 777,000 | 734,002 | |
Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.450% 7.038% 4/15/38 (b)(c)(f) | 3,060,000 | 2,965,283 | |
Series 2011-C3: | |||
Class E, 5.5253% 2/15/46 (b)(c) | 3,008,000 | 1,211,230 | |
Class G, 4.409% 2/15/46 (b)(c) | 1,082,000 | 95,705 | |
Class H, 4.409% 2/15/46 (b)(c)(e) | 2,622,000 | 219,807 | |
Series 2012-CBX: | |||
Class E, 4.6897% 6/15/45 (b)(c) | 2,674,826 | 2,231,876 | |
Class F, 4% 6/15/45 (b)(e) | 3,743,000 | 1,331,744 | |
Class G 4% 6/15/45 (b) | 4,129,000 | 949,036 | |
Series 2013-LC11: | |||
Class D, 4.2869% 4/15/46 (c)(e) | 3,677,000 | 2,737,319 | |
Class E, 3.25% 4/15/46 (b)(c) | 104,000 | 49,422 | |
Class F, 3.25% 4/15/46 (b)(c)(e) | 5,894,000 | 838,127 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(c)(e) | 3,213,000 | 8,025 | |
Class E, 3.8046% 6/10/27 (b)(c)(e) | 4,232,000 | 10,434 | |
Series 2018-AON Class F, 4.6132% 7/5/31 (b)(c)(e) | 2,150,000 | 1,204,000 | |
Series 2019-OSB Class E, 3.7828% 6/5/39 (b)(c) | 2,350,000 | 1,830,331 | |
Series 2020-NNN: | |||
Class EFX, 3.972% 1/16/37 (b) | 2,771,000 | 2,237,604 | |
Class FFX, 4.6254% 1/16/37 (b) | 2,388,000 | 1,858,802 | |
Class GFX, 4.6882% 1/16/37 (b)(c) | 942,000 | 694,809 | |
KNDL Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 6.588% 5/15/36 (b)(c)(f) | 5,600,000 | 5,416,951 | |
KNDR Trust floater Series 2021-KIND Class F, 1 month U.S. LIBOR + 3.950% 8.538% 8/15/38 (b)(c)(f) | 4,439,911 | 4,049,550 | |
La Quita Mortgage Trust floater Series 2022-LAQ Class F, CME Term SOFR 1 Month Index + 5.970% 10.5327% 3/15/39 (b)(c)(f) | 1,764,000 | 1,715,041 | |
Liberty Street Trust Series 2016-225L Class E, 4.6485% 2/10/36 (b)(c) | 2,063,000 | 1,708,078 | |
LIFE Mortgage Trust floater Series 2021-BMR Class G, 1 month U.S. LIBOR + 2.950% 7.538% 3/15/38 (b)(c)(f) | 11,211,758 | 10,790,238 | |
Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (b)(c) | 1,976,000 | 1,089,540 | |
MED Trust floater Series 2021-MDLN Class G, 1 month U.S. LIBOR + 5.250% 9.838% 11/15/38 (b)(c)(f) | 7,750,973 | 7,264,889 | |
Merit floater Series 2021-STOR: | |||
Class G, 1 month U.S. LIBOR + 2.750% 7.338% 7/15/38 (b)(c)(f) | 735,000 | 696,321 | |
Class J, 1 month U.S. LIBOR + 3.950% 8.538% 7/15/38 (b)(c)(f) | 1,847,000 | 1,759,418 | |
MHC Commercial Mortgage Trust floater Series 2021-MHC Class G, 1 month U.S. LIBOR + 3.200% 7.789% 4/15/38 (b)(c)(f) | 14,000,000 | 13,403,747 | |
MHC Trust floater Series 2021-MHC2 Class F, 1 month U.S. LIBOR + 2.400% 6.988% 5/15/38 (b)(c)(f) | 3,850,000 | 3,652,201 | |
MHP Commercial Mortgage Trust floater Series 2022-MHIL Class G, CME Term SOFR 1 Month Index + 3.950% 8.52% 1/15/27 (b)(c)(f) | 2,285,341 | 2,164,176 | |
MOFT Trust Series 2020-ABC: | |||
Class D, 3.4767% 2/10/42 (b)(c) | 1,144,000 | 745,499 | |
Class E, 3.4767% 2/10/42 (b)(c) | 841,000 | 518,234 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 | 1,666,000 | 1,410,320 | |
Series 2012-C5 Class E, 4.6588% 8/15/45 (b)(c) | 889,000 | 800,535 | |
