Quarterly Holdings Report
for
Fidelity® Real Estate High Income Fund
February 29, 2024
REHI-NPRT1-0424
1.814099.119
| Nonconvertible Bonds - 2.5% | |||
Principal Amount (a) | Value ($) | ||
| Homebuilders/Real Estate - 2.3% | |||
| American Tower Corp.: | |||
| 4.05% 3/15/32 | 1,785,000 | 1,623,633 | |
| 5.65% 3/15/33 | 2,000,000 | 2,012,978 | |
| Invitation Homes Operating Partnership LP 5.5% 8/15/33 | 2,455,000 | 2,424,899 | |
| NNN (REIT), Inc. 5.6% 10/15/33 | 2,485,000 | 2,478,179 | |
| Safehold Operating Partnership LP 6.1% 4/1/34 | 1,420,000 | 1,405,189 | |
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 10.5% 2/15/28 (b) | 1,635,000 | 1,692,385 | |
TOTAL HOMEBUILDERS/REAL ESTATE | 11,637,263 | ||
| Hotels - 0.2% | |||
| Times Square Hotel Trust 8.528% 8/1/26 (b) | 1,086,094 | 1,082,442 | |
| TOTAL NONCONVERTIBLE BONDS (Cost $12,577,047) | 12,719,705 | ||
| Asset-Backed Securities - 2.0% | |||
Principal Amount (a) | Value ($) | ||
| American Homes 4 Rent Series 2015-SFR2 Class XS, 0% 10/17/52 (b)(c)(d)(e) | 2,506,006 | 25 | |
| Capital Trust RE CDO Ltd. Series 2005-1A: | |||
| Class D, CME Term SOFR 1 Month Index + 1.610% 6.9511% 3/20/50 (b)(c)(e)(f) | 750,000 | 0 | |
| Class E, CME Term SOFR 1 Month Index + 2.210% 7.5511% 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% 8.9627% (b)(c)(e)(f)(g) | 3,078,262 | 0 | |
| Home Partners of America Trust: | |||
| Series 2019-2 Class F, 3.866% 10/19/39 (b) | 2,027,245 | 1,775,184 | |
| Series 2021-1 Class F, 3.325% 9/17/41 (b) | 886,824 | 698,910 | |
| Series 2021-2 Class G, 4.505% 12/17/26 (b) | 5,324,448 | 4,668,219 | |
| Series 2021-3 Class F, 4.242% 1/17/41 (b) | 1,217,266 | 1,039,897 | |
| Retained Vantage Data Ctrs Iss Series 2023-2A Class A2, 5.05% 9/15/48 (b) | 1,250,000 | 1,136,056 | |
| Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, CME Term SOFR 3 Month Index + 4.760% 10.0342% (b)(c)(e)(f)(g) | 6,610,081 | 1 | |
| Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b) | 672,000 | 601,044 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $17,687,733) | 9,919,336 | ||
| Collateralized Mortgage Obligations - 0.3% | |||
Principal Amount (a) | Value ($) | ||
| Private Sponsor - 0.3% | |||
| COMM Mortgage Trust Series 2015-LC19 Class C, 4.2134% 2/10/48 (c) | 1,587,000 | 1,446,657 | |
| Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(c)(e) | 25,805 | 2,929 | |
TOTAL PRIVATE SPONSOR | 1,449,586 | ||
| U.S. Government Agency - 0.0% | |||
| Fannie Mae REMIC Trust: | |||
| Series 2002-W1 subordinate REMIC pass thru certificates, Class 3B3, 3.6745% 2/25/42 (b)(c)(e) | 20,906 | 8,726 | |
| Series 2002-W6 subordinate REMIC pass thru certificates, Class 3B4, 4.4054% 1/25/42 (b)(c)(e) | 18,395 | 1,587 | |
| Series 2003-W10 subordinate REMIC pass thru certificates: | |||
Class 2B4, 3.8378% 6/25/43 (c)(e)(h) | 73,934 | 22,224 | |
Class 2B5, 3.8378% 6/25/43 (c)(h) | 7,787 | 435 | |
TOTAL U.S. GOVERNMENT AGENCY | 32,972 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,430,795) | 1,482,558 | ||
| Commercial Mortgage Securities - 93.4% | |||
Principal Amount (a) | Value ($) | ||
| BAMLL Commercial Mortgage Securities Trust Series 2015-200P Class F, 3.5958% 4/14/33 (b)(c) | 2,588,000 | 2,398,390 | |
| BANK sequential payer: | |||
| Series 2021-BN35 Class A5, 2.285% 6/15/64 | 2,650,000 | 2,187,124 | |
| Series 2022-BNK39 Class A4, 2.928% 2/15/55 | 1,895,000 | 1,622,443 | |
| Series 2022-BNK42: | |||
Class D, 2.5% 6/15/55 (b) | 1,664,000 | 1,054,409 | |
Class E, 2.5% 6/15/55 (b)(e) | 1,302,000 | 740,770 | |
| Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c) | 2,326,000 | 2,214,613 | |
| Series 2023-BNK45 Class C, 6.2791% 2/15/56 (c) | 990,000 | 993,702 | |
| Bank sequential payer Series 2023-BNK46 Class A4, 5.745% 8/15/56 | 2,458,000 | 2,559,181 | |
| BANK: | |||
| Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) | 2,308,000 | 1,505,452 | |
