UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
Date of reporting period: | August 31, 2023 |
Item 1.
Reports to Stockholders
![](https://capedge.com/proxy/N-CSR/0000751199-23-000220/img92297_1.jpg)
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
Fidelity® Total Bond K6 Fund | 0.25% | 1.57% | 1.36% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond K6 Fund, on May 25, 2017, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period. |
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Quality Diversification (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (1.7)%* |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (1.7)% |
Futures and Swaps - 4.5% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Nonconvertible Bonds - 22.3% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | 339,000 | 258,666 | |
3.8% 12/1/57 | 4,105,000 | 2,768,412 | |
4.3% 2/15/30 | 559,000 | 521,192 | |
5.15% 11/15/46 | 1,000,000 | 878,636 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 1,151,000 | 1,005,849 | |
2.55% 3/21/31 | 1,065,000 | 876,694 | |
3% 3/22/27 | 263,000 | 244,461 | |
4.862% 8/21/46 | 1,250,000 | 1,100,040 | |
5.012% 4/15/49 | 16,000 | 14,350 | |
7,668,300 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 3.8% 3/22/30 | 2,050,000 | 1,919,626 | |
Media - 1.2% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.4% 4/1/33 | 6,526,000 | 5,746,156 | |
4.908% 7/23/25 | 807,000 | 792,524 | |
5.25% 4/1/53 | 2,499,000 | 1,978,113 | |
5.375% 5/1/47 | 2,000,000 | 1,598,148 | |
5.5% 4/1/63 | 2,499,000 | 1,963,200 | |
5.75% 4/1/48 | 861,000 | 725,378 | |
Comcast Corp. 6.45% 3/15/37 | 365,000 | 398,847 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 708,000 | 621,822 | |
4.65% 5/15/50 | 1,913,000 | 1,425,905 | |
Fox Corp.: | |||
4.03% 1/25/24 | 216,000 | 214,290 | |
4.709% 1/25/29 | 312,000 | 300,980 | |
5.476% 1/25/39 | 308,000 | 279,525 | |
Magallanes, Inc.: | |||
3.755% 3/15/27 | 973,000 | 912,594 | |
4.054% 3/15/29 | 337,000 | 309,904 | |
4.279% 3/15/32 | 8,816,000 | 7,779,587 | |
5.05% 3/15/42 | 738,000 | 606,660 | |
5.141% 3/15/52 | 1,091,000 | 869,646 | |
Time Warner Cable LLC: | |||
6.75% 6/15/39 | 545,000 | 527,197 | |
7.3% 7/1/38 | 2,420,000 | 2,451,578 | |
29,502,054 | |||
Wireless Telecommunication Services - 0.2% | |||
Millicom International Cellular SA 6.25% 3/25/29 (b) | 1,440,000 | 1,314,576 | |
Rogers Communications, Inc.: | |||
3.2% 3/15/27 | 1,051,000 | 971,566 | |
3.8% 3/15/32 | 917,000 | 784,286 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 1,250,000 | 1,184,743 | |
3.875% 4/15/30 | 2,100,000 | 1,916,723 | |
4.375% 4/15/40 | 269,000 | 231,176 | |
4.5% 4/15/50 | 528,000 | 436,137 | |
6,839,207 | |||
TOTAL COMMUNICATION SERVICES | 45,929,187 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp. 3.5% 7/1/27 | 353,000 | 335,055 | |
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 156,000 | 145,294 | |
AutoZone, Inc. 4% 4/15/30 | 1,110,000 | 1,027,082 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 149,000 | 140,221 | |
3.75% 4/1/32 | 459,000 | 411,251 | |
4.25% 4/1/52 | 1,870,000 | 1,479,335 | |
4.45% 4/1/62 | 2,116,000 | 1,650,235 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 246,000 | 230,661 | |
5,084,079 | |||
TOTAL CONSUMER DISCRETIONARY | 5,419,134 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.7% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 2,133,000 | 2,041,515 | |
4.9% 2/1/46 | 4,500,000 | 4,186,121 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.35% 6/1/40 | 720,000 | 644,116 | |
4.5% 6/1/50 | 1,000,000 | 892,368 | |
4.75% 4/15/58 | 613,000 | 548,713 | |
5.45% 1/23/39 | 800,000 | 812,094 | |
5.55% 1/23/49 | 1,824,000 | 1,868,336 | |
5.8% 1/23/59 (Reg. S) | 1,933,000 | 2,026,930 | |
Molson Coors Beverage Co. 5% 5/1/42 | 2,945,000 | 2,662,700 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 1,279,000 | 1,225,369 | |
3.45% 3/25/30 | 713,000 | 663,111 | |
17,571,373 | |||
Consumer Staples Distribution & Retail - 0.1% | |||
Sysco Corp.: | |||
5.95% 4/1/30 | 471,000 | 487,798 | |
6.6% 4/1/50 | 710,000 | 782,824 | |
1,270,622 | |||
Food Products - 0.4% | |||
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 | 1,945,000 | 1,748,351 | |
3% 5/15/32 | 1,955,000 | 1,543,851 | |
3.625% 1/15/32 | 353,000 | 289,701 | |
5.125% 2/1/28 | 735,000 | 714,335 | |
5.5% 1/15/30 | 342,000 | 331,140 | |
5.75% 4/1/33 | 6,515,000 | 6,200,549 | |
10,827,927 | |||
Tobacco - 0.4% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 1,521,000 | 1,047,353 | |
4.25% 8/9/42 | 932,000 | 706,003 | |
4.5% 5/2/43 | 632,000 | 492,531 | |
4.8% 2/14/29 | 173,000 | 167,625 | |
5.375% 1/31/44 | 1,137,000 | 1,055,734 | |
5.95% 2/14/49 | 600,000 | 558,668 | |
BAT Capital Corp.: | |||
4.7% 4/2/27 | 1,252,000 | 1,214,249 | |
4.906% 4/2/30 | 1,500,000 | 1,412,616 | |
5.282% 4/2/50 | 1,500,000 | 1,201,790 | |
Imperial Tobacco Finance PLC: | |||
4.25% 7/21/25 (b) | 1,564,000 | 1,512,468 | |
6.125% 7/27/27 (b) | 764,000 | 772,364 | |
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 78,833 | |
10,220,234 | |||
TOTAL CONSUMER STAPLES | 39,890,156 | ||
ENERGY - 2.7% | |||
Oil, Gas & Consumable Fuels - 2.7% | |||
Canadian Natural Resources Ltd.: | |||
2.05% 7/15/25 | 5,400,000 | 5,058,820 | |
3.85% 6/1/27 | 2,700,000 | 2,554,274 | |
3.9% 2/1/25 | 525,000 | 510,217 | |
5.85% 2/1/35 | 525,000 | 510,234 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 210,000 | 147,379 | |
5.25% 6/15/37 | 1,911,000 | 1,742,423 | |
5.4% 6/15/47 | 244,000 | 219,332 | |
6.75% 11/15/39 | 200,000 | 207,369 | |
Columbia Pipeline Group, Inc. 5.8% 6/1/45 | 10,000 | 9,261 | |
Columbia Pipelines Operating Co. LLC: | |||
5.927% 8/15/30 (b) | 290,000 | 292,534 | |
6.036% 11/15/33 (b) | 781,000 | 789,005 | |
6.497% 8/15/43 (b) | 233,000 | 236,167 | |
6.544% 11/15/53 (b) | 420,000 | 429,326 | |
6.714% 8/15/63 (b) | 252,000 | 257,595 | |
DCP Midstream Operating LP 5.125% 5/15/29 | 659,000 | 642,591 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 481,000 | 429,594 | |
4.2% 9/15/23 | 145,000 | 144,928 | |
4.95% 6/15/28 | 494,000 | 478,435 | |
5% 5/15/50 | 2,089,000 | 1,719,528 | |
5.25% 4/15/29 | 350,000 | 341,960 | |
5.4% 10/1/47 | 1,023,000 | 881,160 | |
5.8% 6/15/38 | 275,000 | 260,673 | |
6% 6/15/48 | 1,279,000 | 1,182,290 | |
6.125% 12/15/45 | 100,000 | 93,912 | |
6.25% 4/15/49 | 241,000 | 230,711 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 3,150,000 | 2,912,953 | |
Hess Corp.: | |||
5.6% 2/15/41 | 549,000 | 516,168 | |
5.8% 4/1/47 | 874,000 | 834,108 | |
7.125% 3/15/33 | 201,000 | 219,044 | |
7.3% 8/15/31 | 2,102,000 | 2,294,814 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 1,365,000 | 1,356,182 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 415,000 | 375,058 | |
MPLX LP: | |||
4.8% 2/15/29 | 175,000 | 168,621 | |
4.875% 12/1/24 | 272,000 | 268,459 | |
4.95% 9/1/32 | 1,463,000 | 1,382,123 | |
5.5% 2/15/49 | 525,000 | 467,784 | |
Occidental Petroleum Corp.: | |||
5.55% 3/15/26 | 831,000 | 824,003 | |
6.2% 3/15/40 | 700,000 | 691,404 | |
6.45% 9/15/36 | 600,000 | 613,521 | |
6.6% 3/15/46 | 807,000 | 830,540 | |
7.5% 5/1/31 | 927,000 | 1,004,406 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 1,916,000 | 1,567,122 | |
6.625% 8/15/37 | 350,000 | 348,682 | |
7.375% 11/1/31 | 435,000 | 466,526 | |
8.125% 9/15/30 | 1,083,000 | 1,202,066 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 3,510,000 | 2,535,413 | |
6.35% 2/12/48 | 3,548,000 | 2,120,019 | |
6.49% 1/23/27 | 570,000 | 497,120 | |
6.5% 3/13/27 | 20,000 | 17,462 | |
6.75% 9/21/47 | 5,720,000 | 3,511,451 | |
6.84% 1/23/30 | 6,742,000 | 5,308,651 | |
6.95% 1/28/60 | 989,000 | 606,010 | |
7.69% 1/23/50 | 2,090,000 | 1,391,522 | |
Phillips 66 Co. 3.85% 4/9/25 | 125,000 | 121,627 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 4,767,000 | 4,190,867 | |
3.6% 11/1/24 | 266,000 | 258,961 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 1,622,000 | 1,526,388 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 1,727,000 | 1,529,660 | |
4.3% 3/4/24 | 2,000,000 | 1,982,124 | |
4.55% 6/24/24 | 70,000 | 69,249 | |
4.65% 8/15/32 | 1,526,000 | 1,432,965 | |
5.3% 8/15/52 | 346,000 | 311,534 | |
5.4% 3/2/26 | 823,000 | 821,689 | |
5.75% 6/24/44 | 35,000 | 33,120 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 207,000 | 182,448 | |
Western Gas Partners LP: | |||
4.5% 3/1/28 | 200,000 | 188,202 | |
4.65% 7/1/26 | 138,000 | 133,467 | |
4.75% 8/15/28 | 168,000 | 159,038 | |
66,642,289 | |||
FINANCIALS - 10.6% | |||
Banks - 4.9% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (c) | 1,880,000 | 1,482,667 | |
3.705% 4/24/28 (c) | 528,000 | 494,248 | |
4.376% 4/27/28 (c) | 10,000,000 | 9,599,035 | |
5.015% 7/22/33 (c) | 13,317,000 | 12,817,034 | |
5.288% 4/25/34 (c) | 5,000,000 | 4,879,039 | |
Barclays PLC: | |||
2.852% 5/7/26 (c) | 1,652,000 | 1,561,342 | |
4.375% 1/12/26 | 900,000 | 867,560 | |
5.088% 6/20/30 (c) | 1,421,000 | 1,301,935 | |
5.2% 5/12/26 | 1,318,000 | 1,278,913 | |
5.829% 5/9/27 (c) | 2,370,000 | 2,348,270 | |
6.224% 5/9/34 (c) | 1,576,000 | 1,556,457 | |
BNP Paribas SA 2.219% 6/9/26 (b)(c) | 1,520,000 | 1,420,042 | |
Citigroup, Inc.: | |||
3.352% 4/24/25 (c) | 953,000 | 935,341 | |
4.3% 11/20/26 | 6,314,000 | 6,066,152 | |
4.4% 6/10/25 | 1,638,000 | 1,597,216 | |
4.412% 3/31/31 (c) | 2,221,000 | 2,062,231 | |
4.45% 9/29/27 | 4,372,000 | 4,179,028 | |
4.91% 5/24/33 (c) | 3,224,000 | 3,064,648 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 517,000 | 438,427 | |
First Citizens Bank & Trust Co. 6.125% 3/9/28 | 210,000 | 210,951 | |
HSBC Holdings PLC 4.95% 3/31/30 | 298,000 | 286,715 | |
Intesa Sanpaolo SpA: | |||
4.198% 6/1/32 (b)(c) | 242,000 | 184,430 | |
5.017% 6/26/24 (b) | 200,000 | 195,555 | |
5.71% 1/15/26 (b) | 3,773,000 | 3,619,457 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 880,000 | 748,018 | |
3.882% 7/24/38 (c) | 1,000,000 | 843,143 | |
4.323% 4/26/28 (c) | 5,000,000 | 4,807,801 | |
4.452% 12/5/29 (c) | 5,500,000 | 5,242,944 | |
4.493% 3/24/31 (c) | 3,000,000 | 2,843,721 | |
4.586% 4/26/33 (c) | 2,682,000 | 2,508,064 | |
4.912% 7/25/33 (c) | 9,234,000 | 8,880,724 | |
5.299% 7/24/29 (c) | 2,500,000 | 2,485,719 | |
5.717% 9/14/33 (c) | 2,700,000 | 2,698,458 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 951,000 | 857,464 | |
5.847% 3/2/27 (c) | 3,394,000 | 3,373,851 | |
Rabobank Nederland 4.375% 8/4/25 | 500,000 | 484,639 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 3,800,000 | 3,634,130 | |
1.488% 12/14/26 (b)(c) | 1,953,000 | 1,750,053 | |
Synchrony Bank: | |||
5.4% 8/22/25 | 1,384,000 | 1,337,767 | |
5.625% 8/23/27 | 1,253,000 | 1,185,191 | |
Wells Fargo & Co.: | |||
3.526% 3/24/28 (c) | 2,047,000 | 1,904,575 | |
4.478% 4/4/31 (c) | 3,026,000 | 2,830,986 | |
4.897% 7/25/33 (c) | 4,711,000 | 4,432,754 | |
5.013% 4/4/51 (c) | 2,880,000 | 2,600,570 | |
5.389% 4/24/34 (c) | 2,133,000 | 2,077,558 | |
5.574% 7/25/29 (c) | 2,500,000 | 2,489,646 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 744,000 | 651,792 | |
123,116,261 | |||
Capital Markets - 2.4% | |||
Ares Capital Corp. 3.875% 1/15/26 | 2,603,000 | 2,434,734 | |
Deutsche Bank AG 4.5% 4/1/25 | 3,804,000 | 3,665,083 | |
Deutsche Bank AG New York Branch: | |||
4.1% 1/13/26 | 1,100,000 | 1,049,257 | |
5.882% 7/8/31 (c) | 5,000,000 | 4,535,874 | |
6.72% 1/18/29 (c) | 980,000 | 992,208 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 1,922,000 | 1,519,245 | |
3.102% 2/24/33 (c) | 4,272,000 | 3,553,197 | |
3.691% 6/5/28 (c) | 4,660,000 | 4,362,476 | |
3.75% 5/22/25 | 525,000 | 507,460 | |
3.8% 3/15/30 | 3,630,000 | 3,301,969 | |
3.814% 4/23/29 (c) | 1,025,000 | 948,437 | |
4.017% 10/31/38 (c) | 1,000,000 | 831,540 | |
4.223% 5/1/29 (c) | 2,500,000 | 2,355,387 | |
6.75% 10/1/37 | 278,000 | 294,724 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,000 | 9,325 | |
3.75% 3/24/25 | 1,044,000 | 1,015,998 | |
4.875% 2/15/24 | 5,000 | 5,000 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 1,450,000 | 1,356,892 | |
3.622% 4/1/31 (c) | 2,099,000 | 1,865,229 | |
4.431% 1/23/30 (c) | 2,242,000 | 2,129,121 | |
4.889% 7/20/33 (c) | 5,947,000 | 5,633,585 | |
5% 11/24/25 | 4,060,000 | 3,998,516 | |
5.449% 7/20/29 (c) | 1,318,000 | 1,310,264 | |
UBS Group AG: | |||
1.494% 8/10/27 (b)(c) | 1,190,000 | 1,046,412 | |
2.593% 9/11/25 (b)(c) | 2,086,000 | 2,011,349 | |
3.75% 3/26/25 | 1,200,000 | 1,159,234 | |
3.869% 1/12/29 (b)(c) | 1,570,000 | 1,443,319 | |
4.125% 9/24/25 (b) | 500,000 | 482,370 | |
4.194% 4/1/31 (b)(c) | 2,010,000 | 1,809,859 | |
4.55% 4/17/26 | 388,000 | 375,496 | |
6.537% 8/12/33 (b)(c) | 5,000,000 | 5,192,834 | |
61,196,394 | |||
Consumer Finance - 1.9% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 2,378,000 | 2,260,807 | |
2.45% 10/29/26 | 868,000 | 780,980 | |
2.875% 8/14/24 | 1,196,000 | 1,159,588 | |
3% 10/29/28 | 909,000 | 787,705 | |
3.3% 1/30/32 | 2,872,000 | 2,333,891 | |
4.45% 4/3/26 | 561,000 | 540,439 | |
5.75% 6/6/28 | 2,000,000 | 1,982,535 | |
6.5% 7/15/25 | 731,000 | 734,481 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 462,000 | 459,669 | |
4.75% 6/9/27 | 2,500,000 | 2,343,383 | |
5.125% 9/30/24 | 465,000 | 457,828 | |
5.75% 11/20/25 | 1,560,000 | 1,513,152 | |
5.8% 5/1/25 | 1,072,000 | 1,055,917 | |
7.1% 11/15/27 | 2,060,000 | 2,087,013 | |
8% 11/1/31 | 549,000 | 567,653 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26 (c) | 1,062,000 | 1,003,707 | |
3.273% 3/1/30 (c) | 1,358,000 | 1,165,438 | |
3.65% 5/11/27 | 2,746,000 | 2,553,770 | |
3.8% 1/31/28 | 877,000 | 804,169 | |
4.927% 5/10/28 (c) | 2,786,000 | 2,680,036 | |
4.985% 7/24/26 (c) | 1,448,000 | 1,415,320 | |
5.247% 7/26/30 (c) | 2,210,000 | 2,102,345 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 4,380,000 | 4,265,605 | |
4.1% 2/9/27 | 284,000 | 263,467 | |
4.5% 1/30/26 | 803,000 | 771,370 | |
6.7% 11/29/32 | 361,000 | 359,288 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 4,206,000 | 4,075,158 | |
5.584% 3/18/24 | 1,113,000 | 1,106,967 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 3,042,000 | 2,717,840 | |
4.375% 3/19/24 | 1,056,000 | 1,043,251 | |
5.15% 3/19/29 | 1,958,000 | 1,795,815 | |
47,188,587 | |||
Financial Services - 1.0% | |||
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 | 3,937,000 | 3,826,844 | |
7.05% 9/29/25 | 1,775,000 | 1,787,282 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 2,100,000 | 2,025,691 | |
4.05% 7/1/30 | 1,055,000 | 953,098 | |
4.125% 5/15/29 | 1,000,000 | 909,633 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 445,000 | 427,628 | |
3.65% 4/5/27 | 1,551,000 | 1,459,011 | |
3.85% 4/5/29 | 623,000 | 570,139 | |
3.9% 4/5/32 | 4,241,000 | 3,708,285 | |
4.35% 4/5/42 | 169,000 | 133,701 | |
4.4% 4/5/52 | 498,000 | 385,190 | |
Jackson Financial, Inc.: | |||
3.125% 11/23/31 | 194,000 | 152,487 | |
5.17% 6/8/27 | 682,000 | 668,472 | |
5.67% 6/8/32 | 734,000 | 699,116 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 5,175,000 | 5,140,463 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 1,030,000 | 944,021 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 1,000,000 | 875,473 | |
24,666,534 | |||
Insurance - 0.4% | |||
American International Group, Inc.: | |||
2.5% 6/30/25 | 1,934,000 | 1,830,679 | |
5.125% 3/27/33 | 1,500,000 | 1,450,881 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 2,287,000 | 1,957,936 | |
Marsh & McLennan Companies, Inc. 4.375% 3/15/29 | 678,000 | 656,414 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 950,000 | 866,625 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 1,045,000 | 1,021,731 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 400,000 | 378,000 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 80,000 | 78,125 | |
Unum Group: | |||
3.875% 11/5/25 | 50,000 | 47,738 | |
4% 6/15/29 | 852,000 | 780,950 | |
9,069,079 | |||
TOTAL FINANCIALS | 265,236,855 | ||
HEALTH CARE - 1.1% | |||
Biotechnology - 0.2% | |||
Amgen, Inc.: | |||
5.25% 3/2/30 | 828,000 | 829,146 | |
5.25% 3/2/33 | 934,000 | 929,144 | |
5.6% 3/2/43 | 888,000 | 871,324 | |
5.65% 3/2/53 | 441,000 | 437,183 | |
5.75% 3/2/63 | 804,000 | 793,986 | |
3,860,783 | |||
Health Care Providers & Services - 0.7% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 1,670,000 | 1,429,657 | |
2.625% 8/1/31 | 800,000 | 636,423 | |
3.375% 2/15/30 | 815,000 | 697,474 | |
4.25% 12/15/27 | 880,000 | 823,159 | |
4.625% 12/15/29 | 3,670,000 | 3,374,565 | |
Cigna Group: | |||
3.05% 10/15/27 | 500,000 | 460,856 | |
4.8% 8/15/38 | 550,000 | 507,000 | |
CVS Health Corp.: | |||
3% 8/15/26 | 125,000 | 117,098 | |
3.625% 4/1/27 | 375,000 | 354,944 | |
4.78% 3/25/38 | 2,092,000 | 1,873,507 | |
5% 1/30/29 | 801,000 | 789,145 | |
5.25% 1/30/31 | 329,000 | 325,103 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 709,000 | 619,259 | |
3.625% 3/15/32 | 195,000 | 167,714 | |
5.625% 9/1/28 | 1,054,000 | 1,051,730 | |
5.875% 2/1/29 | 981,000 | 987,049 | |
Humana, Inc. 3.7% 3/23/29 | 585,000 | 541,620 | |
Sabra Health Care LP 3.2% 12/1/31 | 1,971,000 | 1,505,445 | |
Toledo Hospital 5.325% 11/15/28 | 319,000 | 255,104 | |
16,516,852 | |||
Pharmaceuticals - 0.2% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 3,209,000 | 3,107,858 | |
Elanco Animal Health, Inc. 6.65% 8/28/28 (c) | 194,000 | 191,333 | |
Mylan NV 4.55% 4/15/28 | 450,000 | 423,668 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,370,000 | 1,294,938 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 1,003,000 | 814,568 | |
3.85% 6/22/40 | 437,000 | 305,859 | |
6,138,224 | |||
TOTAL HEALTH CARE | 26,515,859 | ||
INDUSTRIALS - 0.7% | |||
Aerospace & Defense - 0.4% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 1,040,000 | 1,016,920 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 171,000 | 169,118 | |
5.15% 5/1/30 | 5,723,000 | 5,630,485 | |
5.705% 5/1/40 | 720,000 | 699,973 | |
5.805% 5/1/50 | 700,000 | 681,020 | |
5.93% 5/1/60 | 720,000 | 695,000 | |
8,892,516 | |||
Trading Companies & Distributors - 0.0% | |||
Air Lease Corp. 3.375% 7/1/25 | 1,294,000 | 1,232,836 | |
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (b) | 380,000 | 370,661 | |
4.25% 4/15/26 (b) | 290,000 | 273,487 | |
4.375% 5/1/26 (b) | 880,000 | 829,572 | |
5.25% 5/15/24 (b) | 730,000 | 720,675 | |
6.375% 5/4/28 (b) | 4,704,000 | 4,666,166 | |
6,860,561 | |||
TOTAL INDUSTRIALS | 16,985,913 | ||
INFORMATION TECHNOLOGY - 0.8% | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
Dell International LLC/EMC Corp.: | |||
6.1% 7/15/27 | 316,000 | 323,072 | |
6.2% 7/15/30 | 418,000 | 430,166 | |
753,238 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 351,000 | 304,392 | |
2.45% 2/15/31 (b) | 3,421,000 | 2,757,988 | |
2.6% 2/15/33 (b) | 8,032,000 | 6,209,796 | |
3.5% 2/15/41 (b) | 2,410,000 | 1,765,508 | |
3.75% 2/15/51 (b) | 1,131,000 | 811,098 | |
11,848,782 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 1,241,000 | 1,130,881 | |
2.3% 3/25/28 | 1,961,000 | 1,725,637 | |
2.8% 4/1/27 | 1,423,000 | 1,307,062 | |
2.875% 3/25/31 | 2,460,000 | 2,078,391 | |
6,241,971 | |||
TOTAL INFORMATION TECHNOLOGY | 18,843,991 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Celanese U.S. Holdings LLC: | |||
6.35% 11/15/28 | 1,024,000 | 1,026,639 | |
6.55% 11/15/30 | 1,038,000 | 1,038,511 | |
6.7% 11/15/33 | 607,000 | 609,553 | |
2,674,703 | |||
REAL ESTATE - 1.6% | |||
Equity Real Estate Investment Trusts (REITs) - 1.3% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 857,000 | 829,514 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 153,000 | 121,149 | |
3.625% 4/15/32 | 681,000 | 583,430 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 792,000 | 644,744 | |
4.5% 12/1/28 | 605,000 | 558,268 | |
6.75% 12/1/27 | 1,120,000 | 1,143,898 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 348,000 | 314,299 | |
2.75% 4/15/31 | 235,000 | 181,122 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 260,000 | 221,478 | |
3.5% 8/1/26 | 270,000 | 252,052 | |
Healthpeak OP, LLC: | |||
3.25% 7/15/26 | 113,000 | 106,877 | |
3.5% 7/15/29 | 129,000 | 115,848 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 1,473,000 | 1,122,405 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 1,026,000 | 913,138 | |
Kite Realty Group Trust 4.75% 9/15/30 | 79,000 | 72,315 | |
LXP Industrial Trust (REIT) 2.7% 9/15/30 | 387,000 | 306,664 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 7,742,000 | 5,778,382 | |
3.375% 2/1/31 | 701,000 | 566,204 | |
3.625% 10/1/29 | 1,155,000 | 978,672 | |
4.75% 1/15/28 | 3,349,000 | 3,144,991 | |
4.95% 4/1/24 | 2,400,000 | 2,386,954 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 297,000 | 200,600 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 172,000 | 149,274 | |
2.85% 12/15/32 | 211,000 | 171,010 | |
3.25% 1/15/31 | 213,000 | 184,187 | |
3.4% 1/15/28 | 320,000 | 296,790 | |
Simon Property Group LP 2.45% 9/13/29 | 333,000 | 281,847 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 424,000 | 311,051 | |
4.625% 3/15/29 | 315,000 | 271,121 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 341,000 | 286,683 | |
2.7% 7/15/31 | 880,000 | 698,706 | |
Ventas Realty LP: | |||
3% 1/15/30 | 1,531,000 | 1,304,400 | |
3.5% 2/1/25 | 1,265,000 | 1,216,722 | |
4% 3/1/28 | 218,000 | 202,513 | |
4.75% 11/15/30 | 2,100,000 | 1,969,396 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 176,000 | 171,109 | |
4.75% 2/15/28 | 1,390,000 | 1,321,803 | |
4.95% 2/15/30 | 2,092,000 | 1,967,735 | |
5.125% 5/15/32 | 485,000 | 449,507 | |
Vornado Realty LP 2.15% 6/1/26 | 374,000 | 323,280 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 246,000 | 221,472 | |
4% 2/1/25 | 395,000 | 384,554 | |
4.6% 4/1/24 | 1,250,000 | 1,240,180 | |
33,966,344 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 421,000 | 346,544 | |
4.1% 10/1/24 | 995,000 | 950,001 | |
4.55% 10/1/29 | 260,000 | 203,165 | |
7.55% 3/15/28 | 1,521,000 | 1,426,178 | |
CBRE Group, Inc. 2.5% 4/1/31 | 1,070,000 | 859,371 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 897,000 | 667,286 | |
3.125% 9/1/26 | 2,775,000 | 2,518,237 | |
6,970,782 | |||
TOTAL REAL ESTATE | 40,937,126 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.7% | |||
Alabama Power Co. 3.05% 3/15/32 | 1,447,000 | 1,241,665 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 2,173,000 | 1,840,796 | |
3.743% 5/1/26 | 1,337,000 | 1,255,584 | |
Duke Energy Corp. 2.45% 6/1/30 | 565,000 | 469,983 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 276,000 | 219,963 | |
2.775% 1/7/32 (b) | 935,000 | 721,438 | |
Edison International 5.75% 6/15/27 | 2,985,000 | 2,991,313 | |
Entergy Corp. 2.8% 6/15/30 | 580,000 | 489,066 | |
Exelon Corp.: | |||
3.35% 3/15/32 | 389,000 | 334,228 | |
4.05% 4/15/30 | 7,865,000 | 7,267,212 | |
4.1% 3/15/52 | 288,000 | 222,834 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 172,000 | 167,365 | |
17,221,447 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp.: | |||
3.3% 7/15/25 (b) | 3,530,000 | 3,356,570 | |
3.95% 7/15/30 (b) | 2,288,000 | 2,033,694 | |
5,390,264 | |||
Multi-Utilities - 0.2% | |||
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 2,556,000 | 2,500,804 | |
NiSource, Inc. 2.95% 9/1/29 | 1,708,000 | 1,502,951 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 683,000 | 610,881 | |
4.224% 3/15/32 | 1,329,000 | 1,171,051 | |
5,785,687 | |||
TOTAL UTILITIES | 28,397,398 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $606,393,373) | 557,472,611 | ||
U.S. Treasury Obligations - 35.7% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 8,834,000 | 5,471,214 | |
1.75% 8/15/41 | 11,769,000 | 7,907,757 | |
1.875% 11/15/51 | 34,881,000 | 21,432,739 | |
2% 11/15/41 | 11,400,000 | 7,976,883 | |
2% 8/15/51 | 38,514,000 | 24,451,877 | |
2.25% 2/15/52 | 24,090,000 | 16,251,340 | |
2.875% 5/15/52 | 20,540,000 | 15,944,977 | |
3% 2/15/47 | 24,645,000 | 19,591,812 | |
3.25% 5/15/42 | 9,100,000 | 7,770,902 | |
3.625% 2/15/53 | 14,392,000 | 12,966,293 | |
3.625% 5/15/53 | 45,971,000 | 41,460,096 | |
4.125% 8/15/53 | 26,241,000 | 25,888,387 | |
U.S. Treasury Notes: | |||
0.75% 8/31/26 | 433,000 | 387,653 | |
2.75% 4/30/27 | 700,000 | 660,707 | |
2.75% 8/15/32 | 43,025,000 | 38,619,980 | |
2.875% 4/30/29 | 5,411,700 | 5,036,898 | |
2.875% 5/15/32 | 2,750,400 | 2,499,533 | |
3.375% 5/15/33 | 60,800,000 | 57,275,500 | |
3.5% 1/31/30 | 25,000,000 | 23,981,445 | |
3.5% 4/30/30 | 20,000,000 | 19,175,000 | |
3.5% 2/15/33 | 92,000,000 | 87,615,625 | |
3.625% 5/31/28 | 124,200,000 | 120,794,195 | |
3.625% 3/31/30 | 20,000,000 | 19,318,750 | |
3.75% 6/30/30 | 15,000,000 | 14,594,531 | |
3.875% 1/15/26 | 100,000 | 98,109 | |
3.875% 9/30/29 | 25,000,000 | 24,499,024 | |
3.875% 11/30/29 | 29,650,000 | 29,055,842 | |
3.875% 12/31/29 | 100,000,000 | 97,988,281 | |
3.875% 8/15/33 | 458,000 | 449,842 | |
4% 2/15/26 | 1,500,000 | 1,476,328 | |
4% 2/29/28 | 600,000 | 592,617 | |
4% 6/30/28 | 20,000,000 | 19,760,938 | |
4% 2/28/30 | 40,000,000 | 39,490,625 | |
4.125% 7/31/28 (d) | 52,000,000 | 51,695,312 | |
4.375% 10/31/24 | 1,400,000 | 1,385,508 | |
4.375% 8/31/28 (e) | 25,000,000 | 25,154,297 | |
4.625% 2/28/25 | 1,500,000 | 1,489,629 | |
4.625% 3/15/26 | 1,740,000 | 1,738,709 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $974,032,666) | 891,949,155 | ||
U.S. Government Agency - Mortgage Securities - 19.3% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 6.1% | |||
12 month U.S. LIBOR + 1.360% 3.932% 10/1/35 (c)(f) | 2,895 | 2,908 | |
12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (c)(f) | 678 | 680 | |
12 month U.S. LIBOR + 1.460% 3.846% 1/1/35 (c)(f) | 4,908 | 4,932 | |
12 month U.S. LIBOR + 1.480% 5.73% 7/1/34 (c)(f) | 199 | 201 | |
12 month U.S. LIBOR + 1.550% 5.215% 5/1/44 (c)(f) | 670 | 676 | |
12 month U.S. LIBOR + 1.550% 5.803% 6/1/36 (c)(f) | 1,693 | 1,711 | |
12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (c)(f) | 5,439 | 5,468 | |
12 month U.S. LIBOR + 1.570% 4.164% 4/1/44 (c)(f) | 2,052 | 2,069 | |
12 month U.S. LIBOR + 1.580% 3.83% 1/1/44 (c)(f) | 1,117 | 1,129 | |
12 month U.S. LIBOR + 1.580% 4.08% 4/1/44 (c)(f) | 751 | 756 | |
12 month U.S. LIBOR + 1.620% 4.537% 5/1/35 (c)(f) | 1,364 | 1,374 | |
12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (c)(f) | 373 | 379 | |
12 month U.S. LIBOR + 1.630% 4.911% 11/1/36 (c)(f) | 2,282 | 2,298 | |
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (c)(f) | 7,512 | 7,664 | |
12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (c)(f) | 221 | 224 | |
12 month U.S. LIBOR + 1.680% 4.653% 7/1/43 (c)(f) | 11,299 | 11,423 | |
12 month U.S. LIBOR + 1.700% 5.189% 6/1/42 (c)(f) | 9,090 | 9,203 | |
12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (c)(f) | 5,221 | 5,293 | |
12 month U.S. LIBOR + 1.750% 4.454% 7/1/35 (c)(f) | 3,641 | 3,667 | |
12 month U.S. LIBOR + 1.750% 4.579% 8/1/41 (c)(f) | 2,111 | 2,135 | |
12 month U.S. LIBOR + 1.770% 3.995% 2/1/37 (c)(f) | 12,086 | 12,202 | |
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (c)(f) | 26,420 | 26,767 | |
12 month U.S. LIBOR + 1.800% 4.505% 12/1/40 (c)(f) | 41,424 | 42,090 | |
12 month U.S. LIBOR + 1.800% 6.05% 7/1/41 (c)(f) | 3,555 | 3,604 | |
12 month U.S. LIBOR + 1.810% 4.06% 12/1/39 (c)(f) | 438 | 443 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(f) | 2,936 | 3,003 | |
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (c)(f) | 15,699 | 15,884 | |
12 month U.S. LIBOR + 1.810% 6.05% 7/1/41 (c)(f) | 5,793 | 5,880 | |
12 month U.S. LIBOR + 1.820% 4.295% 2/1/35 (c)(f) | 1,877 | 1,891 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(f) | 2,463 | 2,436 | |
12 month U.S. LIBOR + 1.850% 4.429% 4/1/36 (c)(f) | 9,432 | 9,518 | |
12 month U.S. LIBOR + 1.890% 5.057% 8/1/35 (c)(f) | 8,246 | 8,324 | |
12 month U.S. LIBOR + 1.950% 5.771% 7/1/37 (c)(f) | 2,157 | 2,193 | |
6 month U.S. LIBOR + 1.530% 4.461% 12/1/34 (c)(f) | 374 | 373 | |
REFINITIV USD IBOR CONSUMER CA + 1.500% 4.724% 1/1/35 (c)(f) | 1,401 | 1,403 | |
REFINITIV USD IBOR CONSUMER CA + 1.510% 7.023% 2/1/33 (c)(f) | 186 | 187 | |
REFINITIV USD IBOR CONSUMER CA + 1.550% 6.074% 9/1/33 (c)(f) | 12,523 | 12,659 | |
REFINITIV USD IBOR CONSUMER CA + 1.620% 4.293% 3/1/33 (c)(f) | 4,705 | 4,728 | |
REFINITIV USD IBOR CONSUMER CA + 1.740% 5.467% 5/1/36 (c)(f) | 2,627 | 2,658 | |
REFINITIV USD IBOR CONSUMER CA + 1.960% 4.424% 9/1/35 (c)(f) | 191 | 193 | |
U.S. TREASURY 1 YEAR INDEX + 2.180% 4.546% 7/1/36 (c)(f) | 1,187 | 1,197 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(f) | 587 | 592 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (c)(f) | 987 | 1,005 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.404% 10/1/33 (c)(f) | 993 | 1,012 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.33% 7/1/34 (c)(f) | 1,310 | 1,329 | |
1.5% 11/1/35 to 6/1/51 (g) | 10,378,264 | 8,243,394 | |
2% 2/1/28 to 3/1/52 (g) | 37,334,784 | 31,263,500 | |
2.5% 1/1/28 to 1/1/52 (e) | 53,335,848 | 45,295,105 | |
3% 2/1/31 to 2/1/52 (e) | 28,949,424 | 25,830,437 | |
3.5% 9/1/33 to 3/1/52 | 8,968,647 | 8,232,196 | |
4% 3/1/36 to 4/1/52 | 5,736,919 | 5,375,940 | |
4.5% to 4.5% 6/1/24 to 12/1/52 | 7,777,176 | 7,438,027 | |
5% 7/1/33 to 4/1/53 | 3,794,708 | 3,719,975 | |
5.279% 8/1/41 (c) | 27,216 | 27,016 | |
5.5% 8/1/25 to 8/1/53 | 14,360,421 | 14,247,821 | |
6% to 6% 9/1/29 to 6/1/53 | 2,912,278 | 2,944,281 | |
6.5% 12/1/23 to 8/1/36 | 208,227 | 214,194 | |
6.688% 2/1/39 (c) | 14,044 | 14,230 | |
7% to 7% 3/1/24 to 6/1/32 | 5,411 | 5,582 | |
7.5% 3/1/26 to 11/1/31 | 4,519 | 4,616 | |
TOTAL FANNIE MAE | 153,082,075 | ||
Freddie Mac - 3.7% | |||
12 month U.S. LIBOR + 1.320% 3.575% 1/1/36 (c)(f) | 2,995 | 2,972 | |
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (c)(f) | 2,677 | 2,673 | |
12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (c)(f) | 1,564 | 1,564 | |
12 month U.S. LIBOR + 1.660% 4.04% 7/1/36 (c)(f) | 10,015 | 10,007 | |
12 month U.S. LIBOR + 1.750% 4% 12/1/40 (c)(f) | 14,856 | 15,017 | |
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (c)(f) | 52,844 | 53,605 | |
12 month U.S. LIBOR + 1.750% 6% 7/1/41 (c)(f) | 3,496 | 3,524 | |
12 month U.S. LIBOR + 1.860% 5.239% 4/1/36 (c)(f) | 1,062 | 1,071 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(f) | 4,477 | 4,562 | |
12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (c)(f) | 27,884 | 28,284 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (c)(f) | 1,149 | 1,157 | |
12 month U.S. LIBOR + 1.900% 4.936% 10/1/42 (c)(f) | 19,596 | 19,639 | |
12 month U.S. LIBOR + 1.910% 5.212% 5/1/41 (c)(f) | 8,268 | 8,344 | |
12 month U.S. LIBOR + 1.910% 5.568% 5/1/41 (c)(f) | 9,420 | 9,512 | |
12 month U.S. LIBOR + 1.910% 5.698% 6/1/41 (c)(f) | 8,911 | 9,009 | |
12 month U.S. LIBOR + 1.910% 6.16% 6/1/41 (c)(f) | 2,914 | 2,950 | |
12 month U.S. LIBOR + 2.020% 4.936% 4/1/38 (c)(f) | 879 | 886 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(f) | 38 | 38 | |
12 month U.S. LIBOR + 2.040% 6.256% 7/1/36 (c)(f) | 7,597 | 7,689 | |
12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (c)(f) | 1,811 | 1,842 | |
REFINITIV USD IBOR CONSUMER CA + 1.660% 4.165% 1/1/37 (c)(f) | 2,424 | 2,426 | |
REFINITIV USD IBOR CONSUMER CA + 1.660% 7.04% 7/1/35 (c)(f) | 1,763 | 1,778 | |
REFINITIV USD IBOR CONSUMER CA + 1.880% 4.488% 10/1/36 (c)(f) | 17,670 | 17,758 | |
REFINITIV USD IBOR CONSUMER CA + 1.990% 5.001% 10/1/35 (c)(f) | 8,945 | 8,977 | |
REFINITIV USD IBOR CONSUMER CA + 2.010% 6.76% 5/1/37 (c)(f) | 1,667 | 1,696 | |
REFINITIV USD IBOR CONSUMER CA + 2.020% 7.385% 6/1/37 (c)(f) | 3,659 | 3,722 | |
REFINITIV USD IBOR CONSUMER CA + 2.680% 7.524% 10/1/35 (c)(f) | 1,521 | 1,564 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.857% 6/1/33 (c)(f) | 12,557 | 12,563 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.065% 4/1/34 (c)(f) | 4,037 | 4,060 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.196% 6/1/33 (c)(f) | 3,483 | 3,496 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 5.024% 3/1/35 (c)(f) | 6,478 | 6,564 | |
U.S. TREASURY 1 YEAR INDEX + 2.540% 6.046% 7/1/35 (c)(f) | 11,567 | 11,719 | |
1.5% 8/1/35 to 4/1/51 | 11,881,599 | 9,272,788 | |
2% 12/1/35 to 3/1/52 (g) | 24,683,321 | 20,581,241 | |
2.5% 1/1/28 to 1/1/52 | 18,318,652 | 15,670,170 | |
3% 12/1/30 to 3/1/52 | 6,554,492 | 5,765,504 | |
3.5% 3/1/32 to 4/1/52 | 5,986,076 | 5,502,762 | |
4% 1/1/36 to 10/1/52 | 3,868,387 | 3,648,594 | |
4% 4/1/48 | 1,139 | 1,069 | |
4.5% 7/1/25 to 10/1/52 | 6,142,660 | 5,846,925 | |
5% 8/1/33 to 8/1/53 | 11,420,424 | 11,116,603 | |
5.5% 10/1/52 to 8/1/53 | 9,496,200 | 9,432,142 | |
6% 1/1/24 to 7/1/53 | 3,425,509 | 3,481,057 | |
6.5% 1/1/32 to 1/1/53 | 505,976 | 515,301 | |
7% 8/1/26 to 9/1/36 | 10,278 | 10,644 | |
7.5% 1/1/27 | 16 | 16 | |
8% 7/1/24 to 8/1/30 | 167 | 175 | |
8.5% 8/1/27 | 100 | 102 | |
TOTAL FREDDIE MAC | 91,105,761 | ||
Ginnie Mae - 3.9% | |||
3.5% 11/20/41 to 12/20/49 | 1,032,090 | 954,569 | |
4% 8/15/39 to 5/20/49 | 1,994,357 | 1,896,362 | |
4.5% 6/20/33 to 6/20/41 | 670,626 | 653,877 | |
5.5% 10/15/35 to 9/15/39 | 19,868 | 20,122 | |
7% to 7% 4/15/28 to 8/15/32 | 5,054 | 5,200 | |
7.5% to 7.5% 9/15/25 to 1/15/31 | 1,255 | 1,280 | |
8% 12/15/23 to 7/15/27 | 81 | 82 | |
8.5% 8/15/29 to 7/15/30 | 40 | 42 | |
2% 11/20/50 to 4/20/51 | 7,952,501 | 6,582,548 | |
2% 9/1/53 (h) | 5,600,000 | 4,620,002 | |
2% 9/1/53 (h) | 7,400,000 | 6,105,003 | |
2% 9/1/53 (h) | 1,300,000 | 1,072,501 | |
2% 9/1/53 (h) | 1,750,000 | 1,443,751 | |
2% 9/1/53 (h) | 2,800,000 | 2,310,001 | |
2% 9/1/53 (h) | 2,550,000 | 2,103,751 | |
2% 10/1/53 (h) | 750,000 | 619,395 | |
2% 10/1/53 (h) | 9,200,000 | 7,597,909 | |
2.5% 6/20/51 to 12/20/51 | 3,906,452 | 3,329,038 | |
2.5% 9/1/53 (h) | 3,500,000 | 2,979,108 | |
2.5% 9/1/53 (h) | 3,500,000 | 2,979,108 | |
2.5% 9/1/53 (h) | 3,600,000 | 3,064,225 | |
2.5% 9/1/53 (h) | 2,800,000 | 2,383,286 | |
2.5% 9/1/53 (h) | 1,900,000 | 1,617,230 | |
2.5% 9/1/53 (h) | 1,800,000 | 1,532,112 | |
2.5% 10/1/53 (h) | 1,850,000 | 1,576,189 | |
3% 5/15/42 to 2/20/50 | 424,749 | 379,115 | |
3% 9/1/53 (h) | 4,250,000 | 3,736,998 | |
3% 9/1/53 (h) | 2,850,000 | 2,505,987 | |
3% 9/1/53 (h) | 2,950,000 | 2,593,916 | |
3% 9/1/53 (h) | 1,050,000 | 923,258 | |
3% 9/1/53 (h) | 150,000 | 131,894 | |
3% 9/1/53 (h) | 1,800,000 | 1,582,729 | |
3% 10/1/53 (h) | 4,800,000 | 4,223,423 | |
3.5% 9/1/53 (h) | 900,000 | 817,159 | |
3.5% 9/1/53 (h) | 2,700,000 | 2,451,477 | |
3.5% 9/1/53 (h) | 150,000 | 136,193 | |
3.5% 9/1/53 (h) | 775,000 | 703,665 | |
3.5% 9/1/53 (h) | 2,100,000 | 1,906,704 | |
3.5% 9/1/53 (h) | 1,550,000 | 1,407,329 | |
3.5% 9/1/53 (h) | 1,650,000 | 1,498,125 | |
3.5% 9/1/53 (h) | 1,625,000 | 1,475,426 | |
3.5% 10/1/53 (h) | 1,550,000 | 1,407,632 | |
4% 9/1/53 (h) | 2,250,000 | 2,096,750 | |
4% 9/1/53 (h) | 1,750,000 | 1,630,806 | |
4.5% 9/1/53 (h) | 2,850,000 | 2,716,001 | |
4.5% 9/1/53 (h) | 1,050,000 | 1,000,632 | |
5% 9/20/33 to 4/20/48 | 370,724 | 369,001 | |
5% 9/1/53 (h) | 3,300,000 | 3,211,222 | |
5% 9/1/53 (h) | 300,000 | 291,929 | |
5.47% 8/20/59 (c)(i) | 167 | 157 | |
5.5% 9/1/53 (h) | 1,050,000 | 1,039,664 | |
5.5% 9/1/53 (h) | 1,150,000 | 1,138,680 | |
6% 11/20/31 to 5/15/40 | 214,654 | 219,121 | |
6.5% 3/20/31 to 9/15/34 | 688 | 705 | |
TOTAL GINNIE MAE | 97,042,389 | ||
Uniform Mortgage Backed Securities - 5.6% | |||
1.5% 9/1/53 (h) | 2,250,000 | 1,696,207 | |
1.5% 9/1/53 (h) | 1,850,000 | 1,394,659 | |
2% 9/1/53 (h) | 9,000,000 | 7,164,581 | |
2% 9/1/53 (h) | 8,800,000 | 7,005,368 | |
2% 9/1/53 (h) | 5,850,000 | 4,656,977 | |
2% 9/1/53 (h) | 14,500,000 | 11,542,935 | |
2% 9/1/53 (h) | 1,400,000 | 1,114,490 | |
2% 9/1/53 (h) | 4,250,000 | 3,383,274 | |
2% 9/1/53 (h) | 150,000 | 119,410 | |
2% 9/1/53 (h) | 7,275,000 | 5,791,369 | |
2% 9/1/53 (h) | 5,150,000 | 4,099,732 | |
2% 9/1/53 (h) | 3,275,000 | 2,607,111 | |
2% 9/1/53 (h) | 2,500,000 | 1,990,161 | |
2% 9/1/53 (h) | 1,300,000 | 1,034,884 | |
2% 9/1/53 (h) | 925,000 | 736,360 | |
2% 9/1/53 (h) | 2,200,000 | 1,751,342 | |
2% 10/1/53 (h) | 13,900,000 | 11,081,042 | |
2% 10/1/53 (h) | 5,550,000 | 4,424,445 | |
2% 10/1/53 (h) | 5,550,000 | 4,424,445 | |
2% 10/1/53 (h) | 8,350,000 | 6,656,597 | |
2.5% 9/1/53 (h) | 4,250,000 | 3,522,354 | |
2.5% 9/1/53 (h) | 3,000,000 | 2,486,367 | |
2.5% 9/1/53 (h) | 1,950,000 | 1,616,139 | |
2.5% 9/1/53 (h) | 1,150,000 | 953,107 | |
3% 9/1/53 (h) | 2,600,000 | 2,239,961 | |
3% 9/1/53 (h) | 5,200,000 | 4,479,922 | |
3% 9/1/53 (h) | 850,000 | 732,295 | |
3.5% 9/1/53 (h) | 10,500,000 | 9,382,324 | |
3.5% 9/1/53 (h) | 1,400,000 | 1,250,977 | |
3.5% 9/1/53 (h) | 900,000 | 804,199 | |
4% 9/1/53 (h) | 5,050,000 | 4,661,781 | |
4% 9/1/53 (h) | 2,825,000 | 2,607,828 | |
4% 9/1/53 (h) | 2,225,000 | 2,053,953 | |
4.5% 9/1/53 (h) | 900,000 | 853,453 | |
5% 9/1/38 (h) | 2,400,000 | 2,370,563 | |
5% 9/1/38 (h) | 2,600,000 | 2,568,109 | |
5% 9/1/53 (h) | 2,900,000 | 2,811,980 | |
5% 9/1/53 (h) | 3,150,000 | 3,054,392 | |
5.5% 9/1/53 (h) | 800,000 | 790,250 | |
5.5% 9/1/53 (h) | 2,400,000 | 2,370,750 | |
5.5% 9/1/53 (h) | 4,700,000 | 4,642,719 | |
5.5% 9/1/53 (h) | 2,050,000 | 2,025,016 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 140,953,828 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $496,075,651) | 482,184,053 | ||
Asset-Backed Securities - 5.3% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 293,002 | 181,661 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 305,870 | 214,109 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 844,816 | 708,699 | |
Class B, 4.458% 10/16/39 (b) | 220,258 | 83,995 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 1,092,192 | 962,243 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 2,073,691 | 1,791,608 | |
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | 1,433,694 | 1,376,360 | |
Aimco Series 2021-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 1/15/32 (b)(c)(f) | 365,000 | 363,853 | |
AIMCO CLO Series 2021-AA Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.7096% 10/17/34 (b)(c)(f) | 1,889,000 | 1,871,761 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.6996% 10/17/34 (b)(c)(f) | 869,000 | 863,195 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5778% 4/20/34 (b)(c)(f) | 2,222,000 | 2,195,056 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8261% 7/20/35 (b)(c)(f) | 1,188,000 | 1,175,052 | |
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7278% 7/20/34 (b)(c)(f) | 992,000 | 980,758 | |
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 1,220,000 | 1,212,947 | |
American Money Management Corp. Series 2012-11A Class A1R2, CME Term SOFR 3 Month Index + 1.270% 6.6407% 4/30/31 (b)(c)(f) | 1,587,268 | 1,577,996 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 297,964 | 249,995 | |
Class B, 4.335% 1/16/40 (b) | 138,939 | 71,556 | |
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8896% 10/15/32 (b)(c)(f) | 1,101,000 | 1,099,371 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6428% 4/25/34 (b)(c)(f) | 657,000 | 648,526 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.6996% 7/15/34 (b)(c)(f) | 1,286,000 | 1,277,379 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.638% 1/15/35 (b)(c)(f) | 1,808,000 | 1,784,362 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.6396% 4/15/34 (b)(c)(f) | 3,233,000 | 3,200,647 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8196% 4/17/33 (b)(c)(f) | 460,000 | 458,820 | |