Series 2012-C6 Class D, 4.5397% 11/15/45 (b)(c) | 3,633,000 | 3,144,524 | |
Series 2012-C6, Class F, 4.5397% 11/15/45 (b)(c) | 1,575,000 | 1,150,600 | |
Series 2013-C12 Class D, 4.9159% 10/15/46 (b)(c) | 3,996,000 | 3,376,382 | |
Series 2013-C13: | |||
Class D, 4.8899% 11/15/46 (b)(c) | 5,150,000 | 4,773,228 | |
Class E, 4.8899% 11/15/46 (b)(c) | 1,666,000 | 1,462,777 | |
Series 2013-C8 Class D, 3.9933% 12/15/48 (b)(c) | 146,257 | 140,407 | |
Series 2013-C9: | |||
Class D, 4.0891% 5/15/46 (b)(c) | 4,440,000 | 3,557,398 | |
Class E, 4.0891% 5/15/46 (b)(c) | 1,594,370 | 1,197,789 | |
Series 2016-C30 Class D, 3% 9/15/49 (b) | 798,000 | 497,613 | |
Series 2017-C33 Class D, 3.356% 5/15/50 (b) | 2,932,000 | 2,096,971 | |
Morgan Stanley Capital I Trust: | |||
Series 1998-CF1 Class G, 7.35% 7/15/32 (b)(c) | 4,771 | 4,728 | |
Series 2011-C2: | |||
Class D, 5.2113% 6/15/44 (b)(c) | 3,789,829 | 3,552,084 | |
Class F, 5.2113% 6/15/44 (b)(c)(e) | 3,015,000 | 1,927,258 | |
Series 2011-C3: | |||
Class C, 5.0824% 7/15/49 (b)(c) | 292,026 | 289,275 | |
Class D, 5.0824% 7/15/49 (b)(c) | 8,074,000 | 7,863,830 | |
Class E, 5.0824% 7/15/49 (b)(c)(e) | 2,610,000 | 2,255,514 | |
Class F, 5.0824% 7/15/49 (b)(c) | 984,000 | 610,494 | |
Class G, 5.0824% 7/15/49 (b)(c)(e) | 3,536,800 | 1,963,857 | |
Series 2012-C4 Class D, 5.1638% 3/15/45 (b)(c) | 839,835 | 790,342 | |
Series 2015-MS1 Class D, 4.024% 5/15/48 (b)(c) | 4,300,000 | 3,497,538 | |
Series 2016-BNK2 Class C, 3% 11/15/49 (b) | 4,506,000 | 3,183,842 | |
Series 2017-H1 Class D, 2.546% 6/15/50 (b) | 5,262,000 | 3,625,723 | |
Series 2017-HR2 Class D, 2.73% 12/15/50 | 586,000 | 394,771 | |
Series 2018-MP Class E, 4.276% 7/11/40 (b)(c) | 3,059,000 | 2,184,321 | |
Series 2020-CNP Class D, 2.4276% 4/5/42 (b)(c) | 1,043,000 | 672,215 | |
MSCCG Trust floater sequential payer Series 2018-SELF Class F, 1 month U.S. LIBOR + 3.050% 7.638% 10/15/37 (b)(c)(f) | 935,805 | 911,506 | |
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(c) | 1,014,000 | 686,724 | |
Natixis Commercial Mortgage Securities Trust: | |||
floater Series 2018-FL1 Class WAN2, 1 month U.S. LIBOR + 3.750% 8.3379% 6/15/35 (b)(c)(f) | 222,000 | 169,242 | |
Series 2018-TECH: | |||
Class E, 1 month U.S. LIBOR + 2.400% 6.988% 11/15/34 (b)(c)(f) | 638,000 | 609,158 | |
Class F, 1 month U.S. LIBOR + 3.150% 7.738% 11/15/34 (b)(c)(f) | 96,000 | 92,907 | |
Class G, 1 month U.S. LIBOR + 4.150% 8.738% 11/15/34 (b)(c)(f) | 572,000 | 538,179 | |
Series 2019-10K: | |||
Class E, 4.1346% 5/15/39 (b)(c) | 2,293,000 | 1,777,681 | |
Class F, 4.1346% 5/15/39 (b)(c) | 3,014,000 | 2,186,979 | |
Series 2020-2PAC: | |||
Class AMZ2, 3.5% 1/15/37 (b)(c) | 1,754,950 | 1,519,026 | |
Class AMZ3, 3.5% 1/15/37 (b)(c) | 822,675 | 696,453 | |
OPG Trust floater Series 2021-PORT: | |||
Class G, 1 month U.S. LIBOR + 2.390% 6.986% 10/15/36 (b)(c)(f) | 912,918 | 867,740 | |
Class J, 1 month U.S. LIBOR + 3.340% 7.934% 10/15/36 (b)(c)(f) | 1,516,733 | 1,427,844 | |
PKHL Commercial Mortgage Trust floater Series 2021-MF: | |||