| Series 2017-BNK8 Class E, 2.8% 11/15/50 (b) | 2,625,000 | 963,980 | |
| Series 2018-BN10: | |||
Class B, 4.078% 2/15/61 (c) | 1,035,000 | 942,162 | |
Class C, 4.163% 2/15/61 (c) | 2,936,000 | 2,607,464 | |
| Series 2019-BN22 Class D, 2.5% 11/15/62 (b) | 2,465,000 | 1,660,359 | |
| Series 2020-BN27 Class D, 2.5% 4/15/63 (b) | 921,000 | 602,065 | |
| Series 2020-BN28: | |||
Class A/S, 2.14% 3/15/63 | 717,000 | 584,102 | |
Class E, 2.5% 3/15/63 (b) | 903,000 | 547,712 | |
| Series 2020-BN30 Class MCDG, 2.9182% 12/15/53 (c)(e) | 3,921,000 | 1,568,667 | |
| Series 2021-BN33 Class B, 2.893% 5/15/64 | 903,000 | 732,643 | |
| Series 2022-BNK43 Class D, 3% 8/15/55 (b) | 2,614,000 | 1,652,907 | |
| Series 2022-BNK44: | |||
Class A/S, 5.7451% 11/15/55 (c) | 1,225,000 | 1,230,553 | |
Class C, 5.7451% 11/15/55 (c) | 5,014,000 | 4,534,824 | |
| Bank Series 2023-BNK46: | |||
| Class B, 6.7735% 8/15/56 (c) | 1,675,000 | 1,784,850 | |
| Class C, 6.7735% 8/15/56 (c) | 738,000 | 748,771 | |
| Bank of America Commercial Mortgage Trust Series 2016-UB10 Class D, 3% 7/15/49 (b) | 726,000 | 558,916 | |
| Bank5 2023-5Yr3 Series 2023-5YR3: | |||
| Class A/S, 7.3154% 9/15/56 (c) | 956,000 | 1,022,906 | |
| Class B, 7.3154% 9/15/56 (c) | 597,000 | 627,973 | |
| Class C, 7.3154% 9/15/56 (c) | 597,000 | 596,425 | |
| Bank5 2023-5Yr4 Series 2023-5YR4 Class C, 7.5344% 12/15/56 (c) | 1,034,000 | 1,034,068 | |
| Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (b) | 726,000 | 502,665 | |
| BBCMS 2021-Agw Mtg Trust sequential payer Series 2024-C24: | |||
| Class B, 5.718% 2/15/57 | 681,000 | 681,861 | |
| Class C, 6% 2/15/57 | 292,000 | 286,631 | |
| BBCMS Mortgage Trust: | |||
| sequential payer: | |||
Series 2020-C8 Class E, 2.25% 10/15/53 (b) | 3,013,000 | 1,626,120 | |
Series 2022-C14 Class A5, 2.946% 2/15/55 | 3,302,000 | 2,822,758 | |
Series 2022-C17: | |||
| Class A5, 4.441% 9/15/55 | 2,719,000 | 2,594,507 | |
| Class D, 2.5% 9/15/55 (b) | 1,200,000 | 715,600 | |
Series 2022-C18 Class A5, 5.71% 12/15/55 | 3,150,000 | 3,280,717 | |
Series 2023-C19 Class A5, 5.451% 4/15/56 | 2,015,000 | 2,063,252 | |
Series 2023-C20 Class A5, 5.576% 7/15/56 | 1,690,000 | 1,747,868 | |
Series 2023-C21 Class A/S, 6.2963% 9/15/56 (c) | 1,196,000 | 1,259,739 | |
Series 2023-C22 Class C, 7.1261% 11/15/56 (c) | 2,851,000 | 2,995,695 | |
| Series 2016-ETC Class D, 3.6089% 8/14/36 (b)(c) | 1,749,000 | 1,431,277 | |
| Series 2020-C7: | |||
Class A/S, 2.444% 4/15/53 | 225,000 | 184,227 | |
Class B, 3.152% 4/15/53 | 853,000 | 685,383 | |
| Series 2022-C15, Class A5, 3.662% 4/15/55 | 3,015,000 | 2,704,597 | |
| Series 2022-C16 Class A5, 4.6% 6/15/55 | 4,573,000 | 4,415,069 | |
| Series 2022-C17 Class B, 4.889% 9/15/55 | 1,491,000 | 1,370,496 | |
| Series 2022-C18, Class B, 6.149% 12/15/55 (c) | 1,890,000 | 1,901,625 | |
| Series 2023 C19 Class B, 6.3326% 4/15/56 (c) | 1,080,000 | 1,073,020 | |
| Series 2023-5C23 Class B, 7.4547% 12/15/56 (c) | 1,469,000 | 1,546,876 | |
| Series 2023-C21 Class C, 6.2963% 9/15/56 (c) | 2,386,000 | 2,268,711 | |
| Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5: | |||
| Class B, 6.0594% 1/10/57 (c) | 702,000 | 704,330 | |
| Class C, 6.9726% 1/10/57 (c) | 856,000 | 873,968 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
Series 2019-B14: | |||
| Class 225D, 3.2943% 12/15/62 (b)(c) | 1,680,000 | 33,752 | |
| Class 225E, 3.2943% 12/15/62 (b)(c)(e) | 1,132,000 | 11,653 | |
Series 2021-B29, Class A5, 2.3879% 9/15/54 | 2,055,000 | 1,693,508 | |
Series 2022-B33 Class A5, 3.4582% 3/15/55 | 2,477,000 | 2,185,394 | |
Series 2023-B39 Class A5, 5.7536% 7/15/56 | 2,714,000 | 2,830,152 | |
Series 2023-C5 Class A5, 5.7653% 6/15/56 | 1,463,000 | 1,526,122 | |
| Series 2018-B7 Class D, 3% 5/15/53 (b)(c) | 833,000 | 589,713 | |
| Series 2019-B12 Class B, 3.5702% 8/15/52 | 1,186,000 | 997,488 | |