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 10/15/36 (b)(c)(f) | 860,000 | 852,587 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 1,700,000 | 1,685,600 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.6328% 4/25/34 (b)(c)(f) | 1,437,000 | 1,418,545 | |
Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8078% 1/20/32 (b)(c)(f) | 1,680,000 | 1,675,785 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.608% 1/17/35 (b)(c)(f) | 1,857,000 | 1,837,845 | |
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.6996% 1/15/35 (b)(c)(f) | 1,299,000 | 1,286,017 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 1,836,172 | 1,578,631 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5596% 4/15/29 (b)(c)(f) | 1,257,171 | 1,252,742 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 702,823 | 624,993 | |
Class B, 5.095% 4/15/39 (b) | 488,890 | 312,899 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 255,824 | 232,580 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 292,376 | 269,726 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6878% 10/20/32 (b)(c)(f) | 1,037,000 | 1,032,732 | |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.6461% 4/20/35 (b)(c)(f) | 1,721,000 | 1,698,525 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7428% 10/25/34 (b)(c)(f) | 838,000 | 825,808 | |
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.2758% 7/20/36 (b)(c)(f) | 1,424,000 | 1,423,791 | |
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6378% 4/20/34 (b)(c)(f) | 1,199,000 | 1,180,347 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7578% 10/20/34 (b)(c)(f) | 1,364,000 | 1,342,940 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 704,171 | 674,070 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7878% 4/20/34 (b)(c)(f) | 1,620,000 | 1,594,326 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0456% 7/24/34 (b)(c)(f) | 1,758,000 | 1,749,651 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.8978% 1/20/34 (b)(c)(f) | 2,220,000 | 2,201,374 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 451,710 | 415,814 | |
Discover Card Execution Note Trust Series 2023-A2 Class A, 4.93% 6/15/28 | 700,000 | 696,055 | |
Dllaa 2023-1A Series 2023-1A: | |||
Class A2, 5.93% 7/20/26 (b) | 554,000 | 554,446 | |
Class A3, 5.64% 2/22/28 (b) | 421,000 | 422,699 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.6261% 4/20/35 (b)(c)(f) | 2,199,000 | 2,167,836 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7378% 10/20/34 (b)(c)(f) | 1,790,000 | 1,776,400 | |
Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7915% 1/18/32 (b)(c)(f) | 1,259,000 | 1,255,892 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7496% 4/17/33 (b)(c)(f) | 900,000 | 896,460 | |
Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 10/15/35 (b)(c)(f) | 2,514,000 | 2,490,786 | |
Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7714% 2/20/35 (b)(c)(f) | 1,503,000 | 1,485,747 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 4/15/31 (b)(c)(f) | 610,000 | 606,324 | |
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 1/15/35 (b)(c)(f) | 1,578,000 | 1,565,092 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8196% 1/15/34 (b)(c)(f) | 350,000 | 347,489 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 6.6917% 7/19/34 (b)(c)(f) | 902,000 | 896,303 | |
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7134% 11/16/34 (b)(c)(f) | 1,250,000 | 1,239,919 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.9414% 11/20/33 (b)(c)(f) | 1,956,000 | 1,953,655 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 400,000 | 395,209 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 509,000 | 507,446 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 869,000 | 873,645 | |
GM Financial Consumer Automobile Receivables Trust Series 2022-4 Class A3, 4.82% 8/16/27 | 1,000,000 | 990,289 | |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | 419,000 | 418,792 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 834,000 | 828,266 | |
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | 500,000 | 501,198 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 361,463 | 309,519 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 1,559,050 | 1,328,513 | |
Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (b) | 1,100,000 | 1,096,988 | |
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7372% 10/22/34 (b)(c)(f) | 960,000 | 953,879 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.638% 4/15/35 (b)(c)(f) | 2,253,000 | 2,214,636 | |
Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.7796% 1/15/33 (b)(c)(f) | 820,000 | 818,884 | |
Madison Park Funding Series 2020-19A Class A1R2, CME Term SOFR 3 Month Index + 1.180% 6.5272% 1/22/28 (b)(c)(f) | 770,534 | 767,430 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7217% 4/19/34 (b)(c)(f) | 1,690,000 | 1,679,248 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7072% 1/22/35 (b)(c)(f) | 1,540,000 | 1,519,429 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6896% 7/15/34 (b)(c)(f) | 1,325,000 | 1,314,282 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.8072% 1/22/31 (b)(c)(f) | 364,000 | 360,031 | |
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 6.9585% 4/22/36 (b)(c)(f) | 881,000 | 883,017 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7278% 10/20/34 (b)(c)(f) | 305,000 | 302,701 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7428% 10/25/34 (b)(c)(f) | 1,565,000 | 1,554,388 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6078% 4/20/34 (b)(c)(f) | 1,158,000 | 1,144,858 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7428% 1/25/35 (b)(c)(f) | 1,132,000 | 1,126,779 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5596% 1/15/34 (b)(c)(f) | 1,480,000 | 1,468,922 | |
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b) | 1,200,000 | 1,199,443 | |
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6578% 10/20/30 (b)(c)(f) | 1,291,566 | 1,289,986 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.7178% 10/20/34 (b)(c)(f) | 1,254,000 | 1,244,179 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 1,903,095 | 1,827,116 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 934,120 | 790,610 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 1,108,963 | 995,216 | |
Class A2II, 4.008% 12/5/51 (b) | 991,450 | 817,542 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 788,418 | 668,373 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.7078% 4/20/34 (b)(c)(f) | 1,717,000 | 1,704,838 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.648% 1/15/37 (b)(c)(f) | 1,862,000 | 1,837,576 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 896,170 | 758,285 | |
Class B, 4.335% 3/15/40 (b) | 228,997 | 163,742 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 1,211,000 | 1,155,345 | |
1.884% 7/15/50 (b) | 498,000 | 449,612 | |
2.328% 7/15/52 (b) | 381,000 | 327,560 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 7.0761% 7/20/30 (b)(c)(f) | 248,272 | 248,296 | |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6656% 4/23/35 (b)(c)(f) | 1,936,000 | 1,911,657 | |
Symphony CLO Ltd. Series 2020-22A Class A1A, CME Term SOFR 3 Month Index + 1.550% 6.8615% 4/18/33 (b)(c)(f) | 3,000,000 | 2,990,142 | |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.5296% 4/16/31 (b)(c)(f) | 771,744 | 766,813 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.5617% 4/19/34 (b)(c)(f) | 1,453,000 | 1,430,393 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6678% 4/20/33 (b)(c)(f) | 1,903,000 | 1,891,474 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | 1,000,000 | 997,420 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 667,154 | 567,095 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 1,293,459 | 1,073,648 | |
Toyota Lease Owner Trust Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (b) | 814,000 | 810,322 | |
Class A3, 4.93% 4/20/26 (b) | 891,000 | 881,775 | |
Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME Term SOFR 3 Month Index + 2.400% 7.7261% 10/20/34 (b)(c)(f) | 1,578,000 | 1,579,447 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 600,000 | 577,358 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 500,000 | 495,160 | |
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8578% 7/20/32 (b)(c)(f) | 1,290,000 | 1,288,042 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7417% 7/19/34 (b)(c)(f) | 851,000 | 845,007 | |
Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7378% 10/20/34 (b)(c)(f) | 1,736,000 | 1,722,999 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.7196% 7/16/34 (b)(c)(f) | 860,000 | 851,916 | |
World Omni Auto Receivables Trust: | |||
Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 514,000 | 511,519 | |
Class A3, 4.66% 5/15/28 | 944,000 | 930,695 | |
Series 2023-C Class A3, 5.15% 11/15/28 | 514,000 | 513,162 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 980,000 | 976,619 | |
TOTAL ASSET-BACKED SECURITIES (Cost $135,840,367) | 132,321,111 | ||
Collateralized Mortgage Obligations - 1.8% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.2% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 281,160 | 268,877 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 303,943 | 296,043 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 572,507 | 553,652 | |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | 976,398 | 931,934 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 413,309 | 373,791 | |
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 423,023 | 383,949 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 235,943 | 209,552 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 351,102 | 330,986 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 345,313 | 301,841 | |
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 697,311 | 635,712 | |
TOTAL PRIVATE SPONSOR | 4,286,337 | ||
U.S. Government Agency - 1.6% | |||
Fannie Mae: | |||
floater: | |||
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.31% 4/25/24 (c)(f) | 912 | 907 | |
Series 2001-38 Class QF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.090% 6.3821% 8/25/31 (c)(f) | 2,207 | 2,213 | |
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2021% 2/25/32 (c)(f) | 257 | 256 | |
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.3445% 3/18/32 (c)(f) | 479 | 480 | |
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 4/25/32 (c)(f) | 1,033 | 1,035 | |
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 10/25/32 (c)(f) | 648 | 649 | |
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1521% 1/25/32 (c)(f) | 240 | 239 | |
Series 2002-74 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8521% 11/25/32 (c)(f) | �� | 10,265 | 10,239 |
Series 2002-75 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 11/25/32 (c)(f) | 1,012 | 1,014 | |
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 12/25/33 (c)(j)(k) | 9,442 | 1,271 | |
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2779% 11/25/36 (c)(j)(k) | 6,780 | 556 | |
Series 2010-15 Class FJ, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3321% 6/25/36 (c)(f) | 195,277 | 195,293 | |
planned amortization class: | |||
Series 1993-207 Class H, 6.5% 11/25/23 | 55 | 54 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 69 | 69 | |
Series 1999-17 Class PG, 6% 4/25/29 | 2,541 | 2,542 | |
Series 1999-32 Class PL, 6% 7/25/29 | 3,046 | 3,055 | |
Series 1999-33 Class PK, 6% 7/25/29 | 2,273 | 2,278 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 417 | 424 | |
Series 2003-70 Class BJ, 5% 7/25/33 | 15,347 | 15,035 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 10,441 | 10,380 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 209,922 | 209,955 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 5,426 | 5,475 | |
Series 2006-12 Class BO 10/25/35 (l) | 7,003 | 5,982 | |
Series 2006-15 Class OP 3/25/36 (l) | 9,355 | 7,793 | |
Series 2006-45 Class OP 6/25/36 (l) | 2,866 | 2,248 | |
Series 2006-62 Class KP 4/25/36 (l) | 4,442 | 3,589 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 158,310 | 153,511 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 53,473 | 48,026 | |
Class GA, 1.75% 6/25/42 | 58,561 | 52,465 | |
Series 2021-69 Class JK, 1.5% 10/25/51 | 214,497 | 172,007 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 459 | 462 | |
Series 1999-25 Class Z, 6% 6/25/29 | 2,471 | 2,452 | |
Series 2001-20 Class Z, 6% 5/25/31 | 2,916 | 2,930 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 1,381 | 1,384 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 1,164 | 1,185 | |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1479% 11/25/32 (c)(j)(k) | 2,139 | 51 | |
Series 2003-117 Class MD, 5% 12/25/23 | 129 | 128 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 74,413 | 73,871 | |
Series 2004-91 Class Z, 5% 12/25/34 | 166,118 | 162,764 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 18,322 | 17,938 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 51,311 | 50,275 | |
Series 2006-72 Class CY, 6% 8/25/26 | 15,600 | 15,584 | |
Series 2009-59 Class HB, 5% 8/25/39 | 92,031 | 90,744 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (j) | 2,416 | 58 | |
Series 2020-101 Class BA, 1.5% 9/25/45 | 283,905 | 237,021 | |
Series 2020-43 Class MA, 2% 1/25/45 | 699,997 | 613,019 | |
Series 2020-49 Class JA, 2% 8/25/44 | 117,073 | 103,957 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 422,481 | 354,502 | |
Series 2021-68 Class A, 2% 7/25/49 | 231,459 | 185,630 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 126,518 | 109,139 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 636,615 | 546,688 | |
Class BA, 2.5% 6/25/49 | 953,125 | 819,568 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 208,695 | 181,162 | |
Series 2022-1 Class KA, 3% 5/25/48 | 203,422 | 180,843 | |
Series 2022-11 Class B, 3% 6/25/49 | 239,675 | 215,059 | |
Series 2022-13: | |||
Class HA, 3% 8/25/46 | 242,493 | 221,296 | |
Class JA, 3% 5/25/48 | 453,908 | 405,156 | |
Class MA, 3% 5/25/44 | 3,774,567 | 3,480,844 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 956,554 | 820,161 | |
Class N, 2% 10/25/47 | 2,433,495 | 2,034,699 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 532,315 | 511,567 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 152,423 | 130,848 | |
Series 2022-49 Class TC, 4% 12/25/48 | 169,242 | 161,668 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 289,696 | 257,572 | |
Class E, 2.5% 11/25/47 | 946,199 | 828,696 | |
Series 2022-9 Class BA, 3% 5/25/48 | 243,400 | 217,011 | |
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2379% 12/25/36 (c)(j)(k) | 4,369 | 386 | |
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0379% 5/25/37 (c)(j)(k) | 2,490 | 256 | |
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 3/25/33 (c)(j)(k) | 614 | 66 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 37,447 | 37,288 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 21,609 | 21,627 | |
Series 2007-66 Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.1876% 7/25/37 (c)(f)(k) | 3,048 | 3,599 | |
Series 2008-12 Class SG, 6.230% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9479% 3/25/38 (c)(j)(k) | 15,613 | 1,333 | |
Series 2010-135: | |||
Class LS, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 12/25/40 (c)(j)(k) | 15,786 | 863 | |
Class ZA, 4.5% 12/25/40 | 8,036 | 7,920 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (j) | 20,731 | 286 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 77,348 | 75,598 | |
Series 2010-39 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.030% 6.3221% 3/25/36 (c)(f) | 135,877 | 135,779 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 169,169 | 167,299 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 10,915 | 11,064 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 24,367 | 23,191 | |
Series 2011-67 Class AI, 4% 7/25/26 (j) | 7,216 | 158 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 29,306 | 1,127 | |
Series 2012-14 Class JS, 6.530% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2479% 12/25/30 (c)(j)(k) | 1,226 | 2 | |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1479% 6/25/41 (c)(j)(k) | 2,901 | 18 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 9,543 | 225 | |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 1/25/44 (c)(j)(k) | 10,540 | 989 | |
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.3179% 6/25/35 (c)(j)(k) | 12,850 | 880 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 65,535 | 11,048 | |
Series 2015-70 Class JC, 3% 10/25/45 | 73,966 | 68,948 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 36,560 | 6,223 | |
Series 2017-74 Class SH, 6.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.7979% 10/25/47 (c)(j)(k) | 305,312 | 31,890 | |
Series 2018-45 Class GI, 4% 6/25/48 (j) | 420,550 | 84,011 | |
Series 2020-45 Class JL, 3% 7/25/40 | 20,589 | 18,537 | |
Series 2021-59 Class H, 2% 6/25/48 | 131,241 | 106,986 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 141,775 | 115,951 | |
Class DM, 2% 1/25/48 | 150,667 | 123,223 | |
Series 2022-28 Class A, 2.5% 2/25/52 | 795,565 | 718,956 | |
Series 2023-13 Class CK, 1.5% 11/25/50 | 1,397,257 | 1,093,542 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (j) | 2,335 | 373 | |
Series 343 Class 16, 5.5% 5/25/34 (j) | 2,192 | 352 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(j) | 1,466 | 283 | |
Series 351 Class 13, 6% 3/25/34 (j) | 1,363 | 248 | |
Series 384 Class 6, 5% 7/25/37 (j) | 9,223 | 1,564 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.103% 1/15/32 (c)(f) | 194 | 194 | |
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (c)(f) | 291 | 290 | |
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.303% 3/15/32 (c)(f) | 250 | 251 | |
Series 2432: | |||
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 6/15/31 (c)(f) | 461 | 460 | |
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (c)(f) | 159 | 159 | |
Series 2526 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 11/15/32 (c)(f) | 3,289 | 3,258 | |
Series 2711 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/33 (c)(f) | 51,034 | 50,952 | |
floater planned amortization class Series 2770 Class FH, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 3/15/34 (c)(f) | 74,603 | 73,424 | |
floater target amortization class Series 3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.553% 5/15/37 (c)(f) | 11,795 | 11,429 | |
planned amortization class: | |||
Series 2021-5141 Class JM, 1.5% 4/25/51 | 156,918 | 125,614 | |
Series 2021-5148: | |||
Class AD, 1.5% 10/25/51 | 211,479 | 169,965 | |
Class PC, 1.5% 10/25/51 | 211,427 | 168,084 | |
Series 2095 Class PE, 6% 11/15/28 | 3,076 | 3,112 | |
Series 2101 Class PD, 6% 11/15/28 | 1,593 | 1,597 | |
Series 2121 Class MG, 6% 2/15/29 | 1,302 | 1,307 | |
Series 2131 Class BG, 6% 3/15/29 | 9,233 | 9,274 | |
Series 2137 Class PG, 6% 3/15/29 | 1,440 | 1,446 | |
Series 2154 Class PT, 6% 5/15/29 | 2,443 | 2,454 | |
Series 2162 Class PH, 6% 6/15/29 | 473 | 474 | |
Series 2520 Class BE, 6% 11/15/32 | 4,678 | 4,760 | |
Series 2693 Class MD, 5.5% 10/15/33 | 10,194 | 10,143 | |
Series 2802 Class OB, 6% 5/15/34 | 9,015 | 9,070 | |
Series 2996 Class MK, 5.5% 6/15/35 | 2,777 | 2,785 | |
Series 3002 Class NE, 5% 7/15/35 | 10,695 | 10,662 | |
Series 3110 Class OP 9/15/35 (l) | 2,390 | 2,208 | |
Series 3119 Class PO 2/15/36 (l) | 10,778 | 8,522 | |
Series 3123 Class LO 3/15/36 (l) | 6,154 | 4,915 | |
Series 3189 Class PD, 6% 7/15/36 | 9,504 | 9,703 | |
Series 3258 Class PM, 5.5% 12/15/36 | 3,791 | 3,834 | |
Series 3415 Class PC, 5% 12/15/37 | 34,609 | 33,902 | |
Series 3806 Class UP, 4.5% 2/15/41 | 21,503 | 20,929 | |
Series 3832 Class PE, 5% 3/15/41 | 42,364 | 42,196 | |
Series 3857 Class ZP, 5% 5/15/41 | 314,135 | 311,676 | |
Series 4135 Class AB, 1.75% 6/15/42 | 43,701 | 39,119 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 1,957 | 1,975 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 87 | 87 | |
Series 2020-4993 Class LA, 2% 8/25/44 | 670,790 | 592,629 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 138,432 | 124,652 | |
Class LY, 3% 10/25/40 | 104,894 | 94,472 | |
Series 2020-5058 Class BE, 3% 11/25/50 | 468,876 | 402,304 | |
Series 2021-5169 Class BA, 2.5% 5/25/49 | 604,463 | 520,262 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 745,775 | 638,652 | |
Series 2021-5178 Class TP, 2.5% 4/25/49 | 521,586 | 448,218 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 150,599 | 132,028 | |
Series 2022-5189: | |||
Class DA, 2.5% 5/25/49 | 132,772 | 113,523 | |
Class TP, 2.5% 5/25/49 | 337,365 | 291,623 | |
Series 2022-5190: | |||
Class BA, 2.5% 11/25/47 | 148,150 | 127,965 | |
Class CA, 2.5% 5/25/49 | 282,141 | 241,048 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 177,297 | 152,095 | |
Series 2022-5197: | |||
Class A, 2.5% 6/25/49 | 282,142 | 243,816 | |
Class DA, 2.5% 11/25/47 | 112,518 | 97,213 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 477,287 | 417,515 | |
Series 2022-5202: | |||
Class AG, 3% 1/25/49 | 153,253 | 136,495 | |
Class BC, 3% 5/25/48 | 626,563 | 560,510 | |
Class LB, 2.5% 10/25/47 | 120,133 | 103,539 | |
Class UA, 3% 4/25/50 | 233,100 | 206,686 | |
Series 2135 Class JE, 6% 3/15/29 | 490 | 497 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 9,029 | 9,066 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 929 | 931 | |
Series 2281 Class ZB, 6% 3/15/30 | 1,731 | 1,739 | |
Series 2303 Class ZV, 6% 4/15/31 | 5,663 | 5,695 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 15,378 | 15,578 | |
Series 2502 Class ZC, 6% 9/15/32 | 1,821 | 1,853 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 2,773 | 2,790 | |
Series 2877 Class ZD, 5% 10/15/34 | 204,665 | 200,841 | |
Series 2998 Class LY, 5.5% 7/15/25 | 2,036 | 2,027 | |
Series 3007 Class EW, 5.5% 7/15/25 | 4,767 | 4,745 | |
Series 3871 Class KB, 5.5% 6/15/41 | 55,612 | 56,740 | |
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.297% 2/15/36 (c)(j)(k) | 3,309 | 262 | |
Series 2013-4281 Class AI, 4% 12/15/28 (j) | 4,884 | 63 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 92,861 | 86,539 | |
Series 2018-4763 Class SC, 6.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.897% 8/15/47 (c)(j)(k) | 154,570 | 15,955 | |
Series 2020-5000 Class BA, 2% 4/25/45 | 607,695 | 530,983 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 235,304 | 211,827 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 643,748 | 594,567 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 566,357 | 482,666 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 975,539 | 836,976 | |
Series 2022-5213 Class AH, 2.25% 4/25/37 | 584,957 | 532,982 | |
Series 2022-5214 Class CB, 3.25% 4/25/52 | 959,925 | 873,328 | |
Series 2022-5236 Class P, 5% 4/25/48 | 279,449 | 274,622 | |
Series 2022-5266 Class CD, 4.5% 10/25/44 | 627,499 | 608,437 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 48,326 | 49,136 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 37,861 | 38,338 | |
Series 2947 Class XZ, 6% 3/15/35 | 19,673 | 20,035 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 32,804 | 33,124 | |
Series 3237 Class C, 5.5% 11/15/36 | 44,316 | 44,133 | |
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.357% 11/15/36 (c)(j)(k) | 13,659 | 1,144 | |
Series 3287 Class SD, 6.630% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.447% 3/15/37 (c)(j)(k) | 20,467 | 1,862 | |
Series 3297 Class BI, 6.640% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.457% 4/15/37 (c)(j)(k) | 28,799 | 3,082 | |
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.277% 6/15/37 (c)(j)(k) | 8,755 | 875 | |
Series 3843 Class PZ, 5% 4/15/41 | 263,849 | 262,392 | |
Series 3949 Class MK, 4.5% 10/15/34 | 7,615 | 7,471 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 8,653 | 165 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 2,287 | 58 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 33,268 | 1,863 | |
Series 4471 Class PA 4% 12/15/40 | 31,474 | 30,429 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 902 | 902 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/24 (c)(f) | 15 | 15 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 1,040 | 1,042 | |
Series 2056 Class Z, 6% 5/15/28 | 2,393 | 2,415 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
planned amortization class Series 20XX-5165 Class PC, 1.5% 11/25/51 | �� | 269,225 | 217,181 |
sequential payer: | |||
Series 2021-5159 Class GC, 2% 11/25/47 | 120,936 | 103,405 | |
Series 4341 Class ML, 3.5% 11/15/31 | 191,609 | 183,223 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 98,745 | 94,853 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2629% 6/16/37 (c)(j)(k) | 5,826 | 536 | |
Series 2007-59 Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9285% 7/20/37 (c)(f) | 43,118 | 42,419 | |
Series 2008-2 Class FD, CME Term SOFR 1 Month Index + 0.590% 5.9085% 1/20/38 (c)(f) | 11,159 | 10,965 | |
Series 2008-73 Class FA, CME Term SOFR 1 Month Index + 0.970% 6.2885% 8/20/38 (c)(f) | 61,425 | 61,329 | |
Series 2008-83 Class FB, CME Term SOFR 1 Month Index + 1.010% 6.3285% 9/20/38 (c)(f) | 45,033 | 45,024 | |
Series 2009-108 Class CF, CME Term SOFR 1 Month Index + 0.710% 6.0271% 11/16/39 (c)(f) | 55,708 | 54,935 | |
Series 2009-116 Class KF, CME Term SOFR 1 Month Index + 0.640% 5.9571% 12/16/39 (c)(f) | 34,430 | 33,870 | |
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.98% 3/20/60 (c)(f)(i) | 53,016 | 52,799 | |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 7/20/60 (c)(f)(i) | 468,808 | 465,299 | |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.5553% 9/20/60 (c)(f)(i) | 488,126 | 484,296 | |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.5553% 8/20/60 (c)(f)(i) | 376,902 | 373,739 | |
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.6353% 12/20/60 (c)(f)(i) | 215,956 | 214,504 | |
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 12/20/60 (c)(f)(i) | 186,785 | 185,896 | |
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 2/20/61 (c)(f)(i) | 175,555 | 174,646 | |
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.7077% 2/20/61 (c)(f)(i) | 251,674 | 250,382 | |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 4/20/61 (c)(f)(i) | 175,183 | 174,289 | |
Series 2011-H14: | |||
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (c)(f)(i) | 271,054 | 269,886 | |
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (c)(f)(i) | 202,702 | 201,756 | |
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.7853% 6/20/61 (c)(f)(i) | 222,245 | 221,272 | |
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.8053% 9/20/61 (c)(f)(i) | 78,098 | 77,758 | |
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8553% 10/20/61 (c)(f)(i) | 242,368 | 241,527 | |
Series 2012-98 Class FA, CME Term SOFR 1 Month Index + 0.510% 5.8285% 8/20/42 (c)(f) | 47,061 | 45,691 | |
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 11/20/61 (c)(f)(i) | 240,430 | 239,812 | |
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 1/20/62 (c)(f)(i) | 125,064 | 124,751 | |
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 1/20/62 (c)(f)(i) | 228,092 | 227,288 | |
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 3/20/62 (c)(f)(i) | 107,560 | 107,084 | |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8711% 5/20/61 (c)(f)(i) | 2,115 | 2,084 | |
Series 2013-H19: | |||
Class FC, CME Term SOFR 1 Month Index + 0.600% 5.8553% 8/20/63 (c)(f)(i) | 10,912 | 10,880 | |
Class FD, CME Term SOFR 1 Month Index + 0.600% 5.8553% 8/20/63 (c)(f)(i) | 10,705 | 10,698 | |
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8177% 1/20/64 (c)(f)(i) | 15,455 | 15,396 | |
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 5.8177% 12/20/63 (c)(f)(i) | 65,912 | 65,761 | |
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 6/20/64 (c)(f)(i) | 59,134 | 58,856 | |
Series 2015-H07 Class FA, CME Term SOFR 1 Month Index + 0.410% 4.7364% 3/20/65 (c)(f)(i) | 451 | 450 | |
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 4.9096% 5/20/63 (c)(f)(i) | 3,627 | 3,380 | |
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 4.9314% 4/20/63 (c)(f)(i) | 4,875 | 4,795 | |
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 4.5891% 12/20/62 (c)(f)(i) | 1,873 | 1,827 | |
planned amortization class: | |||
Series 2010-158 Class MS, 9.770% - CME Term SOFR 1 Month Index 0% 12/20/40 (c)(k) | 60,497 | 47,511 | |
Series 2010-31 Class BP, 5% 3/20/40 | 252,606 | 248,254 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (j) | 16,099 | 1,056 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 24,746 | 23,651 | |
Series 2016-69 Class WA, 3% 2/20/46 | 49,100 | 44,557 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 65,949 | 58,246 | |
Series 2017-153 Class GA, 3% 9/20/47 | 130,703 | 116,602 | |
Series 2017-182 Class KA, 3% 10/20/47 | 103,151 | 92,047 | |
Series 2018-13 Class Q, 3% 4/20/47 | 127,907 | 116,268 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 16,342 | 15,919 | |
Series 2010-160 Class DY, 4% 12/20/40 | 124,241 | 118,738 | |
Series 2010-170 Class B, 4% 12/20/40 | 27,416 | 26,198 | |
Series 2011-69 Class GX, 4.5% 5/16/40 | 226,381 | 223,350 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (i) | 189,388 | 185,880 | |
Series 2017-139 Class BA, 3% 9/20/47 | 229,405 | 204,758 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (i) | 474,182 | 451,679 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 84,113 | 86,891 | |
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0729% 5/16/34 (c)(j)(k) | 3,411 | 212 | |
Series 2010-116 Class QB, 4% 9/16/40 | 9,472 | 9,086 | |
Series 2010-14 Class SN, 5.830% - CME Term SOFR 1 Month Index 0.5229% 2/16/40 (c)(j)(k) | 21,709 | 1,060 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 378,543 | 343,459 | |
Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 5/20/60 (c)(f)(i) | 29,154 | 28,941 | |
Series 2010-H16 Class BA, 3.55% 7/20/60 (i) | 63,570 | 61,525 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(i) | 8,060 | 7,965 | |
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6715% 7/20/41 (c)(j)(k) | 11,447 | 963 | |
Series 2012-76 Class GS, 6.580% - CME Term SOFR 1 Month Index 1.2729% 6/16/42 (c)(j)(k) | 12,908 | 1,079 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 86,437 | 82,190 | |
Series 2013-H01 Class FA, 1.65% 1/20/63 (i) | 26 | 23 | |
Series 2013-H04 Class BA, 1.65% 2/20/63 (i) | 248 | 224 | |
Series 2014-2 Class BA, 3% 1/20/44 | 246,271 | 220,995 | |
Series 2014-21 Class HA, 3% 2/20/44 | 91,549 | 82,484 | |
Series 2014-25 Class HC, 3% 2/20/44 | 155,741 | 139,260 | |
Series 2014-5 Class A, 3% 1/20/44 | 130,581 | 117,332 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (i) | 1,292 | 1,202 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(i) | 14,668 | 14,008 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.85% 5/20/66 (c)(f)(i) | 485,530 | 484,105 | |
Series 2017-186 Class HK, 3% 11/16/45 | 133,991 | 120,371 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.7% 8/20/66 (c)(f)(i) | 667,047 | 664,005 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 936,203 | 929,529 | |
TOTAL U.S. GOVERNMENT AGENCY | 39,978,891 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $45,350,395) | 44,265,228 | ||
Commercial Mortgage Securities - 4.2% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.461% 1/15/39 (b)(c)(f) | 1,005,000 | 977,660 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.861% 1/15/39 (b)(c)(f) | 190,000 | 183,826 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.461% 1/15/39 (b)(c)(f) | 136,000 | 130,807 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 1,500,000 | 1,384,265 | |
Class ANM, 3.112% 11/5/32 (b) | 778,000 | 708,645 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 132,000 | 107,726 | |
Class CNM, 3.8425% 11/5/32 (b)(c) | 100,000 | 75,611 | |
BANK sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 700,000 | 643,572 | |
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 500,000 | 462,032 | |
Series 2018-BN14 Class A4, 4.231% 9/15/60 | 900,000 | 846,634 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 134,000 | 115,386 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 300,000 | 299,312 | |
Class A3, 6.26% 4/15/56 | 800,000 | 812,767 | |
Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A4, 3.953% 8/15/61 | 300,000 | 279,915 | |
BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60 | 1,000,000 | 921,773 | |
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56 | 300,000 | 307,472 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B4 Class A5, 4.121% 7/15/51 | 151,000 | 140,518 | |
Series 2019-B12 Class XA, 1.1616% 8/15/52 (c)(j) | 7,738,723 | 282,014 | |
Series 2019-B14 Class XA, 0.8991% 12/15/62 (c)(j) | 4,524,555 | 128,640 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.4745% 11/15/28 (b)(c)(f) | 760,000 | 757,812 | |
Bmo 2023-5C1 Mtg Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | 400,000 | 411,694 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2085% 4/15/37 (b)(c)(f) | 3,387,000 | 3,325,804 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7575% 4/15/37 (b)(c)(f) | 900,000 | 876,869 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC: | |||
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1136% 10/15/36 (b)(c)(f) | 1,794,000 | 1,752,351 | |
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3233% 10/15/36 (b)(c)(f) | 268,000 | 259,761 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5231% 10/15/36 (b)(c)(f) | 2,044,000 | 1,974,778 | |
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7228% 10/15/36 (b)(c)(f) | 349,000 | 334,336 | |
Class E, CME Term SOFR 1 Month Index + 2.060% 7.372% 10/15/36 (b)(c)(f) | 1,213,000 | 1,165,056 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 6.3234% 2/15/39 (b)(c)(f) | 2,068,107 | 2,011,037 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 6.6228% 2/15/39 (b)(c)(f) | 622,943 | 604,724 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 6.8722% 2/15/39 (b)(c)(f) | 622,943 | 595,396 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 7.2713% 2/15/39 (b)(c)(f) | 622,943 | 593,643 | |
Bx Commercial Mortgage Trust 2: | |||
floater Series 2019-IMC: | |||
Class B, CME Term SOFR 1 Month Index + 1.410% 6.7245% 4/15/34 (b)(c)(f) | 614,000 | 610,573 | |
Class C, CME Term SOFR 1 Month Index + 1.710% 7.0245% 4/15/34 (b)(c)(f) | 406,000 | 403,238 | |
Class D, CME Term SOFR 1 Month Index + 2.010% 7.3245% 4/15/34 (b)(c)(f) | 426,000 | 422,193 | |
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.110% 6.4245% 4/15/34 (b)(c)(f) | 814,000 | 810,814 | |
BX Trust: | |||
floater: | |||
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 6.505% 10/15/36 (b)(c)(f) | 704,650 | 700,193 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.675% 10/15/36 (b)(c)(f) | 1,352,350 | 1,342,086 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.875% 10/15/36 (b)(c)(f) | 1,375,300 | 1,363,123 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 7.225% 10/15/36 (b)(c)(f) | 4,313,750 | 4,270,100 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4755% 8/15/39 (b)(c)(f) | 943,000 | 942,999 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 6.8015% 4/15/37 (b)(c)(f) | 1,462,295 | 1,455,416 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2505% 4/15/37 (b)(c)(f) | 745,185 | 732,805 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6005% 4/15/37 (b)(c)(f) | 168,449 | 163,816 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1495% 4/15/37 (b)(c)(f) | 141,176 | 136,442 | |
floater sequential payer: | |||
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.345% 10/15/36 (b)(c)(f) | 1,482,688 | 1,478,936 | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.0955% 6/15/38 (b)(c)(f) | 835,564 | 819,303 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.180% 6.4955% 12/15/37 (b)(c)(f) | 100,000 | 99,494 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 1,833,060 | 1,610,211 | |
CFCRE Commercial Mortgage Trust sequential payer Series 2017-C8 Class A3, 3.3048% 6/15/50 | 245,012 | 226,672 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.375% 11/15/36 (b)(c)(f) | 580,000 | 570,144 | |
Class B, CME Term SOFR 1 Month Index + 1.360% 6.675% 11/15/36 (b)(c)(f) | 200,000 | 194,659 | |
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1 Class A3, 3.197% 8/15/50 | 290,313 | 265,461 | |
Citigroup Commercial Mortgage Trust Series 2015-GC29 Class XA, 1.1518% 4/10/48 (c)(j) | 2,688,069 | 33,277 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 257,000 | 251,862 | |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | 1,400,000 | 1,361,526 | |
Series 2014-CR17 Class XA, 1.1036% 5/10/47 (c)(j) | 1,354,604 | 3,465 | |
Series 2014-LC17 Class XA, 0.8075% 10/10/47 (c)(j) | 2,191,558 | 9,930 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, CME Term SOFR 1 Month Index + 1.020% 6.338% 5/15/36 (b)(c)(f) | 5,921,269 | 5,914,485 | |
Class B, CME Term SOFR 1 Month Index + 1.270% 6.588% 5/15/36 (b)(c)(f) | 860,858 | 858,374 | |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.788% 5/15/36 (b)(c)(f) | 836,918 | 831,052 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 400,894 | 361,249 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 594,000 | 576,761 | |
Class B, 4.5349% 4/15/36 (b) | 107,000 | 103,148 | |
Class C, 4.9414% 4/15/36 (b)(c) | 123,000 | 118,337 | |
Class D, 4.9414% 4/15/36 (b)(c) | 245,000 | 233,712 | |
CSMC Trust Series 2017-PFHP Class D, CME Term SOFR 1 Month Index + 2.290% 7.608% 12/15/30 (b)(c)(f) | 1,296,000 | 1,209,666 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1265% 11/15/38 (b)(c)(f) | 6,931,000 | 6,783,153 | |
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5457% 11/15/38 (b)(c)(f) | 1,136,000 | 1,110,343 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, CME Term SOFR 1 Month Index + 1.190% 6.5045% 7/15/38 (b)(c)(f) | 771,081 | 763,651 | |
Class B, CME Term SOFR 1 Month Index + 1.490% 6.8045% 7/15/38 (b)(c)(f) | 438,982 | 432,920 | |
Class C, CME Term SOFR 1 Month Index + 1.810% 7.1245% 7/15/38 (b)(c)(f) | 323,511 | 318,637 | |
Class D, CME Term SOFR 1 Month Index + 2.360% 7.6745% 7/15/38 (b)(c)(f) | 650,838 | 640,217 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 1,096,000 | 1,061,948 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 157,000 | 150,658 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 248,000 | 238,698 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 700,000 | 560,301 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 400,000 | 332,527 | |
Series 2022-K140 Class A2, 2.25% 1/25/32 | 230,000 | 189,521 | |
Series 2022-K143 Class A2, 2.35% 3/25/32 | 700,000 | 580,220 | |
Series 2022-K149 Class A2, 3.53% 8/25/32 | 1,700,000 | 1,543,125 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 2,050,000 | 1,861,216 | |
Series 2023-157 Class A2, 4.2% 5/25/33 | 440,000 | 419,607 | |