Class F, 1 month U.S. LIBOR + 3.350% 7.938% 7/15/38 (b)(c)(f) | 2,225,000 | 2,054,657 | |
Class NR, 1 month U.S. LIBOR + 6.000% 10.588% 7/15/38 (b)(c)(f) | 631,000 | 569,487 | |
Prima Capital Ltd. floater Series 2021-9A Class C, 1 month U.S. LIBOR + 2.350% 6.9479% 12/15/37 (b)(c)(f) | 1,000,000 | 937,065 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,480,867 | 1,509,078 | |
SFO Commercial Mortgage Trust floater Series 2021-555 Class F, 1 month U.S. LIBOR + 3.650% 8.238% 5/15/38 (b)(c)(f) | 1,383,000 | 1,129,148 | |
SG Commercial Mortgage Securities Trust: | |||
Series 2019-PREZ Class F, 3.4771% 9/15/39 (b)(c) | 3,206,000 | 2,332,570 | |
Series 2020-COVE: | |||
Class F, 3.7276% 3/15/37 (b)(c) | 3,855,000 | 3,361,569 | |
Class G, 3.7276% 3/15/37 (b)(c) | 1,782,000 | 1,497,399 | |
SLG Office Trust Series 2021-OVA Class G, 2.8506% 7/15/41 (b) | 8,069,000 | 5,087,695 | |
SMRT Commercial Mortgage Trust floater Series 2022-MINI Class F, CME Term SOFR 1 Month Index + 3.350% 7.913% 1/15/39 (b)(c)(f) | 3,360,000 | 3,115,991 | |
SOHO Trust Series 2021-SOHO Class D, 2.6966% 8/10/38 (b)(c) | 2,499,000 | 1,624,837 | |
SREIT Trust floater: | |||
Series 2021-IND Class G, 1 month U.S. LIBOR + 3.260% 7.8538% 10/15/38 (b)(c)(f) | 3,339,000 | 3,113,606 | |
Series 2021-MFP: | |||
Class E, 1 month U.S. LIBOR + 2.020% 6.6147% 11/15/38 (b)(c)(f) | 3,297,000 | 3,189,603 | |
Class F, 1 month U.S. LIBOR + 2.620% 7.2128% 11/15/38 (b)(c)(f) | 1,405,000 | 1,355,714 | |
Series 2021-MFP2: | |||
Class G, 1 month U.S. LIBOR + 2.960% 7.5555% 11/15/36 (b)(c)(f) | 3,024,000 | 2,887,617 | |
Class J, 1 month U.S. LIBOR + 3.910% 8.5035% 11/15/36 (b)(c)(f) | 1,803,000 | 1,710,552 | |
STWD Trust floater sequential payer Series 2021-LIH: | |||
Class F, 1 month U.S. LIBOR + 3.550% 8.139% 11/15/36 (b)(c)(f) | 3,319,000 | 3,148,260 | |
Class G, 1 month U.S. LIBOR + 4.200% 8.788% 11/15/36 (b)(c)(f) | 1,134,000 | 1,070,485 | |
TPGI Trust floater Series 2021-DGWD Class G, 1 month U.S. LIBOR + 3.850% 8.44% 6/15/26 (b)(c)(f) | 1,008,000 | 969,216 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1: | |||
Class E, 5% 5/10/45 (b)(c)(e) | 1,861,258 | 725,519 | |
Class F, 5% 5/10/45 (b)(c)(e) | 2,484,000 | 118,902 | |
Series 2018-C8 Class C, 4.6852% 2/15/51 (c) | 756,000 | 649,490 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(c) | 2,090,000 | 1,892,100 | |
Series 2012-WRM Class C, 4.238% 6/10/30 (b)(c) | 890,000 | 849,920 | |
VASA Trust: | |||
floater Series 2021-VASA Class G, 1 month U.S. LIBOR + 5.000% 9.588% 7/15/39 (b)(c)(f) | 693,000 | 618,766 | |
floater sequential payer Series 2021-VASA Class F, 1 month U.S. LIBOR + 3.900% 8.488% 7/15/39 (b)(c)(f) | 3,009,000 | 2,711,155 | |
VMC Finance Ltd. floater Series 2021-HT1 Class B, 1 month U.S. LIBOR + 4.500% 9.0913% 1/18/37 (b)(c)(f) | 9,895,000 | 9,336,939 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-SAVE Class E, 1 month U.S. LIBOR + 3.650% 8.238% 2/15/40 (b)(c)(f) | 511,779 | 458,788 | |
sequential payer: | |||