| Series 2020-B18: | |||
Class AGNG, 4.3885% 7/15/53 (b)(c) | 4,074,000 | 3,572,529 | |
Class D, 2.25% 7/15/53 (b) | 1,500,000 | 897,914 | |
| Series 2020-B21: | |||
Class A/S, 2.2543% 12/17/53 | 662,000 | 528,485 | |
Class D, 2% 12/17/53 (b)(e) | 1,638,000 | 972,761 | |
| Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(c) | 3,049,000 | 2,084,160 | |
| Series 2021-B25: | |||
Class 300D, 2.9942% 4/15/54 (b)(c) | 6,055,000 | 3,874,679 | |
Class 300E, 2.9942% 4/15/54 (b)(c) | 1,113,000 | 732,723 | |
| Series 2022 B37 Class B, 5.7508% 11/15/55 (c) | 980,000 | 940,518 | |
| Series 2022-B35 Class D, 2.5% 5/15/55 (b)(e) | 3,003,000 | 1,765,530 | |
| Series 2022-B36: | |||
Class A/S, 4.9505% 7/15/55 | 1,190,000 | 1,110,447 | |
Class D, 2.5% 7/15/55 (b) | 1,872,000 | 1,053,866 | |
| Series 2022-B37 Class C, 5.9426% 11/15/55 (c) | 2,090,000 | 1,735,335 | |
| Series 2023 B38 Class B, 6.2446% 4/15/56 (c) | 1,351,000 | 1,349,355 | |
| Series 2023-B39 Class C, 6.5746% 7/15/56 (c) | 1,859,000 | 1,842,307 | |
| Series 2023-V4: | |||
Class B, 7.4604% 11/15/56 (c) | 1,075,000 | 1,135,335 | |
Class C, 7.4604% 11/15/56 (c) | 1,075,000 | 1,100,672 | |
| BLP Commercial Mortgage Trust floater Series 2024-IND2 Class D, CME Term SOFR 1 Month Index + 2.590% 7.8904% 3/15/41 (b)(c)(f) | 968,000 | 968,303 | |
| BMO 2024-5C3 Mortgage Trust Series 2024-5C3: | |||
| Class B, 6.5567% 2/15/57 (c) | 944,000 | 965,504 | |
| Class C, 6.8592% 2/15/57 (c) | 249,000 | 249,708 | |
| BMO Mortgage Trust: | |||
| sequential payer Series 2022-C1 Class A5, 3.374% 2/15/55 | 3,142,000 | 2,769,485 | |
| Series 2022-C1: | |||
Class 360D, 3.9387% 2/17/55 (b)(c)(e) | 1,638,000 | 1,037,063 | |
Class 360E, 3.9387% 2/17/55 (b)(c) | 1,970,000 | 1,192,862 | |
| Series 2023-5C1: | |||
Class A/S, 7.1177% 8/15/56 (c) | 3,276,000 | 3,436,543 | |
Class B, 6.96% 8/15/56 (c) | 553,000 | 561,974 | |
| Series 2023-5C2 Class A5, 7.244% 11/15/56 (c) | 2,377,000 | 2,536,401 | |
| Series 2023-C4: | |||
Class B, 5.3961% 2/15/56 (c) | 1,186,000 | 1,168,556 | |
Class C, 5.8632% 2/15/56 (c) | 2,468,000 | 2,407,222 | |
| Series 2023-C6 Class A/S, 6.5504% 9/15/56 (c) | 1,229,000 | 1,298,994 | |
| BX Commercial Mortgage Trust: | |||
| floater: | |||
Series 2019-XL Class J, CME Term SOFR 1 Month Index + 2.760% 8.0821% 10/15/36 (b)(c)(f) | 13,777,650 | 13,441,816 | |
Series 2020-VKNG: | |||
| Class F, CME Term SOFR 1 Month Index + 2.860% 8.1825% 10/15/37 (b)(c)(f) | 950,600 | 930,007 | |
| Class G, CME Term SOFR 1 Month Index + 3.360% 8.6825% 10/15/37 (b)(c)(f) | 1,258,600 | 1,219,885 | |
Series 2021-ACNT Class G, CME Term SOFR 1 Month Index + 3.400% 8.7275% 11/15/38 (b)(c)(f) | 2,502,734 | 2,429,854 | |
Series 2021-LBA: | |||
| Class FJV, CME Term SOFR 1 Month Index + 2.510% 7.8325% 2/15/36 (b)(c)(f) | 458,000 | 443,635 | |
| Class GJV, CME Term SOFR 1 Month Index + 3.110% 8.4325% 2/15/36 (b)(c)(f) | 1,033,000 | 988,506 | |
Series 2021-MC Class G, CME Term SOFR 1 Month Index + 3.200% 8.5193% 4/15/34 (b)(c)(f) | 1,572,000 | 1,308,139 | |
Series 2021-PAC Class G, CME Term SOFR 1 Month Index + 3.060% 8.3786% 10/15/36 (b)(c)(f) | 3,192,000 | 3,051,127 | |
Series 2021-SOAR: | |||
| Class G, CME Term SOFR 1 Month Index + 2.910% 8.2325% 6/15/38 (b)(c)(f) | 3,248,498 | 3,167,285 | |
| Class J, CME Term SOFR 1 Month Index + 3.860% 9.1825% 6/15/38 (b)(c)(f) | 2,648,232 | 2,583,066 | |
Series 2021-VINO: | |||
| Class F, CME Term SOFR 1 Month Index + 2.910% 8.2348% 5/1/38 (b)(c)(f) | 2,590,224 | 2,538,419 | |
| Class G, CME Term SOFR 1 Month Index + 4.060% 9.3848% 5/1/38 (b)(c)(f) | 3,774,607 | 3,715,687 | |
Series 2021-VOLT: | |||
| Class F, CME Term SOFR 1 Month Index + 2.510% 7.8321% 9/15/36 (b)(c)(f) | 1,677,000 | 1,652,909 | |
| Class G, CME Term SOFR 1 Month Index + 2.960% 8.2821% 9/15/36 (b)(c)(f) | 4,955,000 | 4,847,949 | |