Series 2023-K-153 Class A2, 3.82% 12/25/32 | 790,000 | 731,596 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 300,000 | 292,643 | |
Series 2021-K134 Class A2, 2.243% 10/25/31 | 320,000 | 264,992 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 300,000 | 264,028 | |
Series K063 Class A2, 3.43% 1/25/27 | 500,000 | 476,086 | |
Series K086 Class A2, 3.859% 11/25/28 | 459,000 | 439,587 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3745% 9/15/31 (b)(c)(f) | 734,434 | 724,368 | |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (b)(c)(f) | 394,089 | 362,562 | |
Series 2021-IP: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3755% 10/15/36 (b)(c)(f) | 1,036,000 | 985,323 | |
Class B, CME Term SOFR 1 Month Index + 1.260% 6.5755% 10/15/36 (b)(c)(f) | 160,000 | 148,963 | |
Class C, CME Term SOFR 1 Month Index + 1.660% 6.9755% 10/15/36 (b)(c)(f) | 132,000 | 121,581 | |
sequential payer: | |||
Series 2017-GS6 Class A2, 3.164% 5/10/50 | 95,259 | 87,898 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 200,000 | 185,567 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.7986% 8/15/39 (b)(c)(f) | 2,256,000 | 2,257,411 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 476,000 | 430,390 | |
Class CFX, 4.9498% 7/5/33 (b) | 103,000 | 86,076 | |
Class DFX, 5.3503% 7/5/33 (b) | 159,000 | 129,696 | |
Class EFX, 5.3635% 7/5/33 (b)(c) | 218,000 | 174,551 | |
Class XAFX, 1.2948% 7/5/33 (b)(c)(j) | 2,000,000 | 39,489 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6057% 5/15/39 (b)(c)(f) | 2,726,000 | 2,678,261 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1044% 5/15/39 (b)(c)(f) | 1,630,000 | 1,594,750 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4036% 5/15/39 (b)(c)(f) | 913,000 | 887,813 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8524% 5/15/39 (b)(c)(f) | 812,000 | 774,584 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1245% 3/15/38 (b)(c)(f) | 1,199,224 | 1,175,120 | |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.3045% 3/15/38 (b)(c)(f) | 331,261 | 323,355 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5245% 3/15/38 (b)(c)(f) | 208,390 | 202,369 | |
Class D, CME Term SOFR 1 Month Index + 1.510% 6.8245% 3/15/38 (b)(c)(f) | 289,976 | 280,506 | |
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1745% 3/15/38 (b)(c)(f) | 253,606 | 244,050 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, CME Term SOFR 1 Month Index + 1.290% 6.608% 8/15/33 (b)(c)(f) | 501,600 | 397,408 | |
Class C, CME Term SOFR 1 Month Index + 1.540% 6.858% 8/15/33 (b)(c)(f) | 1,208,000 | 861,618 | |
sequential payer: | |||
Series 2017-H1 Class A4, 3.259% 6/15/50 | 500,000 | 458,411 | |
Series 2017-HR2 Class A4, 3.587% 12/15/50 | 270,000 | 246,572 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 400,000 | 367,482 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 1,698,000 | 1,553,288 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 385,000 | 359,387 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(c) | 246,000 | 216,869 | |
Class C, 3.283% 11/10/36 (b)(c) | 235,000 | 200,731 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, CME Term SOFR 1 Month Index + 1.910% 7.2285% 12/15/37 (b)(c)(f) | 444,000 | 432,717 | |
floater sequential payer Series 2021-9A Class A, CME Term SOFR 1 Month Index + 1.560% 6.8191% 12/15/37 (b)(c)(f)(m) | 88,682 | 88,406 | |
Sfs Auto Receivables Securitiz sequential payer Series 2023-1A Class A2A, 5.89% 3/22/27 (b) | 750,000 | 749,517 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 7.3105% 2/15/39 (b)(c)(f) | 457,000 | 430,350 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.9605% 2/15/39 (b)(c)(f) | 237,000 | 221,127 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1558% 11/15/38 (b)(c)(f) | 1,701,000 | 1,666,850 | |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5048% 11/15/38 (b)(c)(f) | 4,130,000 | 4,051,668 | |
Class C, CME Term SOFR 1 Month Index + 1.440% 6.754% 11/15/38 (b)(c)(f) | 605,000 | 590,197 | |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0032% 11/15/38 (b)(c)(f) | 398,000 | 386,985 | |
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1548% 12/15/50 (c)(j) | 1,249,169 | 39,960 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1,382,000 | 1,078,280 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 90,000 | 69,469 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6255% 5/15/31 (b)(c)(f) | 953,000 | 912,139 | |
Series 2017-C42 Class XA, 1.0056% 12/15/50 (c)(j) | 3,532,147 | 104,861 | |
Series 2018-C46 Class XA, 1.0822% 8/15/51 (c)(j) | 2,341,810 | 56,665 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 339,000 | 317,720 | |
Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49 | 1,000,000 | 942,432 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2014-C21 Class XA, 1.147% 8/15/47 (c)(j) | 804,218 | 5,904 | |
Series 2014-LC14 Class XA, 1.3973% 3/15/47 (c)(j) | 953,606 | 434 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $107,823,026) | 104,115,162 | ||
Municipal Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 2,525,000 | 2,450,006 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,550,000 | 1,659,569 | |
TOTAL MUNICIPAL SECURITIES (Cost $4,347,427) | 4,109,575 | ||
Foreign Government and Government Agency Obligations - 0.4% | |||
Principal Amount (a) | Value ($) | ||
Argentine Republic: | |||
0.75% 7/9/30 (n) | 685,010 | 230,020 | |
1% 7/9/29 | 75,245 | 24,323 | |
3.625% 7/9/35 (n) | 1,254,989 | 368,640 | |
Dominican Republic: | |||
4.5% 1/30/30 (b) | 1,200,000 | 1,043,508 | |
5.95% 1/25/27 (b) | 2,850,000 | 2,784,536 | |
6% 7/19/28 (b) | 550,000 | 530,734 | |
Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 915,000 | 734,352 | |
Indonesian Republic 4.2% 10/15/50 | 2,100,000 | 1,743,714 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/22/30 (b) | 595,000 | 534,048 | |
4.5% 4/22/60 (b) | 390,000 | 321,056 | |
State of Qatar 4.4% 4/16/50 (b) | 1,390,000 | 1,222,199 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $11,219,988) | 9,537,130 | ||
Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank 5.974% 8/9/28 (c) | 401,000 | 369,998 | |
Regions Bank 6.45% 6/26/37 | 250,000 | 245,727 | |
TOTAL BANK NOTES (Cost $695,223) | 615,725 | ||
Fixed-Income Funds - 15.8% | |||
Shares | Value ($) | ||
Fidelity Emerging Markets Debt Central Fund (o) | 5,555,914 | 42,002,712 | |
Fidelity Floating Rate Central Fund (o) | 1,601,153 | 157,041,077 | |
Fidelity International Credit Central Fund (o) | 658,826 | 50,413,382 | |
Fidelity Specialized High Income Central Fund (o) | 1,727,412 | 144,791,683 | |
TOTAL FIXED-INCOME FUNDS (Cost $436,824,884) | 394,248,854 | ||
Money Market Funds - 5.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (p) | 84,956,606 | 84,973,598 | |
Fidelity Securities Lending Cash Central Fund 5.44% (p)(q) | 50,196,714 | 50,201,734 | |
TOTAL MONEY MARKET FUNDS (Cost $135,174,587) | 135,175,332 | ||
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.07% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/21/28 | 4,700,000 | 225,026 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.2575% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring June 2033 | 6/08/28 | 1,100,000 | 48,759 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.305% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 2,900,000 | 126,250 | |
TOTAL PUT OPTIONS | 400,035 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.07% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/21/28 | 4,700,000 | 155,342 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.2575% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring June 2033 | 6/08/28 | 1,100,000 | 40,124 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.305% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 2,900,000 | 108,899 | |
TOTAL CALL OPTIONS | 304,365 | |||
TOTAL PURCHASED SWAPTIONS (Cost $712,852) | 704,400 |
TOTAL INVESTMENT IN SECURITIES - 110.4% (Cost $2,954,490,439) | 2,756,698,336 |
NET OTHER ASSETS (LIABILITIES) - (10.4)% | (259,711,949) |
NET ASSETS - 100.0% | 2,496,986,387 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 9/1/53 | (750,000) | (618,750) |
2% 9/1/53 | (9,200,000) | (7,590,004) |
2.5% 9/1/53 | (1,850,000) | (1,574,671) |
3% 9/1/53 | (4,800,000) | (4,220,610) |
3.5% 9/1/53 | (1,550,000) | (1,407,329) |
TOTAL GINNIE MAE | (15,411,364) | |
Uniform Mortgage Backed Securities | ||
1.5% 9/1/53 | (2,200,000) | (1,658,513) |
2% 9/1/53 | (13,900,000) | (11,065,295) |
2% 9/1/53 | (5,550,000) | (4,418,158) |
2% 9/1/53 | (5,550,000) | (4,418,158) |
2% 9/1/53 | (9,000,000) | (7,164,581) |
2% 9/1/53 | (8,350,000) | (6,647,139) |
2% 9/1/53 | (1,300,000) | (1,034,884) |
2% 9/1/53 | (400,000) | (318,426) |
2.5% 9/1/53 | (800,000) | (663,031) |
2.5% 9/1/53 | (400,000) | (331,516) |
2.5% 9/1/53 | (400,000) | (331,516) |
2.5% 9/1/53 | (500,000) | (414,395) |
3% 9/1/53 | (300,000) | (258,457) |
3% 9/1/53 | (200,000) | (172,305) |
3.5% 9/1/53 | (900,000) | (804,199) |
4% 9/1/53 | (200,000) | (184,625) |
5% 9/1/53 | (2,250,000) | (2,181,709) |
5.5% 9/1/53 | (1,000,000) | (987,813) |
5.5% 9/1/53 | (500,000) | (493,906) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (43,548,626) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $58,307,782) | (58,959,990) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 13 | Dec 2023 | 2,649,461 | 7,693 | 7,693 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1,370 | Dec 2023 | 146,482,969 | 75,459 | 75,459 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 2 | Dec 2023 | 258,938 | 4,042 | 4,042 |
TOTAL PURCHASED | 87,194 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 299 | Dec 2023 | 33,198,344 | (331,624) | (331,624) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 205 | Dec 2023 | 21,918,984 | (151,912) | (151,912) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 10 | Dec 2023 | 1,216,875 | (17,366) | (17,366) |
TOTAL SOLD | (500,902) | ||||
TOTAL FUTURES CONTRACTS | (413,708) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 6.0% | |||||
The notional amount of futures sold as a percentage of Net Assets is 2.2% |
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. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 40,000 | 695 | (436) | 259 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 70,000 | 16,837 | (20,144) | (3,307) | ||
CMBX N.A. BBB- Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (3%) | Monthly | 190,000 | 50,693 | (51,140) | (447) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 160,000 | 38,485 | (42,881) | (4,396) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 140,000 | 33,674 | (40,756) | (7,082) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 100,000 | 24,053 | (24,904) | (851) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 190,000 | 45,700 | (47,141) | (1,441) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 160,000 | 38,485 | (47,075) | (8,590) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 200,000 | 48,106 | (60,609) | (12,503) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 460,000 | 110,643 | (137,341) | (26,698) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 130,000 | 31,269 | (32,410) | (1,141) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 60,000 | 14,432 | (14,671) | (239) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 40,000 | 9,621 | (10,715) | (1,094) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 90,000 | 21,648 | (27,754) | (6,106) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 140,000 | 33,674 | (39,944) | (6,270) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 190,000 | 45,700 | (46,391) | (691) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 130,000 | 31,269 | (32,743) | (1,474) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 190,000 | 45,700 | (48,091) | (2,391) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 170,000 | 40,890 | (43,805) | (2,915) | ||
TOTAL BUY PROTECTION | 681,574 | (768,951) | (87,377) | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 40,000 | (695) | 947 | 252 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 1,210,000 | (33,482) | 33,591 | 109 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 1,230,000 | (34,036) | 33,459 | (577) | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 690,000 | (19,093) | 18,770 | (323) | |
TOTAL SELL PROTECTION | (87,306) | 86,767 | (539) | |||||||
TOTAL CREDIT DEFAULT SWAPS | 594,268 | (682,184) | (87,916) |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2028 | 939,000 | (17,183) | 0 | (17,183) | |
3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2030 | 1,772,000 | (34,941) | 0 | (34,941) | |
TOTAL INTEREST RATE SWAPS | (52,124) | 0 | (52,124) |
(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 $284,029,025 or 11.4% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Security or a portion of the security is on loan at period end. |
(e) | 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 $1,875,563. |
(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) | 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 $2,086,769. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | 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. |
(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) | 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. |
(l) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(m) | Level 3 security |
(n) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(o) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements,which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(p) | 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(q) | Investment made with cash collateral received from securities on loan. |
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 5.43% | 87,521,297 | 1,404,895,731 | 1,407,443,430 | 4,429,967 | - | - | 84,973,598 | 0.2% |
Fidelity Emerging Markets Debt Central Fund | 39,645,062 | 2,395,495 | - | 2,395,495 | - | (37,845) | 42,002,712 | 2.0% |
Fidelity Floating Rate Central Fund | 118,573,646 | 36,189,730 | - | 11,189,729 | - | 2,277,701 | 157,041,077 | 10.4% |
Fidelity International Credit Central Fund | 52,040,145 | 3,518,696 | - | 3,518,696 | - | (5,145,459) | 50,413,382 | 25.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | 47,988,270 | 876,368,297 | 874,154,833 | 64,609 | - | - | 50,201,734 | 0.2% |
Fidelity Specialized High Income Central Fund | 127,572,572 | 17,179,610 | - | 7,179,611 | - | 39,501 | 144,791,683 | 40.1% |
Total | 473,340,992 | 2,340,547,559 | 2,281,598,263 | 28,778,107 | - | (2,866,102) | 529,424,186 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 557,472,611 | - | 557,472,611 | - |
U.S. Government and Government Agency Obligations | 891,949,155 | - | 891,949,155 | - |
U.S. Government Agency - Mortgage Securities | 482,184,053 | - | 482,184,053 | - |
Asset-Backed Securities | 132,321,111 | - | 132,321,111 | - |
Collateralized Mortgage Obligations | 44,265,228 | - | 44,265,228 | - |
Commercial Mortgage Securities | 104,115,162 | - | 104,026,756 | 88,406 |
Municipal Securities | 4,109,575 | - | 4,109,575 | - |
Foreign Government and Government Agency Obligations | 9,537,130 | - | 9,537,130 | - |
Bank Notes | 615,725 | - | 615,725 | - |
Fixed-Income Funds | 394,248,854 | 394,248,854 | - | - |
Money Market Funds | 135,175,332 | 135,175,332 | - | - |
Purchased Swaptions | 704,400 | - | 704,400 | - |
Total Investments in Securities: | 2,756,698,336 | 529,424,186 | 2,227,185,744 | 88,406 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 87,194 | 87,194 | - | - |
Swaps | 681,574 | - | 681,574 | - |
Total Assets | 768,768 | 87,194 | 681,574 | - |
Liabilities | ||||
Futures Contracts | (500,902) | (500,902) | - | - |
Swaps | (139,430) | - | (139,430) | - |
Total Liabilities | (640,332) | (500,902) | (139,430) | - |
Total Derivative Instruments: | 128,436 | (413,708) | 542,144 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (58,959,990) | - | (58,959,990) | - |
Total Other Financial Instruments: | (58,959,990) | - | (58,959,990) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (d) | 681,574 | (87,306) |
Total Credit Risk | 681,574 | (87,306) |
Interest Rate Risk | ||
Futures Contracts (a) | 87,194 | (500,902) |
Purchased Swaptions (b) | 704,400 | 0 |
Swaps (c) | 0 | (52,124) |
Total Interest Rate Risk | 791,594 | (533,026) |
Total Value of Derivatives | 1,473,168 | (640,332) |
Statement of Assets and Liabilities | ||||
August 31, 2023 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $49,109,522) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,382,490,968) | $ | 2,227,274,150 | ||
Fidelity Central Funds (cost $571,999,471) | 529,424,186 | |||
Total Investment in Securities (cost $2,954,490,439) | $ | 2,756,698,336 | ||
Segregated cash with brokers for derivative instruments | 89,068 | |||
Cash | 9,369 | |||
Receivable for investments sold | 191,863 | |||
Receivable for TBA sale commitments | 58,307,782 | |||
Receivable for fund shares sold | 5,625,119 | |||
Interest receivable | 15,341,537 | |||
Distributions receivable from Fidelity Central Funds | 431,388 | |||
Receivable for daily variation margin on futures contracts | 48,214 | |||
Receivable for daily variation margin on centrally cleared OTC swaps | 7,075 | |||
Bi-lateral OTC swaps, at value | 681,574 | |||
Total assets | 2,837,431,325 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 4,634,477 | ||
Delayed delivery | 224,317,376 | |||
TBA sale commitments, at value | 58,959,990 | |||
Payable for fund shares redeemed | 1,516,407 | |||
Distributions payable | 95,993 | |||
Bi-lateral OTC swaps, at value | 87,306 | |||
Accrued management fee | 600,705 | |||
Other payables and accrued expenses | 30,950 | |||
Collateral on securities loaned | 50,201,734 | |||
Total Liabilities | 340,444,938 | |||
Net Assets | $ | 2,496,986,387 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,776,828,729 | ||
Total accumulated earnings (loss) | (279,842,342) | |||
Net Assets | $ | 2,496,986,387 | ||
Net Asset Value, offering price and redemption price per share ($2,496,986,387 ÷ 287,704,582 shares) | $ | 8.68 |
Statement of Operations | ||||
Year ended August 31, 2023 | ||||
Investment Income | ||||
Interest | $ | 64,834,966 | ||
Income from Fidelity Central Funds (including $64,609 from security lending) | 28,778,107 | |||
Total Income | 93,613,073 | |||
Expenses | ||||
Management fee | $ | 6,101,283 | ||
Independent trustees' fees and expenses | 6,989 | |||
Miscellaneous | 30,949 | |||
Total expenses before reductions | 6,139,221 | |||
Expense reductions | (4,953) | |||
Total expenses after reductions | 6,134,268 | |||
Net Investment income (loss) | 87,478,805 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (59,298,942) | |||
Futures contracts | 3,338,301 | |||
Swaps | (218,162) | |||
Total net realized gain (loss) | (56,178,803) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (18,761,311) | |||
Fidelity Central Funds | (2,866,102) | |||
Futures contracts | (886,825) | |||
Swaps | (97,257) | |||
TBA Sale commitments | (1,274,197) | |||
Total change in net unrealized appreciation (depreciation) | (23,885,692) | |||
Net gain (loss) | (80,064,495) | |||
Net increase (decrease) in net assets resulting from operations | $ | 7,414,310 |
Statement of Changes in Net Assets | ||||
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 87,478,805 | $ | 47,909,120 |
Net realized gain (loss) | (56,178,803) | (17,676,208) | ||
Change in net unrealized appreciation (depreciation) | (23,885,692) | (253,491,050) | ||
Net increase (decrease) in net assets resulting from operations | 7,414,310 | (223,258,138) | ||
Distributions to shareholders | (85,467,263) | (54,048,620) | ||
Share transactions | ||||
Proceeds from sales of shares | 1,404,417,066 | 940,705,508 | ||
Reinvestment of distributions | 84,724,456 | 54,048,457 | ||
Cost of shares redeemed | (734,401,848) | (730,224,884) | ||
Net increase (decrease) in net assets resulting from share transactions | 754,739,674 | 264,529,081 | ||
Total increase (decrease) in net assets | 676,686,721 | (12,777,677) | ||
Net Assets | ||||
Beginning of period | 1,820,299,666 | 1,833,077,343 | ||
End of period | $ | 2,496,986,387 | $ | 1,820,299,666 |
Other Information | ||||
Shares | ||||
Sold | 159,841,049 | 96,159,686 | ||
Issued in reinvestment of distributions | 9,662,098 | 5,546,683 | ||
Redeemed | (83,442,462) | (75,535,111) | ||
Net increase (decrease) | 86,060,685 | 26,171,258 | ||
Fidelity® Total Bond K6 Fund |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.03 | $ | 10.45 | $ | 10.82 | $ | 10.34 | $ | 9.73 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .376 | .248 | .247 | .293 | .315 | |||||
Net realized and unrealized gain (loss) | (.357) | (1.388) | .013 | .494 | .610 | |||||
Total from investment operations | .019 | (1.140) | .260 | .787 | .925 | |||||
Distributions from net investment income | (.369) | (.244) | (.240) | (.287) | (.315) | |||||
Distributions from net realized gain | - | (.036) | (.390) | (.020) | - | |||||
Total distributions | (.369) | (.280) | (.630) | (.307) | (.315) | |||||
Net asset value, end of period | $ | 8.68 | $ | 9.03 | $ | 10.45 | $ | 10.82 | $ | 10.34 |
Total Return C | .25% | (11.07)% | 2.53% | 7.77% | 9.72% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .30% | .30% | .30% | .30% | .30% | |||||
Expenses net of fee waivers, if any | .30% | .30% | .30% | .30% | .30% | |||||
Expenses net of all reductions | .30% | .30% | .30% | .30% | .30% | |||||
Net investment income (loss) | 4.30% | 2.55% | 2.37% | 2.82% | 3.20% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 2,496,986 | $ | 1,820,300 | $ | 1,833,077 | $ | 1,647,610 | $ | 1,344,694 |
Portfolio turnover rate F | 203% | 108% | 137% | 167% | 83% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Emerging Markets Debt Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. | Foreign Securities Restricted Securities | Less than .005% |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity International Credit Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in debt securities of foreign issuers, including debt securities of issuers located in emerging markets. Foreign currency exposure is hedged utilizing foreign currency contracts. | Foreign Securities Forward Foreign Currency Contracts Futures Options Restricted Securities Swaps | Less than .005% |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $6,226,372 |
Gross unrealized depreciation | (204,107,941) |
Net unrealized appreciation (depreciation) | $(197,881,569) |
Tax Cost | $2,954,476,325 |
Undistributed ordinary income | $1,335,144 |
Capital loss carryforward | $(82,968,669) |
Net unrealized appreciation (depreciation) on securities and other investments | $(198,208,817) |
Short-term | $(41,389,775) |
Long-term | (41,578,894) |
Total capital loss carryforward | $(82,968,669) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $85,467,263 | $48,594,184 |
Long-term Capital Gains | - | 5,454,436 |
Total | $85,467,263 | $54,048,620 |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Total Bond K6 Fund | ||
Credit Risk | ||
Swaps | 44,033 | (125,035) |
Total Credit Risk | 44,033 | (125,035) |
Interest Rate Risk | ||
Futures Contracts | 3,338,301 | (886,825) |
Purchased Options | - | (8,452) |
Swaps | (262,195) | 27,778 |
Total Interest Rate Risk | 3,076,106 | (867,499) |
Totals | 3,120,139 | (992,534) |
Purchases ($) | Sales ($) | |
Fidelity Total Bond K6 Fund | 2,896,211,554 | 2,696,941,762 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Total Bond K6 Fund | $7,069 | $- | $- |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Total Bond K6 Fund | .30% | |||||||||
Actual | $ 1,000 | $ 1,014.20 | $ 1.52 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.69 | $ 1.53 | |||||||
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | -3.94% | 0.34% | 1.60% |
Class M (incl. 4.00% sales charge) | -3.94% | 0.34% | 1.60% |
Class C (incl. contingent deferred sales charge) | -1.66% | 0.37% | 1.41% |
Fidelity® Total Bond Fund | 0.36% | 1.44% | 2.33% |
Class I | 0.31% | 1.41% | 2.28% |
Class Z | 0.45% | 1.55% | 2.40% |
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond Fund, a class of the fund, on August 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period. |
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Quality Diversification (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (2.6)%* |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (2.6)% |
Futures and Swaps - 4.3% |
Forward foreign currency contracts - (1.8)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Geographic Diversification (% of Fund's net assets) |
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* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Corporate Bonds - 31.1% | |||
Principal Amount (a) | Value ($) | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.1% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | 10,026,000 | 9,474,570 | |
3.375% 8/15/26 | 22,712,000 | 13,740,760 | |
23,215,330 | |||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Redfin Corp. 0.5% 4/1/27 | 4,580,000 | 2,908,300 | |
TOTAL CONVERTIBLE BONDS | 26,123,630 | ||
Nonconvertible Bonds - 31.0% | |||
COMMUNICATION SERVICES - 2.7% | |||
Diversified Telecommunication Services - 0.5% | |||
Altice France SA: | |||
5.125% 1/15/29(b) | 7,650,000 | 5,450,444 | |
5.125% 7/15/29(b) | 5,125,000 | 3,622,764 | |
5.5% 1/15/28(b) | 4,280,000 | 3,207,411 | |
5.5% 10/15/29(b) | 35,000 | 25,183 | |
AT&T, Inc. 4.3% 2/15/30 | 10,373,000 | 9,671,423 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 11,192,000 | 10,296,640 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27(b) | 1,135,000 | 947,574 | |
5.625% 9/15/28(b) | 895,000 | 687,472 | |
Colombia Telecomunicaciones SA 4.95% 7/17/30 (b) | 560,000 | 430,685 | |
Consolidated Communications, Inc. 5% 10/1/28 (b) | 1,385,000 | 1,037,947 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(b) | 6,390,000 | 5,475,294 | |
5.875% 10/15/27(b) | 1,886,000 | 1,717,773 | |
5.875% 11/1/29 | 2,950,000 | 2,184,722 | |
8.75% 5/15/30(b) | 2,730,000 | 2,653,380 | |
IHS Holding Ltd. 5.625% 11/29/26 (b) | 1,070,000 | 919,622 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29(b) | 840,000 | 500,232 | |
4.25% 7/1/28(b) | 5,705,000 | 3,740,525 | |
10.5% 5/15/30(b) | 7,119,000 | 7,231,412 | |
Liquid Telecommunications Financing PLC 5.5% 9/4/26 (b) | 2,490,000 | 1,554,158 | |
Qtel International Finance Ltd.: | |||
2.625% 4/8/31(b) | 1,235,000 | 1,047,441 | |
5% 10/19/25(b) | 660,000 | 654,469 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 2,355,000 | 2,179,529 | |
Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | 1,005,000 | 895,581 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 2,030,000 | 1,685,222 | |
7.2% 7/18/36 | 2,189,000 | 1,978,268 | |
7.721% 6/4/38 | 605,000 | 559,429 | |
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) | 1,565,000 | 1,461,867 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 1,800,000 | 1,643,400 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 22,884,000 | 19,998,134 | |
2.55% 3/21/31 | 21,181,000 | 17,435,927 | |
3% 3/22/27 | 5,131,000 | 4,769,319 | |
4.862% 8/21/46 | 26,720,000 | 23,514,446 | |
5.012% 4/15/49 | 569,000 | 510,312 | |
Windstream Escrow LLC 7.75% 8/15/28 (b) | 5,710,000 | 4,629,168 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27(b) | 2,850,000 | 2,135,897 | |
6.125% 3/1/28(b) | 1,800,000 | 1,169,999 | |
147,623,069 | |||
Entertainment - 0.0% | |||
Roblox Corp. 3.875% 5/1/30 (b) | 5,810,000 | 4,793,270 | |
Universal Music Group NV 4% 6/13/31 (Reg. S) | EUR | 1,800,000 | 1,942,852 |
6,736,122 | |||
Interactive Media & Services - 0.0% | |||
Baidu, Inc.: | |||
1.72% 4/9/26 | 1,135,000 | 1,026,880 | |
2.375% 10/9/30 | 635,000 | 515,271 | |
Tencent Holdings Ltd.: | |||
1.81% 1/26/26(b) | 645,000 | 592,574 | |
2.39% 6/3/30(b) | 1,365,000 | 1,120,979 | |
3.975% 4/11/29(b) | 480,000 | 441,384 | |
3,697,088 | |||
Media - 1.7% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 4,840,000 | 4,219,318 | |
Altice Financing SA: | |||
5% 1/15/28(b) | 2,905,000 | 2,362,083 | |
5.75% 8/15/29(b) | 16,285,000 | 12,900,431 | |
Altice France Holding SA 6% 2/15/28 (b) | 7,730,000 | 3,381,875 | |
Cable Onda SA 4.5% 1/30/30 (b) | 2,555,000 | 2,163,727 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31(b) | 7,995,000 | 6,558,171 | |
4.25% 1/15/34(b) | 5,075,000 | 3,886,421 | |
4.5% 8/15/30(b) | 2,590,000 | 2,178,700 | |
4.5% 5/1/32 | 8,750,000 | 7,093,580 | |
4.5% 6/1/33(b) | 9,325,000 | 7,360,877 | |
4.75% 2/1/32(b) | 300,000 | 248,250 | |
5.375% 6/1/29(b) | 3,411,000 | 3,104,517 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.85% 4/1/61 | 3,000,000 | 1,792,273 | |
3.9% 6/1/52 | 4,000,000 | 2,559,473 | |
4.4% 4/1/33 | 24,687,000 | 21,736,952 | |
4.8% 3/1/50 | 8,000,000 | 5,927,098 | |
4.908% 7/23/25 | 11,107,000 | 10,907,761 | |
5.25% 4/1/53 | 46,711,000 | 36,974,639 | |
5.375% 5/1/47 | 32,692,000 | 26,123,326 | |
5.5% 4/1/63 | 36,711,000 | 28,839,949 | |
6.484% 10/23/45 | 9,078,000 | 8,351,307 | |
6.834% 10/23/55 | 3,000,000 | 2,778,330 | |
Clear Channel Outdoor Holdings, Inc.: | |||
5.125% 8/15/27(b) | 1,585,000 | 1,419,593 | |
7.5% 6/1/29(b) | 2,077,000 | 1,547,969 | |
9% 9/15/28(b) | 2,545,000 | 2,557,725 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 3,341,000 | 2,850,368 | |
4.65% 7/15/42 | 7,870,000 | 7,027,244 | |
6.45% 3/15/37 | 1,399,000 | 1,528,733 | |
CSC Holdings LLC: | |||
4.125% 12/1/30(b) | 3,005,000 | 2,142,784 | |
4.5% 11/15/31(b) | 950,000 | 675,513 | |
4.625% 12/1/30(b) | 5,735,000 | 3,000,444 | |
5.375% 2/1/28(b) | 7,365,000 | 6,037,588 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% (b)(c) | 15,945,000 | 375,664 | |
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b) | 935,000 | 828,614 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 13,528,000 | 11,881,373 | |
4.65% 5/15/50 | 36,524,000 | 27,224,120 | |
DISH DBS Corp. 5.75% 12/1/28 (b) | 4,915,000 | 3,815,367 | |
DISH Network Corp. 11.75% 11/15/27 (b) | 8,390,000 | 8,512,838 | |
Dolya Holdco 18 DAC 5% 7/15/28 (b) | 1,055,000 | 932,667 | |
Fox Corp.: | |||
4.709% 1/25/29 | 5,868,000 | 5,660,747 | |
5.476% 1/25/39 | 5,787,000 | 5,251,978 | |
5.576% 1/25/49 | 3,840,000 | 3,429,913 | |
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 4,800,000 | 5,110,765 |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(b) | 3,675,000 | 3,098,025 | |
6.75% 10/15/27(b) | 850,000 | 800,063 | |
Magallanes, Inc.: | |||
3.755% 3/15/27 | 15,793,000 | 14,812,535 | |
4.054% 3/15/29 | 5,474,000 | 5,033,871 | |
4.279% 3/15/32 | 42,020,000 | 37,080,108 | |
5.05% 3/15/42 | 11,773,000 | 9,677,781 | |
5.141% 3/15/52 | 59,938,000 | 47,777,149 | |
News Corp. 5.125% 2/15/32 (b) | 2,385,000 | 2,158,425 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26(b) | 7,020,000 | 5,471,262 | |
6.5% 9/15/28(b) | 2,192,000 | 1,183,762 | |
Sinclair Television Group, Inc. 5.5% 3/1/30 (b) | 1,675,000 | 892,435 | |
Sirius XM Radio, Inc.: | |||
4% 7/15/28(b) | 8,390,000 | 7,265,077 | |
4.125% 7/1/30(b) | 3,850,000 | 3,138,636 | |
5.5% 7/1/29(b) | 2,563,000 | 2,307,355 | |
TEGNA, Inc.: | |||
4.625% 3/15/28 | 1,005,000 | 897,629 | |
5% 9/15/29 | 1,100,000 | 968,000 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 18,291,000 | 13,364,872 | |
5.5% 9/1/41 | 8,265,000 | 6,790,158 | |
5.875% 11/15/40 | 10,540,000 | 9,170,720 | |
6.55% 5/1/37 | 29,622,000 | 28,146,317 | |
7.3% 7/1/38 | 24,672,000 | 24,993,936 | |
TV Azteca SA de CV 8.25% (Reg. S) (c) | 4,321,000 | 1,555,560 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(b) | 3,215,000 | 2,767,269 | |
6.625% 6/1/27(b) | 5,155,000 | 4,990,647 | |
7.375% 6/30/30(b) | 2,815,000 | 2,724,437 | |
8% 8/15/28(b) | 2,640,000 | 2,638,548 | |
Virgin Media Secured Finance PLC 4.5% 8/15/30 (b) | 4,925,000 | 4,158,470 | |
VTR Finance BV 6.375% 7/15/28 (b) | 830,000 | 375,575 | |
Ziggo BV 4.875% 1/15/30 (b) | 2,545,000 | 2,139,201 | |
549,638,888 | |||
Wireless Telecommunication Services - 0.5% | |||
AXIAN Telecom 7.375% 2/16/27 (b) | 1,350,000 | 1,223,438 | |
Bharti Airtel International BV 5.35% 5/20/24 (b) | 1,560,000 | 1,553,916 | |
CT Trust 5.125% 2/3/32 (b) | 2,020,000 | 1,656,400 | |
Digicel Group Ltd. 6.75% (b)(c) | 731,000 | 35,636 | |
Intelsat Jackson Holdings SA 6.5% 3/15/30 (b) | 8,482,000 | 7,777,248 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31(b) | 7,030,000 | 5,520,940 | |
5.125% 1/15/28(b) | 711,000 | 637,234 | |
MTN (Mauritius) Investments Ltd.: | |||
4.755% 11/11/24(b) | 745,000 | 722,948 | |
6.5% 10/13/26(b) | 819,000 | 802,767 | |
Rogers Communications, Inc.: | |||
3.2% 3/15/27 | 17,146,000 | 15,850,116 | |
3.8% 3/15/32 | 14,963,000 | 12,797,464 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 7,850,000 | 7,912,266 | |
7.625% 2/15/25 | 2,950,000 | 3,008,056 | |
7.625% 3/1/26 | 4,405,000 | 4,565,906 | |
7.875% 9/15/23 | 1,905,000 | 1,905,819 | |
T-Mobile U.S.A., Inc.: | |||
2.25% 11/15/31 | 35,000,000 | 27,815,184 | |
3.75% 4/15/27 | 23,850,000 | 22,604,895 | |
3.875% 4/15/30 | 42,000,000 | 38,334,458 | |
4.375% 4/15/40 | 5,147,000 | 4,423,281 | |
Vodafone Group PLC: | |||
4.875% 10/3/78 (Reg. S)(d) | GBP | 5,150,000 | 6,100,546 |
6.25% 10/3/78 (Reg. S)(d) | 739,000 | 726,141 | |
VTR Comunicaciones SpA: | |||
4.375% 4/15/29(b) | 565,000 | 344,158 | |
5.125% 1/15/28(b) | 1,568,000 | 964,908 | |
167,283,725 | |||
TOTAL COMMUNICATION SERVICES | 874,978,892 | ||
CONSUMER DISCRETIONARY - 1.2% | |||
Automobile Components - 0.1% | |||
Adient Global Holdings Ltd. 7% 4/15/28 (b) | 575,000 | 580,916 | |
Dana, Inc.: | |||
4.25% 9/1/30 | 775,000 | 637,259 | |
5.375% 11/15/27 | 515,000 | 487,203 | |
Hertz Corp. 5% 12/1/29 (b) | 495,000 | 406,986 | |
IHO Verwaltungs GmbH 4.75% 9/15/26 pay-in-kind (b)(d) | 380,000 | 354,689 | |
Macquarie AirFinance Holdings 8.375% 5/1/28 (b) | 2,070,000 | 2,113,511 | |
Metalsa SA de CV 3.75% 5/4/31 (b) | 1,225,000 | 950,747 | |
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (b) | 1,772,000 | 1,130,117 | |
Robert Bosch GmbH 4.375% 6/2/43 (Reg. S) | EUR | 1,500,000 | 1,629,729 |
ZF Europe Finance BV 2% 2/23/26 (Reg. S) | EUR | 1,600,000 | 1,593,995 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 2,600,000 | 2,498,614 |
ZF North America Capital, Inc.: | |||
4.75% 4/29/25(b) | 2,400,000 | 2,331,720 | |
6.875% 4/14/28(b) | 1,040,000 | 1,036,647 | |
7.125% 4/14/30(b) | 1,040,000 | 1,053,569 | |
16,805,702 | |||
Automobiles - 0.1% | |||
Ford Motor Co.: | |||
3.25% 2/12/32 | 1,900,000 | 1,483,037 | |
4.75% 1/15/43 | 950,000 | 710,135 | |
5.291% 12/8/46 | 380,000 | 298,400 | |
6.1% 8/19/32 | 6,145,000 | 5,872,580 | |
7.4% 11/1/46 | 760,000 | 774,020 | |
General Motors Financial Co., Inc. 5.15% 8/15/26 (Reg. S) | GBP | 1,380,000 | 1,699,177 |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.9311% 10/15/26 (b)(d)(e) | 12,565,000 | 12,523,453 | |
23,360,802 | |||
Broadline Retail - 0.1% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 805,000 | 644,483 | |
JD.com, Inc. 3.375% 1/14/30 | 2,255,000 | 1,981,739 | |
John Lewis PLC 6.125% 1/21/25 | GBP | 14,058,000 | 17,342,586 |
Marks & Spencer PLC 3.75% 5/19/26 (Reg. S) | GBP | 100,000 | 117,432 |
Match Group Holdings II LLC: | |||
3.625% 10/1/31(b) | 570,000 | 464,670 | |
4.125% 8/1/30(b) | 1,210,000 | 1,037,720 | |
5% 12/15/27(b) | 2,650,000 | 2,486,608 | |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 2,260,000 | 1,700,153 | |
4.375% 4/1/30 | 1,505,000 | 1,202,457 | |
Prosus NV: | |||
3.061% 7/13/31(b) | 1,085,000 | 822,235 | |
3.68% 1/21/30(b) | 1,370,000 | 1,123,482 | |
4.027% 8/3/50(b) | 1,605,000 | 948,330 | |
4.193% 1/19/32(b) | 720,000 | 585,450 | |
30,457,345 | |||
Distributors - 0.0% | |||
Inchcape PLC 6.5% 6/9/28 (Reg. S) | GBP | 2,600,000 | 3,286,408 |
Windsor Holdings III, LLC 8.5% 6/15/30 (b) | 2,260,000 | 2,269,858 | |
5,556,266 | |||
Diversified Consumer Services - 0.1% | |||
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 12,380,000 | 11,999,067 | |
Service Corp. International: | |||
4% 5/15/31 | 1,650,000 | 1,398,953 | |
5.125% 6/1/29 | 1,040,000 | 978,900 | |
Sotheby's 7.375% 10/15/27 (b) | 2,323,000 | 2,114,758 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | 5,810,000 | 5,388,156 | |
21,879,834 | |||
Hotels, Restaurants & Leisure - 0.5% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(b) | 1,625,000 | 1,478,009 | |
4% 10/15/30(b) | 3,260,000 | 2,761,713 | |
4.375% 1/15/28(b) | 4,880,000 | 4,479,122 | |
5.75% 4/15/25(b) | 850,000 | 843,715 | |
Affinity Gaming LLC 6.875% 12/15/27 (b) | 7,520,000 | 6,658,604 | |
Aramark Services, Inc.: | |||
5% 2/1/28(b) | 2,324,000 | 2,168,096 | |
6.375% 5/1/25(b) | 5,069,000 | 5,077,541 | |
Caesars Entertainment, Inc.: | |||
6.25% 7/1/25(b) | 4,730,000 | 4,693,282 | |
7% 2/15/30(b) | 3,560,000 | 3,573,624 | |
8.125% 7/1/27(b) | 5,795,000 | 5,883,849 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (b) | 3,860,000 | 3,862,764 | |
Carnival Corp.: | |||
5.75% 3/1/27(b) | 7,395,000 | 6,947,484 | |
6% 5/1/29(b) | 3,185,000 | 2,882,787 | |
6.65% 1/15/28 | 450,000 | 417,009 | |
7% 8/15/29(b) | 1,075,000 | 1,090,737 | |
7.625% 3/1/26(b) | 7,350,000 | 7,327,684 | |
10.5% 6/1/30(b) | 4,715,000 | 5,022,088 | |
Constellation Merger Sub, Inc. 8.5% 9/15/25 (b) | 530,000 | 442,550 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (b) | 3,890,000 | 3,212,265 | |
Garden SpinCo Corp. 8.625% 7/20/30 (b) | 935,000 | 998,225 | |
GENM Capital Labuan Ltd. 3.882% 4/19/31 (b) | 1,585,000 | 1,263,562 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (b) | 3,736,000 | 3,707,980 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32(b) | 7,390,000 | 6,180,224 | |
3.75% 5/1/29(b) | 750,000 | 660,747 | |
4% 5/1/31(b) | 4,275,000 | 3,715,855 | |
Hilton Grand Vacations Borrower Escrow LLC 4.875% 7/1/31 (b) | 1,425,000 | 1,201,391 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 3,640,000 | 4,031,217 |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (b) | 1,370,000 | 1,241,576 | |
Life Time, Inc. 8% 4/15/26 (b) | 2,875,000 | 2,853,438 | |
Lindblad Expeditions LLC 6.75% 2/15/27 (b) | 490,000 | 473,247 | |
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | 3,335,000 | 2,748,240 | |
Marriott Ownership Resorts, Inc.: | |||
4.5% 6/15/29(b) | 400,000 | 338,008 | |
4.75% 1/15/28 | 1,395,000 | 1,245,038 | |
McDonald's Corp. 3.5% 7/1/27 | 6,642,000 | 6,304,353 | |
Meituan: | |||
2.125% 10/28/25(b) | 1,375,000 | 1,263,570 | |
3.05% 10/28/30(b) | 1,235,000 | 972,649 | |
NagaCorp Ltd. 7.95% 7/6/24 (Reg. S) | 1,540,000 | 1,470,623 | |
NCL Corp. Ltd.: | |||
5.875% 3/15/26(b) | 1,345,000 | 1,268,172 | |
7.75% 2/15/29(b) | 2,845,000 | 2,702,755 | |
NCL Finance Ltd. 6.125% 3/15/28 (b) | 960,000 | 865,536 | |
Ontario Gaming GTA LP 8% 8/1/30 (b) | 110,000 | 111,187 | |
Royal Caribbean Cruises Ltd.: | |||
4.25% 7/1/26(b) | 5,550,000 | 5,174,488 | |
5.375% 7/15/27(b) | 2,130,000 | 2,004,363 | |
5.5% 8/31/26(b) | 5,685,000 | 5,447,464 | |
5.5% 4/1/28(b) | 4,835,000 | 4,524,833 | |
7.25% 1/15/30(b) | 950,000 | 964,436 | |
11.625% 8/15/27(b) | 870,000 | 947,548 | |