Series 2020-C57 Class D, 2.5% 8/15/53 (b) | 2,108,000 | 1,265,294 | |
Series 2020-C58 Class A4, 2.092% 7/15/53 | 2,745,000 | 2,204,404 | |
Series 2015-NXS4 Class D, 3.6855% 12/15/48 (c) | 1,834,000 | 1,537,642 | |
Series 2016-BNK1 Class D, 3% 8/15/49 (b) | 1,526,000 | 893,897 | |
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) | 1,250,000 | 918,226 | |
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) | 1,824,000 | 1,118,976 | |
Series 2018-C44 Class D, 3% 5/15/51 (b) | 3,949,000 | 2,613,658 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (c)(e) | 1,252,600 | 74,004 | |
Series 2011-C3: | |||
Class D, 5.3781% 3/15/44 (b)(c)(e) | 3,921,839 | 1,470,689 | |
Class E, 5% 3/15/44 (b)(e) | 1,258,000 | 6,246 | |
Class F, 5% 3/15/44 (b)(e) | 1,340,613 | 107 | |
Series 2011-C4: | |||
Class D, 4.845% 6/15/44 (b)(c) | 1,616,000 | 1,430,160 | |
Class E, 4.845% 6/15/44 (b)(c) | 1,274,000 | 1,020,024 | |
Series 2011-C5: | |||
Class E, 5.5721% 11/15/44 (b)(c) | 1,687,020 | 1,599,758 | |
Class F, 5.25% 11/15/44 (b)(c) | 3,930,000 | 3,561,650 | |
Class G, 5.25% 11/15/44 (b)(c) | 1,255,150 | 1,086,012 | |
Series 2013-C11 Class E, 4.1202% 3/15/45 (b)(c) | 4,999,000 | 3,899,220 | |
Series 2013-C13 Class D, 4.1749% 5/15/45 (b)(c) | 1,499,000 | 1,350,211 | |
Series 2013-C16 Class D, 4.987% 9/15/46 (b)(c) | 668,000 | 615,220 | |
WFCM: | |||
Series 2022-C62 Class D, 2.5% 4/15/55 (b) | 2,352,000 | 1,167,050 | |
Series 2022-C62, Class A4, 4% 4/15/55 | 2,074,000 | 1,900,429 | |
Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/36 (b)(c) | 1,695,000 | 788,175 | |
WP Glimcher Mall Trust Series 2015-WPG: | |||
Class PR1, 3.516% 6/5/35 (b)(c) | 1,638,000 | 1,321,827 | |
Class PR2, 3.516% 6/5/35 (b)(c) | 4,354,000 | 3,312,667 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $712,548,893) | 603,823,333 | ||
Common Stocks - 0.0% | |||
Shares | Value ($) | ||
Diversified Financial Services - 0.0% | |||
Cyxtera Technologies, Inc. Class A (h) (Cost $919,192) | 92,200 | 206,528 | |
Preferred Stocks - 2.0% | |||
Shares | Value ($) | ||
Convertible Preferred Stocks - 0.2% | |||
Homebuilders/Real Estate - 0.2% | |||
RLJ Lodging Trust Series A, 1.95% | 45,550 | 1,131,918 | |
Nonconvertible Preferred Stocks - 1.8% | |||
Diversified Financial Services - 0.5% | |||
AGNC Investment Corp. Series E, 6.50% (c) | 87,792 | 1,970,052 | |
MFA Financial, Inc. Series B, 7.50% | 65,525 | 1,302,637 | |
3,272,689 | |||
Homebuilders/Real Estate - 1.3% | |||
Arbor Realty Trust, Inc. Series F, 6.25% (c) | 92,000 | 1,966,040 | |
Digitalbridge Group, Inc.: | |||
Series H, 7.125% | 59,229 | 1,269,277 | |
Series I, 7.15% | 71,600 | 1,539,400 | |
Dynex Capital, Inc. Series C 6.90% (c) | 57,707 | 1,309,372 | |
Franklin BSP Realty Trust, Inc. 7.50% | 37,175 | 789,597 | |
Rexford Industrial Realty, Inc. Series B, 5.875% | 89,500 | 2,112,200 | |
8,985,886 | |||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 12,258,575 | ||
TOTAL PREFERRED STOCKS (Cost $14,609,346) | 13,390,493 | ||