Series 2022-LBA6 Class F, CME Term SOFR 1 Month Index + 3.350% 8.6676% 1/15/39 (b)(c)(f) | 4,315,000 | 4,252,430 | |
Series 2024-MF: | |||
| Class D, CME Term SOFR 1 Month Index + 2.680% 7.9898% 2/15/39 (b)(c)(f) | 814,000 | 814,000 | |
| Class E, CME Term SOFR 1 Month Index + 3.730% 9.0383% 2/15/39 (b)(c)(f) | 1,831,000 | 1,834,385 | |
| Series 2019-OC11 Class E, 3.944% 12/9/41 (b)(c) | 14,678,000 | 12,418,842 | |
| Series 2020-VIVA: | |||
Class D, 3.5488% 3/11/44 (b)(c) | 9,422,000 | 7,898,555 | |
Class E, 3.5488% 3/11/44 (b)(c) | 8,563,000 | 6,959,453 | |
| BX Commercial Mortgage Trust 2024-Xl4 floater Series 2024-XL4 Class E, CME Term SOFR 1 Month Index + 4.180% 9.5057% 2/15/39 (b)(c)(f) | 2,000,000 | 1,999,000 | |
| BX Trust floater Series 2021-MFM1: | |||
| Class F, CME Term SOFR 1 Month Index + 3.110% 8.4325% 1/15/34 (b)(c)(f) | 639,062 | 626,853 | |
| Class G, CME Term SOFR 1 Month Index + 4.010% 9.3325% 1/15/34 (b)(c)(f) | 319,531 | 310,352 | |
| BXP Trust Series 2021-601L Class E, 2.7755% 1/15/44 (b)(c) | 709,000 | 396,761 | |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, CME Term SOFR 1 Month Index + 3.540% 8.865% 12/15/37 (b)(c)(f) | 8,968,000 | 8,842,467 | |
| CD Mortgage Trust Series 2017-CD3 Class D, 3.25% 2/10/50 (b) | 4,073,000 | 1,398,862 | |
| Citigroup Commercial Mortgage Trust: | |||
| Series 2020-420K: | |||
Class D, 3.3118% 11/10/42 (b)(c) | 536,000 | 440,997 | |
Class E, 3.3118% 11/10/42 (b)(c) | 2,081,000 | 1,657,358 | |
| Series 2022-GC48 Class D, 2.5% 6/15/55 (b) | 3,129,000 | 1,800,242 | |
| Series 2023-PRM3 Class D, 6.3597% 7/10/28 (b)(c) | 1,383,000 | 1,329,819 | |
| Series 2023-SMRT Class D, 5.8524% 10/12/40 (b)(c) | 2,611,000 | 2,513,636 | |
| COMM Mortgage Trust: | |||
| floater Series 2018-HCLV Class G, CME Term SOFR 1 Month Index + 5.350% 10.6703% 9/15/33 (b)(c)(e)(f) | 1,487,000 | 584,393 | |
| sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 2,840,000 | 2,570,206 | |
| Series 2012-CR1: | |||
Class D, 5.1686% 5/15/45 (b)(c) | 2,257,842 | 1,754,639 | |
Class G, 2.462% 5/15/45 (b)(e) | 590,805 | 8,876 | |
| Series 2014-CR17 Class E, 4.791% 5/10/47 (b)(c) | 589,000 | 454,221 | |
| Series 2014-CR20: | |||
Class AM, 3.938% 11/10/47 | 299,000 | 289,246 | |
Class C, 4.4468% 11/10/47 (c) | 1,003,000 | 944,831 | |
| Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(c) | 4,405,000 | 3,774,058 | |
| Series 2015-LC19 Class B, 3.829% 2/10/48 | 192,000 | 179,521 | |
| Series 2017-CD4 Class D, 3.3% 5/10/50 (b) | 356,070 | 238,218 | |
| Series 2019-CD4 Class C, 4.3497% 5/10/50 (c) | 1,920,000 | 1,467,046 | |
| COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) | 1,146,000 | 862,131 | |
| Commercial Mortgage Trust Series 2016-CD2 Class D, 2.7277% 11/10/49 (c)(e) | 1,680,000 | 881,897 | |
| Commercial Mortgage Trust pass-thru certificates: | |||
| Series 2012-CR2: | |||
Class E, 4.535% 8/15/45 (b)(c) | 1,475,732 | 1,433,685 | |
Class F, 4.25% 8/15/45 (b) | 2,540,000 | 2,057,403 | |
| Series 2014-CR2 Class G, 4.25% 8/15/45 (b) | 1,556,000 | 739,102 | |
| CPT Mortgage Trust sequential payer Series 2019-CPT: | |||
| Class E, 2.9968% 11/13/39 (b)(c) | 1,785,000 | 1,149,161 | |
| Class F, 2.9968% 11/13/39 (b)(c) | 2,772,000 | 1,622,147 | |
| Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, CME Term SOFR 1 Month Index + 4.330% 9.649% 6/15/34 (b)(e)(f) | 2,561,600 | 1,137,138 | |
| Credit Suisse Mortgage Trust Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 8.8917% 5/15/26 (b)(c)(f) | 3,269,728 | 2,979,768 | |
| CSAIL Commercial Mortgage Trust Series 2019-C18 Class A/S, 3.3214% 12/15/52 | 921,000 | 792,065 | |
| CSMC Series 2019-UVIL Class E, 3.2833% 12/15/41 (b)(c) | 5,161,000 | 4,014,353 | |
| DBGS Mortgage Trust: | |||
| Series 2018-C1 Class C, 4.648% 10/15/51 (c) | 777,000 | 652,862 | |
| Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(c) | 1,000,000 | 547,711 | |
| DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/45 (b)(c) | 1,029,000 | 557,670 | |
| DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2: | |||
| Class D, 6.9552% 1/15/41 (b)(c) | 3,635,000 | 3,436,654 | |
| Class E, 5.9685% 1/15/41 (b)(c) | 769,000 | 669,785 | |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
| Class G, CME Term SOFR 1 Month Index + 3.230% 8.5485% 11/15/38 (b)(c)(f) | 1,248,547 | 1,202,638 | |
| Class J, CME Term SOFR 1 Month Index + 3.720% 9.0474% 11/15/38 (b)(c)(f) | 4,564,687 | 4,365,248 | |
| FS Commercial Mortgage Trust Series 2023-4SZN: | |||
| Class C, 8.1209% 11/10/39 (b)(c) | 2,568,000 | 2,660,943 | |
| Class D, 9.0801% 11/10/39 (b)(c) | 594,000 | 614,133 | |
| GS Mortgage Securities Trust: | |||
| sequential payer Series 2023-SHIP: | |||
Class D, 6.0706% 9/10/38 (b)(c) | 1,969,000 | 1,924,679 | |
Class E, 7.4336% 9/10/38 (b)(c) | 2,460,000 | 2,401,015 | |
| Series 2010-C1 Class B, 5.148% 8/10/43 (b) | 100,478 | 99,987 | |
| Series 2011-GC5: | |||
Class D, 5.1526% 8/10/44 (b)(c) | 1,929,752 | 699,703 | |
Class E, 5.1526% 8/10/44 (b)(c) | 2,432,000 | 271,735 | |
Class F, 4.5% 8/10/44 (b)(e) | 4,308,000 | 12,924 | |
| Series 2012-GCJ9 Class D, 4.7543% 11/10/45 (b)(c) | 3,489,883 | 3,182,501 | |
| Series 2016-GS2 Class D, 2.753% 5/10/49 (b) | 2,058,050 | 1,750,699 | |
| Series 2019-GC38 Class D, 3% 2/10/52 (b) | 1,162,000 | 861,327 | |
| Series 2019-GC39 Class D, 3% 5/10/52 (b) | 2,830,000 | 1,651,167 | |
| Series 2019-GC42: | |||
Class C, 3.6917% 9/10/52 (c) | 831,000 | 674,758 | |
Class D, 2.8% 9/10/52 (b) | 2,307,000 | 1,513,123 | |
| Series 2019-GS5 Class C, 4.299% 3/10/50 (c) | 2,499,000 | 1,719,584 | |
| Series 2020-GC45 Class SWD, 3.2185% 12/13/39 (b)(c) | 1,764,000 | 1,320,595 | |
| Series 2020-GC47 Class D, 3.4535% 5/12/53 (b)(c) | 756,000 | 498,149 | |
| Hilton U.S.A. Trust Series 2016-HHV: | |||
| Class E, 4.1935% 11/5/38 (b)(c) | 5,078,000 | 4,690,697 | |
| Class F, 4.1935% 11/5/38 (b)(c) | 5,977,000 | 5,447,648 | |
| Home Partners of America Trust Series 2019-1: | |||
| Class E, 3.604% 9/17/39 (b) | 1,274,287 | 1,141,568 | |
| Class F, 4.101% 9/17/39 (b) | 206,768 | 182,702 | |
| Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) | 2,083,000 | 1,931,909 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) | 604,000 | 571,003 | |
| Series 2015-C32 Class C, 4.6665% 11/15/48 (c) | 1,500,000 | 864,366 | |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3828% 12/15/49 (b)(c) | 2,418,000 | 1,673,781 | |
| JPMDB Commercial Mortgage Securities Trust: | |||
| Series 2018-C8 Class D, 3.2637% 6/15/51 (b)(c) | 1,171,000 | 789,898 | |
| Series 2019-COR6 Class D, 2.5% 11/13/52 (b) | 1,354,000 | 796,919 | |
| Series 2020-COR7 Class D, 1.75% 5/13/53 (b)(e) | 1,535,000 | 651,494 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| floater Series 2021-MHC Class E, CME Term SOFR 1 Month Index + 2.560% 7.8825% 4/15/38 (b)(c)(f) | 3,060,000 | 3,014,158 | |
| sequential payer Series 2019-OSB: | |||
Class A, 3.3973% 6/5/39 (b) | 1,696,000 | 1,515,113 | |
Class D, 3.7828% 6/5/39 (b)(c) | 984,000 | 842,817 | |
| Series 2011-C3: | |||
Class E, 5.5255% 2/15/46 (b)(c)(e) | 3,008,000 | 1,278,456 | |
Class G, 4.409% 2/15/46 (b)(c) | 1,082,000 | 125,500 | |
Class H, 4.409% 2/15/46 (b)(c)(e) | 2,622,000 | 181,272 | |
| Series 2012-CBX: | |||
Class E, 4.6896% 6/15/45 (b)(c) | 3,050,342 | 2,683,323 | |
Class F, 4% 6/15/45 (b)(e) | 3,743,000 | 2,981,923 | |
Class G 4% 6/15/45 (b)(e) | 4,129,000 | 2,793,957 | |
| Series 2013-LC11: | |||
Class D, 4.2033% 4/15/46 (c) | 3,677,000 | 1,654,916 | |
Class E, 3.25% 4/15/46 (b)(c) | 104,000 | 28,309 | |
Class F, 3.25% 4/15/46 (b)(c)(e) | 5,894,000 | 377,805 | |
| Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(c)(e) | 3,213,000 | 8,047 | |
Class E, 3.8046% 6/10/27 (b)(c)(e) | 4,232,000 | 10,322 | |