Scientific Games Corp. 7.5% 9/1/31 (b) | 1,495,000 | 1,515,882 | |
Station Casinos LLC 4.5% 2/15/28 (b) | 2,371,000 | 2,122,045 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) | 618,000 | 597,939 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 606,292 | 599,160 | |
Viking Cruises Ltd. 9.125% 7/15/31 (b) | 665,000 | 687,036 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (b) | 950,000 | 883,197 | |
Voc Escrow Ltd. 5% 2/15/28 (b) | 1,305,000 | 1,211,290 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 1,850,000 | 2,003,512 |
3.375% 10/16/25 (Reg. S) | GBP | 6,600,000 | 7,826,536 |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) | 2,700,000 | 2,462,397 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.125% 2/15/31 (b) | 950,000 | 933,571 | |
Yum! Brands, Inc.: | |||
3.625% 3/15/31 | 950,000 | 805,624 | |
4.625% 1/31/32 | 5,170,000 | 4,625,890 | |
5.375% 4/1/32 | 760,000 | 713,261 | |
160,490,988 | |||
Household Durables - 0.0% | |||
Adams Homes, Inc. 7.5% 2/15/25 (b) | 505,000 | 495,348 | |
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (b) | 1,345,000 | 1,165,301 | |
Newell Brands, Inc.: | |||
4.7% 4/1/26 | 1,000,000 | 958,106 | |
6% 4/1/46(f) | 760,000 | 616,753 | |
6.375% 9/15/27 | 1,000,000 | 979,635 | |
6.625% 9/15/29 | 1,055,000 | 1,044,096 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (b) | 950,000 | 949,205 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 3,350,000 | 2,846,492 |
TopBuild Corp. 4.125% 2/15/32 (b) | 1,870,000 | 1,556,775 | |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 50,000 | 49,875 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 380,000 | 360,255 | |
11,021,841 | |||
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
3.375% 4/1/26(b) | 4,345,000 | 4,044,786 | |
3.75% 4/1/29(b) | 7,105,000 | 6,315,725 | |
5.45% 11/1/41 | 760,000 | 654,203 | |
5.875% 12/15/27(b) | 2,650,000 | 2,599,127 | |
13,613,841 | |||
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 2,958,000 | 2,754,991 | |
AutoZone, Inc. 4% 4/15/30 | 20,750,000 | 19,199,950 | |
Bath & Body Works, Inc. 6.694% 1/15/27 | 955,000 | 955,298 | |
Carvana Co.: | |||
4.875% 9/1/29(b) | 1,557,000 | 929,224 | |
5.5% 4/15/27(b) | 1,512,000 | 1,103,760 | |
5.875% 10/1/28(b) | 800,000 | 492,000 | |
9% 12/1/28 pay-in-kind | 677,000 | 582,220 | |
9% 6/1/30 pay-in-kind | 1,017,000 | 874,620 | |
9% 6/1/31 pay-in-kind | 1,204,000 | 1,035,440 | |
10.25% 5/1/30(b) | 220,000 | 170,545 | |
Foot Locker, Inc. 4% 10/1/29 (b) | 1,250,000 | 940,838 | |
LBM Acquisition LLC 6.25% 1/15/29 (b) | 3,310,000 | 2,888,244 | |
LCM Investments Holdings 8.25% 8/1/31 (b) | 980,000 | 980,627 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 2,389,000 | 2,248,247 | |
4.45% 4/1/62 | 33,905,000 | 26,441,968 | |
Michaels Companies, Inc.: | |||
5.25% 5/1/28(b) | 1,985,000 | 1,654,994 | |
7.875% 5/1/29(b) | 1,530,000 | 1,060,596 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 4,640,000 | 4,350,687 | |
Sally Holdings LLC 5.625% 12/1/25 | 2,200,000 | 2,185,113 | |
Valvoline, Inc. 4.25% 2/15/30 (b) | 2,385,000 | 2,344,294 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 3,350,000 | 3,060,341 |
Victoria's Secret & Co. 4.625% 7/15/29 (b) | 1,380,000 | 999,163 | |
77,253,160 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Crocs, Inc. 4.125% 8/15/31 (b) | 1,255,000 | 994,588 | |
Hanesbrands, Inc. 4.875% 5/15/26 (b) | 515,000 | 481,422 | |
Kering SA 3.875% 9/5/35 (Reg. S) | EUR | 2,200,000 | 2,381,944 |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 800,000 | 679,504 | |
Levi Strauss & Co. 3.5% 3/1/31 (b) | 1,050,000 | 853,157 | |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | 4,440,000 | 3,325,604 | |
8,716,219 | |||
TOTAL CONSUMER DISCRETIONARY | 369,155,998 | ||
CONSUMER STAPLES - 1.5% | |||
Beverages - 0.5% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 10,000,000 | 9,302,490 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 23,011,000 | 22,024,046 | |
4.9% 2/1/46 | 28,689,000 | 26,687,914 | |
Anheuser-Busch InBev SA NV 9.75% 7/30/24 | GBP | 249,000 | 326,164 |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.35% 6/1/40 | 13,754,000 | 12,304,409 | |
5.45% 1/23/39 | 18,170,000 | 18,444,684 | |
5.55% 1/23/49 | 34,229,000 | 35,061,003 | |
5.8% 1/23/59 (Reg. S) | 36,395,000 | 38,163,542 | |
Central American Bottling Corp. 5.25% 4/27/29 (b) | 1,195,000 | 1,087,450 | |
Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | 3,995,000 | 3,505,613 | |
Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | 8,610,000 | 7,318,968 | |
174,226,283 | |||
Consumer Staples Distribution & Retail - 0.1% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.25% 3/15/26(b) | 515,000 | 478,678 | |
3.5% 3/15/29(b) | 4,705,000 | 4,069,922 | |
4.875% 2/15/30(b) | 3,075,000 | 2,821,341 | |
C&S Group Enterprises LLC 5% 12/15/28 (b) | 2,780,000 | 2,145,169 | |
NBM U.S. Holdings, Inc. 6.625% 8/6/29 (b) | 1,615,000 | 1,505,891 | |
Performance Food Group, Inc. 5.5% 10/15/27 (b) | 2,247,000 | 2,163,654 | |
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (b) | 190,000 | 183,350 | |
Sysco Corp. 5.95% 4/1/30 | 8,801,000 | 9,114,890 | |
Tesco Corporate Treasury Services PLC 5.5% 2/27/35 (Reg. S) | GBP | 4,750,000 | 5,610,072 |
U.S. Foods, Inc.: | |||
4.625% 6/1/30(b) | 1,130,000 | 1,004,369 | |
4.75% 2/15/29(b) | 3,290,000 | 3,002,853 | |
United Natural Foods, Inc. 6.75% 10/15/28 (b) | 380,000 | 316,350 | |
32,416,539 | |||
Food Products - 0.4% | |||
Adecoagro SA 6% 9/21/27 (b) | 1,570,000 | 1,484,372 | |
Camposol SA 6% 2/3/27 (b) | 800,000 | 550,720 | |
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (b) | 760,000 | 681,993 | |
Darling Ingredients, Inc. 6% 6/15/30 (b) | 1,365,000 | 1,334,063 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 | 32,955,000 | 29,623,085 | |
3% 5/15/32 | 33,235,000 | 26,245,463 | |
3.625% 1/15/32 | 9,085,000 | 7,455,895 | |
5.125% 2/1/28 | 11,235,000 | 10,919,119 | |
5.5% 1/15/30 | 6,505,000 | 6,298,430 | |
5.75% 4/1/33 | 23,135,000 | 22,018,373 | |
JDE Peet's BV 2.25% 9/24/31 (b) | 7,550,000 | 5,805,511 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(b) | 6,450,000 | 5,672,369 | |
4.375% 1/31/32(b) | 950,000 | 824,529 | |
MARB BondCo PLC 3.95% 1/29/31 (b) | 985,000 | 764,606 | |
Pilgrim's Pride Corp.: | |||
3.5% 3/1/32 | 950,000 | 765,045 | |
4.25% 4/15/31 | 1,125,000 | 973,256 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30(b) | 2,555,000 | 2,263,686 | |
5.5% 12/15/29(b) | 3,595,000 | 3,325,570 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 1,280,000 | 1,095,590 | |
128,101,675 | |||
Personal Care Products - 0.0% | |||
BellRing Brands, Inc. 7% 3/15/30 (b) | 760,000 | 760,317 | |
Natura Cosmeticos SA 4.125% 5/3/28 (b) | 510,000 | 443,420 | |
1,203,737 | |||
Tobacco - 0.5% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 28,850,000 | 19,865,969 | |
4.25% 8/9/42 | 17,795,000 | 13,479,952 | |
4.5% 5/2/43 | 11,887,000 | 9,263,796 | |
4.8% 2/14/29 | 3,305,000 | 3,202,308 | |
5.375% 1/31/44 | 21,453,000 | 19,919,676 | |
5.95% 2/14/49 | 14,275,000 | 13,291,634 | |
Imperial Tobacco Finance PLC: | |||
3.5% 7/26/26(b) | 12,260,000 | 11,517,615 | |
4.25% 7/21/25(b) | 11,765,000 | 11,377,360 | |
6.125% 7/27/27(b) | 12,116,000 | 12,248,638 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 5,827,000 | 5,700,699 | |
5.7% 8/15/35 | 2,699,000 | 2,496,363 | |
5.85% 8/15/45 | 22,737,000 | 19,750,902 | |
6.15% 9/15/43 | 2,874,000 | 2,630,768 | |
7.25% 6/15/37 | 3,221,000 | 3,385,625 | |
148,131,305 | |||
TOTAL CONSUMER STAPLES | 484,079,539 | ||
ENERGY - 4.3% | |||
Energy Equipment & Services - 0.1% | |||
CGG SA 8.75% 4/1/27 (b) | 3,590,000 | 3,089,528 | |
Guara Norte SARL 5.198% 6/15/34 (b) | 1,215,858 | 1,063,875 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 152,000 | 148,221 | |
4.85% 11/15/35 | 5,447,000 | 5,107,025 | |
Jonah Energy Parent LLC 12% 11/5/25 (g)(h) | 1,656,358 | 1,689,486 | |
Oleoducto Central SA 4% 7/14/27 (b) | 1,203,000 | 1,071,422 | |
Seadrill Finance Ltd. 8.375% 8/1/30 (b) | 925,000 | 948,125 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 3,231,000 | 3,259,400 | |
State Oil Co. of Azerbaijan Republic 6.95% 3/18/30 (Reg. S) | 750,000 | 769,898 | |
Technip Energies NV 1.125% 5/28/28 | EUR | 2,725,000 | 2,563,885 |
The Oil and Gas Holding Co.: | |||
7.5% 10/25/27(b) | 1,677,000 | 1,701,484 | |
8.375% 11/7/28(b) | 485,000 | 510,821 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 1,627,500 | 1,617,410 | |
Transocean, Inc.: | |||
7.25% 11/1/25(b) | 955,000 | 938,288 | |
7.5% 1/15/26(b) | 1,475,000 | 1,451,275 | |
8% 2/1/27(b) | 4,965,000 | 4,843,457 | |
8.75% 2/15/30(b) | 2,465,250 | 2,521,988 | |
Valaris Ltd. 8.375% 4/30/30 (b) | 3,900,000 | 3,972,345 | |
37,267,933 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.75% 3/1/27(b) | 950,000 | 920,754 | |
7.875% 5/15/26(b) | 950,000 | 966,519 | |
California Resources Corp. 7.125% 2/1/26 (b) | 1,370,000 | 1,373,518 | |
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | 1,460,000 | 1,451,291 | |
Canadian Natural Resources Ltd.: | |||
2.95% 7/15/30 | 23,000,000 | 19,622,353 | |
3.9% 2/1/25 | 15,925,000 | 15,476,580 | |
5.85% 2/1/35 | 6,942,000 | 6,746,750 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 3,670,000 | 2,575,623 | |
5.25% 6/15/37 | 25,696,000 | 23,429,255 | |
5.4% 6/15/47 | 4,073,000 | 3,661,223 | |
6.75% 11/15/39 | 3,372,000 | 3,496,243 | |
Centennial Resource Production LLC: | |||
5.875% 7/1/29(b) | 2,750,000 | 2,640,000 | |
7.75% 2/15/26(b) | 1,465,000 | 1,477,085 | |
Citgo Holding, Inc. 9.25% 8/1/24 (b) | 1,165,000 | 1,165,233 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(b) | 4,665,000 | 4,555,652 | |
7% 6/15/25(b) | 4,818,000 | 4,769,820 | |
CNX Resources Corp. 7.375% 1/15/31 (b) | 2,150,000 | 2,146,003 | |
Columbia Pipelines Operating Co. LLC: | |||
5.927% 8/15/30(b) | 3,692,000 | 3,724,255 | |
6.036% 11/15/33(b) | 9,954,000 | 10,056,031 | |
6.497% 8/15/43(b) | 2,975,000 | 3,015,441 | |
6.544% 11/15/53(b) | 5,356,000 | 5,474,930 | |
6.714% 8/15/63(b) | 3,206,000 | 3,277,185 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(b) | 2,290,000 | 2,022,601 | |
6.75% 3/1/29(b) | 3,015,000 | 2,821,066 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27(b) | 18,087,000 | 17,544,390 | |
5.75% 4/1/25 | 1,179,000 | 1,169,014 | |
7.375% 2/1/31(b) | 1,995,000 | 2,055,169 | |
CrownRock LP/CrownRock Finance, Inc.: | |||
5% 5/1/29(b) | 2,795,000 | 2,595,744 | |
5.625% 10/15/25(b) | 335,000 | 329,710 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25(b) | 6,190,000 | 6,004,585 | |
5.75% 2/15/28(b) | 8,071,000 | 7,347,193 | |
DCP Midstream Operating LP 6.45% 11/3/36 (b) | 8,754,000 | 8,918,654 | |
Delek Logistics Partners LP 7.125% 6/1/28 (b) | 5,730,000 | 5,326,493 | |
Delek Overriding Royalty Levia 7.494% 12/30/23 (Reg. S) (b) | 2,905,000 | 2,883,213 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(b) | 2,270,000 | 2,011,037 | |
4.375% 6/15/31(b) | 950,000 | 822,427 | |
Ecopetrol SA: | |||
4.625% 11/2/31 | 950,000 | 746,273 | |
8.875% 1/13/33 | 2,200,000 | 2,224,255 | |
EG Global Finance PLC: | |||
6.75% 2/7/25(b) | 8,706,000 | 8,578,196 | |
8.5% 10/30/25(b) | 10,536,000 | 10,430,697 | |
EIG Pearl Holdings SARL 3.545% 8/31/36 (b) | 4,070,000 | 3,376,920 | |
Empresa Nacional de Petroleo 6.15% 5/10/33 (b) | 865,000 | 851,091 | |
Enbridge, Inc. 4% 10/1/23 | 9,942,000 | 9,925,209 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | 4,367,000 | 4,271,799 | |
Energean Israel Finance Ltd.: | |||
4.875% 3/30/26 (Reg. S)(b) | 1,555,000 | 1,458,046 | |
8.5% 9/30/33 (Reg. S)(b) | 800,000 | 810,000 | |
Energean PLC 6.5% 4/30/27 (b) | 1,420,000 | 1,295,182 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 18,703,000 | 16,704,143 | |
3.9% 5/15/24(d) | 2,707,000 | 2,666,901 | |
4.2% 9/15/23 | 3,683,000 | 3,681,181 | |
4.95% 6/15/28 | 12,566,000 | 12,170,068 | |
5% 5/15/50 | 36,762,000 | 30,260,073 | |
5.25% 4/15/29 | 6,576,000 | 6,424,945 | |
5.4% 10/1/47 | 33,221,000 | 28,614,860 | |
5.8% 6/15/38 | 7,006,000 | 6,641,010 | |
6% 6/15/48 | 6,263,000 | 5,789,429 | |
6.125% 12/15/45 | 1,400,000 | 1,314,774 | |
6.25% 4/15/49 | 4,516,000 | 4,323,192 | |
EnLink Midstream LLC: | |||
5.625% 1/15/28(b) | 3,485,000 | 3,371,284 | |
6.5% 9/1/30(b) | 3,695,000 | 3,704,444 | |
EnLink Midstream Partners LP: | |||
4.15% 6/1/25 | 1,015,000 | 982,337 | |
4.85% 7/15/26 | 1,780,000 | 1,708,800 | |
EQM Midstream Partners LP: | |||
4% 8/1/24 | 2,515,000 | 2,453,308 | |
4.75% 1/15/31(b) | 780,000 | 689,269 | |
6% 7/1/25(b) | 239,000 | 236,819 | |
6.5% 7/1/27(b) | 650,000 | 645,887 | |
6.5% 7/15/48 | 385,000 | 349,483 | |
FEL Energy VI SARL 5.75% 12/1/40 (b) | 849,989 | 717,391 | |
Galaxy Pipeline Assets BidCo Ltd.: | |||
2.16% 3/31/34(b) | 887,100 | 747,692 | |
2.625% 3/31/36(b) | 3,880,000 | 3,063,803 | |
GeoPark Ltd. 5.5% 1/17/27 (b) | 1,370,000 | 1,169,980 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 2,690,000 | 2,542,050 | |
7% 8/1/27 | 5,739,000 | 5,652,915 | |
Golar LNG Ltd. 7% 10/20/25 (b) | 3,285,000 | 3,232,144 | |
Harvest Midstream I LP 7.5% 9/1/28 (b) | 3,815,000 | 3,823,361 | |
Hess Corp.: | |||
5.6% 2/15/41 | 19,538,000 | 18,369,549 | |
5.8% 4/1/47 | 15,757,000 | 15,037,798 | |
7.125% 3/15/33 | 3,656,000 | 3,984,199 | |
7.3% 8/15/31 | 8,054,000 | 8,792,785 | |
7.875% 10/1/29 | 13,500,000 | 14,919,076 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30(b) | 1,520,000 | 1,336,232 | |
5.125% 6/15/28(b) | 4,372,000 | 4,101,030 | |
5.5% 10/15/30(b) | 950,000 | 889,362 | |
5.625% 2/15/26(b) | 4,705,000 | 4,603,984 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 3,570,000 | 3,348,895 | |
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (b) | 4,010,000 | 4,152,716 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33(b) | 915,000 | 686,991 | |
5.375% 4/24/30(b) | 520,000 | 472,909 | |
5.75% 4/19/47(b) | 460,000 | 369,578 | |
Kinder Morgan Energy Partners LP: | |||
5.5% 3/1/44 | 27,364,000 | 24,411,531 | |
6.55% 9/15/40 | 1,203,000 | 1,195,229 | |
Kinder Morgan, Inc.: | |||
5.05% 2/15/46 | 3,092,000 | 2,605,160 | |
5.55% 6/1/45 | 7,786,000 | 7,036,622 | |
Kosmos Energy Ltd. 7.125% 4/4/26 (b) | 4,270,000 | 3,918,067 | |
Leviathan Bond Ltd.: | |||
6.125% 6/30/25 (Reg. S)(b) | 1,875,000 | 1,831,275 | |
6.5% 6/30/27 (Reg. S)(b) | 240,000 | 231,600 | |
MC Brazil Downstream Trading SARL 7.25% 6/30/31 (b) | 2,956,730 | 1,955,138 | |
Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (b) | 1,645,000 | 1,493,857 | |
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (b) | 565,000 | 553,073 | |
Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (b) | 1,295,000 | 1,277,505 | |
Mesquite Energy, Inc. 7.25% (b)(c)(h) | 7,883,000 | 1 | |
MPLX LP: | |||
4.8% 2/15/29 | 3,672,000 | 3,538,158 | |
4.875% 12/1/24 | 8,532,000 | 8,420,920 | |
4.95% 9/1/32 | 22,661,000 | 21,408,261 | |
5.5% 2/15/49 | 11,018,000 | 9,817,230 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | 1,205,000 | 1,013,646 | |
NAK Naftogaz Ukraine: | |||
7.375% (Reg. S)(c) | 1,605,000 | 971,025 | |
7.625% 11/8/26(b) | 565,000 | 220,350 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26(b) | 27,396,000 | 25,465,202 | |
6.75% 9/15/25(b) | 15,547,000 | 15,025,863 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (b) | 2,860,000 | 2,847,346 | |
Northern Oil & Gas, Inc.: | |||
8.125% 3/1/28(b) | 3,040,000 | 3,047,326 | |
8.75% 6/15/31(b) | 950,000 | 970,443 | |
Nostrum Oil & Gas Finance BV: | |||
5% 6/30/26(b) | 1,651,000 | 989,543 | |
14% 6/30/26 pay-in-kind(b)(d) | 2,340,420 | 561,701 | |
Occidental Petroleum Corp.: | |||
4.2% 3/15/48 | 950,000 | 697,456 | |
4.4% 4/15/46 | 2,850,000 | 2,186,862 | |
4.4% 8/15/49 | 1,330,000 | 947,746 | |
4.5% 7/15/44 | 2,340,000 | 1,695,938 | |
5.5% 12/1/25 | 1,030,000 | 1,019,324 | |
5.55% 3/15/26 | 16,287,000 | 16,149,863 | |
5.875% 9/1/25 | 1,395,000 | 1,387,658 | |
6.125% 1/1/31 | 3,225,000 | 3,249,510 | |
6.45% 9/15/36 | 18,451,000 | 18,866,793 | |
6.6% 3/15/46 | 18,160,000 | 18,689,727 | |
6.625% 9/1/30 | 7,925,000 | 8,180,959 | |
7.5% 5/1/31 | 27,439,000 | 29,730,197 | |
7.875% 9/15/31 | 935,000 | 1,035,570 | |
7.95% 6/15/39 | 475,000 | 532,813 | |
8.875% 7/15/30 | 5,055,000 | 5,795,305 | |
Parkland Corp.: | |||
4.5% 10/1/29(b) | 1,215,000 | 1,070,559 | |
4.625% 5/1/30(b) | 5,915,000 | 5,214,487 | |
PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | 4,885,000 | 4,860,819 | |
Petroleos de Venezuela SA: | |||
5.375%(c) | 621,100 | 36,451 | |
6%(b)(c) | 2,790,167 | 167,410 | |
6%(b)(c) | 3,207,669 | 177,570 | |
12.75%(b)(c) | 172,000 | 10,094 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 22,915,000 | 20,130,828 | |
5.35% 2/12/28 | 650,000 | 519,821 | |
5.95% 1/28/31 | 70,847,000 | 51,175,622 | |
6.35% 2/12/48 | 43,373,000 | 25,916,452 | |
6.49% 1/23/27 | 36,590,000 | 31,911,603 | |
6.5% 3/13/27 | 74,753,000 | 65,264,975 | |
6.5% 6/2/41 | 380,000 | 235,106 | |
6.625% 6/15/35 | 5,003,000 | 3,417,674 | |
6.7% 2/16/32 | 20,512,000 | 15,430,152 | |
6.75% 9/21/47 | 31,543,000 | 19,363,932 | |
6.84% 1/23/30 | 71,806,000 | 56,540,044 | |
6.875% 10/16/25 | 1,060,000 | 1,003,778 | |
6.875% 8/4/26 | 1,395,000 | 1,267,846 | |
6.95% 1/28/60 | 24,897,000 | 15,255,637 | |
7.69% 1/23/50 | 53,530,000 | 35,640,274 | |
Petronas Capital Ltd.: | |||
3.404% 4/28/61(b) | 1,775,000 | 1,193,137 | |
3.5% 4/21/30(b) | 625,000 | 567,781 | |
Petrorio Luxembourg SARL 6.125% 6/9/26 (b) | 915,000 | 878,858 | |
Phillips 66 Co. 3.85% 4/9/25 | 2,401,000 | 2,336,215 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 4,919,000 | 4,324,497 | |
3.6% 11/1/24 | 4,912,000 | 4,782,011 | |
PT Adaro Indonesia 4.25% 10/31/24 (b) | 2,375,000 | 2,287,695 | |
PT Pertamina Persero 4.175% 1/21/50 (b) | 645,000 | 488,362 | |
Qatar Petroleum: | |||
1.375% 9/12/26(b) | 2,965,000 | 2,653,942 | |
2.25% 7/12/31(b) | 3,335,000 | 2,742,204 | |
3.125% 7/12/41(b) | 3,545,000 | 2,596,606 | |
3.3% 7/12/51(b) | 3,780,000 | 2,648,155 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30(b) | 220,000 | 192,190 | |
4.95% 7/15/29(b) | 2,610,000 | 2,388,889 | |
6.875% 4/15/40(b) | 990,000 | 890,561 | |
SA Global Sukuk Ltd. 1.602% 6/17/26 (b) | 2,020,000 | 1,829,332 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 31,000,000 | 29,172,645 | |
Saudi Arabian Oil Co.: | |||
2.25% 11/24/30(b) | 2,710,000 | 2,223,663 | |
3.25% 11/24/50(b) | 2,170,000 | 1,433,936 | |
3.5% 4/16/29(b) | 3,740,000 | 3,418,846 | |
3.5% 11/24/70(b) | 830,000 | 520,767 | |
4.25% 4/16/39(b) | 4,395,000 | 3,729,817 | |
4.375% 4/16/49(b) | 340,000 | 276,811 | |
Sibur Securities DAC 2.95% (b)(c)(h) | 610,000 | 411,750 | |
Sinopec Group Overseas Development Ltd.: | |||
1.45% 1/8/26(b) | 980,000 | 895,867 | |
2.7% 5/13/30(b) | 600,000 | 529,122 | |
SM Energy Co. 5.625% 6/1/25 | 1,645,000 | 1,620,111 | |
Southwestern Energy Co. 4.75% 2/1/32 | 2,275,000 | 2,015,322 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 2,900,000 | 2,622,614 | |
5.875% 3/15/28 | 2,625,000 | 2,549,669 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(b) | 5,665,000 | 5,261,425 | |
6% 3/1/27(b) | 4,580,000 | 4,388,739 | |
6% 12/31/30(b) | 14,120,000 | 12,631,669 | |
6% 9/1/31(b) | 5,080,000 | 4,511,650 | |
7.5% 10/1/25(b) | 7,360,000 | 7,404,822 | |
Teine Energy Ltd. 6.875% 4/15/29 (b) | 515,000 | 477,663 | |
Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (b) | 1,777,000 | 1,356,775 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 32,834,000 | 29,082,143 | |
3.9% 1/15/25 | 16,989,000 | 16,568,442 | |
4% 9/15/25 | 1,911,000 | 1,850,687 | |
4.5% 11/15/23 | 4,667,000 | 4,652,249 | |
4.55% 6/24/24 | 21,661,000 | 21,428,507 | |
4.65% 8/15/32 | 23,596,000 | 22,157,428 | |
5.3% 8/15/52 | 5,344,000 | 4,811,672 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 3,952,000 | 3,483,265 | |
Tullow Oil PLC: | |||
7% 3/1/25(b) | 470,000 | 321,203 | |
10.25% 5/15/26(b) | 2,385,000 | 1,973,588 | |
Uzbekneftegaz JSC 4.75% 11/16/28 (b) | 265,000 | 216,532 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(b) | 5,960,000 | 5,155,539 | |
4.125% 8/15/31(b) | 2,605,000 | 2,209,707 | |
6.25% 1/15/30(b) | 2,650,000 | 2,581,526 | |
Western Gas Partners LP: | |||
3.1% 2/1/25 | 3,570,000 | 3,418,823 | |
3.95% 6/1/25 | 950,000 | 916,723 | |
4.65% 7/1/26 | 5,039,000 | 4,873,477 | |
4.75% 8/15/28 | 3,701,000 | 3,503,567 | |
5.25% 2/1/50 | 1,900,000 | 1,537,708 | |
5.3% 3/1/48 | 950,000 | 778,688 | |
5.5% 8/15/48 | 570,000 | 474,153 | |
1,320,420,027 | |||
TOTAL ENERGY | 1,357,687,960 | ||
FINANCIALS - 12.4% | |||
Banks - 5.4% | |||
Access Bank PLC 6.125% 9/21/26 (b) | 1,530,000 | 1,300,194 | |
AIB Group PLC: | |||
1.875% 11/19/29 (Reg. S)(d) | EUR | 3,020,000 | 3,114,570 |
2.25% 4/4/28 (Reg. S)(d) | EUR | 10,100,000 | 10,090,083 |
4.625% 7/23/29 (Reg. S)(d) | EUR | 500,000 | 540,642 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (d) | EUR | 3,600,000 | 3,507,029 |
Banco Espirito Santo SA 4% (Reg. S) (c)(h) | EUR | 1,300,000 | 281,931 |
Bank of America Corp.: | |||
2.299% 7/21/32(d) | 34,460,000 | 27,176,974 | |
2.496% 2/13/31(d) | 10,000,000 | 8,315,650 | |
3.419% 12/20/28(d) | 14,844,000 | 13,612,040 | |
3.705% 4/24/28(d) | 20,736,000 | 19,410,451 | |
3.95% 4/21/25 | 6,832,000 | 6,613,008 | |
4.25% 10/22/26 | 9,380,000 | 9,008,162 | |
4.571% 4/27/33(d) | 10,000,000 | 9,269,895 | |
5.015% 7/22/33(d) | 202,394,000 | 194,795,435 | |
Bank of Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S)(d) | EUR | 6,600,000 | 6,356,590 |
2.029% 9/30/27(b)(d) | 7,550,000 | 6,642,641 | |
BankMuscat SAOG 4.75% 3/17/26 (Reg. S) | 625,000 | 604,006 | |
Barclays PLC: | |||
2.852% 5/7/26(d) | 31,500,000 | 29,771,343 | |
4.375% 1/12/26 | 15,982,000 | 15,405,938 | |
5.088% 6/20/30(d) | 26,155,000 | 23,963,486 | |
5.2% 5/12/26 | 12,530,000 | 12,158,404 | |
5.262% 1/29/34 (Reg. S)(d) | EUR | 1,590,000 | 1,726,320 |
5.746% 8/9/33(d) | 1,801,000 | 1,725,760 | |
5.829% 5/9/27(d) | 27,350,000 | 27,099,230 | |
6.224% 5/9/34(d) | 21,460,000 | 21,193,889 | |
7.437% 11/2/33(d) | 1,650,000 | 1,765,940 | |
8.407% 11/14/32 (Reg. S)(d) | GBP | 2,300,000 | 2,946,094 |
BNP Paribas SA: | |||
2.159% 9/15/29(b)(d) | 10,072,000 | 8,426,407 | |
2.219% 6/9/26(b)(d) | 27,762,000 | 25,936,322 | |
2.5% 3/31/32 (Reg. S)(d) | EUR | 5,000,000 | 4,882,405 |
4.125% 5/24/33 (Reg. S) | EUR | 3,900,000 | 4,247,040 |
BPCE SA 1.5% 1/13/42 (Reg. S) (d) | EUR | 7,000,000 | 6,587,934 |
Citigroup, Inc.: | |||
2.666% 1/29/31(d) | 10,000,000 | 8,380,805 | |
3.352% 4/24/25(d) | 17,534,000 | 17,209,102 | |
4.3% 11/20/26 | 5,384,000 | 5,172,658 | |
4.4% 6/10/25 | 23,073,000 | 22,498,515 | |
4.412% 3/31/31(d) | 42,031,000 | 39,026,394 | |
4.45% 9/29/27 | 19,254,000 | 18,404,166 | |
4.6% 3/9/26 | 8,567,000 | 8,341,493 | |
4.91% 5/24/33(d) | 72,011,000 | 68,451,717 | |
5.875% 7/1/24 (Reg. S) | GBP | 1,500,000 | 1,888,768 |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 10,185,000 | 7,428,592 | |
Commerzbank AG 8.625% 2/28/33 (Reg. S) (d) | GBP | 700,000 | 874,874 |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(d) | 9,644,000 | 8,178,326 | |
Credit Agricole SA: | |||
UK Government Bonds 1 Year + 2.180% 6.375% 6/14/31 (Reg. S)(d)(e) | GBP | 4,200,000 | 5,319,538 |
1.25% 10/2/24 (Reg. S) | GBP | 1,600,000 | 1,926,241 |
4.875% 10/23/29 (Reg. S) | GBP | 1,100,000 | 1,314,359 |
Danske Bank A/S: | |||
2.25% 1/14/28 (Reg. S)(d) | GBP | 3,450,000 | 3,768,385 |
4.625% 4/13/27 (Reg. S)(d) | GBP | 1,700,000 | 2,067,461 |
4.75% 6/21/30 (Reg. S)(d) | EUR | 7,250,000 | 7,938,612 |
5.375% 1/12/24 (Reg. S) | 4,460,000 | 4,443,002 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 3,945,000 | 3,902,356 | |
4.787% 3/10/32 (Reg. S)(d) | EUR | 3,930,000 | 4,281,900 |
4.856% 5/23/33 (Reg. S)(d) | EUR | 5,100,000 | 5,568,410 |
4.95% 3/31/30 | 5,616,000 | 5,403,318 | |
7.39% 11/3/28(d) | 2,850,000 | 2,994,274 | |
8.201% 11/16/34 (Reg. S)(d) | GBP | 3,200,000 | 4,170,962 |
ING Groep NV 4.75% 5/23/34 (Reg. S) (d) | EUR | 8,000,000 | 8,688,333 |
Intesa Sanpaolo SpA: | |||
3.875% 7/14/27(b) | 5,666,000 | 5,137,492 | |
4.198% 6/1/32(b)(d) | 4,469,000 | 3,405,856 | |
5.017% 6/26/24(b) | 16,671,000 | 16,300,453 | |
5.71% 1/15/26(b) | 65,914,000 | 63,231,609 | |
JPMorgan Chase & Co.: | |||
2.739% 10/15/30(d) | 10,000,000 | 8,572,478 | |
2.956% 5/13/31(d) | 16,800,000 | 14,280,346 | |
4.452% 12/5/29(d) | 40,200,000 | 38,321,158 | |
4.493% 3/24/31(d) | 60,900,000 | 57,727,545 | |
4.586% 4/26/33(d) | 89,633,000 | 83,820,019 | |
4.912% 7/25/33(d) | 89,141,000 | 85,730,627 | |
5.299% 7/24/29(d) | 35,000,000 | 34,800,073 | |
5.717% 9/14/33(d) | 41,000,000 | 40,976,583 | |
Jyske Bank A/S 5% 10/26/28 (d) | EUR | 1,825,000 | 1,984,192 |
Lloyds Bank Corporate Markets PLC 1.75% 7/11/24 (Reg. S) | GBP | 1,530,000 | 1,868,072 |
Lloyds Banking Group PLC: | |||
1.985% 12/15/31(d) | GBP | 3,200,000 | 3,441,837 |
4.5% 1/11/29 (Reg. S)(d) | EUR | 1,960,000 | 2,120,884 |
4.976% 8/11/33(d) | 900,000 | 833,065 | |
Magyar Export-Import Bank 6.125% 12/4/27 (b) | 540,000 | 536,117 | |
National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S) | 625,000 | 586,269 | |
NatWest Group PLC: | |||
2.105% 11/28/31 (Reg. S)(d) | GBP | 5,300,000 | 5,665,898 |
3.073% 5/22/28(d) | 17,464,000 | 15,746,327 | |
3.619% 3/29/29 (Reg. S)(d) | GBP | 2,995,000 | 3,343,103 |
3.622% 8/14/30 (Reg. S)(d) | GBP | 2,250,000 | 2,660,983 |
4.771% 2/16/29 (Reg. S)(d) | EUR | 1,800,000 | 1,957,885 |
4.8% 4/5/26 | 15,141,000 | 14,741,507 | |
7.416% 6/6/33 (Reg. S)(d) | GBP | 2,600,000 | 3,244,729 |
Nordea Bank Abp 4.125% 5/5/28 (Reg. S) | EUR | 5,300,000 | 5,752,480 |
PNC Financial Services Group, Inc. 4.626% 6/6/33 (d) | 25,000,000 | 22,635,605 | |
Rabobank Nederland: | |||
4% 1/10/30 (Reg. S) | EUR | 2,600,000 | 2,786,493 |
4.375% 8/4/25 | 16,524,000 | 16,016,351 | |
Societe Generale: | |||
1.038% 6/18/25(b)(d) | 70,150,000 | 67,087,955 | |
1.488% 12/14/26(b)(d) | 37,622,000 | 33,712,482 | |
4.25% 4/14/25(b) | 2,700,000 | 2,602,315 | |
4.75% 11/24/25(b) | 1,750,000 | 1,683,681 | |
6.691% 1/10/34(b)(d) | 1,700,000 | 1,731,529 | |
Synchrony Bank: | |||
5.4% 8/22/25 | 21,633,000 | 20,910,336 | |
5.625% 8/23/27 | 19,587,000 | 18,527,007 | |
UniCredit SpA: | |||
2.731% 1/15/32 (Reg. S)(d) | EUR | 3,601,000 | 3,464,320 |
5.861% 6/19/32(b)(d) | 4,900,000 | 4,509,755 | |
Virgin Money UK PLC: | |||
5.125% 12/11/30 (Reg. S)(d) | GBP | 1,150,000 | 1,349,604 |
7.625% 8/23/29 (Reg. S)(d) | GBP | 3,270,000 | 4,170,476 |
Wells Fargo & Co.: | |||
2.125% 12/20/23 (Reg. S) | GBP | 1,470,000 | 1,839,891 |
2.572% 2/11/31(d) | 10,000,000 | 8,346,549 | |
3.526% 3/24/28(d) | 33,177,000 | 30,868,636 | |
4.478% 4/4/31(d) | 58,414,000 | 54,649,447 | |
4.897% 7/25/33(d) | 35,000,000 | 32,932,796 | |
5.013% 4/4/51(d) | 43,211,000 | 39,018,476 | |
5.389% 4/24/34(d) | 29,117,000 | 28,360,179 | |
5.574% 7/25/29(d) | 33,000,000 | 32,863,333 | |
Western Alliance Bancorp. 3% 6/15/31 (d) | 240,000 | 189,809 | |
Westpac Banking Corp. 4.11% 7/24/34 (d) | 13,519,000 | 11,843,514 | |
1,735,006,500 | |||
Capital Markets - 2.7% | |||
Affiliated Managers Group, Inc. 3.5% 8/1/25 | 13,384,000 | 12,784,909 | |
Ares Capital Corp. 3.875% 1/15/26 | 47,916,000 | 44,818,567 | |
AssuredPartners, Inc. 5.625% 1/15/29 (b) | 2,035,000 | 1,767,857 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(b) | 755,000 | 555,388 | |
3.625% 10/1/31(b) | 2,775,000 | 1,868,241 | |
Deutsche Bank AG: | |||
3.25% 5/24/28 (Reg. S)(d) | EUR | 3,100,000 | 3,147,984 |
4% 6/24/32 (Reg. S)(d) | EUR | 6,900,000 | 6,711,412 |
4.1% 1/13/26 | 5,495,000 | 5,241,959 | |
4.5% 4/1/25 | 82,560,000 | 79,545,022 | |
6.125% 12/12/30 (Reg. S)(d) | GBP | 6,100,000 | 7,184,161 |
Deutsche Bank AG New York Branch: | |||
3.729% 1/14/32(d) | 60,841,000 | 47,091,911 | |
5.882% 7/8/31(d) | 10,000,000 | 9,071,747 | |
6.72% 1/18/29(d) | 1,700,000 | 1,721,177 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32(d) | 34,782,000 | 27,493,425 | |
2.6% 2/7/30 | 10,000,000 | 8,438,781 | |
3.102% 2/24/33(d) | 32,036,000 | 26,645,653 | |
3.691% 6/5/28(d) | 128,004,000 | 119,831,422 | |
3.8% 3/15/30 | 70,690,000 | 64,301,983 | |
6.75% 10/1/37 | 6,976,000 | 7,395,666 | |
Hightower Holding LLC 6.75% 4/15/29 (b) | 2,820,000 | 2,454,561 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 1,320,000 | 1,158,320 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b) | 680,000 | 580,632 | |
LPL Holdings, Inc. 4.375% 5/15/31 (b) | 950,000 | 834,576 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 7,339,000 | 6,843,838 | |
3.75% 3/24/25 | 20,324,000 | 19,778,871 | |
4.875% 2/15/24 | 4,136,000 | 4,136,028 | |
Morgan Stanley: | |||
2.699% 1/22/31(d) | 10,000,000 | 8,416,758 | |
3.125% 7/27/26 | 38,324,000 | 35,863,136 | |
3.622% 4/1/31(d) | 39,278,000 | 34,903,511 | |
4.431% 1/23/30(d) | 14,132,000 | 13,420,492 | |
4.656% 3/2/29(d) | EUR | 2,100,000 | 2,303,796 |
4.889% 7/20/33(d) | 69,805,000 | 66,126,179 | |
5% 11/24/25 | 19,518,000 | 19,222,421 | |
5.449% 7/20/29(d) | 16,205,000 | 16,109,887 | |
MSCI, Inc.: | |||
3.25% 8/15/33(b) | 2,535,000 | 2,039,503 | |
3.625% 9/1/30(b) | 3,935,000 | 3,402,867 | |
UBS Group AG: | |||
1.494% 8/10/27(b)(d) | 21,621,000 | 19,012,156 | |
2.125% 11/15/29 (Reg. S)(d) | GBP | 3,900,000 | 4,065,119 |
2.593% 9/11/25(b)(d) | 38,976,000 | 37,581,187 | |
3.75% 3/26/25 | 12,391,000 | 11,970,061 | |
3.869% 1/12/29(b)(d) | 11,793,000 | 10,841,438 | |
4.125% 9/24/25(b) | 12,029,000 | 11,604,866 | |
4.194% 4/1/31(b)(d) | 40,588,000 | 36,546,539 | |
4.282% 1/9/28(b) | 6,700,000 | 6,267,608 | |
4.75% 3/17/32 (Reg. S)(d) | EUR | 2,910,000 | 3,193,848 |
4.988% 8/5/33 (Reg. S)(d) | 900,000 | 838,729 | |
VistaJet Malta Finance PLC / XO Management Holding, Inc.: | |||
6.375% 2/1/30(b) | 4,555,000 | 3,735,019 | |
7.875% 5/1/27(b) | 760,000 | 687,800 | |
9.5% 6/1/28(b) | 770,000 | 710,557 | |
860,267,568 | |||
Consumer Finance - 2.3% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 41,390,000 | 39,350,204 | |
2.45% 10/29/26 | 15,103,000 | 13,588,874 | |
2.875% 8/14/24 | 22,114,000 | 21,440,750 | |
3% 10/29/28 | 15,819,000 | 13,708,147 | |
3.3% 1/30/32 | 26,922,000 | 21,877,794 | |
4.45% 4/3/26 | 10,546,000 | 10,159,484 | |
6.5% 7/15/25 | 13,775,000 | 13,840,595 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 8,643,000 | 8,599,400 | |
5.125% 9/30/24 | 8,417,000 | 8,287,175 | |
5.75% 11/20/25 | 20,955,000 | 20,325,700 | |
5.8% 5/1/25 | 20,531,000 | 20,222,979 | |
6.7% 2/14/33 | 3,800,000 | 3,440,094 | |
7.1% 11/15/27 | 32,320,000 | 32,743,823 | |
8% 11/1/31 | 20,441,000 | 21,135,517 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26(d) | 17,584,000 | 16,618,815 | |
3.273% 3/1/30(d) | 22,490,000 | 19,300,958 | |
3.65% 5/11/27 | 52,443,000 | 48,771,796 | |
3.8% 1/31/28 | 24,176,000 | 22,168,300 | |
4.985% 7/24/26(d) | 22,984,000 | 22,465,281 | |
5.247% 7/26/30(d) | 35,910,000 | 34,160,722 | |
5.268% 5/10/33(d) | 10,000,000 | 9,297,565 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 9,389,000 | 9,143,783 | |
4.1% 2/9/27 | 11,988,000 | 11,121,276 | |
4.5% 1/30/26 | 15,184,000 | 14,585,910 | |
6.7% 11/29/32 | 5,478,000 | 5,452,026 | |
Ford Motor Credit Co. LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 8.1343% 3/6/26(d)(e) | 5,645,000 | 5,658,946 | |
2.3% 2/10/25 | 8,755,000 | 8,225,112 | |
2.9% 2/10/29 | 5,115,000 | 4,221,031 | |
3.375% 11/13/25 | 1,000,000 | 932,285 | |
3.625% 6/17/31 | 2,755,000 | 2,232,144 | |
3.815% 11/2/27 | 2,280,000 | 2,028,177 | |
4% 11/13/30 | 985,000 | 833,457 | |
4.063% 11/1/24 | 77,591,000 | 75,177,276 | |
4.125% 8/17/27 | 2,225,000 | 2,018,896 | |
4.389% 1/8/26 | 2,000,000 | 1,890,226 | |
4.95% 5/28/27 | 3,935,000 | 3,692,414 | |
5.125% 6/16/25 | 1,000,000 | 973,512 | |
5.584% 3/18/24 | 20,831,000 | 20,718,086 | |
6.86% 6/5/26 | GBP | 3,580,000 | 4,418,545 |
6.95% 3/6/26 | 7,895,000 | 7,914,935 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 2,665,000 | 2,319,216 | |
3.875% 9/15/28 | 6,255,000 | 5,129,100 | |
6.875% 3/15/25 | 3,290,000 | 3,273,474 | |
7.125% 3/15/26 | 6,935,000 | 6,821,944 | |
9% 1/15/29 | 245,000 | 248,369 | |
Shriram Transport Finance Co. Ltd. 4.15% 7/18/25 (b) | 1,290,000 | 1,212,213 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 24,512,000 | 21,899,966 | |
4.25% 8/15/24 | 23,318,000 | 22,712,161 | |
4.375% 3/19/24 | 19,957,000 | 19,716,059 | |
5.15% 3/19/29 | 36,585,000 | 33,554,602 | |
719,629,114 | |||
Financial Services - 1.2% | |||
AGPS BondCo PLC: | |||
4.625% 1/14/26 (Reg. S)(d) | EUR | 16,200,000 | 5,840,851 |
5% 4/27/27 (Reg. S)(d) | EUR | 1,800,000 | 585,494 |
Altus Midstream LP 5.875% 6/15/30 (b) | 2,300,000 | 2,227,573 | |
Azul Secured Finance LLP: | |||
10.875% 5/28/30(b) | 235,000 | 199,860 | |
11.5% 5/28/29(b) | 1,669,911 | 1,502,920 | |
11.93% 8/28/28(b) | 860,000 | 853,550 | |
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 | 63,655,000 | 61,873,953 | |
4.875% 4/14/26 | GBP | 6,500,000 | 7,438,266 |
7.05% 9/29/25 | 28,315,000 | 28,510,920 | |
Block, Inc.: | |||
2.75% 6/1/26 | 950,000 | 863,890 | |
3.5% 6/1/31 | 6,054,000 | 4,964,071 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 9,126,000 | 8,803,074 | |
4.05% 7/1/30 | 19,581,000 | 17,689,685 | |
4.125% 6/15/26 | 15,162,000 | 14,388,839 | |
4.125% 5/15/29 | 18,497,000 | 16,825,476 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 7,079,000 | 6,802,655 | |
3.65% 4/5/27 | 24,155,000 | 22,722,386 | |
3.85% 4/5/29 | 9,902,000 | 9,061,824 | |
3.9% 4/5/32 | 11,788,000 | 10,307,302 | |
4.35% 4/5/42 | 2,681,000 | 2,121,025 | |
4.4% 4/5/52 | 7,930,000 | 6,133,652 | |
Emerald Debt Merger Sub LLC 6.625% 12/15/30 (b) | 2,080,000 | 2,047,594 | |
GACI First Investment 5.25% 10/13/32 (Reg. S) | 585,000 | 584,392 | |
GGAM Finance Ltd.: | |||
7.75% 5/15/26(b) | 1,905,000 | 1,904,970 | |
8% 6/15/28(b) | 4,549,000 | 4,613,368 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 7,285,000 | 5,750,380 | |
5.25% 5/15/27 | 16,575,000 | 14,544,563 | |
6.25% 5/15/26 | 8,456,000 | 7,841,591 | |
Jackson Financial, Inc.: | |||
3.125% 11/23/31 | 2,681,000 | 2,107,305 | |
5.17% 6/8/27 | 10,301,000 | 10,096,677 | |
5.67% 6/8/32 | 11,039,000 | 10,514,356 | |
KfW: | |||
0% 9/17/30 (Reg. S) | EUR | 6,000,000 | 5,288,952 |
2.875% 5/29/26 (Reg. S) | EUR | 7,745,000 | 8,335,270 |
2.875% 6/7/33 (Reg. S) | EUR | 3,000,000 | 3,217,429 |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 5,600,000 | 4,792,489 |
Liberty Costa Rica SR SF 10.875% 1/15/31 (b) | 1,145,000 | 1,147,405 | |
MDGH GMTN RSC Ltd.: | |||
2.875% 11/7/29(b) | 1,375,000 | 1,222,650 | |
4.375% 11/22/33(b) | 870,000 | 820,410 | |
5.084% 5/22/53(b) | 1,540,000 | 1,453,375 | |
5.5% 4/28/33(b) | 810,000 | 831,781 | |
Nationwide Building Society 6.178% 12/7/27 (Reg. S) (d) | GBP | 2,200,000 | 2,744,944 |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 22,337,000 | 22,187,929 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 19,248,000 | 17,641,287 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 19,200,000 | 16,809,082 | |
PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (b) | 1,125,000 | 738,124 | |
Quicken Loans LLC/Quicken Loans Co.-Issuer, Inc. 4% 10/15/33 (b) | 760,000 | 600,898 | |
Scientific Games Holdings LP/Scientific Games U.S. Finco, Inc. 6.625% 3/1/30 (b) | 1,215,000 | 1,071,035 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 5,560,000 | 4,548,653 | |
383,174,175 | |||
Insurance - 0.8% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
4.25% 2/15/29(b) | 760,000 | 657,231 | |
7% 11/15/25(b) | 380,000 | 367,230 | |
Admiral Group PLC 8.5% 1/6/34 (Reg. S) | GBP | 1,200,000 | 1,547,499 |
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (d) | EUR | 2,000,000 | 1,746,072 |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27(b) | 6,756,000 | 6,133,980 | |
6.75% 10/15/27(b) | 955,000 | 902,685 | |
6.75% 4/15/28(b) | 3,690,000 | 3,635,440 | |
American International Group, Inc. 2.5% 6/30/25 | 36,668,000 | 34,709,060 | |
AmWINS Group, Inc. 4.875% 6/30/29 (b) | 6,570,000 | 5,894,918 | |
Cloverie PLC 4.5% 9/11/44 (Reg. S) (d) | 4,198,000 | 4,010,098 | |
Demeter Investments BV: | |||
5.625% 8/15/52 (Reg. S)(d) | 6,561,000 | 6,167,340 | |
5.75% 8/15/50 (Reg. S)(d) | 14,850,000 | 14,293,125 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (d) | EUR | 2,400,000 | 2,240,154 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 42,017,000 | 35,971,400 | |
HUB International Ltd.: | |||
7% 5/1/26(b) | 1,335,000 | 1,332,498 | |
7.25% 6/15/30(b) | 2,920,000 | 2,972,239 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 8,055,000 | 7,774,649 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 12,747,000 | 12,341,160 | |
4.75% 3/15/39 | 5,849,000 | 5,411,677 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | 21,378,000 | 14,003,307 | |
Pricoa Global Funding I 5.375% 5/15/45 (d) | 11,144,000 | 10,895,858 | |
Prudential Funding Asia PLC 2.95% 11/3/33 (Reg. S) (d) | 11,200,000 | 9,358,541 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S)(d) | GBP | 5,100,000 | 5,076,828 |
6.75% 12/2/44 (Reg. S)(d) | 6,610,000 | 6,527,375 | |
Sagicor Financial Co. Ltd. 5.3% 5/13/28 (b) | 900,000 | 856,530 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) | 7,600,000 | 7,182,000 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 3,853,000 | 3,762,715 | |
Unum Group: | |||
3.875% 11/5/25 | 13,752,000 | 13,129,887 | |
4% 6/15/29 | 15,636,000 | 14,332,076 | |
5.75% 8/15/42 | 16,274,000 | 14,815,510 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (d) | 4,950,000 | 3,879,563 | |
251,928,645 | |||
TOTAL FINANCIALS | 3,950,006,002 | ||
HEALTH CARE - 1.7% | |||
Biotechnology - 0.2% | |||
Amgen, Inc.: | |||
5.25% 3/2/30 | 12,184,000 | 12,200,868 | |
5.25% 3/2/33 | 13,756,000 | 13,684,474 | |
5.6% 3/2/43 | 14,103,000 | 13,838,156 | |
5.65% 3/2/53 | 6,496,000 | 6,439,779 | |
5.75% 3/2/63 | 11,839,000 | 11,691,541 | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 7,420,000 | 3,561,600 | |
Grifols SA 4.75% 10/15/28 (b) | 2,180,000 | 1,912,579 | |
63,328,997 | |||
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc.: | |||
3.875% 11/1/29(b) | 2,350,000 | 2,060,976 | |
4.625% 7/15/28(b) | 1,545,000 | 1,434,199 | |
Embecta Corp. 5% 2/15/30 (b) | 1,560,000 | 1,267,500 | |
Hologic, Inc. 3.25% 2/15/29 (b) | 1,250,000 | 1,085,730 | |
Mozart Borrower LP 3.875% 4/1/29 (b) | 950,000 | 829,327 | |
Teleflex, Inc. 4.25% 6/1/28 (b) | 1,370,000 | 1,258,509 | |
Werfenlife SA 4.625% 6/6/28 (Reg. S) | EUR | 2,300,000 | 2,481,242 |
10,417,483 | |||
Health Care Providers & Services - 1.1% | |||
180 Medical, Inc. 3.875% 10/15/29 (b) | 1,845,000 | 1,604,412 | |
AMN Healthcare 4% 4/15/29 (b) | 1,215,000 | 1,039,176 | |
Cano Health, Inc. 6.25% 10/1/28 (b) | 1,910,000 | 649,400 | |
Centene Corp.: | |||
2.45% 7/15/28 | 29,620,000 | 25,357,157 | |
2.5% 3/1/31 | 2,575,000 | 2,050,857 | |
2.625% 8/1/31 | 13,830,000 | 11,002,158 | |
3% 10/15/30 | 2,650,000 | 2,216,619 | |
3.375% 2/15/30 | 24,530,000 | 20,992,691 | |
4.25% 12/15/27 | 18,995,000 | 17,768,079 | |
4.625% 12/15/29 | 28,835,000 | 26,513,783 | |
Cigna Group 3.05% 10/15/27 | 10,400,000 | 9,585,801 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(b) | 7,305,000 | 5,442,225 | |