Bank Loan Obligations - 2.5% | |||
Principal Amount (a) | Value ($) | ||
Diversified Financial Services - 2.5% | |||
Agellan Portfolio 9% 8/7/25 (e)(i) | 908,000 | 908,000 | |
Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 9.5625% 1/9/24 (c)(e)(f)(i) | 4,858,250 | 4,615,338 | |
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 9.1322% 1/21/27 (c)(e)(f)(i) | 2,792,918 | 2,792,918 | |
Veritas Multifamily Portfolio 1 month U.S. LIBOR + 0.000% 0% 11/15/23 (e)(f)(i)(j) | 11,130,675 | 8,804,364 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $19,686,433) | 17,120,620 | ||
Preferred Securities - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Homebuilders/Real Estate - 0.0% | |||
Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (b)(e) | 3,000,000 | 0 | |
Crest Dartmouth Street 2003-1 Ltd. Series 2003-1A Class PS, 6/28/38 (b)(e) | 3,100,000 | 31 | |
TOTAL PREFERRED SECURITIES (Cost $6,004,704) | 31 | ||
Money Market Funds - 1.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.63% (k) (Cost $8,273,861) | 8,272,207 | 8,273,861 | |
TOTAL INVESTMENT IN SECURITIES - 99.1% (Cost $812,771,446) | 681,084,910 |
NET OTHER ASSETS (LIABILITIES) - 0.9% | 6,011,033 |
NET ASSETS - 100.0% | 687,095,943 |
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 $580,059,609 or 84.4% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | 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. |
(e) | Level 3 security |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $22,220 or 0.0% of net assets. |
(h) | Non-income producing |
(i) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(j) | Non-income producing - Security is in default. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) |
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B4, 3.4331% 6/25/43 | 9/29/03 | 0 |
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B5, 3.4331% 6/25/43 | 9/29/03 | 82 |
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 4.63% | 51,234,326 | 46,267,996 | 89,228,461 | 294,875 | - | - | 8,273,861 | 0.0% |
Total | 51,234,326 | 46,267,996 | 89,228,461 | 294,875 | - | - | 8,273,861 | |
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. Nonconvertible Bonds, 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. 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.
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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.
Credit and Liquidity Risk
The Fund invests a significant portion of its assets in below investment grade securities with contractual cash flows, such as asset backed securities, collateralized mortgage obligations and commercial mortgage backed securities. As these securities have a higher degree of sensitivity to changes in economic conditions, including real estate values, the risk of default is higher, and the liquidity and/or value of such securities may be adversely affected.
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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