| Series 2018-AON Class F, 4.6132% 7/5/31 (b)(c) | 2,150,000 | 452,120 | |
| Series 2019-OSB Class E, 3.7828% 6/5/39 (b)(c) | 3,019,000 | 2,542,634 | |
| Series 2020-NNN: | |||
Class EFX, 3.972% 1/16/37 (b) | 2,771,000 | 1,274,660 | |
Class FFX, 4.6254% 1/16/37 (b) | 2,388,000 | 847,740 | |
Class GFX, 4.8445% 1/16/37 (b)(c) | 942,000 | 235,500 | |
| KNDR Trust floater Series 2021-KIND Class F, CME Term SOFR 1 Month Index + 4.060% 9.3845% 8/15/38 (b)(c)(f) | 4,435,575 | 4,117,402 | |
| Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (b)(c) | 1,976,000 | 810,161 | |
| Merit floater Series 2021-STOR: | |||
| Class F, CME Term SOFR 1 Month Index + 2.310% 7.6325% 7/15/38 (b)(c)(f) | 585,000 | 573,300 | |
| Class G, CME Term SOFR 1 Month Index + 2.860% 8.1825% 7/15/38 (b)(c)(f) | 735,000 | 716,625 | |
| Class J, CME Term SOFR 1 Month Index + 4.060% 9.3825% 7/15/38 (b)(c)(f) | 1,847,000 | 1,804,023 | |
| MHC Commercial Mortgage Trust floater Series 2021-MHC Class G, CME Term SOFR 1 Month Index + 3.310% 8.6334% 4/15/38 (b)(c)(f) | 9,395,419 | 9,254,486 | |
| MHP Commercial Mortgage Trust floater Series 2022-MHIL Class G, CME Term SOFR 1 Month Index + 3.950% 9.2751% 1/15/27 (b)(c)(f) | 2,144,116 | 2,078,611 | |
| Mira Trust 2023-Mile sequential payer Series 2023-MILE Class B, 7.2026% 6/10/38 (b) | 1,012,000 | 1,023,725 | |
| MOFT Trust Series 2020-ABC: | |||
| Class D, 3.4767% 2/10/42 (b)(c) | 1,144,000 | 480,163 | |
| Class E, 3.4767% 2/10/42 (b)(c) | 841,000 | 289,471 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 | 1,666,000 | 986,009 | |
| Series 2012-C6 Class D, 4.5295% 11/15/45 (b)(c) | 3,633,000 | 2,942,745 | |
| Series 2012-C6, Class F, 4.5295% 11/15/45 (b)(c)(e) | 1,575,000 | 551,256 | |
| Series 2013-C13 Class E, 5.0563% 11/15/46 (b)(c) | 1,344,674 | 1,212,659 | |
| Series 2013-C9: | |||
Class D, 3.8158% 5/15/46 (b)(c) | 3,000,000 | 2,533,500 | |
Class E, 3.8158% 5/15/46 (b)(c)(e) | 1,594,370 | 1,060,256 | |
| Series 2017-C33 Class D, 3.356% 5/15/50 (b) | 2,932,000 | 2,283,129 | |
| Morgan Stanley Capital I Trust: | |||
| sequential payer Series 2021-L5 Class A4, 2.728% 5/15/54 | 3,744,000 | 3,192,118 | |
| Series 2011-C2: | |||
Class D, 5.2113% 6/15/44 (b)(c) | 3,111,166 | 2,888,718 | |
Class F, 5.2113% 6/15/44 (b)(c)(e) | 3,015,000 | 1,259,610 | |
| Series 2011-C3: | |||
Class E, 4.9437% 7/15/49 (b)(c) | 882,475 | 855,973 | |
Class F, 4.9437% 7/15/49 (b)(c) | 984,000 | 880,935 | |
Class G, 4.9437% 7/15/49 (b)(c) | 3,536,800 | 3,029,895 | |
| Series 2012-C4 Class D, 5.1638% 3/15/45 (b)(c) | 635,221 | 594,729 | |
| Series 2015-MS1: | |||
Class B, 4.023% 5/15/48 (c) | 428,000 | 397,193 | |
Class C, 4.023% 5/15/48 (c) | 270,000 | 227,951 | |
Class D, 4.023% 5/15/48 (b)(c) | 2,150,000 | 1,389,622 | |
| Series 2017-H1: | |||
Class C, 4.281% 6/15/50 | 808,000 | 715,058 | |
Class D, 2.546% 6/15/50 (b) | 5,262,000 | 3,974,337 | |
| Series 2017-HR2 Class D, 2.73% 12/15/50 | 1,425,000 | 1,120,213 | |
| Series 2018-MP Class E, 4.276% 7/11/40 (b)(c) | 3,059,000 | 1,994,572 | |
| Series 2020-CNP Class D, 2.4276% 4/5/42 (b)(c) | 1,043,000 | 670,426 | |
| MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(c) | 1,014,000 | 828,557 | |
| MSWF Commercial Mortgage Trust sequential payer: | |||
| Series 2023-1: | |||
Class A5, 5.752% 5/15/56 | 1,899,000 | 1,973,402 | |
Class C, 6.6828% 5/15/56 (c) | 1,266,000 | 1,236,454 | |
| Series 2023-2: | |||
Class B, 6.8762% 12/15/56 (c) | 1,070,000 | 1,139,113 | |
Class C, 7.0182% 12/15/56 (c) | 834,000 | 854,304 | |
Class D, 4% 12/15/56 (b) | 351,000 | 243,935 | |
| Natixis Commercial Mortgage Securities Trust: | |||
| floater Series 2018-FL1 Class WAN2, CME Term SOFR 1 Month Index + 3.790% 9.1146% 6/15/35 (b)(c)(e)(f) | 222,000 | 11,100 | |
| Series 2019-10K: | |||
Class E, 4.1346% 5/15/39 (b)(c) | 2,293,000 | 1,853,763 | |