5.25% 5/15/30(b) | 12,305,000 | 9,704,070 | |
5.625% 3/15/27(b) | 7,615,000 | 6,700,774 | |
6% 1/15/29(b) | 3,545,000 | 2,968,938 | |
6.125% 4/1/30(b) | 3,825,000 | 2,201,096 | |
6.875% 4/15/29(b) | 8,670,000 | 5,317,484 | |
8% 3/15/26(b) | 3,460,000 | 3,377,502 | |
CVS Health Corp.: | |||
3% 8/15/26 | 2,303,000 | 2,157,419 | |
3.625% 4/1/27 | 7,027,000 | 6,651,185 | |
4.78% 3/25/38 | 18,481,000 | 16,550,805 | |
5% 1/30/29 | 10,678,000 | 10,519,957 | |
5.25% 1/30/31 | 4,378,000 | 4,326,147 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31(b) | 1,425,000 | 1,134,789 | |
4.625% 6/1/30(b) | 7,970,000 | 6,836,293 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 20,891,000 | 18,246,735 | |
3.625% 3/15/32 | 3,086,000 | 2,654,181 | |
5.5% 6/15/47 | 1,900,000 | 1,729,786 | |
5.625% 9/1/28 | 16,701,000 | 16,665,030 | |
5.875% 2/1/29 | 15,195,000 | 15,288,702 | |
HealthEquity, Inc. 4.5% 10/1/29 (b) | 3,845,000 | 3,409,646 | |
Humana, Inc. 3.7% 3/23/29 | 9,378,000 | 8,682,580 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | 1,075,000 | 792,813 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(b) | 2,205,000 | 1,881,441 | |
3.875% 5/15/32(b) | 1,015,000 | 842,167 | |
Option Care Health, Inc. 4.375% 10/31/29 (b) | 480,000 | 422,292 | |
Owens & Minor, Inc. 4.5% 3/31/29 (b) | 1,505,000 | 1,275,488 | |
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | 5,655,000 | 5,157,077 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (b) | 1,965,000 | 1,837,008 | |
RegionalCare Hospital Partners Holdings, Inc.: | |||
5.375% 1/15/29(b) | 1,715,000 | 1,185,636 | |
9.875% 8/15/30(b) | 2,260,000 | 2,231,750 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (b) | 4,980,000 | 3,835,696 | |
Sabra Health Care LP 3.2% 12/1/31 | 36,074,000 | 27,553,231 | |
Tenet Healthcare Corp.: | |||
4.25% 6/1/29 | 4,960,000 | 4,428,321 | |
4.375% 1/15/30 | 5,560,000 | 4,939,158 | |
4.625% 6/15/28 | 4,460,000 | 4,106,849 | |
6.125% 10/1/28 | 5,785,000 | 5,571,707 | |
6.125% 6/15/30 | 4,220,000 | 4,089,136 | |
6.25% 2/1/27 | 2,030,000 | 1,998,912 | |
6.75% 5/15/31(b) | 665,000 | 661,708 | |
Toledo Hospital 5.325% 11/15/28 | 6,970,000 | 5,573,909 | |
347,729,776 | |||
Health Care Technology - 0.0% | |||
Athenahealth Group, Inc. 6.5% 2/15/30 (b) | 1,635,000 | 1,419,950 | |
IQVIA, Inc. 6.5% 5/15/30 (b) | 1,895,000 | 1,905,143 | |
3,325,093 | |||
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29(b) | 1,715,000 | 1,513,710 | |
4% 3/15/31(b) | 1,715,000 | 1,481,015 | |
4.25% 5/1/28(b) | 515,000 | 472,744 | |
3,467,469 | |||
Pharmaceuticals - 0.4% | |||
1375209 BC Ltd. 9% 1/30/28 (b) | 1,908,000 | 1,910,292 | |
Bausch Health Companies, Inc.: | |||
5.5% 11/1/25(b) | 3,205,000 | 2,886,295 | |
9% 12/15/25(b) | 490,000 | 448,367 | |
Bayer AG: | |||
3.75% 7/1/74 (Reg. S)(d) | EUR | 3,300,000 | 3,481,024 |
4.625% 5/26/33 (Reg. S) | EUR | 2,550,000 | 2,804,501 |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 13,965,000 | 13,524,847 | |
Catalent Pharma Solutions 3.5% 4/1/30 (b) | 2,355,000 | 1,980,382 | |
Elanco Animal Health, Inc. 6.65% 8/28/28 (d) | 4,279,000 | 4,220,164 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 3,665,000 | 3,283,615 | |
Mylan NV 4.55% 4/15/28 | 13,507,000 | 12,716,619 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(b) | 6,530,000 | 5,909,401 | |
5.125% 4/30/31(b) | 3,075,000 | 2,619,910 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
3.15% 10/1/26 | 2,295,000 | 2,075,320 | |
4.75% 5/9/27 | 720,000 | 672,546 | |
7.875% 9/15/29 | 2,120,000 | 2,208,323 | |
8.125% 9/15/31 | 585,000 | 619,803 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 7,088,000 | 6,699,647 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 28,896,000 | 23,467,369 | |
3.85% 6/22/40 | 8,232,000 | 5,761,623 | |
4% 6/22/50 | 14,216,000 | 9,416,713 | |
106,706,761 | |||
TOTAL HEALTH CARE | 534,975,579 | ||
INDUSTRIALS - 1.5% | |||
Aerospace & Defense - 0.4% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 5,811,000 | 5,682,040 | |
Bombardier, Inc. 7.875% 4/15/27 (b) | 6,280,000 | 6,268,262 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28(b) | 5,665,000 | 5,154,952 | |
4.125% 4/15/29(b) | 2,565,000 | 2,282,465 | |
DAE Funding LLC: | |||
1.55% 8/1/24(b) | 1,670,000 | 1,593,013 | |
1.625% 2/15/24(b) | 810,000 | 788,940 | |
Embraer Netherlands Finance BV: | |||
5.4% 2/1/27 | 1,290,000 | 1,264,523 | |
6.95% 1/17/28(b) | 820,000 | 834,145 | |
7% 7/28/30(b) | 905,000 | 914,231 | |
Howmet Aerospace, Inc.: | |||
5.9% 2/1/27 | 1,000,000 | 992,955 | |
5.95% 2/1/37 | 760,000 | 748,219 | |
6.875% 5/1/25 | 1,000,000 | 1,006,935 | |
Moog, Inc. 4.25% 12/15/27 (b) | 285,000 | 259,351 | |
Rolls-Royce PLC 3.375% 6/18/26 | GBP | 3,160,000 | 3,631,121 |
The Boeing Co.: | |||
5.04% 5/1/27 | 3,241,000 | 3,205,325 | |
5.15% 5/1/30 | 13,707,000 | 13,485,419 | |
5.705% 5/1/40 | 13,710,000 | 13,328,650 | |
5.93% 5/1/60 | 13,710,000 | 13,233,952 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 8,195,000 | 7,347,719 | |
5.5% 11/15/27 | 17,802,000 | 16,867,395 | |
6.25% 3/15/26(b) | 9,860,000 | 9,766,028 | |
6.375% 6/15/26 | 2,000,000 | 1,999,775 | |
6.75% 8/15/28(b) | 2,855,000 | 2,865,008 | |
7.5% 3/15/27 | 1,917,000 | 1,920,698 | |
115,441,121 | |||
Air Freight & Logistics - 0.0% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d) | 1,856,000 | 1,830,105 | |
Aeropuerto Internacional de Tocumen SA: | |||
4% 8/11/41(b) | 740,000 | 584,763 | |
5.125% 8/11/61(b) | 545,000 | 408,303 | |
Rand Parent LLC 8.5% 2/15/30 (b) | 8,890,000 | 8,463,337 | |
11,286,508 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27(b) | 3,005,000 | 2,869,775 | |
6.375% 6/15/30(b) | 205,000 | 201,933 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (b) | 3,090,000 | 2,627,025 | |
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | 2,210,000 | 2,068,573 | |
7,767,306 | |||
Commercial Services & Supplies - 0.2% | |||
ADT Corp. 4.125% 8/1/29 (b) | 2,555,000 | 2,230,055 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6% 6/1/29(b) | 3,520,000 | 2,692,029 | |
9.75% 7/15/27(b) | 6,595,000 | 6,057,139 | |
APX Group, Inc.: | |||
5.75% 7/15/29(b) | 2,420,000 | 2,084,814 | |
6.75% 2/15/27(b) | 2,091,000 | 2,031,825 | |
Brand Energy & Infrastructure Services, Inc. 10.375% 8/1/30 (b) | 9,185,000 | 9,472,307 | |
Cimpress PLC 7% 6/15/26 | 490,000 | 459,375 | |
Clean Harbors, Inc. 6.375% 2/1/31 (b) | 945,000 | 939,738 | |
CoreCivic, Inc.: | |||
4.75% 10/15/27 | 7,410,000 | 6,607,264 | |
8.25% 4/15/26 | 3,730,000 | 3,744,800 | |
Covanta Holding Corp. 4.875% 12/1/29 (b) | 2,575,000 | 2,214,500 | |
GFL Environmental, Inc.: | |||
3.75% 8/1/25(b) | 2,000,000 | 1,904,119 | |
5.125% 12/15/26(b) | 2,000,000 | 1,935,230 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | 2,740,000 | 2,574,778 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(b) | 4,505,000 | 3,985,720 | |
5.875% 6/30/29(b) | 5,090,000 | 4,285,773 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | 3,195,000 | 2,983,546 | |
PowerTeam Services LLC 9.033% 12/4/25 (b) | 4,125,000 | 3,837,768 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 (b) | 1,995,000 | 1,957,783 | |
Stericycle, Inc.: | |||
3.875% 1/15/29(b) | 5,130,000 | 4,466,597 | |
5.375% 7/15/24(b) | 835,000 | 832,069 | |
The Bidvest Group UK PLC 3.625% 9/23/26 (b) | 875,000 | 775,679 | |
The GEO Group, Inc.: | |||
6% 4/15/26 | 832,000 | 752,960 | |
9.5% 12/31/28(b) | 2,569,000 | 2,517,620 | |
10.5% 6/30/28 | 1,030,000 | 1,030,306 | |
72,373,794 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 1,275,000 | 1,223,281 | |
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (b) | 1,510,000 | 1,293,210 | |
Greensaif Pipelines Bidco SARL: | |||
6.129% 2/23/38(b) | 3,115,000 | 3,120,669 | |
6.51% 2/23/42(b) | 850,000 | 858,271 | |
Pike Corp. 5.5% 9/1/28 (b) | 5,168,000 | 4,650,717 | |
Railworks Holdings LP 8.25% 11/15/28 (b) | 4,174,000 | 3,986,112 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(b) | 1,980,000 | 1,762,245 | |
6% 12/1/29(b) | 1,695,000 | 1,449,225 | |
18,343,730 | |||
Electrical Equipment - 0.0% | |||
GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b) | 1,210,000 | 1,179,750 | |
Regal Rexnord Corp.: | |||
6.05% 2/15/26(b) | 2,990,000 | 2,973,869 | |
6.05% 4/15/28(b) | 1,995,000 | 1,973,872 | |
6.3% 2/15/30(b) | 1,995,000 | 1,986,209 | |
Sensata Technologies BV: | |||
4% 4/15/29(b) | 1,985,000 | 1,743,046 | |
5% 10/1/25(b) | 380,000 | 370,350 | |
10,227,096 | |||
Ground Transportation - 0.1% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 4,151,000 | 4,241,241 |
JSC Georgian Railway 4% 6/17/28 (b) | 520,000 | 448,521 | |
Uber Technologies, Inc.: | |||
4.5% 8/15/29(b) | 3,040,000 | 2,783,463 | |
7.5% 5/15/25(b) | 5,190,000 | 5,240,103 | |
8% 11/1/26(b) | 7,245,000 | 7,376,837 | |
XPO, Inc.: | |||
6.25% 6/1/28(b) | 570,000 | 558,529 | |
7.125% 6/1/31(b) | 940,000 | 944,997 | |
21,593,691 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (b) | 1,900,000 | 1,597,350 | |
Turkiye Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b) | 1,235,000 | 1,206,076 | |
2,803,426 | |||
Machinery - 0.0% | |||
Chart Industries, Inc. 7.5% 1/1/30 (b) | 290,000 | 297,147 | |
Mueller Water Products, Inc. 4% 6/15/29 (b) | 2,825,000 | 2,502,018 | |
Vertical Holdco GmbH 7.625% 7/15/28 (b) | 2,445,000 | 2,265,883 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | 8,885,000 | 8,328,803 | |
13,393,851 | |||
Marine Transportation - 0.0% | |||
MISC Capital Two (Labuan) Ltd.: | |||
3.625% 4/6/25(b) | 915,000 | 880,559 | |
3.75% 4/6/27(b) | 1,901,000 | 1,775,857 | |
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (b) | 770,000 | 744,444 | |
Seaspan Corp. 5.5% 8/1/29 (b) | 7,650,000 | 5,946,035 | |
9,346,895 | |||
Passenger Airlines - 0.1% | |||
Air Canada 3.875% 8/15/26 (b) | 1,405,000 | 1,297,407 | |
American Airlines, Inc. 7.25% 2/15/28 (b) | 950,000 | 933,203 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | 7,049,167 | 6,917,232 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (b) | 506,000 | 494,560 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (b) | 800,000 | 797,209 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b) | 4,920,000 | 4,925,732 | |
15,365,343 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 1,795,000 | 1,613,134 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (b) | 6,990,000 | 6,346,850 | |
CoreLogic, Inc. 4.5% 5/1/28 (b) | 2,675,000 | 2,186,813 | |
Korn Ferry 4.625% 12/15/27 (b) | 705,000 | 655,694 | |
Thomson Reuters Corp. 3.85% 9/29/24 | 2,221,000 | 2,166,867 | |
TriNet Group, Inc.: | |||
3.5% 3/1/29(b) | 5,700,000 | 4,907,586 | |
7.125% 8/15/31(b) | 1,085,000 | 1,091,098 | |
18,968,042 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp. 3.375% 7/1/25 | 24,376,000 | 23,223,813 | |
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | 1,960,000 | 1,936,166 | |
Travis Perkins PLC: | |||
3.75% 2/17/26 (Reg. S) | GBP | 3,353,000 | 3,814,259 |
4.5% 9/7/23 (Reg. S) | GBP | 2,666,000 | 3,370,197 |
United Rentals North America, Inc. 6% 12/15/29 (b) | 950,000 | 944,001 | |
33,288,436 | |||
Transportation Infrastructure - 0.4% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25(b) | 37,550,000 | 35,430,239 | |
3.95% 7/1/24(b) | 7,125,000 | 6,949,898 | |
4.25% 4/15/26(b) | 5,430,000 | 5,120,811 | |
4.375% 5/1/26(b) | 16,881,000 | 15,913,646 | |
5.25% 5/15/24(b) | 13,457,000 | 13,285,105 | |
5.5% 1/15/26(b) | 14,454,000 | 14,071,723 | |
6.375% 5/4/28(b) | 23,134,000 | 22,947,934 | |
DP World Crescent Ltd.: | |||
3.7495% 1/30/30(b) | 2,070,000 | 1,906,470 | |
3.875% 7/18/29 (Reg. S) | 815,000 | 756,581 | |
DP World Ltd. 5.625% 9/25/48 (b) | 1,080,000 | 996,527 | |
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (b) | 1,940,000 | 1,649,015 | |
Heathrow Funding Ltd.: | |||
2.625% 3/16/28 (Reg. S) | GBP | 4,000,000 | 4,233,423 |
7.125% 2/14/24 | GBP | 6,708,000 | 8,514,180 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 1,900,000 | 1,709,340 |
133,484,892 | |||
TOTAL INDUSTRIALS | 483,684,131 | ||
INFORMATION TECHNOLOGY - 1.2% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc.: | |||
4.75% 9/1/29(b) | 1,960,000 | 1,456,551 | |
6% 3/1/26(b) | 4,260,000 | 3,871,341 | |
HTA Group Ltd. 7% 12/18/25 (b) | 7,547,000 | 7,132,066 | |
IHS Netherlands Holdco BV 8% 9/18/27 (b) | 2,388,000 | 2,134,060 | |
14,594,018 | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Coherent Corp. 5% 12/15/29 (b) | 5,505,000 | 4,889,541 | |
Dell International LLC/EMC Corp.: | |||
6.1% 7/15/27 | 6,077,000 | 6,213,001 | |
6.2% 7/15/30 | 8,040,000 | 8,274,012 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 950,000 | 796,038 | |
TTM Technologies, Inc. 4% 3/1/29 (b) | 8,080,000 | 7,018,288 | |
27,190,880 | |||
IT Services - 0.1% | |||
Acuris Finance U.S. 5% 5/1/28 (b) | 5,965,000 | 4,831,650 | |
CA Magnum Holdings 5.375% 10/31/26 (b) | 1,585,000 | 1,412,932 | |
Gartner, Inc.: | |||
3.625% 6/15/29(b) | 465,000 | 408,433 | |
3.75% 10/1/30(b) | 830,000 | 716,751 | |
4.5% 7/1/28(b) | 3,690,000 | 3,441,060 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(b) | 4,275,000 | 3,674,547 | |
5.25% 12/1/27(b) | 3,305,000 | 3,164,538 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28(b) | 4,380,000 | 2,078,986 | |
5.375% 12/1/28(b) | 18,529,000 | 5,314,582 | |
Virtusa Corp. 7.125% 12/15/28 (b) | 987,000 | 808,106 | |
25,851,585 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28(b) | 6,532,000 | 5,664,634 | |
2.45% 2/15/31(b) | 63,710,000 | 51,362,587 | |
2.6% 2/15/33(b) | 56,472,000 | 43,660,309 | |
3.5% 2/15/41(b) | 44,880,000 | 32,878,007 | |
Entegris Escrow Corp.: | |||
4.75% 4/15/29(b) | 6,310,000 | 5,870,505 | |
5.95% 6/15/30(b) | 8,200,000 | 7,852,451 | |
Entegris, Inc. 3.625% 5/1/29 (b) | 1,775,000 | 1,525,577 | |
ON Semiconductor Corp. 3.875% 9/1/28 (b) | 2,785,000 | 2,479,151 | |
151,293,221 | |||
Software - 0.5% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (b) | 6,285,000 | 5,782,200 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(b) | 1,065,000 | 938,425 | |
4.875% 7/1/29(b) | 1,075,000 | 937,462 | |
Cloud Software Group, Inc. 9% 9/30/29 (b) | 9,020,000 | 8,062,778 | |
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | 3,170,000 | 3,190,605 | |
Elastic NV 4.125% 7/15/29 (b) | 2,840,000 | 2,441,356 | |
Fair Isaac Corp. 4% 6/15/28 (b) | 2,835,000 | 2,592,461 | |
Gen Digital, Inc.: | |||
5% 4/15/25(b) | 1,910,000 | 1,872,354 | |
7.125% 9/30/30(b) | 955,000 | 961,422 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (b) | 5,438,000 | 4,755,495 | |
McAfee Corp. 7.375% 2/15/30 (b) | 1,722,000 | 1,506,592 | |
MicroStrategy, Inc. 6.125% 6/15/28 (b) | 5,135,000 | 4,596,979 | |
Open Text Corp.: | |||
3.875% 2/15/28(b) | 2,295,000 | 2,042,365 | |
3.875% 12/1/29(b) | 2,900,000 | 2,459,263 | |
Open Text Holdings, Inc.: | |||
4.125% 2/15/30(b) | 3,825,000 | 3,296,139 | |
4.125% 12/1/31(b) | 3,045,000 | 2,527,586 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 24,761,000 | 22,563,857 | |
2.3% 3/25/28 | 39,119,000 | 34,423,863 | |
2.8% 4/1/27 | 26,554,000 | 24,390,522 | |
2.875% 3/25/31 | 49,210,000 | 41,576,263 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 765,000 | 736,466 | |
171,654,453 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Lenovo Group Ltd.: | |||
3.421% 11/2/30(b) | 1,305,000 | 1,086,869 | |
5.875% 4/24/25 (Reg. S) | 305,000 | 303,249 | |
Seagate HDD Cayman: | |||
5.75% 12/1/34 | 2,650,000 | 2,346,920 | |
8.25% 12/15/29(b) | 950,000 | 996,551 | |
8.5% 7/15/31(b) | 1,145,000 | 1,199,623 | |
5,933,212 | |||
TOTAL INFORMATION TECHNOLOGY | 396,517,369 | ||
MATERIALS - 0.8% | |||
Chemicals - 0.4% | |||
Braskem Idesa SAPI: | |||
6.99% 2/20/32(b) | 725,000 | 432,006 | |
7.45% 11/15/29(b) | 960,000 | 605,981 | |
Braskem Netherlands BV 7.25% 2/13/33 (b) | 365,000 | 344,359 | |
Celanese U.S. Holdings LLC: | |||
6.35% 11/15/28 | 13,022,000 | 13,055,564 | |
6.55% 11/15/30 | 13,200,000 | 13,206,502 | |
6.7% 11/15/33 | 7,713,000 | 7,745,434 | |
CVR Partners LP 6.125% 6/15/28 (b) | 2,505,000 | 2,242,651 | |
Element Solutions, Inc. 3.875% 9/1/28 (b) | 2,055,000 | 1,806,592 | |
ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (b) | 1,645,000 | 1,508,498 | |
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(d) | 2,290,000 | 1,671,700 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 1,500,000 | 1,371,827 | |
Meglobal BV: | |||
2.625% 4/28/28(b) | 735,000 | 645,212 | |
4.25% 11/3/26(b) | 605,000 | 578,568 | |
MEGlobal Canada, Inc. 5% 5/18/25 (b) | 1,160,000 | 1,136,626 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 7,417,000 | 6,957,288 | |
5.25% 12/15/29 | 810,000 | 737,880 | |
5.65% 12/1/44 | 6,047,000 | 4,945,924 | |
NOVA Chemicals Corp.: | |||
4.25% 5/15/29(b) | 4,375,000 | 3,547,710 | |
4.875% 6/1/24(b) | 2,621,000 | 2,577,914 | |
5% 5/1/25(b) | 1,650,000 | 1,570,385 | |
5.25% 6/1/27(b) | 4,900,000 | 4,356,376 | |
Nufarm Australia Ltd. 5% 1/27/30 (b) | 3,605,000 | 3,206,629 | |
OCP SA: | |||
3.75% 6/23/31(b) | 1,380,000 | 1,138,873 | |
5.625% 4/25/24(b) | 1,710,000 | 1,697,038 | |
6.875% 4/25/44(b) | 605,000 | 541,142 | |
Olin Corp. 5% 2/1/30 | 4,620,000 | 4,230,393 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(b) | 2,755,000 | 2,261,797 | |
6.25% 10/1/29(b) | 4,229,000 | 3,404,641 | |
9.75% 11/15/28(b) | 6,970,000 | 7,021,069 | |
Orbia Advance Corp. S.A.B. de CV: | |||
1.875% 5/11/26(b) | 1,640,000 | 1,458,878 | |
2.875% 5/11/31(b) | 875,000 | 689,281 | |
Sasol Financing U.S.A. LLC: | |||
4.375% 9/18/26 | 2,140,000 | 1,909,522 | |
5.5% 3/18/31 | 490,000 | 392,174 | |
5.875% 3/27/24 | 900,000 | 887,796 | |
8.75% 5/3/29(b) | 295,000 | 287,994 | |
SCIH Salt Holdings, Inc.: | |||
4.875% 5/1/28(b) | 870,000 | 782,848 | |
6.625% 5/1/29(b) | 2,660,000 | 2,347,276 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (b) | 2,140,000 | 2,003,206 | |
The Chemours Co. LLC: | |||
4.625% 11/15/29(b) | 1,770,000 | 1,471,480 | |
5.375% 5/15/27 | 5,878,000 | 5,533,316 | |
5.75% 11/15/28(b) | 4,600,000 | 4,132,268 | |
The Scotts Miracle-Gro Co.: | |||
4% 4/1/31 | 380,000 | 298,672 | |
4.375% 2/1/32 | 570,000 | 451,326 | |
Tronox, Inc. 4.625% 3/15/29 (b) | 950,000 | 782,834 | |
W.R. Grace Holding LLC: | |||
5.625% 8/15/29(b) | 7,045,000 | 5,957,957 | |
7.375% 3/1/31(b) | 770,000 | 758,265 | |
124,691,672 | |||
Construction Materials - 0.0% | |||
Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | 1,225,000 | 1,194,363 | |
Containers & Packaging - 0.2% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(d) | 5,255,000 | 4,223,560 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(b) | 850,000 | 721,842 | |
4% 9/1/29(b) | 1,745,000 | 1,418,593 | |
6% 6/15/27(b) | 2,965,000 | 2,891,217 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26(b) | 2,500,000 | 2,335,394 | |
5.25% 8/15/27(b) | 3,570,000 | 3,037,041 | |
5.25% 8/15/27(b) | 8,321,000 | 7,078,772 | |
Ball Corp.: | |||
2.875% 8/15/30 | 950,000 | 774,768 | |
4.875% 3/15/26 | 2,995,000 | 2,909,493 | |
6% 6/15/29 | 1,210,000 | 1,191,980 | |
Berry Global, Inc. 4.875% 7/15/26 (b) | 2,605,000 | 2,514,317 | |
BWAY Holding Co. 7.875% 8/15/26 (b) | 2,855,000 | 2,811,447 | |
Clydesdale Acquisition Holdings, Inc.: | |||
6.625% 4/15/29(b) | 1,175,000 | 1,118,071 | |
8.75% 4/15/30(b) | 2,890,000 | 2,613,533 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (b) | 1,200,000 | 1,046,466 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | 1,190,000 | 1,014,303 | |
Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | 950,000 | 958,503 | |
Sealed Air Corp. 5% 4/15/29 (b) | 3,275,000 | 3,038,873 | |
Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (b) | 1,195,000 | 1,174,179 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26(b) | 3,219,000 | 3,036,366 | |
8.5% 8/15/27(b) | 2,499,000 | 2,370,417 | |
48,279,135 | |||
Metals & Mining - 0.2% | |||
Antofagasta PLC: | |||
2.375% 10/14/30(b) | 1,860,000 | 1,483,815 | |
5.625% 5/13/32(b) | 665,000 | 645,050 | |
Arsenal AIC Parent LLC 8% 10/1/30 (b) | 1,370,000 | 1,399,099 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 2,005,000 | 1,810,177 | |
5.875% 12/1/27 | 2,275,000 | 2,212,438 | |
7.25% 8/15/30 | 1,020,000 | 1,030,404 | |
Celtic Resources Holdings DAC 4.125% (b)(c)(h) | 1,205,000 | 172,460 | |
Commercial Metals Co.: | |||
3.875% 2/15/31 | 1,150,000 | 980,237 | |
4.125% 1/15/30 | 2,295,000 | 2,030,141 | |
Compania de Minas Buenaventura SAA 5.5% 7/23/26 (b) | 675,000 | 593,183 | |
Constellium NV 5.875% 2/15/26 (b) | 1,140,000 | 1,118,655 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3% 9/30/29(b) | 290,000 | 251,033 | |
3.15% 1/14/30(b) | 750,000 | 650,918 | |
3.7% 1/30/50(b) | 2,620,000 | 1,838,716 | |
5.125% 2/2/33(b) | 790,000 | 756,488 | |
CSN Islands XI Corp. 6.75% 1/28/28 (b) | 1,630,000 | 1,526,756 | |
CSN Resources SA 5.875% 4/8/32 (b) | 1,050,000 | 845,250 | |
Eldorado Gold Corp. 6.25% 9/1/29 (b) | 1,420,000 | 1,210,465 | |
Endeavour Mining PLC 5% 10/14/26 (b) | 900,000 | 786,348 | |
ERO Copper Corp. 6.5% 2/15/30 (b) | 5,915,000 | 5,137,532 | |
First Quantum Minerals Ltd.: | |||
6.875% 3/1/26(b) | 1,455,000 | 1,421,768 | |
6.875% 10/15/27(b) | 5,745,000 | 5,551,566 | |
7.5% 4/1/25(b) | 1,550,000 | 1,543,606 | |
8.625% 6/1/31(b) | 725,000 | 737,776 | |
FMG Resources Pty Ltd.: | |||
4.375% 4/1/31(b) | 950,000 | 796,166 | |
4.5% 9/15/27(b) | 1,105,000 | 1,019,473 | |
Fresnillo PLC 4.25% 10/2/50 (b) | 940,000 | 686,501 | |
Gcm Mining Corp. 6.875% 8/9/26 (b) | 1,890,000 | 1,503,731 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 1,290,000 | 1,217,586 | |
Kaiser Aluminum Corp.: | |||
4.5% 6/1/31(b) | 1,235,000 | 997,904 | |
4.625% 3/1/28(b) | 4,387,000 | 3,879,540 | |
Metinvest BV 8.5% 4/23/26 (Reg. S) | 435,000 | 289,275 | |
Mineral Resources Ltd.: | |||
8% 11/1/27(b) | 1,015,000 | 1,011,453 | |
8.5% 5/1/30(b) | 3,130,000 | 3,141,194 | |
Novelis Corp.: | |||
3.25% 11/15/26(b) | 575,000 | 520,957 | |
3.875% 8/15/31(b) | 955,000 | 790,704 | |
PMHC II, Inc. 9% 2/15/30 (b) | 3,870,000 | 3,192,001 | |
POSCO: | |||
5.75% 1/17/28(b) | 1,135,000 | 1,143,455 | |
5.875% 1/17/33(b) | 490,000 | 505,292 | |
PT Freeport Indonesia: | |||
4.763% 4/14/27(b) | 580,000 | 556,829 | |
5.315% 4/14/32(b) | 1,300,000 | 1,204,450 | |
6.2% 4/14/52(b) | 670,000 | 595,463 | |
PT Indonesia Asahan Aluminium 5.45% 5/15/30 (b) | 1,595,000 | 1,531,742 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 2,580,000 | 2,308,249 | |
Stillwater Mining Co.: | |||
4% 11/16/26(b) | 1,490,000 | 1,309,308 | |
4.5% 11/16/29(b) | 700,000 | 550,886 | |
TMK Capital SA 4.3% (Reg. S) (c)(h) | 990,000 | 626,175 | |
VM Holding SA 6.5% 1/18/28 (b) | 1,405,000 | 1,343,011 | |
Volcan Compania Minera SAA 4.375% 2/11/26 (b) | 1,165,000 | 758,275 | |
67,213,501 | |||
Paper & Forest Products - 0.0% | |||
LABL, Inc.: | |||
5.875% 11/1/28(b) | 575,000 | 522,531 | |
6.75% 7/15/26(b) | 385,000 | 376,311 | |
9.5% 11/1/28(b) | 385,000 | 396,269 | |
10.5% 7/15/27(b) | 3,130,000 | 2,995,771 | |
Mercer International, Inc. 5.125% 2/1/29 | 1,235,000 | 1,010,302 | |
SPA Holdings 3 OY 4.875% 2/4/28 (b) | 3,940,000 | 3,271,810 | |
8,572,994 | |||
TOTAL MATERIALS | 249,951,665 | ||
REAL ESTATE - 2.5% | |||
Equity Real Estate Investment Trusts (REITs) - 2.0% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 16,606,000 | 16,073,406 | |
American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (b) | 1,420,000 | 1,087,337 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 2,770,000 | 2,193,359 | |
3.625% 4/15/32 | 10,838,000 | 9,285,191 | |
American Tower Corp.: | |||
4.05% 3/15/32 | 1,254,000 | 1,118,414 | |
5.55% 7/15/33 | 1,450,000 | 1,435,325 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 15,144,000 | 12,328,287 | |
4.5% 12/1/28 | 12,665,000 | 11,686,724 | |
6.75% 12/1/27 | 16,978,000 | 17,340,268 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 2,119,000 | 1,668,602 | |
2.25% 3/15/26 | 6,484,000 | 5,856,077 | |
2.75% 4/15/31 | 6,131,000 | 4,725,367 | |
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b) | 2,860,000 | 2,491,789 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b) | 1,115,000 | 870,256 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 4,838,000 | 4,121,189 | |
3.5% 8/1/26 | 5,039,000 | 4,704,041 | |
Healthpeak OP, LLC: | |||
3.25% 7/15/26 | 2,056,000 | 1,944,588 | |
3.5% 7/15/29 | 2,351,000 | 2,111,306 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 27,154,000 | 20,690,956 | |
Invitation Homes Operating Partnership LP: | |||
4.15% 4/15/32 | 16,356,000 | 14,556,815 | |
5.5% 8/15/33 | 2,192,000 | 2,121,311 | |
Iron Mountain, Inc. 4.5% 2/15/31 (b) | 950,000 | 816,095 | |
Kite Realty Group Trust 4.75% 9/15/30 | 1,467,000 | 1,342,857 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 7,113,000 | 5,636,444 | |
4.4% 6/15/24 | 2,936,000 | 2,877,774 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
2.5% 3/24/26 | GBP | 2,850,000 | 2,821,692 |
3.5% 3/15/31 | 7,435,000 | 4,828,088 | |
4.625% 8/1/29 | 6,155,000 | 4,444,887 | |
5% 10/15/27 | 20,311,000 | 16,045,227 | |
5.25% 8/1/26 | 2,505,000 | 2,128,145 | |
NNN (REIT), Inc. 5.6% 10/15/33 | 2,219,000 | 2,174,454 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 28,100,000 | 20,972,944 | |
3.375% 2/1/31 | 13,097,000 | 10,578,570 | |
3.625% 10/1/29 | 39,642,000 | 33,590,060 | |
4.5% 1/15/25 | 6,808,000 | 6,638,511 | |
4.5% 4/1/27 | 32,478,000 | 30,719,973 | |
4.75% 1/15/28 | 18,782,000 | 17,637,868 | |
4.95% 4/1/24 | 11,105,000 | 11,044,636 | |
5.25% 1/15/26 | 18,623,000 | 18,310,479 | |
Park Intermediate Holdings LLC 7.5% 6/1/25 (b) | 1,000,000 | 1,001,137 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 5,512,000 | 3,722,911 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 3,122,000 | 2,709,503 | |
3.4% 1/15/28 | 6,031,000 | 5,593,556 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 2,151,000 | 2,088,034 | |
5% 12/15/23 | 1,293,000 | 1,280,821 | |
SBA Communications Corp. 3.125% 2/1/29 | 3,313,000 | 2,836,555 | |
Senior Housing Properties Trust 9.75% 6/15/25 | 341,000 | 335,311 | |
Simon Property Group LP 2.45% 9/13/29 | 6,352,000 | 5,376,249 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 5,451,000 | 5,186,224 | |
4.25% 2/1/26 | 18,338,000 | 17,169,234 | |
Store Capital Corp.: | |||
2.7% 12/1/31 | 7,899,000 | 5,588,551 | |
2.75% 11/18/30 | 7,730,000 | 5,670,820 | |
4.625% 3/15/29 | 5,948,000 | 5,119,454 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 6,226,000 | 5,234,277 | |
2.7% 7/15/31 | 15,891,000 | 12,617,201 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28(b) | 12,375,000 | 10,431,409 | |
6.5% 2/15/29(b) | 29,230,000 | 19,949,495 | |
10.5% 2/15/28(b) | 8,150,000 | 8,130,720 | |
Uniti Group, Inc. 6% 1/15/30 (b) | 10,595,000 | 6,998,739 | |
Ventas Realty LP: | |||
3% 1/15/30 | 28,128,000 | 23,964,830 | |
3.5% 2/1/25 | 3,798,000 | 3,653,052 | |
3.75% 5/1/24 | 15,927,000 | 15,687,129 | |
4% 3/1/28 | 6,996,000 | 6,498,993 | |
4.125% 1/15/26 | 3,540,000 | 3,404,422 | |
4.75% 11/15/30 | 39,136,000 | 36,702,032 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 2,699,000 | 2,623,995 | |
4.75% 2/15/28 | 21,253,000 | 20,210,268 | |
4.95% 2/15/30 | 33,145,000 | 31,176,187 | |
5.125% 5/15/32 | 7,569,000 | 7,015,095 | |
VICI Properties LP / VICI Note Co.: | |||
3.5% 2/15/25(b) | 155,000 | 148,482 | |
4.125% 8/15/30(b) | 1,905,000 | 1,667,991 | |
4.25% 12/1/26(b) | 225,000 | 211,967 | |
4.625% 12/1/29(b) | 485,000 | 438,125 | |
Vornado Realty LP 2.15% 6/1/26 | 6,904,000 | 5,967,706 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 4,522,000 | 4,071,119 | |
4% 2/1/25 | 17,522,000 | 17,058,633 | |
638,559,539 | |||
Real Estate Management & Development - 0.5% | |||
ACCENTRO Real Estate AG 5.625% 2/13/26 (Reg. S) | EUR | 4,086,000 | 2,658,392 |
Anywhere Real Estate Group LLC 7% 4/15/30 (b) | 1,529,600 | 1,378,552 | |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 8,500,000 | 7,221,131 |
1.75% 3/12/29 (Reg. S) | EUR | 4,975,000 | 4,213,539 |
2.625% 10/20/28 (Reg. S) | GBP | 1,900,000 | 1,838,213 |
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 14,429,000 | 11,877,155 | |
4.1% 10/1/24 | 13,139,000 | 12,544,793 | |
4.55% 10/1/29 | 15,790,000 | 12,338,345 | |
7.55% 3/15/28 | 22,792,000 | 21,371,110 | |
CBRE Group, Inc. 2.5% 4/1/31 | 21,262,000 | 17,076,591 | |
Deutsche Annington Finance BV 5% 10/2/23 (b) | 3,695,000 | 3,681,550 | |
DTZ U.S. Borrower LLC 6.75% 5/15/28 (b) | 315,000 | 299,875 | |
Essex Portfolio LP 3.875% 5/1/24 | 5,607,000 | 5,512,976 | |
Greystar Real Estate Partners 7.75% 9/1/30 (b) | 935,000 | 944,397 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 4,150,000 | 3,240,038 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 4,100,000 | 2,310,945 |
Howard Hughes Corp.: | |||
4.125% 2/1/29(b) | 1,425,000 | 1,175,625 | |
4.375% 2/1/31(b) | 1,170,000 | 932,432 | |
Kennedy-Wilson, Inc.: | |||
4.75% 3/1/29 | 1,030,000 | 827,626 | |
4.75% 2/1/30 | 3,860,000 | 2,973,628 | |
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b) | 55,000 | 39,325 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) | 43,000 | 29,849 | |
Samhallsbyggnadsbolaget I Norden AB: | |||
1.75% 1/14/25 (Reg. S) | EUR | 1,711,000 | 1,380,694 |
2.25% 8/12/27 (Reg. S) | EUR | 2,000,000 | 1,290,073 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 2,300,000 | 2,138,460 |
Tanger Properties LP: | |||
2.75% 9/1/31 | 16,274,000 | 12,106,366 | |
3.125% 9/1/26 | 8,723,000 | 7,915,884 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | 695,000 | 637,415 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 1,580,000 | 1,488,471 |
Vonovia SE 5% 11/23/30 (Reg. S) | EUR | 400,000 | 424,928 |
141,868,378 | |||
TOTAL REAL ESTATE | 780,427,917 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.6% | |||
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (d) | EUR | 1,050,000 | 987,377 |
Chile Electricity LUX MPC SARL 6.01% 1/20/33 (b) | 525,000 | 530,145 | |
Clearway Energy Operating LLC: | |||
3.75% 2/15/31(b) | 4,015,000 | 3,301,039 | |
3.75% 1/15/32(b) | 475,000 | 388,878 | |
4.75% 3/15/28(b) | 1,030,000 | 952,385 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 12,555,000 | 10,635,617 | |
Comision Federal de Electricidad: | |||
3.348% 2/9/31(b) | 325,000 | 257,507 | |
4.688% 5/15/29(b) | 1,450,000 | 1,314,875 | |
DPL, Inc.: | |||
4.125% 7/1/25 | 2,435,000 | 2,316,403 | |
4.35% 4/15/29 | 315,000 | 271,295 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 10,750,000 | 8,942,145 | |
3.85% 6/15/34 | EUR | 4,500,000 | 4,469,173 |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30(b) | 5,172,000 | 4,121,914 | |
2.775% 1/7/32(b) | 16,845,000 | 12,997,454 | |
Electricite de France SA: | |||
5.5% 1/25/35 (Reg. S) | GBP | 4,500,000 | 5,214,362 |
5.7% 5/23/28(b) | 4,000,000 | 4,003,907 | |
6.25% 5/23/33(b) | 4,300,000 | 4,424,531 | |
EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (d) | EUR | 3,700,000 | 3,234,776 |
Enel SpA 3.375% (Reg. S) (d)(i) | EUR | 2,091,000 | 2,102,991 |
Entergy Corp. 2.8% 6/15/30 | 11,033,000 | 9,303,219 | |
Eskom Holdings SOC Ltd.: | |||
6.35% 8/10/28(b) | 1,530,000 | 1,430,749 | |
7.125% 2/11/25(b) | 2,370,000 | 2,335,208 | |
8.45% 8/10/28(b) | 645,000 | 624,683 | |
Exelon Corp.: | |||
3.35% 3/15/32 | 16,412,000 | 14,101,175 | |
4.05% 4/15/30 | 6,798,000 | 6,281,310 | |
4.7% 4/15/50 | 3,027,000 | 2,568,206 | |
Exgen Texas Power LLC 3 month U.S. LIBOR + 6.750% 12.2371% 10/8/26 (d)(e)(h) | 1,005,642 | 1,019,470 | |
FirstEnergy Corp. 3.4% 3/1/50 | 3,805,000 | 2,518,440 | |
Iberdrola Finanzas SAU 7.375% 1/29/24 | GBP | 1,350,000 | 1,719,271 |
IPALCO Enterprises, Inc.: | |||
3.7% 9/1/24 | 6,665,000 | 6,485,397 | |
4.25% 5/1/30 | 8,975,000 | 8,077,202 | |
Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (b) | 1,545,000 | 1,307,132 | |
Lamar Funding Ltd. 3.958% 5/7/25 (b) | 1,545,000 | 1,473,760 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (b) | 2,060,000 | 1,859,274 | |
Monongahela Power Co. 4.1% 4/15/24 (b) | 2,537,000 | 2,510,954 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (d) | EUR | 6,100,000 | 5,755,320 |
Northern Powergrid PLC 2.5% 4/1/25 (Reg. S) | GBP | 147,000 | 175,842 |
NRG Energy, Inc.: | |||
3.375% 2/15/29(b) | 3,565,000 | 2,938,510 | |
3.625% 2/15/31(b) | 1,380,000 | 1,076,993 | |
5.25% 6/15/29(b) | 3,295,000 | 2,965,834 | |
PG&E Corp.: | |||
5% 7/1/28 | 6,600,000 | 6,071,390 | |
5.25% 7/1/30 | 14,495,000 | 12,877,674 | |
Southern Co. 1.875% 9/15/81 (d) | EUR | 8,500,000 | 7,264,082 |
Vistra Operations Co. LLC: | |||
5% 7/31/27(b) | 3,800,000 | 3,573,933 | |
5.5% 9/1/26(b) | 1,975,000 | 1,905,019 | |
5.625% 2/15/27(b) | 3,370,000 | 3,244,332 | |
Western Power Distribution PLC 3.625% 11/6/23 (Reg. S) | GBP | 1,400,000 | 1,765,099 |
183,696,252 | |||
Gas Utilities - 0.0% | |||
ENN Energy Holdings Ltd. 4.625% 5/17/27 (b) | 1,645,000 | 1,592,000 | |
Ferrellgas LP/Ferrellgas Finance Corp. 5.375% 4/1/26 (b) | 515,000 | 484,116 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,085,264 | 1,118,289 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.875% 3/1/27 | 365,000 | 356,048 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | 1,725,000 | 1,517,966 | |
5,068,419 | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | 3,600,000 | 3,210,105 | |
Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (b) | 640,000 | 564,288 | |
Emera U.S. Finance LP 3.55% 6/15/26 | 5,152,000 | 4,874,251 | |
Energo-Pro A/S 8.5% 2/4/27 (b) | 830,000 | 800,319 | |
EnfraGen Energia Sur SA 5.375% 12/30/30 (b) | 2,620,000 | 1,922,425 | |
Investment Energy Resources Ltd. 6.25% 4/26/29 (b) | 1,300,000 | 1,205,893 | |
PT Pertamina Geothermal Energy 5.15% 4/27/28 (b) | 575,000 | 566,438 | |
Sunnova Energy Corp. 5.875% 9/1/26 (b) | 2,555,000 | 2,248,289 | |
Termocandelaria Power Ltd. 7.875% 1/30/29 (b) | 1,209,000 | 1,127,163 | |
The AES Corp.: | |||
2.45% 1/15/31 | 18,564,000 | 14,740,385 | |
3.3% 7/15/25(b) | 33,229,000 | 31,596,445 | |
3.95% 7/15/30(b) | 28,974,000 | 25,753,608 | |
88,609,609 | |||
Multi-Utilities - 0.3% | |||
Abu Dhabi National Energy Co. PJSC: | |||
4% 10/3/49(b) | 1,160,000 | 947,395 | |
4.696% 4/24/33(b) | 985,000 | 964,069 | |
4.875% 4/23/30(b) | 520,000 | 520,380 | |
Engie SA 4.25% 9/6/34 (Reg. S) | EUR | 2,000,000 | 2,186,483 |
NiSource, Inc.: | |||
2.95% 9/1/29 | 31,524,000 | 27,739,472 | |
5.25% 2/15/43 | 8,116,000 | 7,542,395 | |
5.8% 2/1/42 | 4,036,000 | 3,885,312 | |
5.95% 6/15/41 | 5,760,000 | 5,794,700 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 21,032,000 | 18,811,213 | |
4.224% 3/15/32 | 21,626,000 | 19,055,794 | |
Sempra 6% 10/15/39 | 9,562,000 | 9,560,673 | |
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.7387% 5/15/67 (d)(e) | 2,459,000 | 2,151,357 | |
99,159,243 | |||
Water Utilities - 0.0% | |||
Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S) | GBP | 1,450,000 | 1,388,170 |
Severn Trent Utilities Finance PLC: | |||
4.625% 11/30/34 (Reg. S) | GBP | 1,170,000 | 1,327,342 |
6.125% 2/26/24 | GBP | 755,000 | 956,434 |
Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S) | GBP | 1,765,000 | 1,865,663 |
Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S) | GBP | 1,490,000 | 1,837,573 |
7,375,182 | |||
TOTAL UTILITIES | 383,908,705 | ||
TOTAL NONCONVERTIBLE BONDS | 9,865,373,757 | ||
TOTAL CORPORATE BONDS (Cost $10,943,965,127) | 9,891,497,387 | ||
U.S. Treasury Obligations - 31.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 207,334,000 | 128,409,398 | |
1.75% 8/15/41 | 208,680,000 | 140,215,026 | |
1.875% 11/15/51 | 400,075,000 | 245,827,332 | |
2% 11/15/41 | 199,600,000 | 139,665,421 | |
2% 8/15/51 | 668,247,000 | 424,258,533 | |
2.875% 5/15/52 | 167,475,000 | 130,009,010 | |
3% 2/15/47 | 396,205,000 | 314,967,499 | |
3.25% 5/15/42 (j)(k) | 182,811,000 | 156,110,596 | |
3.625% 2/15/53 | 490,540,000 | 441,945,881 | |
3.625% 5/15/53 | 219,733,000 | 198,171,699 | |
3.875% 5/15/43 | 3,000,000 | 2,789,395 | |
4% 11/15/42 | 5,140,000 | 4,876,776 | |
4.125% 8/15/53 | 451,477,000 | 445,410,278 | |
6.25% 5/15/30 | 6,000,000 | 6,706,406 | |
U.S. Treasury Notes: | |||
1.25% 9/30/28 | 84,070,000 | 72,553,067 | |
2.625% 7/31/29 | 15,000,000 | 13,737,891 | |
2.75% 5/31/29 | 446,000,000 | 411,992,500 | |
2.75% 8/15/32 | 770,411,000 | 691,534,157 | |
2.875% 5/15/32 | 443,111,000 | 402,694,429 | |
3.125% 8/31/29 | 239,780,000 | 225,683,559 | |
3.375% 5/15/33 | 1,126,000,000 | 1,060,727,133 | |
3.5% 1/31/30 | 375,000,000 | 359,721,679 | |
3.5% 4/30/30 | 200,000,000 | 191,750,000 | |
3.5% 2/15/33 | 665,000,000 | 633,308,594 | |
3.625% 5/31/28 | 65,000,000 | 63,217,578 | |
3.625% 3/31/30 | 177,688,000 | 171,635,503 | |
3.75% 5/31/30 | 546,000 | 531,262 | |
3.875% 1/15/26 | 33,990,000 | 33,347,377 | |
3.875% 9/30/29 | 300,000,000 | 293,988,282 | |
3.875% 12/31/29 | 750,000,000 | 734,912,108 | |
3.875% 8/15/33 | 173,333,000 | 170,245,506 | |
4% 2/15/26 | 20,200,000 | 19,881,219 | |
4% 6/30/28 | 612,480,000 | 605,158,953 | |
4% 10/31/29 | 330,700,000 | 326,269,136 | |
4% 2/28/30 | 1,407,000 | 1,389,083 | |
4% 7/31/30 | 50,000,000 | 49,406,250 | |
4.125% 7/31/28 (l) | 275,000,000 | 273,388,671 | |
4.125% 11/15/32 | 221,500,000 | 221,396,172 | |
4.375% 10/31/24 | 23,200,000 | 22,959,844 | |
4.375% 8/31/28 (j) | 125,000,000 | 125,771,485 | |
4.625% 2/28/25 | 24,300,000 | 24,131,988 | |
4.625% 3/15/26 | 53,760,000 | 53,720,100 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,215,625,866) | 10,034,416,776 | ||
U.S. Government Agency - Mortgage Securities - 19.6% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 6.9% | |||
12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (d)(e) | 11,071 | 11,095 | |
12 month U.S. LIBOR + 1.460% 3.846% 1/1/35 (d)(e) | 11,135 | 11,189 | |
12 month U.S. LIBOR + 1.480% 5.73% 7/1/34 (d)(e) | 1,526 | 1,535 | |
12 month U.S. LIBOR + 1.550% 5.803% 6/1/36 (d)(e) | 8,620 | 8,711 | |
12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (d)(e) | 12,400 | 12,467 | |
12 month U.S. LIBOR + 1.620% 4.537% 5/1/35 (d)(e) | 22,320 | 22,483 | |
12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (d)(e) | 6,107 | 6,201 | |
12 month U.S. LIBOR + 1.630% 4.911% 11/1/36 (d)(e) | 6,244 | 6,289 | |
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (d)(e) | 17,290 | 17,639 | |
12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (d)(e) | 3,617 | 3,656 | |
12 month U.S. LIBOR + 1.700% 5.189% 6/1/42 (d)(e) | 22,806 | 23,089 | |
12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (d)(e) | 23,022 | 23,337 | |
12 month U.S. LIBOR + 1.750% 4.454% 7/1/35 (d)(e) | 6,990 | 7,038 | |
12 month U.S. LIBOR + 1.750% 4.579% 8/1/41 (d)(e) | 34,496 | 34,891 | |
12 month U.S. LIBOR + 1.780% 4.163% 2/1/36 (d)(e) | 10,161 | 10,243 | |
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (d)(e) | 83,340 | 84,433 | |
12 month U.S. LIBOR + 1.800% 4.505% 12/1/40 (d)(e) | 795,934 | 808,736 | |
12 month U.S. LIBOR + 1.800% 6.05% 7/1/41 (d)(e) | 8,912 | 9,034 | |
12 month U.S. LIBOR + 1.810% 4.06% 12/1/39 (d)(e) | 7,160 | 7,253 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (d)(e) | 7,461 | 7,631 | |
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (d)(e) | 37,360 | 37,801 | |
12 month U.S. LIBOR + 1.810% 6.05% 7/1/41 (d)(e) | 14,425 | 14,641 | |
12 month U.S. LIBOR + 1.820% 4.195% 12/1/35 (d)(e) | 14,646 | 14,831 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (d)(e) | 6,090 | 6,022 | |
12 month U.S. LIBOR + 1.950% 5.771% 7/1/37 (d)(e) | 16,770 | 17,052 | |
6 month U.S. LIBOR + 1.470% 4.059% 10/1/33 (d)(e) | 310 | 310 | |
6 month U.S. LIBOR + 1.530% 4.372% 3/1/35 (d)(e) | 5,751 | 5,759 | |
6 month U.S. LIBOR + 1.530% 4.461% 12/1/34 (d)(e) | 3,278 | 3,276 | |
REFINITIV USD IBOR CONSUMER CA + 1.500% 4.724% 1/1/35 (d)(e) | 22,865 | 22,898 | |
REFINITIV USD IBOR CONSUMER CA + 1.510% 7.023% 2/1/33 (d)(e) | 235 | 237 | |
REFINITIV USD IBOR CONSUMER CA + 1.550% 6.154% 10/1/33 (d)(e) | 2,117 | 2,143 | |
REFINITIV USD IBOR CONSUMER CA + 1.560% 7.103% 7/1/35 (d)(e) | 2,092 | 2,116 | |
REFINITIV USD IBOR CONSUMER CA + 1.620% 4.293% 3/1/33 (d)(e) | 11,305 | 11,360 | |
REFINITIV USD IBOR CONSUMER CA + 1.740% 4.865% 12/1/34 (d)(e) | 670 | 676 | |
REFINITIV USD IBOR CONSUMER CA + 1.740% 5.467% 5/1/36 (d)(e) | 18,047 | 18,263 | |
REFINITIV USD IBOR CONSUMER CA + 1.960% 4.424% 9/1/35 (d)(e) | 3,120 | 3,156 | |
U.S. TREASURY 1 YEAR INDEX + 1.940% 4.656% 10/1/33 (d)(e) | 32,952 | 33,228 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (d)(e) | 6,769 | 6,823 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (d)(e) | 16,117 | 16,419 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.404% 10/1/33 (d)(e) | 11,590 | 11,803 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.33% 7/1/34 (d)(e) | 21,436 | 21,751 | |
1.5% 11/1/35 to 4/1/52 (m) | 195,846,326 | 155,567,380 | |
2% 2/1/28 to 3/1/52 (j)(m) | 561,940,501 | 465,170,636 | |
2.5% 1/1/28 to 1/1/52 (j) | 602,914,856 | 514,653,696 | |
3% 5/1/30 to 2/1/52 (j)(n) | 318,056,150 | 281,034,564 | |
3.5% 8/1/34 to 4/1/52 | 223,747,030 | 203,848,417 | |
4% 3/1/36 to 4/1/52 | 77,465,369 | 72,978,463 | |
4.5% to 4.5% 6/1/33 to 12/1/52 (j)(n) | 141,899,468 | 135,996,378 | |
5% 9/1/25 to 4/1/53 (m) | 162,745,607 | 159,330,248 | |
5.279% 8/1/41 (d) | 520,844 | 517,015 | |
5.5% 12/1/23 to 8/1/53 | 163,369,717 | 162,324,666 | |
6% to 6% 9/1/29 to 6/1/53 | 43,313,555 | 43,733,204 | |
6.5% 12/1/23 to 4/1/37 | 885,773 | 909,728 | |
6.688% 2/1/39 (d) | 257,211 | 260,615 | |
7% to 7% 11/1/23 to 7/1/37 | 163,416 | 168,707 | |
7.5% to 7.5% 7/1/25 to 11/1/31 | 79,830 | 81,664 | |
8% 3/1/37 | 6,234 | 6,732 | |
TOTAL FANNIE MAE | 2,197,949,628 | ||
Freddie Mac - 4.7% | |||
12 month U.S. LIBOR + 1.320% 3.575% 1/1/36 (d)(e) | 8,237 | 8,174 | |
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (d)(e) | 43,807 | 43,738 | |
12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (d)(e) | 25,547 | 25,546 | |
12 month U.S. LIBOR + 1.750% 4% 12/1/40 (d)(e) | 286,962 | 290,076 | |
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (d)(e) | 118,990 | 120,702 | |
12 month U.S. LIBOR + 1.750% 6% 7/1/41 (d)(e) | 57,143 | 57,592 | |
12 month U.S. LIBOR + 1.860% 5.239% 4/1/36 (d)(e) | 17,356 | 17,497 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (d)(e) | 11,177 | 11,391 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (d)(e) | 2,893 | 2,912 | |
12 month U.S. LIBOR + 1.900% 4.936% 10/1/42 (d)(e) | 75,359 | 75,523 | |
12 month U.S. LIBOR + 1.910% 5.212% 5/1/41 (d)(e) | 20,648 | 20,839 | |
12 month U.S. LIBOR + 1.910% 5.568% 5/1/41 (d)(e) | 23,705 | 23,937 | |
12 month U.S. LIBOR + 1.910% 5.698% 6/1/41 (d)(e) | 22,332 | 22,577 | |
12 month U.S. LIBOR + 1.910% 6.16% 6/1/41 (d)(e) | 7,323 | 7,414 | |
12 month U.S. LIBOR + 2.020% 4.936% 4/1/38 (d)(e) | 14,384 | 14,493 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (d)(e) | 309 | 312 | |
12 month U.S. LIBOR + 2.040% 6.256% 7/1/36 (d)(e) | 17,237 | 17,446 | |
12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (d)(e) | 29,615 | 30,111 | |
REFINITIV USD IBOR CONSUMER CA + 1.120% 4.029% 8/1/37 (d)(e) | 16,612 | 16,396 | |
REFINITIV USD IBOR CONSUMER CA + 1.880% 4.488% 10/1/36 (d)(e) | 42,501 | 42,712 | |
REFINITIV USD IBOR CONSUMER CA + 1.990% 5.001% 10/1/35 (d)(e) | 20,606 | 20,678 | |
REFINITIV USD IBOR CONSUMER CA + 2.020% 7.385% 6/1/37 (d)(e) | 9,821 | 9,991 | |
REFINITIV USD IBOR CONSUMER CA + 2.680% 7.524% 10/1/35 (d)(e) | 7,623 | 7,840 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.857% 6/1/33 (d)(e) | 28,928 | 28,943 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.196% 6/1/33 (d)(e) | 56,937 | 57,157 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 5.024% 3/1/35 (d)(e) | 105,841 | 107,238 | |
1.5% 7/1/35 to 8/1/51 | 150,052,060 | 118,028,469 | |
2% 5/1/35 to 4/1/52 | 414,248,623 | 345,240,372 | |
2.5% 1/1/28 to 4/1/52 | 365,934,255 | 310,858,859 | |
3% 12/1/30 to 4/1/52 | 172,698,072 | 151,788,281 | |
3.5% 1/1/32 to 4/1/52 (j)(n) | 172,637,464 | 157,519,196 | |
4% 5/1/37 to 10/1/52 | 101,741,134 | 96,118,460 | |
4% 4/1/48 | 37,831 | 35,528 | |
4.5% 6/1/25 to 3/1/53 | 80,001,713 | 76,293,796 | |
5% 8/1/33 to 8/1/53 | 70,756,821 | 69,154,503 | |
5.5% 9/1/52 to 8/1/53 (m) | 138,212,929 | 137,356,575 | |
6% 7/1/28 to 7/1/53 | 35,293,449 | 35,822,310 | |
6.5% 5/1/26 to 1/1/53 | 9,630,524 | 9,802,825 | |
7% 3/1/26 to 9/1/36 | 180,725 | 186,779 | |
7.5% 1/1/27 to 11/1/31 | 1,191 | 1,236 | |
8% 7/1/24 to 4/1/32 | 4,395 | 4,587 | |
8.5% 1/1/25 to 1/1/28 | 2,762 | 2,828 | |
TOTAL FREDDIE MAC | 1,509,295,839 | ||
Freddie Mac Multi-family Structured pass-thru certificates - 0.0% | |||
3% 10/1/31 | 282,461 | 266,563 | |
Ginnie Mae - 4.2% | |||
3.5% 6/20/34 to 12/20/49 | 40,375,757 | 37,337,113 | |
4% 5/20/33 to 5/20/49 | 54,945,837 | 52,084,477 | |
4.5% 6/20/33 to 8/15/41 | 9,467,806 | 9,232,126 | |
5% 12/15/32 to 4/20/48 | 9,398,436 | 9,352,045 | |
5.5% 7/15/33 to 9/15/39 | 314,314 | 318,129 | |
6% to 6% 10/15/30 to 11/15/39 | 121,270 | 123,701 | |
7% to 7% 3/15/24 to 11/15/32 | 232,993 | 238,759 | |
7.5% to 7.5% 11/15/23 to 9/15/31 | 46,437 | 47,212 | |
8% 12/15/23 to 11/15/29 | 7,341 | 7,477 | |
8.5% 11/15/27 to 1/15/31 | 3,353 | 3,524 | |
2% 10/20/50 to 4/20/51 | 109,217,200 | 90,404,511 | |
2% 9/1/53 (o) | 70,150,000 | 57,873,778 | |
2% 9/1/53 (o) | 92,850,000 | 76,601,287 | |
2% 9/1/53 (o) | 16,000,000 | 13,200,006 | |
2% 9/1/53 (o) | 22,050,000 | 18,191,259 | |
2% 9/1/53 (o) | 35,250,000 | 29,081,264 | |
2% 9/1/53 (o) | 32,050,000 | 26,441,263 | |
2% 10/1/53 (o) | 9,250,000 | 7,639,202 | |
2% 10/1/53 (o) | 115,650,000 | 95,510,674 | |
2.5% 6/20/51 to 12/20/51 | 53,529,782 | 45,622,708 | |
2.5% 9/1/53 (o) | 47,650,000 | 40,558,422 | |
2.5% 9/1/53 (o) | 47,650,000 | 40,558,422 | |
2.5% 9/1/53 (o) | 49,300,000 | 41,962,858 | |
2.5% 9/1/53 (o) | 38,350,000 | 32,642,508 | |
2.5% 9/1/53 (o) | 26,200,000 | 22,300,748 | |
2.5% 9/1/53 (o) | 11,700,000 | 9,958,731 | |
2.5% 10/1/53 (o) | 24,150,000 | 20,575,653 | |
3% 5/20/42 to 4/15/45 | 7,023,981 | 6,309,985 | |
3% 9/1/53 (o) | 73,100,000 | 64,276,369 | |
3% 9/1/53 (o) | 48,725,000 | 42,843,586 | |
3% 9/1/53 (o) | 50,100,000 | 44,052,614 | |
3% 9/1/53 (o) | 18,500,000 | 16,266,933 | |
3% 9/1/53 (o) | 2,425,000 | 2,132,287 | |
3% 9/1/53 (o) | 12,000,000 | 10,551,524 | |
3% 10/1/53 (o) | 75,300,000 | 66,254,941 | |
3.5% 9/1/53 (o) | 28,150,000 | 25,558,919 | |
3.5% 9/1/53 (o) | 1,700,000 | 1,543,523 | |
3.5% 9/1/53 (o) | 8,150,000 | 7,399,829 | |
3.5% 9/1/53 (o) | 21,700,000 | 19,702,613 | |
3.5% 9/1/53 (o) | 16,300,000 | 14,799,658 | |
3.5% 9/1/53 (o) | 17,125,000 | 15,548,721 | |
3.5% 9/1/53 (o) | 17,025,000 | 15,457,925 | |
3.5% 9/1/53 (o) | 17,400,000 | 15,798,408 | |
3.5% 10/1/53 (o) | 17,000,000 | 15,438,548 | |
4% 9/1/53 (o) | 14,100,000 | 13,139,633 | |
4% 9/1/53 (o) | 11,000,000 | 10,250,778 | |
4.5% 9/1/53 (o) | 36,750,000 | 35,022,114 | |
4.5% 9/1/53 (o) | 13,650,000 | 13,008,214 | |
5% 9/1/53 (o) | 60,250,000 | 58,629,136 | |
5% 9/1/53 (o) | 5,550,000 | 5,400,692 | |
5.5% 9/1/53 (o) | 18,600,000 | 18,416,905 | |
5.5% 9/1/53 (o) | 18,200,000 | 18,020,843 | |
6.5% 3/20/31 to 6/15/37 | 84,744 | 87,134 | |
TOTAL GINNIE MAE | 1,333,779,689 | ||
Uniform Mortgage Backed Securities - 3.8% | |||
1.5% 9/1/53 (o) | 29,425,000 | 22,182,616 | |
1.5% 9/1/53 (o) | 24,450,000 | 18,432,114 | |
2% 9/1/53 (o) | 84,400,000 | 67,187,844 | |
2% 9/1/53 (o) | 70,850,000 | 56,401,170 | |
2% 9/1/53 (o) | 46,950,000 | 37,375,228 | |
2% 9/1/53 (o) | 116,450,000 | 92,701,711 | |
2% 9/1/53 (o) | 11,300,000 | 8,995,529 | |
2% 9/1/53 (o) | 250,000 | 199,016 | |
2% 9/1/53 (o) | 61,900,000 | 49,276,393 | |
2% 9/1/53 (o) | 70,475,000 | 56,102,646 | |
2% 9/1/53 (o) | 49,700,000 | 39,564,406 | |
2% 9/1/53 (o) | 31,675,000 | 25,215,343 | |
2% 9/1/53 (o) | 24,050,000 | 19,145,351 | |
2% 9/1/53 (o) | 12,750,000 | 10,149,822 | |
2% 9/1/53 (o) | 9,100,000 | 7,244,187 | |
2% 9/1/53 (o) | 28,800,000 | 22,926,658 | |
2% 10/1/53 (o) | 51,900,000 | 41,374,540 | |
2% 10/1/53 (o) | 51,850,000 | 41,334,680 | |
2% 10/1/53 (o) | 77,850,000 | 62,061,810 | |
2% 10/1/53 (o) | 129,750,000 | 103,436,350 | |
2.5% 9/1/53 (o) | 30,550,000 | 25,319,507 | |
2.5% 9/1/53 (o) | 21,250,000 | 17,611,768 | |
2.5% 9/1/53 (o) | 13,000,000 | 10,774,258 | |
3% 9/1/53 (o) | 28,150,000 | 24,251,884 | |
3% 9/1/53 (o) | 56,300,000 | 48,503,767 | |
3% 9/1/53 (o) | 9,100,000 | 7,839,863 | |
3.5% 9/1/53 (o) | 9,000,000 | 8,041,992 | |
3.5% 9/1/53 (o) | 17,400,000 | 15,547,852 | |
4% 9/1/53 (o) | 29,950,000 | 27,647,594 | |
4% 9/1/53 (o) | 16,725,000 | 15,439,266 | |
4% 9/1/53 (o) | 13,100,000 | 12,092,938 | |
5% 9/1/38 (o) | 28,150,000 | 27,804,723 | |
5% 9/1/38 (o) | 17,550,000 | 17,334,739 | |
5% 9/1/53 (o) | 12,450,000 | 12,072,123 | |
5.5% 9/1/53 (o) | 65,600,000 | 64,800,500 | |
5.5% 9/1/53 (o) | 29,050,000 | 28,695,953 | |
5.5% 9/1/53 (o) | 10,400,000 | 10,273,250 | |
5.5% 9/1/53 (o) | 5,200,000 | 5,136,625 | |
5.5% 9/1/53 (o) | 5,200,000 | 5,136,625 | |
5.5% 9/1/53 (o) | 38,600,000 | 38,129,563 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,203,762,204 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $6,608,940,843) | 6,245,053,923 | ||
Asset-Backed Securities - 6.6% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 7,766,620 | 4,815,304 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 5,623,586 | 3,936,510 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 15,818,869 | 13,270,133 | |
Class B, 4.458% 10/16/39 (b) | 3,803,418 | 1,450,434 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 18,961,056 | 16,705,069 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 36,168,766 | 31,248,740 | |
Aimco Series 2021-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 1/15/32 (b)(d)(e) | 6,384,000 | 6,363,941 | |
AIMCO CLO Series 2021-AA Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.7096% 10/17/34 (b)(d)(e) | 25,915,000 | 25,678,500 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.6996% 10/17/34 (b)(d)(e) | 15,632,000 | 15,527,578 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5778% 4/20/34 (b)(d)(e) | 39,309,000 | 38,832,339 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8261% 7/20/35 (b)(d)(e) | 18,066,000 | 17,869,099 | |
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7278% 7/20/34 (b)(d)(e) | 18,308,000 | 18,100,515 | |
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 3,490,000 | 3,469,823 | |
American Homes 4 Rent: | |||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | 478,000 | 474,554 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) | 1,082,438 | 1,063,053 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/52 (b) | 1,118,000 | 1,098,172 | |
Class XS, 0% 10/17/52 (b)(d)(h)(p) | 741,724 | 7 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 5,308,927 | 4,454,243 | |
Class B, 4.335% 1/16/40 (b) | 1,019,255 | 524,935 | |
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8896% 10/15/32 (b)(d)(e) | 20,251,000 | 20,221,029 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, CME Term SOFR 3 Month Index + 1.290% 6.6428% 4/25/34 (b)(d)(e) | 13,014,000 | 12,846,145 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.6996% 7/15/34 (b)(d)(e) | 23,175,000 | 23,019,635 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.638% 1/15/35 (b)(d)(e) | 30,273,000 | 29,877,211 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.6396% 4/15/34 (b)(d)(e) | 27,448,000 | 27,173,328 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8196% 4/17/33 (b)(d)(e) | 8,282,000 | 8,260,748 | |
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 10/15/36 (b)(d)(e) | 15,712,000 | 15,576,563 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 22,900,000 | 22,706,026 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.280% 6.6328% 4/25/34 (b)(d)(e) | 28,623,000 | 28,255,395 | |
Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8078% 1/20/32 (b)(d)(e) | 31,300,000 | 31,221,468 | |
BBCMS Mortgage Trust Series 2023 C19 Class C, 6.5979% 4/15/56 (d) | 1,159,000 | 1,014,467 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.608% 1/17/35 (b)(d)(e) | 31,025,000 | 30,704,977 | |
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.6996% 1/15/35 (b)(d)(e) | 23,740,000 | 23,502,719 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 18,519,461 | 17,049,016 | |
Class AA, 2.487% 12/16/41 (b)(d) | 1,143,930 | 1,102,474 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 26,682,811 | 22,940,280 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5596% 4/15/29 (b)(d)(e) | 22,381,818 | 22,302,967 | |
Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/28 | 5,100,000 | 4,681,950 | |
Capital Trust RE CDO Ltd. Series 2005-1A Class E, CME Term SOFR 1 Month Index + 2.210% 3.9464% 3/20/50 (b)(d)(e)(h) | 330,000 | 0 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 13,187,491 | 11,727,108 | |
Class B, 5.095% 4/15/39 (b) | 7,616,545 | 4,874,741 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 6,736,311 | 6,124,250 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 5,483,840 | 5,059,007 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6878% 10/20/32 (b)(d)(e) | 18,972,000 | 18,893,911 | |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.6461% 4/20/35 (b)(d)(e) | 28,708,000 | 28,333,102 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7428% 10/25/34 (b)(d)(e) | 14,593,000 | 14,380,686 | |
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.2758% 7/20/36 (b)(d)(e) | 17,958,000 | 17,955,360 | |
CEDF Series 2021-6A Class ARR, CME Term SOFR 3 Month Index + 1.310% 6.6378% 4/20/34 (b)(d)(e) | 23,812,000 | 23,441,557 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7578% 10/20/34 (b)(d)(e) | 23,751,000 | 23,384,285 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 9,665,843 | 9,252,657 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, CME Term SOFR 1 Month Index + 1.460% 6.7794% 10/25/37 (b)(d)(e) | 464,219 | 463,120 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.7878% 4/20/34 (b)(d)(e) | 31,300,000 | 30,803,958 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0456% 7/24/34 (b)(d)(e) | 27,015,000 | 26,886,706 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.8978% 1/20/34 (b)(d)(e) | 41,300,000 | 40,953,493 | |
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 8.9627% (b)(c)(d)(e)(h) | 407,341 | 0 | |
DB Master Finance LLC: | |||
Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 17,714,025 | 16,306,345 | |
Series 2019-1A Class A23, 4.352% 5/20/49 (b) | 6,459,840 | 6,022,238 | |
DigitalBridge Issuer, LLC / DigitalBridge Co.-Issuer, LLC Series 2021-1A Class A2, 3.933% 9/25/51 (b) | 994,000 | 908,227 | |
Discover Card Execution Note Trust: | |||
Series 2022-A4, Class A, 5.03% 10/15/27 | 4,500,000 | 4,480,330 | |
Series 2023-A2 Class A, 4.93% 6/15/28 | 10,100,000 | 10,043,081 | |
Dllaa 2023-1A Series 2023-1A: | |||
Class A2, 5.93% 7/20/26 (b) | 6,810,000 | 6,815,483 | |
Class A3, 5.64% 2/22/28 (b) | 5,174,000 | 5,194,877 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.6261% 4/20/35 (b)(d)(e) | 16,182,000 | 15,952,669 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7378% 10/20/34 (b)(d)(e) | 26,558,000 | 26,356,212 | |
Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.7915% 1/18/32 (b)(d)(e) | 22,617,000 | 22,561,159 | |
Dryden Senior Loan Fund: | |||
Series 2018-58A Class A1, CME Term SOFR 3 Month Index + 1.260% 6.5696% 7/17/31 (b)(d)(e) | 6,587,000 | 6,560,659 | |
Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7496% 4/17/33 (b)(d)(e) | 16,400,000 | 16,335,499 | |
Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 10/15/35 (b)(d)(e) | 21,145,000 | 20,949,747 | |
Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7714% 2/20/35 (b)(d)(e) | 12,306,000 | 12,164,739 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6696% 4/15/31 (b)(d)(e) | 10,674,000 | 10,609,678 | |
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7196% 1/15/35 (b)(d)(e) | 36,609,000 | 36,309,538 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8196% 1/15/34 (b)(d)(e) | 6,600,000 | 6,552,652 | |
FirstKey Homes Trust: | |||
Series 2020-SFR1 Class F2, 4.284% 8/17/37 (b) | 756,000 | 708,090 | |
Series 2021-SFR1 Class F1, 3.238% 8/17/38 (b) | 473,000 | 409,230 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 6.6917% 7/19/34 (b)(d)(e) | 16,641,000 | 16,535,895 | |
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7134% 11/16/34 (b)(d)(e) | 23,750,000 | 23,558,456 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.9414% 11/20/33 (b)(d)(e) | 35,773,000 | 35,730,108 | |
Ford Credit Auto Owner Trust: | |||
Series 2018-1 Class A, 3.19% 7/15/31 (b) | 5,100,000 | 4,916,128 | |
Series 2020-2 Class A, 1.06% 4/15/33 (b) | 7,100,000 | 6,463,553 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 6,100,000 | 6,026,941 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 6,873,000 | 6,852,021 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 10,757,000 | 10,814,495 | |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | 5,328,000 | 5,325,358 | |
Home Partners of America Trust: | |||
Series 2019-2 Class F, 3.866% 10/19/39 (b) | 891,000 | 756,874 | |
Series 2021-2 Class G, 4.505% 12/17/26 (b) | 3,998,551 | 3,375,263 | |
Series 2021-3 Class F, 4.242% 1/17/41 (b) | 586,400 | 488,672 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 11,200,000 | 11,123,000 | |
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | 6,100,000 | 6,114,616 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 7,573,946 | 6,485,540 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 7,804,952 | 6,650,833 | |
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7372% 10/22/34 (b)(d)(e) | 16,712,000 | 16,605,444 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.638% 4/15/35 (b)(d)(e) | 37,587,000 | 36,946,969 | |
Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.7796% 1/15/33 (b)(d)(e) | 15,100,000 | 15,079,449 | |
Madison Park Funding Series 2020-19A Class A1R2, CME Term SOFR 3 Month Index + 1.180% 6.5272% 1/22/28 (b)(d)(e) | 14,426,291 | 14,368,167 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7217% 4/19/34 (b)(d)(e) | 33,250,000 | 33,038,464 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7072% 1/22/35 (b)(d)(e) | 26,843,000 | 26,484,431 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6896% 7/15/34 (b)(d)(e) | 16,653,000 | 16,518,294 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, CME Term SOFR 3 Month Index + 1.460% 6.8072% 1/22/31 (b)(d)(e) | 7,234,000 | 7,155,120 | |
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 6.9585% 4/22/36 (b)(d)(e) | 11,974,000 | 12,001,420 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7278% 10/20/34 (b)(d)(e) | 5,653,000 | 5,610,393 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7428% 10/25/34 (b)(d)(e) | 28,658,000 | 28,463,670 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6078% 4/20/34 (b)(d)(e) | 23,008,000 | 22,746,882 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7428% 1/25/35 (b)(d)(e) | 19,791,000 | 19,699,724 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.5596% 1/15/34 (b)(d)(e) | 28,450,000 | 28,237,052 | |
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b) | 14,881,000 | 14,874,095 | |
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6578% 10/20/30 (b)(d)(e) | 23,310,394 | 23,281,885 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6744% 1/25/36 (d)(e) | 225,256 | 219,873 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.7178% 10/20/34 (b)(d)(e) | 21,089,000 | 20,923,831 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 35,880,675 | 34,448,175 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 17,211,740 | 14,567,483 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 22,818,163 | 20,477,704 | |
Class A2II, 4.008% 12/5/51 (b) | 16,546,550 | 13,644,153 | |
Progress Residential: | |||
Series 2022-SFR3 Class F, 6.6% 4/17/39 (b) | 1,450,000 | 1,351,571 | |
Series 2022-SFR4 Class E1, 6.121% 5/17/41 (b) | 1,423,000 | 1,328,760 | |
Series 2022-SFR5: | |||
Class E1, 6.618% 6/17/39 (b) | 922,000 | 895,378 | |
Class E2, 6.863% 6/17/39 (b) | 1,544,000 | 1,489,377 | |
Series 2023-SFR1: | |||
Class E1, 6.15% 3/17/40 (b) | 483,000 | 456,657 | |
Class E2, 6.6% 3/17/40 (b) | 512,000 | 479,034 | |
Progress Residential Trust: | |||
Series 2019-SFR3: | |||
Class F, 3.867% 9/17/36 (b) | 546,000 | 525,294 | |
Class G, 4.116% 9/17/36 (b) | 466,000 | 447,681 | |
Series 2019-SFR4 Class F, 3.684% 10/17/36 (b) | 1,943,000 | 1,868,110 | |
Series 2020-SFR1: | |||
Class G, 4.028% 4/17/37 (b) | 674,000 | 626,992 | |
Class H, 5.268% 4/17/37 (b) | 189,000 | 177,658 | |
Series 2020-SFR3 Class H, 6.234% 10/17/27 (b) | 483,000 | 452,905 | |
Series 2021-SFR2 Class H, 4.998% 4/19/38 (b) | 735,000 | 659,876 | |
Series 2021-SFR6: | |||
Class F, 3.422% 7/17/38 (b) | 546,000 | 470,051 | |
Class G, 4.003% 7/17/38 (b) | 273,000 | 231,714 | |
Series 2021-SFR8: | |||
Class F, 3.181% 10/17/38 (b) | 361,000 | 307,216 | |
Class G, 4.005% 10/17/38 (b) | 2,380,000 | 2,040,569 | |
Series 2022-SFR2 Class E2, 4.8% 4/17/27 (b) | 1,225,000 | 1,125,397 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 14,430,548 | 12,233,353 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.7078% 4/20/34 (b)(d)(e) | 31,749,000 | 31,524,122 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.648% 1/15/37 (b)(d)(e) | 31,230,000 | 30,820,356 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 15,977,331 | 13,519,059 | |
Class B, 4.335% 3/15/40 (b) | 1,934,563 | 1,383,290 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 22,598,000 | 21,559,441 | |
1.884% 7/15/50 (b) | 9,101,000 | 8,216,710 | |
2.328% 7/15/52 (b) | 6,959,000 | 5,982,916 | |
Starwood Mortgage Residential Trust Series 2022-SFR3 Class F, CME Term SOFR 1 Month Index + 4.500% 9.8105% 5/17/24 (b)(d)(e) | 2,884,000 | 2,805,396 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 7.0761% 7/20/30 (b)(d)(e) | 3,817,727 | 3,818,109 | |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6656% 4/23/35 (b)(d)(e) | 32,177,000 | 31,772,406 | |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.5296% 4/16/31 (b)(d)(e) | 11,832,417 | 11,756,819 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6296% 7/15/32 (b)(d)(e) | 3,095,000 | 3,076,727 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, CME Term SOFR 3 Month Index + 1.240% 6.5617% 4/19/34 (b)(d)(e) | 28,855,000 | 28,406,045 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6678% 4/20/33 (b)(d)(e) | 30,048,000 | 29,865,999 | |
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, CME Term SOFR 3 Month Index + 4.760% 10.1315% 12/5/36 (b)(c)(d)(e)(h) | 830,942 | 0 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2894% 9/25/34 (d)(e) | 12,572 | 11,983 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | 12,465,000 | 12,432,838 | |
Thunderbolt Aircraft Lease Ltd.: | |||
Series 2017-A Class A, 4.212% 5/17/32 (b) | 7,102,642 | 6,421,695 | |
Series 2018-A Class A, 4.147% 9/15/38 (b)(d) | 14,978,714 | 12,732,207 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 23,809,404 | 19,763,234 | |
Towd Point Mortgage Trust Series 2018-1 Class A1, 3% 1/25/58 (b) | 953,157 | 915,262 | |
Toyota Lease Owner Trust Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (b) | 11,310,000 | 11,258,890 | |
Class A3, 4.93% 4/20/26 (b) | 12,231,000 | 12,104,365 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.0904% 4/6/42 (b)(d)(e)(h) | 1,639,000 | 1,242,228 | |
Tricon American Homes: | |||
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) | 280,000 | 276,886 | |
Series 2019-SFR1 Class F, 3.745% 3/17/38 (b) | 924,000 | 845,145 | |
Series 2020-SFR1 Class F, 4.882% 7/17/38 (b) | 269,000 | 251,863 | |
Tricon Residential Series 2022-SFR1: | |||
Class E1, 5.344% 4/17/39 (b) | 1,931,000 | 1,781,077 | |
Class E2, 5.739% 4/17/39 (b) | 2,399,000 | 2,218,998 | |
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b) | 315,000 | 276,647 | |
Verizon Master Trust: | |||
Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 8,000,000 | 7,698,102 | |
Class B, 0.69% 5/20/27 | 17,242,000 | 16,583,254 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 6,400,000 | 6,338,045 | |
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8578% 7/20/32 (b)(d)(e) | 23,497,000 | 23,461,332 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7417% 7/19/34 (b)(d)(e) | 15,449,000 | 15,340,208 | |
Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7378% 10/20/34 (b)(d)(e) | 31,775,000 | 31,537,037 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.7196% 7/16/34 (b)(d)(e) | 15,502,000 | 15,356,281 | |
World Omni Auto Receivables Trust: | |||
Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 7,050,000 | 7,015,976 | |
Class A3, 4.66% 5/15/28 | 12,950,000 | 12,767,483 | |
Series 2023-C Class A3, 5.15% 11/15/28 | 6,547,000 | 6,536,321 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,154,724,705) | 2,088,566,517 | ||
Collateralized Mortgage Obligations - 1.6% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.2% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) | 11,348,236 | 9,448,804 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(d) | 5,600,235 | 5,355,583 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 6,322,013 | 6,157,692 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 8,846,943 | 8,555,589 | |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | 14,711,069 | 14,041,142 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) | 115,274 | 113,298 | |
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(d) | 3,499 | 387 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.2795% 5/27/37 (b)(d)(e) | 614,898 | 586,841 | |
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(d)(e)(h) | 153,098 | 15 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 7,935,541 | 7,176,782 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 3,296,460 | 2,927,740 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(d) | 1,872,098 | 1,837,363 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 4,542,006 | 4,281,774 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 5,846,802 | 5,581,649 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 3,367,971 | 3,096,742 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.546% 7/20/34 (d)(e) | 2,538 | 2,244 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0694% 9/25/43 (d)(e) | 1,298,409 | 1,215,679 | |
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 7,844,745 | 7,151,758 | |
TOTAL PRIVATE SPONSOR | 77,531,082 | ||
U.S. Government Agency - 1.4% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2021% 2/25/32 (d)(e) | 4,198 | 4,182 | |
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.3445% 3/18/32 (d)(e) | 7,830 | 7,845 | |
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 4/25/32 (d)(e) | 8,812 | 8,827 | |
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 10/25/32 (d)(e) | 10,595 | 10,613 | |
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1521% 1/25/32 (d)(e) | 3,923 | 3,903 | |
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 12/25/33 (d)(p)(q) | 154,312 | 20,778 | |
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2779% 11/25/36 (d)(p)(q) | 110,738 | 9,088 | |
planned amortization class: | |||
Series 1993-207 Class H, 6.5% 11/25/23 | 893 | 890 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 1,134 | 1,131 | |
Series 1999-17 Class PG, 6% 4/25/29 | 41,529 | 41,552 | |
Series 1999-32 Class PL, 6% 7/25/29 | 49,788 | 49,921 | |
Series 1999-33 Class PK, 6% 7/25/29 | 37,150 | 37,238 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 5,999 | 6,099 | |
Series 2005-102 Class CO 11/25/35 (r) | 25,292 | 21,309 | |
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.5046% 8/25/35 (d)(e)(q) | 5,470 | 5,441 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 77,803 | 78,501 | |
Series 2006-12 Class BO 10/25/35 (r) | 114,465 | 97,776 | |
Series 2006-15 Class OP 3/25/36 (r) | 152,948 | 127,412 | |
Series 2006-37 Class OW 5/25/36 (r) | 15,192 | 11,746 | |
Series 2006-45 Class OP 6/25/36 (r) | 46,780 | 36,697 | |
Series 2006-62 Class KP 4/25/36 (r) | 72,630 | 58,690 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,422,165 | 1,277,289 | |
Class GA, 1.75% 6/25/42 | 1,557,501 | 1,395,373 | |
Series 2021-69 Class JK, 1.5% 10/25/51 | 2,922,533 | 2,343,597 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 7,499 | 7,550 | |
Series 1999-25 Class Z, 6% 6/25/29 | 40,397 | 40,086 | |
Series 2001-20 Class Z, 6% 5/25/31 | 47,643 | 47,871 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 22,567 | 22,613 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 19,032 | 19,385 | |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1479% 11/25/32 (d)(p)(q) | 34,956 | 840 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (p) | 76,103 | 1,838 | |
Series 2020-101 Class BA, 1.5% 9/25/45 | 4,353,205 | 3,634,317 | |
Series 2020-43 Class MA, 2% 1/25/45 | 5,577,397 | 4,884,376 | |
Series 2020-49 Class JA, 2% 8/25/44 | 2,555,411 | 2,269,120 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 6,122,663 | 5,137,500 | |
Series 2021-68 Class A, 2% 7/25/49 | 5,052,195 | 4,051,868 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 2,761,572 | 2,382,250 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 8,629,663 | 7,410,657 | |
Class BA, 2.5% 6/25/49 | 12,920,127 | 11,109,689 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 4,555,295 | 3,954,332 | |
Series 2022-1 Class KA, 3% 5/25/48 | 2,830,950 | 2,516,724 | |
Series 2022-11 Class B, 3% 6/25/49 | 3,595,127 | 3,225,879 | |
Series 2022-13: | |||
Class HA, 3% 8/25/46 | 3,152,404 | 2,876,844 | |
Class JA, 3% 5/25/48 | 5,598,194 | 4,996,925 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 12,913,441 | 11,072,143 | |
Class N, 2% 10/25/47 | 33,387,638 | 27,916,152 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 7,337,071 | 7,051,092 | |
Series 2022-35 Class CK, 4% 3/25/47 | 10,256,120 | 9,628,280 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 3,327,019 | 2,856,102 | |
Series 2022-49 Class TC, 4% 12/25/48 | 2,369,390 | 2,263,351 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 4,031,604 | 3,584,545 | |
Class E, 2.5% 11/25/47 | 12,826,250 | 11,233,432 | |
Series 2022-9 Class BA, 3% 5/25/48 | 4,137,705 | 3,689,112 | |
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2379% 12/25/36 (d)(p)(q) | 71,380 | 6,310 | |
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0379% 5/25/37 (d)(p)(q) | 40,715 | 4,180 | |
Series 1993-165 Class SH, 19.800% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 4.5198% 9/25/23 (d)(e)(q) | 9 | 9 | |
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 3/25/33 (d)(p)(q) | 10,042 | 1,073 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 611,928 | 609,334 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 474,060 | 474,441 | |
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.2076% 6/25/37 (d)(e)(q) | 32,735 | 38,557 | |
Series 2007-66: | |||
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.1876% 7/25/37 (d)(e)(q) | 49,795 | 58,795 | |
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.1876% 7/25/37 (d)(e)(q) | 13,306 | 14,245 | |
Series 2007-75 Class JI, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1429% 8/25/37 (d)(p)(q) | 1,521,321 | 140,937 | |
Series 2008-12 Class SG, 6.230% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9479% 3/25/38 (d)(p)(q) | 255,221 | 21,798 | |
Series 2010-135: | |||
Class LS, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 12/25/40 (d)(p)(q) | 258,063 | 14,108 | |
Class ZA, 4.5% 12/25/40 | 896,584 | 883,625 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (p) | 38,605 | 533 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,580,536 | 1,544,771 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 3,462,840 | 3,424,544 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 178,426 | 180,850 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 529,296 | 503,735 | |
Series 2011-67 Class AI, 4% 7/25/26 (p) | 14,497 | 318 | |
Series 2012-100 Class WI, 3% 9/25/27 (p) | 624,433 | 24,010 | |
Series 2012-14 Class JS, 6.530% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2479% 12/25/30 (d)(p)(q) | 23,950 | 38 | |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1479% 6/25/41 (d)(p)(q) | 52,874 | 335 | |
Series 2013-133 Class IB, 3% 4/25/32 (p) | 185,524 | 4,369 | |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 1/25/44 (d)(p)(q) | 238,869 | 22,419 | |
Series 2013-51 Class GI, 3% 10/25/32 (p) | 892,053 | 49,971 | |
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.3179% 6/25/35 (d)(p)(q) | 210,021 | 14,378 | |
Series 2015-42 Class IL, 6% 6/25/45 (p) | 1,433,348 | 241,638 | |
Series 2015-70 Class JC, 3% 10/25/45 | 1,287,263 | 1,199,929 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (p) | 858,301 | 146,092 | |
Series 2020-45 Class JL, 3% 7/25/40 | 260,184 | 234,256 | |
Series 2021-59 Class H, 2% 6/25/48 | 2,864,681 | 2,335,249 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 3,094,616 | 2,530,937 | |
Class DM, 2% 1/25/48 | 3,288,690 | 2,689,661 | |
Series 2022-28 Class A, 2.5% 2/25/52 | 9,723,567 | 8,787,239 | |
Series 2023-13 Class CK, 1.5% 11/25/50 | 9,082,178 | 7,108,027 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (p) | 38,166 | 6,092 | |
Series 343 Class 16, 5.5% 5/25/34 (p) | 35,813 | 5,751 | |
Series 348 Class 14, 6.5% 8/25/34 (d)(p) | 23,949 | 4,630 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (d)(p) | 14,977 | 2,489 | |
Class 13, 6% 3/25/34 (p) | 22,260 | 4,046 | |
Series 359 Class 19, 6% 7/25/35 (d)(p) | 13,021 | 2,453 | |
Series 384 Class 6, 5% 7/25/37 (p) | 150,759 | 25,561 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.103% 1/15/32 (d)(e) | 3,176 | 3,163 | |
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (d)(e) | 4,750 | 4,743 | |
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.303% 3/15/32 (d)(e) | 4,094 | 4,099 | |
Series 2432: | |||
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 6/15/31 (d)(e) | 7,535 | 7,525 | |
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (d)(e) | 2,599 | 2,595 | |
floater target amortization class Series 3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.553% 5/15/37 (d)(e) | 192,762 | 186,785 | |
planned amortization class: | |||
Series 2017-4676 Class VD, 4% 8/15/37 | 476,235 | 468,451 | |
Series 2017-4746 Class PA, 4% 2/15/47 | 1,209,463 | 1,146,280 | |
Series 2020-5050 Class KP, 1% 12/25/50 | 1,951,742 | 1,684,133 | |
Series 2021-5141 Class JM, 1.5% 4/25/51 | 2,138,000 | 1,711,480 | |
Series 2021-5148: | |||
Class AD, 1.5% 10/25/51 | 2,881,408 | 2,315,770 | |
Class PC, 1.5% 10/25/51 | 2,880,690 | 2,290,147 | |
Series 2095 Class PE, 6% 11/15/28 | 50,296 | 50,879 | |
Series 2101 Class PD, 6% 11/15/28 | 4,466 | 4,479 | |
Series 2121 Class MG, 6% 2/15/29 | 21,280 | 21,367 | |
Series 2131 Class BG, 6% 3/15/29 | 150,910 | 151,580 | |
Series 2137 Class PG, 6% 3/15/29 | 23,541 | 23,643 | |
Series 2154 Class PT, 6% 5/15/29 | 39,935 | 40,107 | |
Series 2162 Class PH, 6% 6/15/29 | 7,726 | 7,741 | |
Series 2520 Class BE, 6% 11/15/32 | 76,412 | 77,745 | |
Series 2693 Class MD, 5.5% 10/15/33 | 707,841 | 704,316 | |
Series 2802 Class OB, 6% 5/15/34 | 55,047 | 55,386 | |
Series 3002 Class NE, 5% 7/15/35 | 174,730 | 174,186 | |
Series 3110 Class OP 9/15/35 (r) | 39,062 | 36,093 | |
Series 3119 Class PO 2/15/36 (r) | 176,122 | 139,250 | |
Series 3121 Class KO 3/15/36 (r) | 27,472 | 22,401 | |
Series 3123 Class LO 3/15/36 (r) | 100,560 | 80,315 | |
Series 3145 Class GO 4/15/36 (r) | 103,438 | 83,070 | |
Series 3189 Class PD, 6% 7/15/36 | 155,245 | 158,484 | |
Series 3225 Class EO 10/15/36 (r) | 53,218 | 41,600 | |
Series 3258 Class PM, 5.5% 12/15/36 | 61,884 | 62,591 | |
Series 3415 Class PC, 5% 12/15/37 | 74,627 | 73,102 | |
Series 3806 Class UP, 4.5% 2/15/41 | 351,383 | 342,008 | |
Series 3832 Class PE, 5% 3/15/41 | 692,317 | 689,572 | |
Series 4135 Class AB, 1.75% 6/15/42 | 1,162,558 | 1,040,680 | |
sequential payer: | |||
Series 2015-4492 Class LB, 4% 3/15/44 | 328,989 | 323,880 | |
Series 2015-4506 Class LB, 4% 4/15/44 | �� | 581,906 | 572,988 |
Series 2015-4522 Class LB, 4% 6/15/44 | 413,220 | 406,644 | |
Series 2015-4535 Class LB, 4% 8/15/44 | 423,069 | 416,239 | |
Series 2016-4636 Class AE, 4% 7/15/42 | 752,009 | 739,928 | |
Series 2017-4646 Class LA, 4% 9/15/45 | 984,399 | 952,643 | |
Series 2017-4661 Class AC, 4% 4/15/43 | 535,511 | 525,044 | |
Series 2020-4993 Class LA, 2% 8/25/44 | 5,344,681 | 4,721,918 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 1,743,990 | 1,570,392 | |
Class LY, 3% 10/25/40 | 1,321,414 | 1,190,119 | |
Series 2020-5058 Class BE, 3% 11/25/50 | 6,329,825 | 5,431,102 | |
Series 2020-5066 Class A, 1.5% 11/25/44 | 2,078,644 | 1,708,273 | |
Series 2021-5169 Class BA, 2.5% 5/25/49 | 7,339,911 | 6,317,462 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 16,278,470 | 13,940,223 | |
Series 2021-5178 Class TP, 2.5% 4/25/49 | 6,432,889 | 5,528,026 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 3,287,217 | 2,881,850 | |
Series 2022-5189: | |||
Class DA, 2.5% 5/25/49 | 2,124,348 | 1,816,371 | |
Class TP, 2.5% 5/25/49 | 4,433,947 | 3,832,760 | |
Series 2022-5190: | |||
Class BA, 2.5% 11/25/47 | 2,061,744 | 1,780,843 | |
Class CA, 2.5% 5/25/49 | 3,708,139 | 3,168,062 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 3,869,961 | 3,319,850 | |
Series 2022-5197: | |||
Class A, 2.5% 6/25/49 | 3,708,145 | 3,204,439 | |
Class DA, 2.5% 11/25/47 | 1,565,882 | 1,352,882 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 7,068,667 | 6,183,436 | |
Series 2022-5200 Class C, 3% 5/25/48 | 9,225,940 | 8,326,717 | |
Series 2022-5202: | |||
Class AG, 3% 1/25/49 | 2,145,221 | 1,910,637 | |
Class BC, 3% 5/25/48 | 8,771,882 | 7,847,143 | |
Class LB, 2.5% 10/25/47 | 1,671,843 | 1,440,912 | |
Class UA, 3% 4/25/50 | 3,146,844 | 2,790,259 | |
Series 2022-5248 Class A, 4% 4/15/48 | 9,249,211 | 8,859,708 | |
Series 2135 Class JE, 6% 3/15/29 | 8,013 | 8,127 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 15,159 | 15,185 | |
Series 2281 Class ZB, 6% 3/15/30 | 28,295 | 28,420 | |
Series 2303 Class ZV, 6% 4/15/31 | 15,961 | 16,051 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 122,129 | 123,715 | |
Series 2502 Class ZC, 6% 9/15/32 | 29,717 | 30,240 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 45,248 | 45,540 | |