Class F, 4.1346% 5/15/39 (b)(c) | 3,014,000 | 2,296,172 | |
| Series 2020-2PAC: | |||
Class AMZ2, 3.5% 1/15/37 (b)(c)(e) | 1,754,950 | 1,334,815 | |
Class AMZ3, 3.5% 1/15/37 (b)(c)(e) | 822,675 | 550,646 | |
| Open Trust 2023-Air sequential payer Series 2023-AIR Class D, CME Term SOFR 1 Month Index + 6.680% 12.0014% 10/15/28 (b)(c)(f) | 2,392,156 | 2,399,631 | |
| OPG Trust floater Series 2021-PORT: | |||
| Class G, CME Term SOFR 1 Month Index + 2.510% 7.8305% 10/15/36 (b)(c)(f) | 876,926 | 846,234 | |
| Class J, CME Term SOFR 1 Month Index + 3.460% 8.7785% 10/15/36 (b)(c)(f) | 1,456,936 | 1,395,926 | |
| PKHL Commercial Mortgage Trust floater Series 2021-MF: | |||
| Class F, CME Term SOFR 1 Month Index + 3.460% 8.7825% 7/15/38 (b)(c)(f) | 2,225,000 | 1,562,812 | |
| Class NR, CME Term SOFR 1 Month Index + 6.110% 11.4325% 7/15/38 (b)(c)(e)(f) | 631,000 | 393,663 | |
| Prima Capital Ltd. floater Series 2021-9A Class C, CME Term SOFR 1 Month Index + 2.460% 7.7993% 12/15/37 (b)(c)(f) | 1,000,000 | 970,666 | |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,282,724 | 1,306,605 | |
| SG Commercial Mortgage Securities Trust: | |||
| Series 2019-PREZ Class F, 3.4771% 9/15/39 (b)(c) | 3,206,000 | 2,426,750 | |
| Series 2020-COVE: | |||
Class F, 3.7276% 3/15/37 (b)(c) | 3,855,000 | 3,371,900 | |
Class G, 3.7276% 3/15/37 (b)(c) | 1,782,000 | 1,544,120 | |
| SOHO Trust Series 2021-SOHO Class D, 2.7865% 8/10/38 (b)(c)(e) | 2,499,000 | 1,382,352 | |
| SREIT Trust floater: | |||
| Series 2021-IND Class G, CME Term SOFR 1 Month Index + 3.380% 8.6983% 10/15/38 (b)(c)(f) | 3,339,000 | 3,116,858 | |
| Series 2021-MFP Class F, CME Term SOFR 1 Month Index + 2.730% 8.057% 11/15/38 (b)(c)(f) | 1,344,392 | 1,292,019 | |
| Series 2021-MFP2: | |||
Class G, CME Term SOFR 1 Month Index + 3.080% 8.4% 11/15/36 (b)(c)(f) | 3,024,000 | 2,910,784 | |
Class J, CME Term SOFR 1 Month Index + 4.020% 9.348% 11/15/36 (b)(c)(f) | 1,803,000 | 1,749,237 | |
| STWD Trust floater sequential payer Series 2021-LIH: | |||
| Class F, CME Term SOFR 1 Month Index + 3.660% 8.983% 11/15/36 (b)(c)(f) | 3,319,000 | 3,171,441 | |
| Class G, CME Term SOFR 1 Month Index + 4.310% 9.632% 11/15/36 (b)(c)(f) | 1,134,000 | 1,078,911 | |
| TPGI Trust floater Series 2021-DGWD: | |||
| Class E, CME Term SOFR 1 Month Index + 2.460% 7.7845% 6/15/26 (b)(c)(f) | 732,800 | 730,052 | |
| Class F, CME Term SOFR 1 Month Index + 3.110% 8.4345% 6/15/26 (b)(c)(f) | 854,400 | 851,731 | |
| Class G, CME Term SOFR 1 Month Index + 3.960% 9.2845% 6/15/26 (b)(c)(f) | 806,400 | 803,939 | |
| UBS Commercial Mortgage Trust: | |||
| Series 2012-C1: | |||
Class E, 5% 5/10/45 (b)(c)(e) | 1,432,663 | 1,273,279 | |
Class F, 5% 5/10/45 (b)(c)(e) | 2,484,000 | 298,080 | |
| Series 2018-C8 Class C, 4.6841% 2/15/51 (c) | 756,000 | 666,968 | |
| UBS-BAMLL Trust: | |||
| Series 12-WRM Class D, 4.238% 6/10/30 (b)(c) | 2,090,000 | 1,694,503 | |
| Series 2012-WRM Class C, 4.238% 6/10/30 (b)(c) | 890,000 | 764,557 | |
| VASA Trust: | |||
| floater Series 2021-VASA Class G, CME Term SOFR 1 Month Index + 5.110% 10.4325% 7/15/39 (b)(c)(f) | 693,000 | 316,879 | |
| floater sequential payer Series 2021-VASA Class F, CME Term SOFR 1 Month Index + 4.010% 9.3325% 7/15/39 (b)(c)(f) | 3,009,000 | 1,648,200 | |
| VMC Finance Ltd. floater Series 2021-HT1 Class B, CME Term SOFR 1 Month Index + 4.610% 9.9343% 1/18/37 (b)(c)(f) | 3,000,000 | 2,908,032 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| floater Series 2021-SAVE Class E, CME Term SOFR 1 Month Index + 3.760% 9.0825% 2/15/40 (b)(c)(f) | 450,400 | 435,759 | |
| sequential payer: | |||
Series 2020-C57 Class D, 2.5% 8/15/53 (b) | 2,108,000 | 1,489,836 | |
Series 2021-C60 Class A4, 2.342% 8/15/54 | 2,703,000 | 2,233,531 | |
| Series 2015-NXS4 Class D, 3.6846% 12/15/48 (c) | 1,834,000 | 1,664,842 | |