Series 2998 Class LY, 5.5% 7/15/25 | 10,957 | 10,905 | |
Series 3871 Class KB, 5.5% 6/15/41 | 1,123,671 | 1,146,454 | |
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.297% 2/15/36 (d)(p)(q) | 54,059 | 4,274 | |
Series 2013-4281 Class AI, 4% 12/15/28 (p) | 79,807 | 1,023 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,944,292 | 1,811,926 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 2,964,568 | 2,668,782 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 9,196,402 | 8,493,812 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 12,362,203 | 10,535,435 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 21,293,660 | 18,269,160 | |
Series 2022-5210 Class AB, 3% 1/25/42 | 4,933,680 | 4,465,107 | |
Series 2022-5213 Class AH, 2.25% 4/25/37 | 7,994,409 | 7,284,086 | |
Series 2022-5236 Class P, 5% 4/25/48 | 3,353,386 | 3,295,459 | |
Series 2022-5266 Class CD, 4.5% 10/25/44 | 8,157,481 | 7,909,677 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 974,396 | 990,727 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 748,338 | 757,764 | |
Series 2947 Class XZ, 6% 3/15/35 | 321,427 | 327,330 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 669,335 | 675,883 | |
Series 3237 Class C, 5.5% 11/15/36 | 840,355 | 836,879 | |
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.357% 11/15/36 (d)(p)(q) | 223,310 | 18,697 | |
Series 3287 Class SD, 6.630% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.447% 3/15/37 (d)(p)(q) | 334,457 | 30,420 | |
Series 3297 Class BI, 6.640% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.457% 4/15/37 (d)(p)(q) | 470,750 | 50,378 | |
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.277% 6/15/37 (d)(p)(q) | 143,109 | 14,300 | |
Series 3949 Class MK, 4.5% 10/15/34 | 124,417 | 122,062 | |
Series 4055 Class BI, 3.5% 5/15/31 (p) | 160,280 | 3,055 | |
Series 4149 Class IO, 3% 1/15/33 (p) | 494,284 | 37,913 | |
Series 4314 Class AI, 5% 3/15/34 (p) | 40,194 | 1,015 | |
Series 4427 Class LI, 3.5% 2/15/34 (p) | 688,475 | 38,549 | |
Series 4471 Class PA 4% 12/15/40 | 525,636 | 508,182 | |
target amortization class: | |||
Series 2017-4692 Class KB, 4% 10/15/46 | 2,497,099 | 2,374,380 | |
Series 2156 Class TC, 6.25% 5/15/29 | 14,739 | 14,746 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/24 (d)(e) | 239 | 239 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 17,009 | 17,042 | |
Series 2056 Class Z, 6% 5/15/28 | 39,098 | 39,470 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
planned amortization class Series 20XX-5165 Class PC, 1.5% 11/25/51 | 3,668,190 | 2,959,102 | |
sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 2,639,737 | 2,257,075 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 1,709,001 | 1,641,638 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2629% 6/16/37 (d)(p)(q) | 95,217 | 8,758 | |
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.98% 3/20/60 (d)(e)(s) | 866,663 | 863,117 | |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 7/20/60 (d)(e)(s) | 184,356 | 182,976 | |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.5553% 9/20/60 (d)(e)(s) | 194,074 | 192,551 | |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.5553% 8/20/60 (d)(e)(s) | 151,089 | 149,821 | |
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.6353% 12/20/60 (d)(e)(s) | 431,238 | 428,339 | |
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 12/20/60 (d)(e)(s) | 347,425 | 345,770 | |
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 2/20/61 (d)(e)(s) | 326,506 | 324,817 | |
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.7077% 2/20/61 (d)(e)(s) | 507,863 | 505,255 | |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 4/20/61 (d)(e)(s) | 353,967 | 352,161 | |
Series 2011-H14: | |||
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (d)(e)(s) | 540,607 | 538,277 | |
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (d)(e)(s) | 405,190 | 403,300 | |
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.7853% 6/20/61 (d)(e)(s) | 445,412 | 443,462 | |
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8553% 10/20/61 (d)(e)(s) | 884,465 | 881,396 | |
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 11/20/61 (d)(e)(s) | 502,263 | 500,972 | |
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 1/20/62 (d)(e)(s) | 260,261 | 259,609 | |
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 1/20/62 (d)(e)(s) | 472,632 | 470,965 | |
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 3/20/62 (d)(e)(s) | 221,986 | 221,002 | |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8711% 5/20/61 (d)(e)(s) | 10,930 | 10,769 | |
Series 2012-H23 Class WA, CME Term SOFR 1 Month Index + 0.630% 5.7753% 10/20/62 (d)(e)(s) | 197,272 | 196,170 | |
Series 2013-H07 Class BA, CME Term SOFR 1 Month Index + 0.360% 5.6153% 3/20/63 (d)(e)(s) | 357,826 | 355,045 | |
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8177% 1/20/64 (d)(e)(s) | 252,680 | 251,716 | |
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 5.8177% 12/20/63 (d)(e)(s) | 1,077,374 | 1,074,891 | |
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 6/20/64 (d)(e)(s) | 1,719,599 | 1,711,524 | |
Series 2014-H20 Class BF, CME Term SOFR 1 Month Index + 0.610% 5.7177% 9/20/64 (d)(e)(s) | 5,530,120 | 5,501,054 | |
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 4.5891% 12/20/62 (d)(e)(s) | 29,634 | 28,911 | |
Series 2019-11 Class F, CME Term SOFR 1 Month Index + 0.510% 5.8285% 1/20/49 (d)(e) | 3,971,382 | 3,893,174 | |
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9285% 10/20/49 (d)(e) | 1,175,257 | 1,136,860 | |
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8785% 2/20/49 (d)(e) | 2,391,111 | 2,331,468 | |
planned amortization class: | |||
Series 2010-158 Class MS, 9.770% - CME Term SOFR 1 Month Index 0% 12/20/40 (d)(q) | 1,396,092 | 1,096,409 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (p) | 31,846 | 2,088 | |
Series 2016-69 Class WA, 3% 2/20/46 | 1,120,786 | 1,017,080 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,678,695 | 1,482,622 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 267,294 | 260,367 | |
Series 2010-160 Class DY, 4% 12/20/40 | 2,729,694 | 2,608,785 | |
Series 2010-170 Class B, 4% 12/20/40 | 604,162 | 577,330 | |
Series 2017-139 Class BA, 3% 9/20/47 | 5,245,248 | 4,681,716 | |
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0729% 5/16/34 (d)(p)(q) | 55,734 | 3,472 | |
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7729% 8/17/34 (d)(p)(q) | 55,305 | 5,450 | |
Series 2007-35 Class SC, 39.510% x CME Term SOFR 1 Month Index 7.6375% 6/16/37 (d)(e)(q) | 3,980 | 4,400 | |
Series 2010-116 Class QB, 4% 9/16/40 | 6,203,173 | 5,950,735 | |
Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 5/20/60 (d)(e)(s) | 476,563 | 473,084 | |
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6715% 7/20/41 (d)(p)(q) | 234,112 | 19,695 | |
Series 2012-76 Class GS, 6.580% - CME Term SOFR 1 Month Index 1.2729% 6/16/42 (d)(p)(q) | 210,780 | 17,620 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,893,997 | 1,800,927 | |
Series 2014-2 Class BA, 3% 1/20/44 | 3,370,358 | 3,024,448 | |
Series 2014-21 Class HA, 3% 2/20/44 | 1,250,050 | 1,126,267 | |
Series 2014-25 Class HC, 3% 2/20/44 | 2,131,515 | 1,905,957 | |
Series 2014-5 Class A, 3% 1/20/44 | 1,783,044 | 1,602,126 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (s) | 21,162 | 19,689 | |
Series 2017-186 Class HK, 3% 11/16/45 | 3,074,479 | 2,761,960 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.7% 8/20/66 (d)(e)(s) | 3,477,346 | 3,461,486 | |
TOTAL U.S. GOVERNMENT AGENCY | 431,217,087 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $523,666,540) | 508,748,169 | ||
Commercial Mortgage Securities - 5.5% | |||
Principal Amount (a) | Value ($) | ||
Atrium Hotel Portfolio Trust floater Series 2018-ATRM Class D, CME Term SOFR 1 Month Index + 2.590% 7.908% 6/15/35 (b)(d)(e) | 304,000 | 291,754 | |
BAMLL Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2019-RLJ Class D, CME Term SOFR 1 Month Index + 1.990% 7.308% 4/15/36 (b)(d)(e) | 1,880,000 | 1,845,264 | |
Series 2021-JACX Class E, CME Term SOFR 1 Month Index + 3.860% 9.1755% 9/15/38 (b)(d)(e) | 1,120,000 | 901,098 | |
Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.461% 1/15/39 (b)(d)(e) | 16,838,000 | 16,379,934 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.861% 1/15/39 (b)(d)(e) | 3,181,000 | 3,077,639 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.461% 1/15/39 (b)(d)(e) | 2,271,000 | 2,184,287 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 11,600,000 | 10,704,986 | |
Class ANM, 3.112% 11/5/32 (b) | 14,236,000 | 12,966,933 | |
Series 2015-200P Class F, 3.7157% 4/14/33 (b)(d) | 831,000 | 708,797 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 3,196,000 | 2,608,272 | |
Class CNM, 3.8425% 11/5/32 (b)(d) | 1,322,000 | 999,571 | |
BANK: | |||
sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 13,312,000 | 12,238,900 | |
Series 2018-BN14 Class A4, 4.231% 9/15/60 | 11,400,000 | 10,724,027 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 2,606,000 | 2,243,991 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 1,473,000 | 1,162,740 | |
Series 2021-BN32 Class A5, 2.643% 4/15/54 | 630,000 | 519,811 | |
Series 2021-BN33 Class A5, 2.556% 5/15/64 | 1,238,000 | 1,011,579 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 1,860,000 | 1,482,163 | |
Series 2022-BNK39 Class A4, 2.928% 2/15/55 | 1,626,000 | 1,350,440 | |
Series 2022-BNK40, Class A4, 3.5066% 3/15/64 (d) | 522,000 | 449,606 | |
Series 2022-BNK42: | |||
Class D, 2.5% 6/15/55 (b) | 943,000 | 460,083 | |
Class E, 2.5% 6/15/55 (b) | 738,000 | 298,753 | |
Series 2022-BNK42, Class A5, 4.493% 6/15/55 (d) | 1,746,000 | 1,627,153 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 4,100,000 | 4,090,591 | |
Class A3, 6.26% 4/15/56 | 12,800,000 | 13,004,278 | |
Series 2023-BNK45 Class C, 6.4886% 2/15/56 (d) | 738,000 | 625,694 | |
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) | 1,426,000 | 1,010,273 | |
Series 2017-BNK8: | |||
Class D, 2.6% 11/15/50 (b) | 1,738,000 | 929,415 | |
Class E, 2.8% 11/15/50 (b)(h) | 1,092,000 | 431,482 | |
Series 2018-BN10 Class C, 4.163% 2/15/61 (d) | 2,157,000 | 1,723,912 | |
Series 2018-BN15: | |||
Class D, 3% 11/15/61 (b) | 735,000 | 459,014 | |
Class E, 3% 11/15/61 (b) | 735,000 | 402,765 | |
Series 2019-BN18 Class D, 3% 5/15/62 (b) | 1,150,000 | 495,888 | |
Series 2020-BN25 Class C, 3.4668% 1/15/63 (d) | 1,375,000 | 976,873 | |
Series 2020-BN27 Class D, 2.5% 4/15/63 (b) | 430,000 | 237,264 | |
Series 2020-BN28: | |||
Class A/S, 2.14% 3/15/63 | 639,000 | 496,341 | |
Class E, 2.5% 3/15/63 (b) | 441,000 | 202,053 | |
Series 2020-BN30 Class MCDG, 3.0155% 12/15/53 (d) | 3,731,000 | 1,653,606 | |
Series 2021-BN33 Class XA, 1.1682% 5/15/64 (d)(p) | 10,246,190 | 553,829 | |
Series 2021-BN38 Class C, 3.3245% 12/15/64 (d) | 260,000 | 160,222 | |
Series 2022-BNK43 Class D, 3% 8/15/55 (b) | 1,759,000 | 895,131 | |
Series 2022-BNK44: | |||
Class A/S, 5.9371% 11/15/55 (d) | 1,097,000 | 1,051,691 | |
Class C, 5.9371% 11/15/55 (d) | 3,642,000 | 2,947,524 | |
Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A4, 3.953% 8/15/61 | 3,700,000 | 3,452,284 | |
Bank 2023-Bnk46: | |||
sequential payer Series 2023-BNK46 Class A4, 5.745% 8/15/56 | 2,191,000 | 2,236,296 | |
Series 2023-BNK46: | |||
Class B, 6.9991% 8/15/56 | 1,491,000 | 1,496,073 | |
Class C, 6.9991% 8/15/56 | 657,000 | 580,547 | |
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: | |||
Class C, 4.352% 2/15/50 (d) | 610,000 | 487,898 | |
Class D, 3.25% 2/15/50 (b) | 1,222,000 | 833,156 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10: | |||
Class D, 3% 7/15/49 (b) | 2,108,000 | 1,570,830 | |
Class XA, 1.8881% 7/15/49 (d)(p) | 15,405,110 | 509,572 | |
Barclays Commercial Mortgage Securities sequential payer Series 2021-C12 Class A5, 2.689% 11/15/54 | 501,000 | 410,091 | |
Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (b) | 333,000 | 200,817 | |
BBCMS Series 2022-C15, Class A5, 3.662% 4/15/55 | 2,126,000 | 1,866,610 | |
BBCMS Mortgage Trust: | |||
sequential payer: | |||
Series 2020-C8 Class E, 2.25% 10/15/53 (b)(h) | 1,476,000 | 659,861 | |
Series 2022-C14 Class A5, 2.946% 2/15/55 | 2,455,000 | 2,041,539 | |
Series 2022-C17 Class D, 2.5% 9/15/55 (b)(h) | 3,429,000 | 1,639,959 | |
Series 2022-C18 Class A5, 5.71% 12/15/55 | 2,816,000 | 2,873,394 | |
Series 2023-C19 Class A5, 5.451% 4/15/56 | 889,000 | 890,986 | |
Series 2016-ETC: | |||
Class D, 3.7292% 8/14/36 (b)(d) | 868,000 | 674,324 | |
Class E, 3.7292% 8/14/36 (b)(d) | 637,000 | 459,742 | |
Series 2019-C3 Class C, 4.178% 5/15/52 | 477,000 | 363,711 | |
Series 2022-C16: | |||
Class A5, 4.6% 6/15/55 | 3,210,000 | 3,025,962 | |
Class B, 4.6% 6/15/55 | 791,000 | 645,554 | |
Series 2022-C17 Class B, 4.889% 9/15/55 | 1,050,000 | 888,307 | |
Series 2022-C18, Class B, 6.3475% 12/15/55 (d) | 1,323,000 | 1,245,388 | |
Series 2023 C19 Class B, 6.5459% 4/15/56 (d) | 846,000 | 797,704 | |
Benchmark 2023-B39 C Mtg Trust: | |||
sequential payer Series 2023-B39 Class A5, 5.7536% 7/15/56 | 2,406,000 | 2,456,132 | |
Series 2023-B39 Class C, 6.7941% 7/15/56 (d) | 1,638,000 | 1,474,144 | |
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56 | 2,200,000 | 2,254,795 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 2,953,000 | 2,748,012 | |
Series 2019-B14: | |||
Class 225D, 3.4041% 12/15/62 (b)(d)(h) | 719,000 | 145,066 | |
Class 225E, 3.4041% 12/15/62 (b)(d) | 485,000 | 49,122 | |
Series 2020-B20 Class E, 2% 10/15/53 (b) | 1,029,000 | 491,405 | |
Series 2020-B21 Class A5, 1.9775% 12/17/53 | 1,502,000 | 1,174,786 | |
Series 2020-B22, Class A5, 1.973% 1/15/54 | 1,043,000 | 814,380 | |
Series 2021-B29, Class A5, 2.3879% 9/15/54 | 3,032,000 | 2,416,168 | |
Series 2022-B34 Class A5, 3.786% 4/15/55 | 942,000 | 795,007 | |
Series 2022-B36 Class A5, 4.4699% 7/15/55 | 1,094,000 | 1,012,733 | |
Series 2022-B37 Class A5, 5.7511% 11/15/55 (d) | 1,270,000 | 1,301,745 | |
Series 2023-B38 Class A4, 5.5246% 4/15/56 | 1,084,000 | 1,087,346 | |
Series 2018-B6 Class D, 3.2533% 10/10/51 (b)(d) | 1,089,000 | 472,512 | |
Series 2018-B7 Class D, 3% 5/15/53 (b)(d) | 614,000 | 390,455 | |
Series 2019-B12 Class B, 3.5702% 8/15/52 | 840,000 | 676,056 | |
Series 2019-B13 Class D, 2.5% 8/15/57 (b) | 1,197,000 | 654,381 | |
Series 2019-B14 Class XA, 0.8991% 12/15/62 (d)(p) | 33,147,282 | 942,430 | |
Series 2020-B18: | |||
Class AGNG, 4.5348% 7/15/53 (b)(d) | 1,995,000 | 1,707,124 | |
Class D, 2.25% 7/15/53 (b) | 1,365,000 | 672,953 | |
Series 2020-B21: | |||
Class A/S, 2.2543% 12/17/53 | 592,000 | 446,911 | |
Class D, 2% 12/17/53 (b) | 798,000 | 397,712 | |
Series 2020-IG2: | |||
Class C, 3.4028% 9/15/48 (b)(d)(h) | 546,000 | 261,392 | |
Class D, 3.4028% 9/15/48 (b)(d) | 2,679,000 | 781,439 | |
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(d) | 1,400,000 | 984,608 | |
Series 2021-B25: | |||
Class 300D, 3.094% 4/15/54 (b)(d) | 1,520,000 | 872,458 | |
Class 300E, 2.9942% 4/15/54 (b)(d) | 504,000 | 298,230 | |
Series 2022 B37 Class B, 5.9428% 11/15/55 (d) | 767,000 | 693,042 | |
Series 2022-B35 Class D, 2.5% 5/15/55 (b) | 1,701,000 | 769,616 | |
Series 2022-B36: | |||
Class A/S, 4.9505% 7/15/55 | 1,092,000 | 994,474 | |
Class D, 2.5% 7/15/55 (b) | 1,259,000 | 571,277 | |
Series 2022-B37 Class C, 5.7511% 11/15/55 (d) | 1,456,000 | 1,135,986 | |
Series 2023 B38: | |||
Class B, 6.4528% 4/15/56 (d) | 1,058,000 | 992,727 | |
Class C, 6.4528% 4/15/56 (d) | 1,415,000 | 1,175,511 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.4745% 11/15/28 (b)(d)(e) | 13,834,000 | 13,794,166 | |
BHP Trust floater Series 2019-BXHP Class F, CME Term SOFR 1 Month Index + 2.980% 8.296% 8/15/36 (b)(d)(e) | 570,500 | 551,726 | |
Bmo 2023-5C1 Mtg Trust: | |||
sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | 5,400,000 | 5,557,863 | |
Series 2023-5C1: | |||
Class A/S, 7.355% 8/15/56 (d) | 1,645,000 | 1,691,386 | |
Class B, 6.96% 8/15/56 (d) | 493,000 | 491,734 | |
Bmo 2023-C4 Mtg Trust Series 2023-C4: | |||
Class B, 5.5917% 2/15/56 (d) | 835,000 | 739,108 | |
Class C, 6.0589% 2/15/56 (d) | 808,000 | 667,037 | |
Class D, 6.0589% 2/15/56 (b)(d)(h) | 520,000 | 355,807 | |
Bmo 2023-C6 Mtg Trust Series 2023-C6 Class A/S, 6.5504% 9/15/56 (d) | 1,096,000 | 1,137,786 | |
BMO Mortgage Trust: | |||
Series 2022-C1: | |||
Class 360D, 4.0699% 2/17/55 (b)(d) | 798,000 | 450,077 | |
Class 360E, 4.0699% 2/17/55 (b)(d) | 966,000 | 520,860 | |
Series 2022-C3 Class D, 2.5% 9/15/54 (b) | 639,000 | 274,129 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2085% 4/15/37 (b)(d)(e) | 55,733,000 | 54,726,016 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7575% 4/15/37 (b)(d)(e) | 17,226,000 | 16,783,275 | |
Class D, CME Term SOFR 1 Month Index + 3.690% 9.0055% 4/15/37 (b)(d)(e) | 2,373,000 | 2,309,784 | |
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, CME Term SOFR 1 Month Index + 2.570% 7.883% 6/15/35 (b)(d)(e) | 294,000 | 269,894 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2019-CALM Class E, CME Term SOFR 1 Month Index + 2.110% 7.4245% 11/15/32 (b)(d)(e) | 265,300 | 260,607 | |
Series 2020-VKNG: | |||
Class E, CME Term SOFR 1 Month Index + 2.210% 7.525% 10/15/37 (b)(d)(e) | 463,400 | 449,125 | |
Class F, CME Term SOFR 1 Month Index + 2.860% 8.175% 10/15/37 (b)(d)(e) | 821,800 | 793,644 | |
Class G, CME Term SOFR 1 Month Index + 3.360% 8.675% 10/15/37 (b)(d)(e) | 1,087,800 | 1,043,352 | |
Series 2021-MC Class G, CME Term SOFR 1 Month Index + 3.200% 8.5113% 4/15/34 (b)(d)(e) | 709,000 | 600,681 | |
Series 2021-PAC: | |||
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1136% 10/15/36 (b)(d)(e) | 32,338,000 | 31,587,244 | |
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3233% 10/15/36 (b)(d)(e) | 4,838,000 | 4,689,260 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5231% 10/15/36 (b)(d)(e) | 6,475,000 | 6,255,717 | |
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7228% 10/15/36 (b)(d)(e) | 6,286,000 | 6,021,876 | |
Class E, CME Term SOFR 1 Month Index + 2.060% 7.372% 10/15/36 (b)(d)(e) | 21,856,000 | 20,992,144 | |
Class G, CME Term SOFR 1 Month Index + 3.060% 8.3706% 10/15/36 (b)(d)(e) | 1,428,000 | 1,343,795 | |
Series 2021-VINO: | |||
Class F, CME Term SOFR 1 Month Index + 2.910% 8.2268% 5/15/38 (b)(d)(e) | 1,511,657 | 1,443,332 | |
Class G, CME Term SOFR 1 Month Index + 4.060% 9.3768% 5/15/38 (b)(d)(e) | 2,668,830 | 2,529,967 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 6.3234% 2/15/39 (b)(d)(e) | 34,534,071 | 33,581,082 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 6.6228% 2/15/39 (b)(d)(e) | 10,405,342 | 10,101,009 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 6.8722% 2/15/39 (b)(d)(e) | 10,405,342 | 9,945,210 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 7.2713% 2/15/39 (b)(d)(e) | 10,405,342 | 9,915,919 | |
floater sequential payer Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3005% 11/15/32 (b)(d)(e) | 2,009,763 | 1,997,697 | |
Series 2020-VIVA: | |||
Class D, 3.667% 3/11/44 (b)(d) | 5,234,000 | 4,216,618 | |
Class E, 3.667% 3/11/44 (b)(d) | 5,065,000 | 3,947,863 | |
Bx Commercial Mortgage Trust 2: | |||
floater: | |||
Series 2019-IMC: | |||
Class B, CME Term SOFR 1 Month Index + 1.410% 6.7245% 4/15/34 (b)(d)(e) | 11,328,000 | 11,264,775 | |
Class C, CME Term SOFR 1 Month Index + 1.710% 7.0245% 4/15/34 (b)(d)(e) | 7,490,000 | 7,439,045 | |
Class D, CME Term SOFR 1 Month Index + 2.010% 7.3245% 4/15/34 (b)(d)(e) | 7,862,000 | 7,791,733 | |
Class G, CME Term SOFR 1 Month Index + 3.710% 9.0245% 4/15/34 (b)(d)(e) | 1,533,000 | 1,503,640 | |
Series 2022-LP2 Class G, CME Term SOFR 1 Month Index + 4.100% 9.4163% 2/15/39 (b)(d)(e) | 2,806,891 | 2,669,480 | |
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.110% 6.4245% 4/15/34 (b)(d)(e) | 21,476,240 | 21,392,176 | |
BX Trust: | |||
floater: | |||
Series 2017-APPL Class F, PRIME RATE + 1.310% 9.944% 7/15/34 (b)(d)(e) | 576,883 | 573,220 | |
Series 2019-ATL Class E, CME Term SOFR 1 Month Index + 2.350% 7.6621% 10/15/36 (b)(d)(e) | 972,000 | 905,642 | |
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 6.505% 10/15/36 (b)(d)(e) | 15,454,700 | 15,356,951 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.675% 10/15/36 (b)(d)(e) | 12,268,900 | 12,175,784 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.875% 10/15/36 (b)(d)(e) | 27,712,550 | 27,467,175 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 7.225% 10/15/36 (b)(d)(e) | 24,417,950 | 24,170,870 | |
Class F, CME Term SOFR 1 Month Index + 2.110% 7.425% 10/15/36 (b)(d)(e) | 3,400,000 | 3,361,296 | |
Class J, CME Term SOFR 1 Month Index + 2.760% 8.075% 10/15/36 (b)(d)(e) | 7,953,450 | 7,716,438 | |
Series 2021 LBA, Class GV, CME Term SOFR 1 Month Index + 3.110% 8.4255% 2/15/36 (b)(d)(e) | 1,144,302 | 1,063,988 | |
Series 2021-ACNT Class G, CME Term SOFR 1 Month Index + 3.400% 8.7195% 11/15/38 (b)(d)(e) | 1,197,000 | 1,143,458 | |
Series 2021-ARIA: | |||
Class F, CME Term SOFR 1 Month Index + 2.700% 8.018% 10/15/36 (b)(d)(e) | 2,468,000 | 2,295,446 | |
Class G, CME Term SOFR 1 Month Index + 3.250% 8.5666% 10/15/36 (b)(d)(e) | 3,750,000 | 3,413,766 | |
Series 2021-BXMF Class G, CME Term SOFR 1 Month Index + 3.460% 8.774% 10/15/26 (b)(d)(e) | 3,318,000 | 3,068,706 | |
Series 2021-LBA: | |||
Class FJV, CME Term SOFR 1 Month Index + 2.510% 7.8255% 2/15/36 (b)(d)(e) | 947,000 | 884,684 | |
Class FV, CME Term SOFR 1 Month Index + 2.510% 7.8255% 2/15/36 (b)(d)(e) | 270,457 | 252,660 | |
Class GJV, CME Term SOFR 1 Month Index + 3.110% 8.4255% 2/15/36 (b)(d)(e) | 2,779,000 | 2,583,953 | |
Series 2021-MFM1: | |||
Class F, CME Term SOFR 1 Month Index + 3.110% 8.4245% 1/15/34 (b)(d)(e) | 3,410,813 | 3,273,681 | |
Class G, CME Term SOFR 1 Month Index + 4.010% 9.3245% 1/15/34 (b)(d)(e) | 184,466 | 174,072 | |
Series 2021-SDMF Class F, CME Term SOFR 1 Month Index + 2.050% 7.3615% 9/15/34 (b)(d)(e) | 798,000 | 746,931 | |
Series 2021-SOAR: | |||
Class F, CME Term SOFR 1 Month Index + 2.460% 7.7755% 6/15/38 (b)(d)(e) | 2,175,253 | 2,093,328 | |
Class G, CME Term SOFR 1 Month Index + 2.910% 8.2255% 6/15/38 (b)(d)(e) | 3,670,913 | 3,505,017 | |
Class J, CME Term SOFR 1 Month Index + 3.860% 9.1755% 6/15/38 (b)(d)(e) | 2,773,145 | 2,615,142 | |
Series 2021-VOLT: | |||
Class F, CME Term SOFR 1 Month Index + 2.510% 7.825% 9/15/36 (b)(d)(e) | 1,853,000 | 1,736,744 | |
Class G, CME Term SOFR 1 Month Index + 2.960% 8.275% 9/15/36 (b)(d)(e) | 2,573,000 | 2,368,087 | |
Series 2022-GPA: | |||
Class A, CME Term SOFR 1 Month Index + 2.160% 7.4755% 8/15/39 (b)(d)(e) | 14,983,000 | 14,982,982 | |
Class D, CME Term SOFR 1 Month Index + 4.060% 9.3715% 8/15/43 (b)(d)(e) | 2,549,000 | 2,537,812 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 6.8015% 4/15/37 (b)(d)(e) | 23,149,659 | 23,040,766 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2505% 4/15/37 (b)(d)(e) | 11,800,230 | 11,604,199 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6005% 4/15/37 (b)(d)(e) | 2,663,093 | 2,589,858 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1495% 4/15/37 (b)(d)(e) | 2,229,137 | 2,154,383 | |
Class F, CME Term SOFR 1 Month Index + 4.780% 10.0965% 4/15/37 (b)(d)(e) | 3,341,701 | 3,284,098 | |
Series 2022-LBA6: | |||
Class F, CME Term SOFR 1 Month Index + 3.350% 8.6605% 1/15/39 (b)(d)(e) | 2,072,000 | 1,967,458 | |
Class G, CME Term SOFR 1 Month Index + 4.200% 9.5105% 1/15/39 (b)(d)(e) | 651,000 | 615,156 | |
Series 2022-VAMF Class F, CME Term SOFR 1 Month Index + 3.290% 8.6095% 1/15/39 (b)(d)(e) | 783,000 | 730,963 | |
Series 20XX-LBA Class DV, CME Term SOFR 1 Month Index + 1.710% 7.0255% 2/15/36 (b)(d)(e) | 665,071 | 632,762 | |
floater sequential payer: | |||
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.345% 10/15/36 (b)(d)(e) | 11,966,433 | 11,936,152 | |
Series 2021-LGCY Class J, CME Term SOFR 1 Month Index + 3.300% 8.6175% 10/15/36 (b)(d)(e) | 616,000 | 569,208 | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.0955% 6/15/38 (b)(d)(e) | 10,398,134 | 10,195,768 | |
sequential payer Series 2019-OC11 Class A, 3.202% 12/9/41 (b) | 3,131,000 | 2,688,366 | |
Series 2019-OC11: | |||
Class D, 4.0755% 12/9/41 (b)(d) | 168,000 | 140,021 | |
Class E, 4.0755% 12/9/41 (b)(d) | 9,943,000 | 8,092,776 | |
BXP Trust Series 2021-601L Class E, 2.868% 1/15/44 (b)(d) | 336,000 | 181,999 | |
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class F, 10.64% 3/15/35 (b)(d) | 2,721,000 | 2,666,404 | |
CALI Mortgage Trust Series 2019-101C Class F, 4.4686% 3/10/39 (b)(d) | 1,743,000 | 1,048,407 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | |||
Class A, CME Term SOFR 1 Month Index + 1.180% 6.4955% 12/15/37 (b)(d)(e) | 1,538,000 | 1,530,220 | |
Class E, CME Term SOFR 1 Month Index + 2.260% 7.5755% 12/15/37 (b)(d)(e) | 4,468,000 | 4,411,707 | |
Class F, CME Term SOFR 1 Month Index + 2.660% 7.9755% 12/15/37 (b)(d)(e) | 151,000 | 146,346 | |
Class G, CME Term SOFR 1 Month Index + 3.360% 8.6755% 12/15/37 (b)(d)(e) | 6,423,000 | 6,215,044 | |
CD Mortgage Trust Series 2017-CD3: | |||
Class C, 4.6966% 2/10/50 (d) | 1,482,000 | 832,506 | |
Class D, 3.25% 2/10/50 (b)(h) | 1,340,000 | 526,859 | |
CEDR Commercial Mortgage Trust floater Series 2022-SNAI Class F, CME Term SOFR 1 Month Index + 3.610% 8.924% 2/15/39 (b)(d)(e) | 3,948,000 | 3,240,446 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 36,435,023 | 32,005,540 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.375% 11/15/36 (b)(d)(e) | 10,499,000 | 10,320,593 | |
Class B, CME Term SOFR 1 Month Index + 1.360% 6.675% 11/15/36 (b)(d)(e) | 2,800,000 | 2,725,225 | |
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1: | |||
Class A3, 3.197% 8/15/50 | 3,193,438 | 2,920,072 | |
Class A4, 3.458% 8/15/50 | 1,400,000 | 1,277,586 | |
Citigroup Commercial Mortgage Series 2023-SMRT Class D, 6.0475% 6/10/28 (b)(d) | 2,143,000 | 2,007,877 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2019-C7 Class A4, 3.102% 12/15/72 | 1,596,000 | 1,379,972 | |
Series 2013-GC15 Class D, 5.3827% 9/10/46 (b)(d) | 2,196,000 | 2,136,650 | |
Series 2015-GC29 Class XA, 1.1518% 4/10/48 (d)(p) | 31,826,013 | 393,987 | |
Series 2015-GC33 Class XA, 1.0226% 9/10/58 (d)(p) | 50,572,926 | 719,273 | |
Series 2016-P4 Class D, 4.0968% 7/10/49 (b)(d) | 1,707,000 | 1,230,801 | |
Series 2016-P6 Class XA, 0.6977% 12/10/49 (d)(p) | 37,107,019 | 534,233 | |
Series 2019-GC41 Class D, 3% 8/10/56 (b) | 378,000 | 227,736 | |
Series 2020-420K Class E, 3.4222% 11/10/42 (b)(d) | 1,029,000 | 694,566 | |
Series 2022-GC48 Class D, 2.5% 6/15/55 (b) | 1,806,000 | 863,613 | |
Citigroup Commercial Mtg Trust 2023-Prm Series 2023-PRM3 Class D, 6.5717% 7/10/28 (b)(d) | 1,195,000 | 1,124,803 | |
COMM Mortgage Trust: | |||
floater Series 2018-HCLV: | |||
Class F, CME Term SOFR 1 Month Index + 3.190% 8.506% 9/15/33 (b)(d)(e) | 468,000 | 249,972 | |
Class G, CME Term SOFR 1 Month Index + 5.200% 10.5123% 9/15/33 (b)(d)(e) | 544,000 | 236,189 | |
sequential payer: | |||
Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 959,000 | 769,100 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 5,007,100 | 4,906,997 | |
Series 2012-CR1: | |||
Class D, 5.4684% 5/15/45 (b)(d) | 1,636,777 | 1,080,271 | |
Class G, 2.462% 5/15/45 (b)(h) | 88,278 | 1,766 | |
Series 2012-LC4 Class C, 5.4761% 12/10/44 (d) | 166,000 | 134,665 | |
Series 2013-LC6 Class D, 4.1422% 1/10/46 (b)(d) | 870,206 | 802,314 | |
Series 2014-CR15 Class D, 4.8129% 2/10/47 (b)(d) | 298,000 | 240,122 | |
Series 2014-CR17 Class E, 5.0056% 5/10/47 (b)(d) | 255,000 | 200,084 | |
Series 2014-CR20: | |||
Class AM, 3.938% 11/10/47 | 276,000 | 261,523 | |
Class XA, 1.0744% 11/10/47 (d)(p) | 58,094,806 | 371,981 | |
Series 2014-LC17 Class XA, 0.8075% 10/10/47 (d)(p) | 36,312,349 | 164,539 | |
Series 2014-UBS2 Class D, 5.1489% 3/10/47 (b)(d) | 994,000 | 867,725 | |
Series 2014-UBS6 Class XA, 0.9784% 12/10/47 (d)(p) | 69,155,321 | 459,295 | |
Series 2015-3BP Class F, 3.3463% 2/10/35 (b)(d) | 1,538,000 | 1,316,614 | |
Series 2015-LC19 Class D, 2.867% 2/10/48 (b) | 2,184,000 | 1,814,547 | |
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) | 1,751,000 | 1,165,368 | |
Series 2019-CD4 Class C, 4.3497% 5/10/50 (d) | 1,316,000 | 967,378 | |
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) | 368,000 | 246,485 | |
Commercial Mortgage Trust Series 2016-CD2: | |||
Class C, 4.1111% 11/10/49 (d) | 619,000 | 467,629 | |
Class D, 2.8611% 11/10/49 (d) | 546,000 | 283,533 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class E, 5.0358% 8/15/45 (b)(d) | 826,541 | 748,019 | |
Class F, 4.25% 8/15/45 (b)(h) | 2,033,000 | 1,463,760 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b)(h) | 522,000 | 234,900 | |
CPT Mortgage Trust sequential payer Series 2019-CPT: | |||
Class E, 3.0967% 11/13/39 (b)(d) | 1,254,000 | 760,547 | |
Class F, 3.0967% 11/13/39 (b)(d) | 1,196,000 | 687,402 | |
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, CME Term SOFR 1 Month Index + 4.330% 9.6418% 6/15/34 (b)(e) | 1,135,200 | 804,404 | |
Credit Suisse Mortgage Trust: | |||
floater: | |||
Series 2019-ICE4: | |||
Class A, CME Term SOFR 1 Month Index + 1.020% 6.338% 5/15/36 (b)(d)(e) | 5,586,102 | 5,579,703 | |
Class B, CME Term SOFR 1 Month Index + 1.270% 6.588% 5/15/36 (b)(d)(e) | 15,805,677 | 15,760,056 | |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.788% 5/15/36 (b)(d)(e) | 3,081,334 | 3,059,739 | |
Class F, CME Term SOFR 1 Month Index + 2.690% 8.008% 5/15/36 (b)(d)(e) | 691,280 | 684,506 | |
Series 2021-4SZN Class A, CME Term SOFR 1 Month Index + 3.960% 9.2775% 11/15/23 (b)(d)(e) | 6,440,000 | 6,220,335 | |
Series 2022-NWPT Class B, CME Term SOFR 1 Month Index + 4.190% 9.5015% 9/9/24 (b)(d)(e) | 2,848,000 | 2,832,977 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 7,381,109 | 6,651,187 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 11,930,000 | 11,583,760 | |
Class B, 4.5349% 4/15/36 (b) | 3,730,000 | 3,595,707 | |
Class C, 4.9414% 4/15/36 (b)(d) | 2,462,000 | 2,368,667 | |
Class D, 4.9414% 4/15/36 (b)(d) | 4,923,000 | 4,696,184 | |
Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 8.8837% 5/15/26 (b)(d)(e) | 1,454,118 | 1,310,705 | |
CSAIL Commercial Mortgage Trust: | |||
Series 2017-C8 Class D, 4.5816% 6/15/50 (b)(d) | 1,278,000 | 843,167 | |
Series 2018-CX11 Class C, 4.9879% 4/15/51 (d) | 495,000 | 410,767 | |
Series 2019-C16 Class C, 4.2371% 6/15/52 (d) | 1,113,000 | 863,569 | |
Csmc 2019-Uvil Series 2019-UVIL Class E, 3.3928% 12/15/41 (b)(d) | 3,429,000 | 2,468,208 | |
CSMC Trust floater Series 2017-CHOP Class F, PRIME RATE + 1.290% 9.794% 7/15/32 (b)(d)(e) | 1,319,000 | 1,213,440 | |
DBGS Mortgage Trust: | |||
floater Series 2018-BIOD Class G, CME Term SOFR 1 Month Index + 2.790% 8.106% 5/15/35 (b)(d)(e) | 1,151,341 | 1,103,497 | |
Series 2018-C1 Class C, 4.7979% 10/15/51 (d) | 355,000 | 272,235 | |
Series 2019-1735 Class F, 4.3344% 4/10/37 (b)(d) | 1,188,000 | 702,703 | |
DBJPM Mortgage Trust Series 2020-C9 Class D, 2.25% 9/15/53 (b) | 377,000 | 197,965 | |
DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.5375% 8/10/44 (b)(d) | 706,050 | 608,435 | |
DC Office Trust Series 2019-MTC Class E, 3.1744% 9/15/45 (b)(d) | 449,000 | 268,006 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.633% 8/10/49 (d) | 382,000 | 293,174 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1265% 11/15/38 (b)(d)(e) | 57,446,000 | 56,220,608 | |
Class F, CME Term SOFR 1 Month Index + 2.780% 8.0925% 11/15/38 (b)(d)(e) | 4,365,000 | 4,189,763 | |
Class G, CME Term SOFR 1 Month Index + 3.230% 8.5415% 11/15/38 (b)(d)(e) | 150,000 | 139,810 | |
Class J, CME Term SOFR 1 Month Index + 3.720% 9.0404% 11/15/38 (b)(d)(e) | 3,729,000 | 3,472,906 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, CME Term SOFR 1 Month Index + 1.190% 6.5045% 7/15/38 (b)(d)(e) | 16,361,621 | 16,203,949 | |
Class B, CME Term SOFR 1 Month Index + 1.490% 6.8045% 7/15/38 (b)(d)(e) | 19,424,951 | 19,156,701 | |
Class C, CME Term SOFR 1 Month Index + 1.810% 7.1245% 7/15/38 (b)(d)(e) | 5,828,917 | 5,741,106 | |
Class D, CME Term SOFR 1 Month Index + 2.360% 7.6745% 7/15/38 (b)(d)(e) | 11,776,168 | 11,583,986 | |
Class F, CME Term SOFR 1 Month Index + 3.810% 9.1245% 7/15/38 (b)(d)(e) | 5,868,998 | 5,677,468 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 14,609,000 | 14,155,109 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 2,147,000 | 2,060,278 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 3,396,000 | 3,268,620 | |
Series 2020-K106 Class A2, 2.069% 1/25/30 | 8,000,000 | 6,808,337 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 4,100,000 | 3,281,764 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 5,600,000 | 4,655,381 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 8,300,000 | 6,908,866 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 1,400,000 | 1,287,329 | |
Series 2022-K140 Class A2, 2.25% 1/25/32 | 3,008,000 | 2,478,601 | |
Series 2022-K143 Class A2, 2.35% 3/25/32 | 9,300,000 | 7,708,639 | |
Series 2022-K149 Class A2, 3.53% 8/25/32 | 15,000,000 | 13,615,809 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 24,458,000 | 22,205,673 | |
Series 2023-157 Class A2, 4.2% 5/25/33 | 18,210,000 | 17,366,007 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 4,614,000 | 4,500,846 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 1,587,333 | 1,279,681 | |
Series 2021-K134 Class A2, 2.243% 10/25/31 | 8,912,000 | 7,380,017 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 13,751,000 | 12,102,155 | |
Series K063 Class A2, 3.43% 1/25/27 | 7,300,000 | 6,950,856 | |
GS Mortgage Securities Corp. II Series 2010-C1: | |||
Class B, 5.148% 8/10/43 (b) | 68,473 | 67,795 | |
Class X, 0.5653% 8/10/43 (b)(d)(p) | 393,125 | 1,383 | |
GS Mortgage Securities Corp. Trust floater Series 2019-70P Class F, CME Term SOFR 1 Month Index + 2.760% 8.0755% 10/15/36 (b)(d)(e) | 3,075,000 | 2,687,373 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3745% 9/15/31 (b)(d)(e) | 15,219,047 | 15,010,449 | |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (b)(d)(e) | 8,646,679 | 7,954,945 | |
Series 2021-IP: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3755% 10/15/36 (b)(d)(e) | 18,953,000 | 18,025,887 | |
Class B, CME Term SOFR 1 Month Index + 1.260% 6.5755% 10/15/36 (b)(d)(e) | 2,930,000 | 2,727,886 | |
Class C, CME Term SOFR 1 Month Index + 1.660% 6.9755% 10/15/36 (b)(d)(e) | 2,414,000 | 2,223,465 | |
sequential payer: | |||
Series 2015-GC34 Class A3, 3.244% 10/10/48 | 1,157,715 | 1,100,091 | |
Series 2017-GS6 Class A2, 3.164% 5/10/50 | 1,809,917 | 1,670,070 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 2,900,000 | 2,690,727 | |
Series 2019-GSA1 Class A4, 3.0479% 11/10/52 | 2,087,000 | 1,817,863 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 2,023,000 | 1,739,966 | |
Series 2011-GC5: | |||
Class C, 5.2976% 8/10/44 (b)(d) | 908,923 | 633,473 | |
Class D, 5.2976% 8/10/44 (b)(d) | 623,936 | 182,446 | |
Class E, 5.2976% 8/10/44 (b)(d) | 773,957 | 75,473 | |
Class F, 4.5% 8/10/44 (b)(h) | 1,339,218 | 4,697 | |
Series 2012-GCJ9: | |||
Class D, 4.7683% 11/10/45 (b)(d) | 1,584,184 | 1,429,703 | |
Class E, 4.7683% 11/10/45 (b)(d)(h) | 896,000 | 726,066 | |
Series 2013-GC10 Class D, 4.6879% 2/10/46 (b)(d) | 586,000 | 498,067 | |
Series 2013-GC16: | |||
Class C, 5.4607% 11/10/46 (d) | 421,844 | 409,444 | |
Class D, 5.4607% 11/10/46 (b)(d) | 1,161,000 | 1,107,288 | |
Class F, 3.5% 11/10/46 (b) | 970,000 | 798,399 | |
Series 2014-GC20 Class XA, 1.167% 4/10/47 (d)(p) | 60,657,103 | 98,386 | |
Series 2015-GC34 Class XA, 1.3558% 10/10/48 (d)(p) | 15,373,763 | 305,883 | |
Series 2016-GS2 Class D, 2.753% 5/10/49 (b) | 703,000 | 539,819 | |
Series 2016-GS4 Class C, 4.0777% 11/10/49 (d) | 464,000 | 374,497 | |
Series 2018-GS9 Class D, 3% 3/10/51 (b) | 835,000 | 526,156 | |
Series 2019-GC38 Class D, 3% 2/10/52 (b) | 446,000 | 285,289 | |
Series 2019-GC39 Class D, 3% 5/10/52 (b) | 1,176,000 | 627,991 | |
Series 2019-GC42: | |||
Class C, 3.8168% 9/10/52 (d) | 620,000 | 464,034 | |
Class D, 2.8% 9/10/52 (b) | 408,000 | 230,216 | |
Series 2019-GS5 Class C, 4.299% 3/10/50 (d)(h) | 1,155,000 | 761,338 | |
Series 2020-GC45: | |||
Class D, 2.85% 2/13/53 (b) | 952,000 | 532,744 | |
Class SWD, 3.3258% 12/13/39 (b)(d) | 735,000 | 473,658 | |
Series 2020-GC47 Class D, 3.569% 5/12/53 (b)(d) | 336,000 | 202,373 | |
Series 2021-RENT Class G, CME Term SOFR 1 Month Index + 5.810% 11.125% 11/21/35 (b)(d)(e)(h) | 3,076,128 | 2,123,137 | |
Gs Mtg Securities Corp. Trust 2023-Ship sequential payer Series 2023-SHIP: | |||
Class D, 6.273% 9/15/38 (b)(d) | 1,752,000 | 1,694,665 | |
Class E, 7.6814% 9/15/38 (b) | 2,191,000 | 2,118,241 | |
Hilton U.S.A. Trust Series 2016-HHV: | |||
Class E, 4.3333% 11/5/38 (b)(d) | 6,256,000 | 5,623,431 | |
Class F, 4.3333% 11/5/38 (b)(d) | 2,893,000 | 2,560,074 | |
Home Partners of America Trust Series 2019-1: | |||
Class E, 3.604% 9/17/39 (b) | 563,189 | 492,679 | |
Class F, 4.101% 9/17/39 (b) | 91,627 | 80,137 | |
Hudson Yards Mortgage Trust: | |||
Series 2019-30HY Class E, 3.5579% 7/10/39 (b)(d) | 861,000 | 651,239 | |
Series 2019-55HY Class F, 3.0409% 12/10/41 (b)(d) | 693,000 | 460,362 | |
ILPT Commercial Mortgage Trust floater Series 2022-LPF2: | |||
Class D, CME Term SOFR 1 Month Index + 4.190% 9.5025% 10/15/39 (b)(d)(e) | 1,113,000 | 1,101,798 | |
Class E, CME Term SOFR 1 Month Index + 5.940% 11.2505% 10/15/39 (b)(d)(e) | 1,000,000 | 989,838 | |
IMT Trust Series 2017-APTS Class CFX, 3.6132% 6/15/34 (b)(d) | 2,028,500 | 1,952,112 | |
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) | 1,064,000 | 961,356 | |
Intown Mortgage Trust: | |||
floater Series 2022-STAY Class E, CME Term SOFR 1 Month Index + 5.030% 10.3414% 8/15/39 (b)(d)(e) | 1,087,000 | 1,085,635 | |
floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.7986% 8/15/39 (b)(d)(e) | 27,660,000 | 27,677,299 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2022-NXSS Class D, CME Term SOFR 1 Month Index + 4.120% 9.4395% 9/15/39 (b)(d)(e) | 1,653,000 | 1,648,835 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19 Class XA, 0.7157% 4/15/47 (d)(p) | 4,596,443 | 8,854 | |
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b)(h) | 194,000 | 146,237 | |
Series 2014-C26 Class D, 4.0112% 1/15/48 (b)(d) | 3,811,000 | 2,905,221 | |
Series 2015-C30 Class XA, 0.5647% 7/15/48 (d)(p) | 37,350,116 | 241,943 | |
Series 2015-C32 Class C, 4.8049% 11/15/48 (d)(h) | 1,942,000 | 1,313,706 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.5159% 12/15/49 (b)(d) | 1,251,000 | 813,451 | |
JPMDB Commercial Mortgage Securities Trust: | |||
Series 2016-C4: | |||
Class C, 3.1878% 12/15/49 (d)(h) | 603,000 | 417,893 | |
Class D, 3.1878% 12/15/49 (b)(d)(h) | 1,242,000 | 729,198 | |
Series 2018-C8 Class D, 3.428% 6/15/51 (b)(d)(h) | 406,000 | 241,436 | |
Series 2019-COR6 Class D, 2.5% 11/13/52 (b) | 567,000 | 304,989 | |
Series 2020-COR7 Class D, 1.75% 5/13/53 (b) | 714,000 | 340,001 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-MFP Class E, CME Term SOFR 1 Month Index + 2.200% 7.518% 7/15/36 (b)(d)(e) | 1,029,000 | 988,965 | |