| Series 2016-BNK1 Class D, 3% 8/15/49 (b) | 1,526,000 | 624,424 | |
| Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) | 1,250,000 | 992,313 | |
| Series 2018-C44 Class D, 3% 5/15/51 (b) | 3,949,000 | 2,764,362 | |
| Series 2019-AA Class D, 3.514% 10/15/52 | 1,459,000 | 1,291,288 | |
| Series 2019-C49: | |||
Class B, 4.546% 3/15/52 | 450,000 | 419,655 | |
Class C, 4.866% 3/15/52 (c) | 3,713,000 | 3,388,052 | |
| Series 2021-C60 Class D, 2.5% 8/15/54 (b) | 761,000 | 506,502 | |
| WF-RBS Commercial Mortgage Trust: | |||
| sequential payer Series 2011-C4I Class G, 5% 6/15/44 (c)(e) | 1,252,600 | 11,524 | |
| Series 2011-C3 Class D, 5.8545% 3/15/44 (b)(c) | 1,284,756 | 357,650 | |
| Series 2011-C4: | |||
Class D, 4.9786% 6/15/44 (b)(c) | 1,616,000 | 1,358,955 | |
Class E, 4.9786% 6/15/44 (b)(c) | 1,274,000 | 993,720 | |
| Series 2013-C11 Class E, 4.06% 3/15/45 (b)(c) | 4,999,000 | 3,000,327 | |
| Series 2013-C13 Class D, 4.0289% 5/15/45 (b)(c) | 1,434,782 | 1,228,346 | |
| Series 2013-C16 Class D, 4.6501% 9/15/46 (b)(c) | 409,991 | 368,997 | |
| WFCM: | |||
| Series 2022-C62 Class D, 2.5% 4/15/55 (b) | 2,352,000 | 1,363,974 | |
| Series 2022-C62, Class A4, 4% 4/15/55 | 2,074,000 | 1,904,972 | |
| Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/36 (b)(c) | 1,695,000 | 100,671 | |
| WP Glimcher Mall Trust Series 2015-WPG: | |||
| Class PR1, 3.516% 6/5/35 (b)(c)(e) | 1,638,000 | 1,233,897 | |
| Class PR2, 3.516% 6/5/35 (b)(c)(e) | 4,354,000 | 3,150,560 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $553,539,085) | 476,789,402 | ||
| Common Stocks - 0.0% | |||
| Shares | Value ($) | ||
| Technology - 0.0% | |||
Cyxtera Technologies, Inc. Class A (e)(i) (Cost $919,192) | 92,200 | 1 | |
| Bank Loan Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
| Diversified Financial Services - 1.2% | |||
| Agellan Portfolio 9% 8/7/25 (e)(j) | 908,000 | 908,000 | |
| MHP Commercial Mortgage Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 10.3176% 1/9/25 (c)(e)(f)(j) | 4,558,038 | 4,307,345 | |
| Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 9.8928% 1/21/27 (c)(e)(f)(j) | 1,032,615 | 1,032,615 | |
| TOTAL BANK LOAN OBLIGATIONS (Cost $6,497,673) | 6,247,960 | ||
| Preferred Securities - 0.0% | |||
Principal Amount (a) | Value ($) | ||
| 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 $6,004,704) | 31 | ||
| Money Market Funds - 0.8% | |||
| Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (k) (Cost $4,149,557) | 4,148,728 | 4,149,558 | |
| TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $602,805,786) | 511,308,551 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (837,560) |
| NET ASSETS - 100.0% | 510,470,991 |
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 $358,529,793 or 70.2% 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) | Non-income producing - Security is in default. |
| (h) | 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 $22,659 or 0.0% of net assets. |
| (i) | Non-income producing |
| (j) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) |
| Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B4, 3.8378% 6/25/43 | 9/29/03 | 0 |
| Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B5, 3.8378% 6/25/43 | 9/29/03 | 87 |
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% | 16,918,483 | 51,630,209 | 64,399,134 | 174,923 | - | - | 4,149,558 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 59,900 | 516 | 60,416 | 351 | - | - | - | 0.0% |
| Total | 16,978,383 | 51,630,725 | 64,459,550 | 175,274 | - | - | 4,149,558 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
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.
Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
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.
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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