sequential payer Series 2019-OSB Class D, 3.9089% 6/5/39 (b)(d) | 876,000 | 706,258 | |
Series 2011-C3: | |||
Class E, 5.7099% 2/15/46 (b)(d)(h) | 1,156,000 | 482,137 | |
Class G, 4.409% 2/15/46 (b)(d) | 368,000 | 41,528 | |
Class H, 4.409% 2/15/46 (b)(d)(h) | 828,000 | 63,328 | |
Class J, 4.409% 2/15/46 (b)(d)(h) | 106,000 | 1,101 | |
Series 2012-CBX: | |||
Class E, 4.8459% 6/15/45 (b)(d)(h) | 891,888 | 766,077 | |
Class F, 4% 6/15/45 (b)(h) | 1,124,000 | 432,740 | |
Class G 4% 6/15/45 (b)(h) | 1,233,000 | 339,075 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (d) | 1,025,000 | 749,784 | |
Class D, 4.3071% 4/15/46 (d) | 1,638,000 | 1,015,968 | |
Class F, 3.25% 4/15/46 (b)(d)(h) | 1,851,000 | 194,575 | |
Series 2014-DSTY: | |||
Class D, 3.9314% 6/10/27 (b)(d)(h) | 945,000 | 2,367 | |
Class E, 3.9314% 6/10/27 (b)(d)(h) | 1,519,000 | 3,711 | |
Series 2018-AON Class F, 4.767% 7/5/31 (b)(d) | 743,000 | 184,821 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 8,593,000 | 7,769,623 | |
Class CFX, 4.9498% 7/5/33 (b) | 2,322,000 | 1,940,472 | |
Class DFX, 5.3503% 7/5/33 (b) | 4,241,000 | 3,459,367 | |
Class EFX, 5.3635% 7/5/33 (b)(d) | 4,886,000 | 3,912,182 | |
Class XAFX, 1.2948% 7/5/33 (b)(d)(p) | 35,039,000 | 691,828 | |
Series 2019-OSB Class E, 3.9089% 6/5/39 (b)(d) | 1,071,000 | 822,893 | |
Series 2020-NNN: | |||
Class EFX, 3.972% 1/16/37 (b) | 723,000 | 566,664 | |
Class FFX, 4.6254% 1/16/37 (b) | 1,145,000 | 854,418 | |
Class GFX, 4.6882% 1/16/37 (b)(d) | 441,000 | 307,709 | |
KNDL Mortgage Trust floater Series 2019-KNSQ Class F, CME Term SOFR 1 Month Index + 2.190% 7.506% 5/15/36 (b)(d)(e) | 3,938,000 | 3,859,285 | |
KNDR Trust floater Series 2021-KIND Class F, CME Term SOFR 1 Month Index + 4.060% 9.3745% 8/15/38 (b)(d)(e) | 1,970,757 | 1,803,820 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6057% 5/15/39 (b)(d)(e) | 41,422,000 | 40,696,597 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1044% 5/15/39 (b)(d)(e) | 24,765,000 | 24,229,432 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4036% 5/15/39 (b)(d)(e) | 13,877,000 | 13,494,178 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8524% 5/15/39 (b)(d)(e) | 12,332,000 | 11,763,755 | |
Class E, CME Term SOFR 1 Month Index + 3.240% 8.5505% 5/15/39 (b)(d)(e) | 2,310,000 | 2,196,322 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1245% 3/15/38 (b)(d)(e) | 23,384,860 | 22,914,841 | |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.3045% 3/15/38 (b)(d)(e) | 6,599,662 | 6,442,145 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5245% 3/15/38 (b)(d)(e) | 4,152,066 | 4,032,109 | |
Class D, CME Term SOFR 1 Month Index + 1.510% 6.8245% 3/15/38 (b)(d)(e) | 5,774,950 | 5,586,349 | |
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1745% 3/15/38 (b)(d)(e) | 5,045,586 | 4,855,461 | |
Class F, CME Term SOFR 1 Month Index + 2.460% 7.7745% 3/15/38 (b)(d)(e) | 2,510,506 | 2,390,688 | |
Class G, CME Term SOFR 1 Month Index + 3.060% 8.3745% 3/15/38 (b)(d)(e) | 6,564,275 | 6,220,085 | |
Market Mortgage Trust Series 2020-525M Class F, 3.0386% 2/12/40 (b)(d) | 819,000 | 210,531 | |
MED Trust floater Series 2021-MDLN: | |||
Class F, CME Term SOFR 1 Month Index + 4.110% 9.4245% 11/15/38 (b)(d)(e) | 1,911,825 | 1,813,496 | |
Class G, CME Term SOFR 1 Month Index + 5.360% 10.6745% 11/15/38 (b)(d)(e) | 4,500,402 | 4,218,838 | |
Merit floater Series 2021-STOR: | |||
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1755% 7/15/38 (b)(d)(e) | 560,000 | 541,904 | |
Class F, CME Term SOFR 1 Month Index + 2.310% 7.6255% 7/15/38 (b)(d)(e) | 4,481,000 | 4,278,569 | |
Class G, CME Term SOFR 1 Month Index + 2.860% 8.1755% 7/15/38 (b)(d)(e) | 315,000 | 300,087 | |
Class J, CME Term SOFR 1 Month Index + 4.060% 9.3755% 7/15/38 (b)(d)(e) | 1,281,000 | 1,216,687 | |
MFT Trust Series 2020-B6 Class C, 3.3922% 8/10/40 (b)(d) | 707,000 | 453,258 | |
MHC Commercial Mortgage Trust floater Series 2021-MHC: | |||
Class F, CME Term SOFR 1 Month Index + 2.710% 8.0254% 4/15/38 (b)(d)(e) | 2,422,000 | 2,355,181 | |
Class G, CME Term SOFR 1 Month Index + 3.310% 8.6254% 4/15/38 (b)(d)(e) | 4,817,000 | 4,625,582 | |
MHP Commercial Mortgage Trust floater Series 2022-MHIL: | |||
Class F, CME Term SOFR 1 Month Index + 3.250% 8.5697% 1/15/27 (b)(d)(e) | 369,230 | 349,593 | |
Class G, CME Term SOFR 1 Month Index + 3.950% 9.268% 1/15/27 (b)(d)(e) | 1,101,861 | 1,046,743 | |
Mira Trust 2023-Mile sequential payer Series 2023-MILE Class B, 7.2026% 6/10/38 (b) | 867,000 | 851,311 | |
MOFT Trust Series 2020-ABC: | |||
Class D, 3.5926% 2/10/42 (b)(d)(h) | 475,000 | 193,634 | |
Class E, 3.5926% 2/10/42 (b)(d)(h) | 349,000 | 126,518 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (h) | 698,000 | 373,915 | |
Series 2012-C6 Class D, 4.5743% 11/15/45 (b)(d) | 1,469,000 | 1,224,238 | |
Series 2012-C6, Class F, 4.5743% 11/15/45 (b)(d)(h) | 693,000 | 426,325 | |
Series 2013-C12 Class D, 5.096% 10/15/46 (b)(d) | 1,299,000 | 1,077,156 | |
Series 2013-C13: | |||
Class D, 5.0391% 11/15/46 (b)(d) | 1,747,000 | 1,639,051 | |
Class E, 5.0391% 11/15/46 (b)(d) | 785,081 | 703,379 | |
Series 2013-C7 Class C, 4.1925% 2/15/46 (d) | 188,145 | 173,088 | |
Series 2013-C8 Class D, 4.2497% 12/15/48 (b)(d) | 28,330 | 26,190 | |
Series 2013-C9: | |||
Class C, 3.8844% 5/15/46 (d) | 920,000 | 753,647 | |
Class D, 3.9724% 5/15/46 (b)(d) | 1,700,000 | 1,325,141 | |
Class E, 3.9724% 5/15/46 (b)(d) | 722,000 | 507,696 | |
Series 2014-C17 Class XA, 1.1881% 8/15/47 (d)(p) | 57,115,196 | 184,813 | |
Series 2015-C25 Class XA, 1.1795% 10/15/48 (d)(p) | 24,751,545 | 342,121 | |
Series 2016-C30: | |||
Class C, 4.2249% 9/15/49 (d) | 266,000 | 203,268 | |
Class D, 3% 9/15/49 (b) | 252,000 | 116,614 | |
Series 2016-C31 Class C, 4.4029% 11/15/49 (d) | 603,000 | 465,572 | |
Series 2016-C32 Class C, 4.4143% 12/15/49 (d) | 415,000 | 344,665 | |
Series 2017-C33 Class D, 3.356% 5/15/50 (b) | 947,000 | 642,037 | |
Morgan Stanley Capital I Trust: | |||
sequential payer: | |||
Series 2017-HR2 Class A4, 3.587% 12/15/50 | 3,580,000 | 3,269,359 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 30,766,000 | 28,143,974 | |
Series 2021-L5 Class A4, 2.728% 5/15/54 | 3,345,000 | 2,751,040 | |
Series 2011-C2: | |||
Class D, 5.385% 6/15/44 (b)(d) | 1,014,131 | 919,222 | |
Class F, 5.385% 6/15/44 (b)(d)(h) | 748,000 | 289,678 | |
Class XB, 0.499% 6/15/44 (b)(d)(p) | 2,551,156 | 8,531 | |
Series 2011-C3: | |||
Class E, 5.1094% 7/15/49 (b)(d) | 438,883 | 410,680 | |
Class F, 5.1094% 7/15/49 (b)(d) | 332,000 | 283,347 | |
Class G, 5.1094% 7/15/49 (b)(d)(h) | 1,123,200 | 799,847 | |
Series 2012-C4 Class D, 5.3359% 3/15/45 (b)(d) | 192,975 | 179,588 | |
Series 2014-150E: | �� | ||
Class C, 4.4382% 9/9/32 (b)(d) | 418,000 | 274,410 | |
Class F, 4.4382% 9/9/32 (b)(d) | 734,000 | 389,094 | |
Series 2015-MS1: | |||
Class C, 4.1581% 5/15/48 (d) | 468,000 | 407,660 | |
Class D, 4.1581% 5/15/48 (b)(d) | 1,371,000 | 1,034,789 | |
Series 2016-BNK2: | |||
Class C, 3% 11/15/49 (b) | 1,456,000 | 956,908 | |
Class D, 4.0139% 11/15/49 (d) | 603,000 | 445,361 | |
Series 2017-H1: | |||
Class C, 4.281% 6/15/50 | 1,129,000 | 890,998 | |
Class D, 2.546% 6/15/50 (b) | 3,406,000 | 2,146,467 | |
Series 2017-HR2 Class D, 2.73% 12/15/50 | 414,000 | 249,571 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 7,706,000 | 7,193,351 | |
Series 2018-MP Class E, 4.4185% 7/11/40 (b)(d) | 1,711,000 | 1,093,653 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(d) | 4,445,000 | 3,918,632 | |
Class C, 3.283% 11/10/36 (b)(d) | 4,265,000 | 3,643,049 | |
Series 2020-CNP Class D, 2.5085% 4/5/42 (b)(d) | 462,000 | 280,575 | |
Series 2020-HR8 Class D, 2.5% 7/15/53 (b) | 756,000 | 404,732 | |
Series 2020-L4, Class C, 3.536% 2/15/53 | 205,000 | 138,521 | |
Series 2021-L6 Class XA, 1.328% 6/15/54 (d)(p) | 26,601,413 | 1,533,438 | |
MSCCG Trust floater sequential payer Series 2018-SELF Class F, CME Term SOFR 1 Month Index + 3.090% 8.408% 10/15/37 (b)(d)(e) | 613,208 | 600,663 | |
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (b)(d) | 311,000 | 200,885 | |
MSWF Commercial Mortgage Trust sequential payer Series 2023-1: | |||
Class A5, 5.752% 5/15/56 | 1,625,000 | 1,656,541 | |
Class C, 6.9055% 5/15/56 (d) | 1,083,000 | 980,881 | |
Natixis Commercial Mortgage Securities Trust: | |||
floater Series 2018-FL1 Class WAN2, CME Term SOFR 1 Month Index + 3.860% 9.175% 6/15/35 (b)(d)(e) | 128,000 | 22,362 | |
Series 2018-285M Class F, 3.9167% 11/15/32 (b)(d) | 307,000 | 147,032 | |
Series 2018-TECH Class F, PRIME RATE + 0.090% 8.5933% 11/15/34 (b)(d)(e) | 245,000 | 226,352 | |
Series 2019-10K: | |||
Class E, 4.2724% 5/15/39 (b)(d) | 1,321,000 | 1,026,514 | |
Class F, 4.2724% 5/15/39 (b)(d) | 1,374,000 | 1,018,222 | |
Series 2020-2PAC: | |||
Class AMZ2, 3.6167% 1/15/37 (b)(d) | 735,000 | 574,893 | |
Class AMZ3, 3.6167% 1/15/37 (b)(d) | 336,000 | 229,208 | |
NYT Mortgage Trust floater Series 2019-NYT Class F, CME Term SOFR 1 Month Index + 3.040% 8.358% 12/15/35 (b)(d)(e)(h) | 1,385,000 | 671,412 | |
OPG Trust floater Series 2021-PORT: | |||
Class G, CME Term SOFR 1 Month Index + 2.510% 7.8235% 10/15/36 (b)(d)(e) | 617,236 | 581,613 | |
Class J, CME Term SOFR 1 Month Index + 3.460% 8.7715% 10/15/36 (b)(d)(e) | 653,857 | 619,417 | |
PKHL Commercial Mortgage Trust floater Series 2021-MF: | |||
Class F, CME Term SOFR 1 Month Index + 3.460% 8.7755% 7/15/38 (b)(d)(e)(h) | 986,000 | 767,879 | |
Class NR, CME Term SOFR 1 Month Index + 6.110% 11.4255% 7/15/38 (b)(d)(e)(h) | 280,000 | 205,947 | |
Prima Capital CRE Securitization Ltd. Series 2020-8A Class C, 3% 12/1/70 (b) | 3,045,000 | 2,233,922 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A: | |||
Class B, CME Term SOFR 1 Month Index + 1.910% 7.2285% 12/15/37 (b)(d)(e) | 8,051,000 | 7,846,399 | |
Class C, CME Term SOFR 1 Month Index + 2.460% 7.7191% 12/15/37 (b)(d)(e) | 3,150,000 | 2,986,458 | |
floater sequential payer Series 2021-9A Class A, CME Term SOFR 1 Month Index + 1.560% 6.8191% 12/15/37 (b)(d)(e)(h) | 1,761,333 | 1,755,852 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 800,415 | 804,930 | |
Sfs Auto Receivables Securitiz sequential payer Series 2023-1A Class A2A, 5.89% 3/22/27 (b) | 9,462,000 | 9,455,906 | |
SG Commercial Mortgage Securities Trust: | |||
Series 2019-PREZ Class F, 3.593% 9/15/39 (b)(d) | 1,360,000 | 992,491 | |
Series 2020-COVE: | |||
Class F, 3.8518% 3/15/37 (b)(d) | 2,364,000 | 2,051,706 | |
Class G, 3.8518% 3/15/37 (b)(d) | 860,000 | 736,011 | |
SMRT Commercial Mortgage Trust floater Series 2022-MINI: | |||
Class E, CME Term SOFR 1 Month Index + 2.700% 8.011% 1/15/39 (b)(d)(e) | 2,039,000 | 1,916,245 | |
Class F, CME Term SOFR 1 Month Index + 3.350% 8.661% 1/15/39 (b)(d)(e) | 1,617,000 | 1,495,323 | |
SOHO Trust Series 2021-SOHO Class D, 2.6966% 8/10/38 (b)(d) | 1,113,000 | 657,236 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 7.3105% 2/15/39 (b)(d)(e) | 7,618,000 | 7,173,759 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.9605% 2/15/39 (b)(d)(e) | 3,962,000 | 3,696,646 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.001% 7/15/36 (b)(d)(e) | 4,344,000 | 4,245,837 | |
Series 2021-IND Class G, CME Term SOFR 1 Month Index + 3.380% 8.6903% 10/15/38 (b)(d)(e) | 1,487,000 | 1,385,471 | |
Series 2021-MFP: | |||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1558% 11/15/38 (b)(d)(e) | 29,791,000 | 29,192,901 | |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5048% 11/15/38 (b)(d)(e) | 17,063,000 | 16,739,375 | |
Class C, CME Term SOFR 1 Month Index + 1.440% 6.754% 11/15/38 (b)(d)(e) | 10,597,000 | 10,337,723 | |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0032% 11/15/38 (b)(d)(e) | 6,964,000 | 6,771,259 | |
Class E, CME Term SOFR 1 Month Index + 2.140% 7.4518% 11/15/38 (b)(d)(e) | 2,289,000 | 2,237,669 | |
Class F, CME Term SOFR 1 Month Index + 2.730% 8.0499% 11/15/38 (b)(d)(e) | 976,000 | 936,817 | |
Class G, CME Term SOFR 1 Month Index + 3.080% 8.3988% 11/15/38 (b)(d)(e) | 4,308,000 | 4,091,824 | |
Series 2021-MFP2: | |||
Class G, CME Term SOFR 1 Month Index + 3.080% 8.392% 11/15/36 (b)(d)(e) | 1,090,000 | 1,029,919 | |
Class J, CME Term SOFR 1 Month Index + 4.020% 9.34% 11/15/36 (b)(d)(e) | 3,205,000 | 3,057,441 | |
Series 2021-PALM Class G, CME Term SOFR 1 Month Index + 3.730% 9.0406% 10/15/34 (b)(d)(e) | 798,000 | 756,092 | |
STWD Trust floater sequential payer Series 2021-LIH: | |||
Class E, CME Term SOFR 1 Month Index + 2.950% 8.26% 11/15/36 (b)(d)(e) | 2,268,000 | 2,152,876 | |
Class F, CME Term SOFR 1 Month Index + 3.590% 8.908% 11/15/36 (b)(d)(e) | 1,567,000 | 1,468,368 | |
Class G, CME Term SOFR 1 Month Index + 4.240% 9.557% 11/15/36 (b)(d)(e) | 525,000 | 489,595 | |
SUMIT Mortgage Trust Series 2022-BVUE Class F, 2.9889% 2/12/41 (b)(d) | 185,000 | 110,477 | |
TPGI Trust floater Series 2021-DGWD: | |||
Class E, CME Term SOFR 1 Month Index + 2.460% 7.7745% 6/15/26 (b)(d)(e) | 2,060,536 | 1,967,414 | |
Class G, CME Term SOFR 1 Month Index + 3.960% 9.2745% 6/15/26 (b)(d)(e) | 385,092 | 370,146 | |
Tricon Residential Trust Series 2022-SFR2 Class E, 7.507% 7/17/40 (b) | 2,499,000 | 2,476,738 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2018-C9 Class A4, 4.117% 3/15/51 | 2,000,000 | 1,852,501 | |
Series 2012-C1: | |||
Class E, 5% 5/10/45 (b)(d)(h) | 446,067 | 301,011 | |
Class F, 5% 5/10/45 (b)(d)(h) | 762,700 | 36,508 | |
Series 2017-C7 Class XA, 1.1548% 12/15/50 (d)(p) | 45,467,238 | 1,454,465 | |
Series 2018-C8 Class C, 4.8408% 2/15/51 (d) | 336,000 | 271,600 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.3793% 6/10/30 (b)(d) | 746,000 | 602,507 | |
Series 2012-WRM: | |||
Class C, 4.3793% 6/10/30 (b)(d) | 110,000 | 93,309 | |
Class E, 4.3793% 6/10/30 (b)(d)(h) | 849,000 | 600,773 | |
VASA Trust: | |||
floater Series 2021-VASA Class G, CME Term SOFR 1 Month Index + 5.110% 10.4255% 7/15/39 (b)(d)(e) | 315,000 | 133,805 | |
floater sequential payer Series 2021-VASA Class F, CME Term SOFR 1 Month Index + 4.010% 9.3255% 7/15/39 (b)(d)(e) | 1,383,000 | 729,735 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 25,554,000 | 19,938,036 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 1,600,000 | 1,235,013 | |
Class X, 0.5162% 10/10/42 (b)(d)(p) | 35,000,000 | 860,633 | |
VMC Finance Ltd. floater Series 2021-HT1 Class B, CME Term SOFR 1 Month Index + 4.610% 9.9264% 1/18/37 (b)(d)(e) | 4,431,000 | 4,168,257 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6255% 5/15/31 (b)(d)(e) | 17,572,000 | 16,818,581 | |
Series 2021-SAVE: | |||
Class D, CME Term SOFR 1 Month Index + 2.610% 7.9255% 2/15/40 (b)(d)(e) | 318,566 | 284,932 | |
Class E, CME Term SOFR 1 Month Index + 3.760% 9.0755% 2/15/40 (b)(d)(e) | 226,609 | 198,761 | |
sequential payer: | |||
Series 2020-C57 Class D, 2.5% 8/15/53 (b) | 1,034,000 | 584,802 | |
Series 2020-C58 Class A4, 2.092% 7/15/53 | 2,055,000 | 1,626,273 | |
Series 2021-C61 Class A4, 2.658% 11/15/54 | 1,095,000 | 896,198 | |
Series 20XX-C60 Class A4, 2.342% 8/15/54 | 2,113,000 | 1,677,328 | |
Series 2015-C31 Class XA, 1.1045% 11/15/48 (d)(p) | 20,067,693 | 315,508 | |
Series 2015-NXS4 Class D, 3.8412% 12/15/48 (d) | 861,000 | 714,918 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 446,000 | 249,027 | |
Class D, 3% 8/15/49 (b)(h) | 487,000 | 228,043 | |
Series 2016-C34 Class XA, 2.2288% 6/15/49 (d)(p) | 16,518,493 | 555,552 | |
Series 2016-LC25 Class C, 4.4808% 12/15/59 (d) | 575,000 | 484,234 | |
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) | 1,337,000 | 949,095 | |
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) | 595,000 | 270,406 | |
Series 2018-C43 Class C, 4.514% 3/15/51 | 401,000 | 327,970 | |
Series 2018-C44 Class D, 3% 5/15/51 (b) | 2,676,000 | 1,612,313 | |
Series 2018-C46 Class XA, 1.0822% 8/15/51 (d)(p) | 42,712,726 | 1,033,520 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 6,748,000 | 6,324,400 | |
Series 2019-C49 Class C, 4.866% 3/15/52 (d) | 2,887,000 | 2,373,634 | |
Wells Fargo Commercial Mtg Trust 3.514% 10/15/52 | 1,142,000 | 878,579 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (d)(h) | 372,000 | 12,977 | |
Series 2011-C3 Class D, 6.0497% 3/15/44 (b)(d)(h) | 439,833 | 136,898 | |
Series 2011-C4: | |||
Class D, 4.9927% 6/15/44 (b)(d) | 474,000 | 388,534 | |
Class E, 4.9927% 6/15/44 (b)(d) | 335,432 | 230,804 | |
Series 2013-C11: | |||
Class D, 4.1349% 3/15/45 (b)(d) | 801,251 | 561,212 | |
Class E, 4.1349% 3/15/45 (b)(d)(h) | 1,774,872 | 934,165 | |
Series 2013-C13 Class D, 4.1787% 5/15/45 (b)(d)(h) | 580,000 | 480,234 | |
Series 2013-C16 Class D, 5.0691% 9/15/46 (b)(d) | 211,000 | 178,343 | |
Series 2013-UBS1 Class D, 5.2071% 3/15/46 (b)(d) | 830,625 | 802,418 | |
Series 2014-C21 Class XA, 1.147% 8/15/47 (d)(p) | 43,180,935 | 317,030 | |
Series 2014-C24 Class XA, 0.9821% 11/15/47 (d)(p) | 17,567,683 | 107,393 | |
Series 2014-LC14 Class XA, 1.3973% 3/15/47 (d)(p) | 23,070,421 | 10,506 | |
WFCM: | |||
Series 2022-C62: | |||
Class C, 4.3509% 4/15/55 (d) | 1,923,000 | 1,412,871 | |
Class D, 2.5% 4/15/55 (b) | 1,365,000 | 631,954 | |
Series 2022-C62, Class A4, 4% 4/15/55 | 1,461,000 | 1,306,448 | |
Worldwide Plaza Trust Series 2017-WWP: | |||
Class E, 3.7154% 11/10/36 (b)(d)(h) | 348,000 | 124,365 | |
Class F, 3.7154% 11/10/36 (b)(d)(h) | 1,960,000 | 573,738 | |
WP Glimcher Mall Trust Series 2015-WPG: | |||
Class PR1, 3.6332% 6/5/35 (b)(d) | 528,000 | 424,813 | |
Class PR2, 3.6332% 6/5/35 (b)(d) | 1,378,000 | 1,056,345 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,881,488,818) | 1,767,577,334 | ||
Municipal Securities - 0.3% | |||
Principal Amount (a) | Value ($) | ||
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 40,165,000 | 38,972,075 | |
Series 2010-1, 6.63% 2/1/35 | 7,024,615 | 7,250,950 | |
Series 2010-3: | |||
6.725% 4/1/35 | 10,472,308 | 10,861,175 | |
7.35% 7/1/35 | 4,457,143 | 4,751,500 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 27,425,000 | 29,363,657 | |
TOTAL MUNICIPAL SECURITIES (Cost $96,486,131) | 91,199,357 | ||
Foreign Government and Government Agency Obligations - 1.3% | |||
Principal Amount (a) | Value ($) | ||
Abu Dhabi National Energy Co. PJSC 4.375% 1/24/29 (b) | 880,000 | 853,600 | |
Angola Republic: | |||
8.25% 5/9/28 (b) | 1,370,000 | 1,195,599 | |
8.75% 4/14/32 (b) | 795,000 | 651,924 | |
9.375% 5/8/48 (b) | 580,000 | 441,890 | |
9.5% 11/12/25 (b) | 2,245,000 | 2,204,298 | |
Arab Republic of Egypt: | |||
7.0529% 1/15/32 (b) | 45,000 | 25,555 | |
7.5% 1/31/27 (b) | 2,427,000 | 1,740,232 | |
7.5% 2/16/61 (b) | 1,925,000 | 963,905 | |
7.6003% 3/1/29 (b) | 1,065,000 | 683,048 | |
7.903% 2/21/48 (b) | 1,141,000 | 576,502 | |
8.5% 1/31/47 (b) | 1,586,000 | 837,678 | |
8.7002% 3/1/49 (b) | 1,420,000 | 748,084 | |
Argentine Republic: | |||
0.75% 7/9/30 (f) | 16,860,686 | 5,661,650 | |
1% 7/9/29 | 1,948,999 | 630,014 | |
3.5% 7/9/41 (f) | 3,050,000 | 935,435 | |
3.625% 7/9/35 (f) | 9,948,323 | 2,922,220 | |
4.25% 1/9/38 (f) | 5,332,281 | 1,862,086 | |
Bahamian Republic 6% 11/21/28 (b) | 835,000 | 681,744 | |
Bahrain Kingdom 5.625% 5/18/34 (b) | 490,000 | 429,892 | |
Bank Gospodarstwa Krajowego 5.375% 5/22/33 (b) | 530,000 | 518,075 | |
Barbados Government 6.5% 10/1/29 (b) | 1,530,000 | 1,424,858 | |
Bermuda Government: | |||
2.375% 8/20/30 (b) | 185,000 | 151,443 | |
3.375% 8/20/50 (b) | 430,000 | 285,081 | |
3.717% 1/25/27 (b) | 1,720,000 | 1,625,194 | |
4.75% 2/15/29 (b) | 965,000 | 930,154 | |
5% 7/15/32 (b) | 490,000 | 469,606 | |
Brazilian Federative Republic: | |||
3.875% 6/12/30 | 2,310,000 | 2,044,442 | |
6% 10/20/33 | 950,000 | 924,350 | |
7.125% 1/20/37 | 1,550,000 | 1,620,851 | |
8.25% 1/20/34 | 2,809,000 | 3,159,760 | |
Buenos Aires Province 5.25% 9/1/37 (b)(f) | 1,745,000 | 663,100 | |
Cameroon Republic 9.5% 11/19/25 (b) | 1,180,000 | 1,137,426 | |
Chilean Republic: | |||
2.45% 1/31/31 | 3,505,000 | 2,975,430 | |
2.75% 1/31/27 | 790,000 | 733,863 | |
3.1% 1/22/61 | 2,425,000 | 1,527,435 | |
3.5% 1/31/34 | 520,000 | 449,644 | |
4% 1/31/52 | 455,000 | 359,459 | |
4.34% 3/7/42 | 665,000 | 571,568 | |
5.33% 1/5/54 | 1,440,000 | 1,387,440 | |
Colombian Republic: | |||
3% 1/30/30 | 2,720,000 | 2,158,184 | |
3.125% 4/15/31 | 1,455,000 | 1,120,350 | |
3.25% 4/22/32 | 745,000 | 558,698 | |
4.125% 5/15/51 | 600,000 | 360,300 | |
5% 6/15/45 | 2,520,000 | 1,771,157 | |
5.2% 5/15/49 | 1,660,000 | 1,167,129 | |
6.125% 1/18/41 | 105,000 | 86,704 | |
7.375% 9/18/37 | 380,000 | 367,760 | |
7.5% 2/2/34 | 630,000 | 624,884 | |
8% 4/20/33 | 625,000 | 646,138 | |
Costa Rican Republic: | |||
5.625% 4/30/43 (b) | 680,000 | 589,295 | |
6.125% 2/19/31 (b) | 1,255,000 | 1,249,792 | |
6.55% 4/3/34 (b) | 575,000 | 578,416 | |
7% 4/4/44 (b) | 350,000 | 345,839 | |
Democratic Socialist Republic of Sri Lanka: | |||
6.2% (b)(c) | 635,000 | 285,159 | |
6.825% (b)(c) | 795,000 | 371,483 | |
7.55% (b)(c) | 615,000 | 275,360 | |
7.85% (b)(c) | 1,345,000 | 603,434 | |
Dominican Republic: | |||
4.5% 1/30/30 (b) | 1,355,000 | 1,178,294 | |
4.875% 9/23/32 (b) | 2,060,000 | 1,742,163 | |
5.875% 1/30/60 (b) | 1,035,000 | 793,545 | |
5.95% 1/25/27 (b) | 1,181,000 | 1,153,872 | |
6% 7/19/28 (b) | 1,011,000 | 975,585 | |
6.4% 6/5/49 (b) | 425,000 | 355,028 | |
6.5% 2/15/48 (b) | 635,000 | 542,411 | |
6.85% 1/27/45 (b) | 1,143,000 | 1,021,545 | |
6.875% 1/29/26 (b) | 2,522,000 | 2,532,138 | |
7.05% 2/3/31 (b) | 1,020,000 | 1,011,891 | |
7.45% 4/30/44 (b) | 794,000 | 762,685 | |
Ecuador Republic: | |||
3.5% 7/31/35 (b)(f) | 1,850,000 | 677,119 | |
6% 7/31/30 (b)(f) | 3,355,000 | 1,633,482 | |
El Salvador Republic: | |||
6.375% 1/18/27 (b) | 195,000 | 151,714 | |
7.1246% 1/20/50 (b) | 750,000 | 496,973 | |
7.625% 2/1/41 (b) | 230,000 | 156,770 | |
Emirate of Abu Dhabi: | |||
3% 9/15/51 (b) | 1,220,000 | 826,709 | |
3.125% 9/30/49 (b) | 5,230,000 | 3,647,716 | |
3.875% 4/16/50 (b) | 18,260,000 | 14,654,928 | |
Emirate of Dubai: | |||
3.9% 9/9/50 (Reg. S) | 2,050,000 | 1,452,282 | |
5.25% 1/30/43 (Reg. S) | 890,000 | 808,369 | |
Gabonese Republic 7% 11/24/31 (b) | 1,245,000 | 897,757 | |
Georgia Republic 2.75% 4/22/26 (b) | 1,280,000 | 1,146,611 | |
German Federal Republic: | |||
0% 10/10/25 (Reg. S) | EUR | 15,400,000 | 15,720,830 |
0% 10/9/26 (Reg. S) | EUR | 23,000,000 | 22,979,762 |
0% 5/15/35 (Reg. S) (j) | EUR | 22,300,000 | 18,067,950 |
1% 5/15/38(Reg. S) | EUR | 1,745,000 | 1,524,114 |
2.1% 11/15/29(Reg. S) | EUR | 10,720,000 | 11,405,487 |
Ghana Republic: | |||
7.75% (b)(c) | 1,500,000 | 642,705 | |
8.627% (b)(c) | 525,000 | 216,862 | |
10.75% 10/14/30 (b) | 1,600,000 | 1,086,800 | |
Guatemalan Republic: | |||
4.875% 2/13/28 (b) | 305,000 | 289,393 | |
4.9% 6/1/30 (b) | 590,000 | 551,314 | |
6.125% 6/1/50 (b) | 615,000 | 560,222 | |
6.6% 6/13/36 (b) | 645,000 | 646,613 | |
Hungarian Republic: | |||
2.125% 9/22/31 (b) | 530,000 | 407,390 | |
3.125% 9/21/51 (b) | 960,000 | 578,602 | |
5.25% 6/16/29 (b) | 755,000 | 737,695 | |
5.5% 6/16/34 (b) | 790,000 | 748,833 | |
6.125% 5/22/28 (b) | 610,000 | 617,631 | |
6.25% 9/22/32 (b) | 615,000 | 619,397 | |
Indonesian Republic: | |||
3.2% 9/23/61 | 930,000 | 602,770 | |
3.5% 2/14/50 | 1,165,000 | 859,257 | |
3.85% 10/15/30 | 855,000 | 790,413 | |
4.1% 4/24/28 | 1,305,000 | 1,246,158 | |
4.2% 10/15/50 | 44,910,000 | 37,290,569 | |
4.35% 1/11/48 | 1,225,000 | 1,048,723 | |
4.4% 6/6/27 (b) | 890,000 | 867,083 | |
5.125% 1/15/45 (b) | 2,740,000 | 2,654,868 | |
5.25% 1/17/42 (b) | 660,000 | 652,694 | |
5.95% 1/8/46 (b) | 985,000 | 1,037,629 | |
6.75% 1/15/44 (b) | 690,000 | 788,808 | |
7.75% 1/17/38 (b) | 2,648,000 | 3,244,012 | |
8.5% 10/12/35 (b) | 2,680,000 | 3,403,654 | |
Islamic Republic of Pakistan: | |||
6% 4/8/26 (b) | 1,770,000 | 910,754 | |
6.875% 12/5/27 (b) | 740,000 | 372,131 | |
Israeli State 3.375% 1/15/50 | 1,960,000 | 1,384,669 | |
Ivory Coast: | |||
6.125% 6/15/33 (b) | 2,490,000 | 2,121,281 | |
6.375% 3/3/28 (b) | 2,920,000 | 2,749,618 | |
Jamaican Government: | |||
6.75% 4/28/28 | 495,000 | 510,741 | |
7.875% 7/28/45 | 430,000 | 488,192 | |
Jordanian Kingdom: | |||
4.95% 7/7/25 (b) | 1,535,000 | 1,490,761 | |
7.375% 10/10/47 (b) | 290,000 | 252,941 | |
7.5% 1/13/29 (b) | 355,000 | 357,613 | |
7.75% 1/15/28 (b) | 825,000 | 843,554 | |
Kingdom of Saudi Arabia: | |||
2.25% 2/2/33 (b) | 1,835,000 | 1,452,292 | |
3.25% 10/22/30 (b) | 10,790,000 | 9,684,672 | |
3.45% 2/2/61 (b) | 3,085,000 | 2,040,542 | |
3.625% 3/4/28 (b) | 785,000 | 740,734 | |
3.75% 1/21/55 (b) | 1,250,000 | 892,638 | |
4.5% 10/26/46 (b) | 1,665,000 | 1,402,246 | |
4.5% 4/22/60 (b) | 7,675,000 | 6,318,214 | |
4.625% 10/4/47 (b) | 1,355,000 | 1,148,146 | |
5% 1/18/53 (b) | 1,010,000 | 896,133 | |
Lebanese Republic: | |||
5.8% (c) | 1,814,000 | 141,365 | |
6.375% (c) | 1,956,000 | 153,644 | |
Moroccan Kingdom 6.5% 9/8/33 (b) | 1,385,000 | 1,388,199 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 1,065,000 | 807,707 | |
3.298% 1/19/33 | 1,135,000 | 933,469 | |
3.87% 7/23/60 | 1,530,000 | 978,435 | |
4.5% 5/15/47 | 645,000 | 494,767 | |
4.5% 4/16/50 | 2,015,000 | 1,503,774 | |
6.4% 2/14/35 | 1,335,000 | 1,369,323 | |
6.853% 3/28/54 | 525,000 | 536,492 | |
Peruvian Republic: | |||
2.783% 1/23/31 | 1,535,000 | 1,299,899 | |
3% 1/15/34 | 1,130,000 | 917,300 | |
3.3% 3/11/41 | 1,285,000 | 953,740 | |
Philippine Republic: | |||
2.65% 12/10/45 | 1,055,000 | 682,986 | |
2.95% 5/5/45 | 430,000 | 296,433 | |
5% 7/17/33 | 570,000 | 569,373 | |
5.5% 1/17/48 | 505,000 | 508,399 | |
5.609% 4/13/33 | 825,000 | 857,423 | |
5.95% 10/13/47 | 1,320,000 | 1,396,151 | |
Polish Government: | |||
5.5% 4/4/53 | 585,000 | 568,292 | |
5.75% 11/16/32 | 1,150,000 | 1,194,655 | |
Provincia de Cordoba: | |||
6.875% 12/10/25 (b) | 1,747,076 | 1,450,073 | |
6.99% 6/1/27 (b) | 1,110,721 | 868,240 | |
Republic of Armenia 3.6% 2/2/31 (b) | 1,605,000 | 1,262,268 | |
Republic of Kenya: | |||
6.3% 1/23/34 (b) | 515,000 | 371,459 | |
6.875% 6/24/24 (b) | 495,000 | 467,968 | |
7% 5/22/27 (b) | 950,000 | 840,788 | |
7.25% 2/28/28 (b) | 290,000 | 245,447 | |
8% 5/22/32 (b) | 350,000 | 288,992 | |
Republic of Nigeria: | |||
6.125% 9/28/28 (b) | 2,730,000 | 2,251,295 | |
6.5% 11/28/27 (b) | 600,000 | 514,092 | |
7.143% 2/23/30 (b) | 1,650,000 | 1,342,028 | |
7.625% 11/21/25 (b) | 1,505,000 | 1,428,787 | |
7.696% 2/23/38 (b) | 760,000 | 550,666 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (b) | 595,000 | 467,860 | |
4.95% 4/28/31 (b) | 1,525,000 | 1,439,432 | |
5.4% 3/30/50 (b) | 530,000 | 442,248 | |
Republic of Senegal 6.25% 5/23/33 (b) | 940,000 | 767,519 | |
Republic of Serbia 2.125% 12/1/30 (b) | 2,110,000 | 1,600,541 | |
Republic of Uzbekistan: | |||
3.7% 11/25/30 (b) | 725,000 | 582,298 | |
3.9% 10/19/31 (b) | 1,045,000 | 838,195 | |
Republic of Zambia 8.97% (b)(c) | 985,000 | 510,929 | |
Romanian Republic: | |||
3% 2/27/27 (b) | 1,206,000 | 1,103,659 | |
3% 2/14/31 (b) | 2,111,000 | 1,740,224 | |
3.625% 3/27/32 (b) | 1,206,000 | 1,009,543 | |
4% 2/14/51 (b) | 1,215,000 | 828,752 | |
6.625% 2/17/28 (b) | 610,000 | 629,801 | |
Rwanda Republic 5.5% 8/9/31 (b) | 1,545,000 | 1,188,182 | |
South African Republic: | |||
4.85% 9/27/27 | 760,000 | 709,969 | |
4.85% 9/30/29 | 620,000 | 545,594 | |
5% 10/12/46 | 1,065,000 | 702,197 | |
5.65% 9/27/47 | 505,000 | 358,136 | |
5.75% 9/30/49 | 1,705,000 | 1,204,872 | |
5.875% 4/20/32 | 1,065,000 | 940,480 | |
State of Qatar: | |||
3.75% 4/16/30 (b) | 3,905,000 | 3,691,553 | |
4% 3/14/29 (b) | 1,035,000 | 997,771 | |
4.4% 4/16/50 (b) | 32,665,000 | 28,721,681 | |
4.625% 6/2/46 (b) | 2,035,000 | 1,864,487 | |
4.817% 3/14/49 (b) | 1,980,000 | 1,844,370 | |
5.103% 4/23/48 (b) | 2,400,000 | 2,300,760 | |
9.75% 6/15/30 (b) | 722,000 | 928,080 | |
Sultanate of Oman: | |||
5.625% 1/17/28 (b) | 3,575,000 | 3,529,455 | |
6% 8/1/29 (b) | 1,185,000 | 1,191,281 | |
6.25% 1/25/31 (b) | 895,000 | 904,693 | |
6.5% 3/8/47 (b) | 325,000 | 304,493 | |
6.75% 1/17/48 (b) | 3,039,000 | 2,933,425 | |
7% 1/25/51 (b) | 185,000 | 183,254 | |
Turkish Republic: | |||
4.25% 4/14/26 | 2,845,000 | 2,618,083 | |
4.75% 1/26/26 | 2,780,000 | 2,607,334 | |
4.875% 10/9/26 | 1,840,000 | 1,695,302 | |
4.875% 4/16/43 | 2,105,000 | 1,394,794 | |
5.125% 2/17/28 | 1,395,000 | 1,253,966 | |
5.25% 3/13/30 | 505,000 | 427,048 | |
5.75% 5/11/47 | 1,443,000 | 1,023,376 | |
6% 3/25/27 | 440,000 | 413,543 | |
6% 1/14/41 | 1,230,000 | 945,009 | |
6.125% 10/24/28 | 945,000 | 870,156 | |
6.625% 2/17/45 | 1,020,000 | 816,847 | |
9.125% 7/13/30 | 1,120,000 | 1,140,373 | |
9.375% 3/14/29 | 1,385,000 | 1,434,929 | |
9.375% 1/19/33 | 2,745,000 | 2,857,847 | |
9.875% 1/15/28 | 3,115,000 | 3,290,717 | |
Ukraine Government: | |||
6.876% 5/21/31 (b) | 455,000 | 119,438 | |
7.253% 3/15/35 (b) | 1,570,000 | 415,956 | |
7.375% 9/25/34 (b) | 780,000 | 204,750 | |
7.75% 9/1/24 (b) | 2,254,000 | 750,582 | |
7.75% 9/1/25 (b) | 2,985,000 | 955,200 | |
7.75% 9/1/26 (b) | 3,955,000 | 1,137,063 | |
7.75% 9/1/28 (b) | 575,000 | 163,875 | |
7.75% 9/1/29 (b) | 270,000 | 76,950 | |
7.75% 8/1/41 (b)(d) | 975,000 | 443,625 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1% 4/22/24(Reg. S) | GBP | 8,710,000 | 10,753,291 |
2.25% 9/7/23 | GBP | 940,000 | 1,190,066 |
United Mexican States: | |||
2.659% 5/24/31 | 1,235,000 | 1,022,531 | |
3.25% 4/16/30 | 1,660,000 | 1,469,581 | |
3.5% 2/12/34 | 1,565,000 | 1,297,479 | |
3.75% 1/11/28 | 1,515,000 | 1,433,281 | |
3.75% 4/19/71 | 2,225,000 | 1,421,775 | |
3.771% 5/24/61 | 800,000 | 524,960 | |
4.5% 4/22/29 | 905,000 | 873,244 | |
4.875% 5/19/33 | 895,000 | 845,838 | |
5.75% 10/12/2110 | 2,265,000 | 1,980,924 | |
6.05% 1/11/40 | 1,810,000 | 1,805,584 | |
6.338% 5/4/53 | 860,000 | 857,420 | |
6.35% 2/9/35 | 1,240,000 | 1,282,805 | |
Uruguay Republic 5.1% 6/18/50 | 1,810,000 | 1,745,582 | |
Venezuelan Republic: | |||
9.25% (c) | 7,846,000 | 764,985 | |
11.95% (Reg. S) (c) | 1,641,700 | 168,252 | |
12.75% (c) | 350,400 | 35,916 | |
Vietnamese Socialist Republic 5.5% 3/12/28 | 3,410,550 | 3,253,801 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $492,888,854) | 422,954,055 | ||
Supranational Obligations - 0.0% | |||
Principal Amount (a) | Value ($) | ||
European Union: | |||
0% 10/4/28 (Reg. S) | EUR | 1,000,000 | 932,174 |
2.75% 10/5/26 (Reg. S) | EUR | 8,700,000 | 9,324,337 |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $10,270,466) | 10,256,511 | ||
Common Stocks - 0.2% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Entertainment - 0.0% | |||
New Cineworld Ltd. (h) | 109,610 | 2,192,200 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E (h)(t) | 1 | 0 | |
TOTAL COMMUNICATION SERVICES | 2,192,200 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobile Components - 0.0% | |||
Aptiv PLC (t) | 22,300 | 2,262,335 | |
Hotels, Restaurants & Leisure - 0.0% | |||
CEC Entertainment, Inc. (h)(t) | 65,301 | 1,092,486 | |
Specialty Retail - 0.0% | |||
David's Bridal, Inc. rights (h)(t) | 518 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 3,354,821 | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
California Resources Corp. | 139,844 | 7,808,889 | |
California Resources Corp. warrants 10/27/24 (t) | 6,440 | 136,528 | |
Chesapeake Energy Corp. | 91,908 | 8,107,205 | |
Chesapeake Energy Corp. (g)(t) | 619 | 54,602 | |
Denbury, Inc. (t) | 27,041 | 2,476,415 | |
EP Energy Corp. (h)(t) | 6,556 | 39,795 | |
Mesquite Energy, Inc. (h)(t) | 113,725 | 9,712,125 | |
New Fortress Energy, Inc. | 122,600 | 3,805,504 | |
Nostrum Oil & Gas LP warrants (h)(t) | 124,189 | 1 | |
32,141,064 | |||
FINANCIALS - 0.0% | |||
Financial Services - 0.0% | |||
ACNR Holdings, Inc. (h)(t) | 8,987 | 837,409 | |
Carnelian Point Holdings LP warrants (h)(t) | 1,766 | 5,157 | |
Lime Tree Bay Ltd. (h)(t) | 809 | 31,939 | |
874,505 | |||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
Centene Corp. (t) | 47,600 | 2,934,540 | |
INDUSTRIALS - 0.0% | |||
Electrical Equipment - 0.0% | |||
Regal Rexnord Corp. | 16,400 | 2,659,916 | |
Machinery - 0.0% | |||
TNT Crane & Rigging LLC (h)(t) | 83,132 | 604,370 | |
TNT Crane & Rigging LLC warrants 10/31/25 (h)(t) | 3,648 | 146 | |
604,516 | |||
TOTAL INDUSTRIALS | 3,264,432 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
Coherent Corp. (t) | 60,100 | 2,261,563 | |
IT Services - 0.0% | |||
GTT Communications, Inc. (h) | 80,353 | 998,788 | |
TOTAL INFORMATION TECHNOLOGY | 3,260,351 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
TexGen Power LLC (h)(t) | 88,700 | 3,516,955 | |
TOTAL COMMON STOCKS (Cost $34,810,207) | 51,538,868 | ||
Preferred Stocks - 0.0% | |||
Shares | Value ($) | ||
Convertible Preferred Stocks - 0.0% | |||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
RLJ Lodging Trust Series A, 1.95% | 20,725 | 500,094 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Financial Services - 0.0% | |||
ACNR Holdings, Inc. (h)(t) | 5,145 | 2,892,056 | |
Mortgage Real Estate Investment Trusts - 0.0% | |||
AGNC Investment Corp. Series E, 6.50% (d) | 66,700 | 1,597,465 | |
Arbor Realty Trust, Inc. Series F, 6.25% (d) | 40,700 | 844,525 | |
Dynex Capital, Inc. Series C 6.90% (d) | 20,200 | 479,750 | |
Franklin BSP Realty Trust, Inc. 7.50% | 34,000 | 700,740 | |
MFA Financial, Inc. Series B, 7.50% | 24,975 | 513,736 | |
4,136,216 | |||
TOTAL FINANCIALS | 7,028,272 | ||
REAL ESTATE - 0.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Cedar Realty Trust, Inc.: | |||
7.25% | 1,166 | 18,679 | |
Series C, 6.50% | 26,075 | 328,308 | |
DiamondRock Hospitality Co. 8.25% | 12,600 | 319,410 | |
National Storage Affiliates Trust Series A, 6.00% | 12,600 | 295,596 | |
Rexford Industrial Realty, Inc. Series B, 5.875% | 30,100 | 669,725 | |
Spirit Realty Capital, Inc. Series A, 6.00% | 18,100 | 393,494 | |
2,025,212 | |||
Real Estate Management & Development - 0.0% | |||
Digitalbridge Group, Inc.: | |||
Series H, 7.125% | 22,855 | 493,439 | |
Series I, 7.15% | 30,500 | 661,545 | |
1,154,984 | |||
TOTAL REAL ESTATE | 3,180,196 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 10,208,468 | ||
TOTAL PREFERRED STOCKS (Cost $9,265,627) | 10,708,562 | ||
Bank Loan Obligations - 6.4% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.2% | |||
Altice France SA Tranche B14 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.808% 8/15/28 (d)(e)(u) | 18,425,610 | 16,087,953 | |
Aventiv Technologies LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 10.0379% 11/1/24 (d)(e)(u) | 6,210,013 | 5,433,761 | |
3 month U.S. LIBOR + 8.250% 13.981% 11/1/25 (d)(e)(u) | 3,586,000 | 2,546,060 | |
Cablevision Lightpath LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.675% 11/30/27 (d)(e)(u) | 1,238,988 | 1,210,851 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.8311% 12/12/26 (d)(e)(u) | 1,999,778 | 1,993,219 | |
Consolidated Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 10/2/27 (d)(e)(u) | 1,529,230 | 1,318,961 | |
Frontier Communications Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1831% 5/1/28 (d)(e)(u) | 10,149,512 | 9,853,451 | |
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4311% 12/30/27 (d)(e)(u) | 4,124,372 | 3,428,384 | |
Level 3 Financing, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 3/1/27 (d)(e)(u) | 4,733,811 | 4,480,126 | |
Lumen Technologies, Inc. Tranche A 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4455% 1/31/25 (d)(e)(u) | 1,660,000 | 1,505,935 | |
Northwest Fiber LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1798% 4/30/27 (d)(e)(u) | 5,298,111 | 5,136,942 | |
Patagonia Holdco LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.1174% 8/1/29 (d)(e)(u) | 6,200,072 | 5,313,462 | |
Windstream Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6811% 9/21/27 (d)(e)(u) | 4,355,918 | 4,143,567 | |
Zayo Group Holdings, Inc. 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.000% 8.4455% 3/9/27 (d)(e)(u) | 13,769,224 | 10,987,427 | |
CME Term SOFR 1 Month Index + 4.320% 9.6561% 3/9/27 (d)(e)(u) | 1,061,563 | 848,985 | |
74,289,084 | |||
Entertainment - 0.1% | |||
Allen Media LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.8919% 2/10/27 (d)(e)(u) | 8,156,455 | 7,066,997 | |
AP Core Holdings II LLC: | |||
Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.9455% 9/1/27 (d)(e)(u) | 1,314,000 | 1,284,842 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.9455% 9/1/27 (d)(e)(u) | 3,520,000 | 3,414,400 | |
Crown Finance U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 8.500% 14.3811% 7/31/28 (d)(e)(u) | 2,359,660 | 2,372,190 | |
ECL Entertainment LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8/16/30 (e)(u)(v) | 1,395,000 | 1,398,488 | |
Sweetwater Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 8/5/28 (d)(e)(u) | 4,070,267 | 3,958,335 | |
19,495,252 | |||
Media - 0.2% | |||
Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0382% 10/28/27 (d)(e)(u) | 2,992,909 | 2,861,430 | |
Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.308% 10/31/27 (d)(e)(u) | 3,708,908 | 3,495,646 | |
Charter Communication Operating LLC Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1155% 2/1/27 (d)(e)(u) | 15,524,636 | 15,445,150 | |
Coral-U.S. Co.-Borrower LLC: | |||
Tranche B, term loan 1 month U.S. LIBOR + 2.250% 7.675% 1/31/28 (d)(e)(u) | 6,532,000 | 6,389,145 | |
Tranche B6 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.425% 10/15/29 (d)(e)(u) | 1,415,000 | 1,391,412 | |
CSC Holdings LLC: | |||
Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.925% 4/15/27 (d)(e)(u) | 4,061,124 | 3,670,241 | |
Tranche B6 LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8105% 1/18/28 (d)(e)(u) | 7,862,528 | 7,403,906 | |
Diamond Sports Group LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4181% 8/24/26 (d)(e)(u) | 4,540,543 | 2,837,839 | |
2LN, term loan CME Term SOFR 1 Month Index + 3.250% 10.6625% 8/24/26 (c)(d)(e)(u) | 17,220,968 | 415,198 | |
DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 10.4455% 8/2/27 (d)(e)(u) | 2,548,701 | 2,516,256 | |
Dotdash Meredith, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4181% 12/1/28 (d)(e)(u) | 7,662,158 | 7,365,249 | |
Gray Television, Inc. Tranche D 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4326% 12/1/28 (d)(e)(u) | 1,777,444 | 1,755,546 | |
LCPR Loan Financing LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.175% 9/25/28 (d)(e)(u) | 960,000 | 941,760 | |
MJH Healthcare Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 1/28/29 (d)(e)(u) | 1,486,188 | 1,478,757 | |
Nexstar Media, Inc. Tranche B, term loan CME Term SOFR 1 Month Index + 2.500% 7.9455% 9/19/26 (d)(e)(u) | 3,717,523 | 3,722,505 | |
Sinclair Television Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9455% 9/30/26 (d)(e)(u) | 2,122,313 | 1,903,884 | |
Springer Nature Deutschland GmbH Tranche B18 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.5035% 8/14/26 (d)(e)(u) | 2,669,832 | 2,669,271 | |
Univision Communications, Inc.: | |||
1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4919% 6/24/29 (d)(e)(u) | 1,212,750 | 1,207,062 | |
Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 8.6955% 3/24/26 (d)(e)(u) | 3,540,550 | 3,540,550 | |
1 month U.S. LIBOR + 3.250% 8.6955% 1/31/29 (d)(e)(u) | 4,775,769 | 4,710,102 | |
Virgin Media Bristol LLC: | |||
Tranche N, term loan 1 month U.S. LIBOR + 2.500% 7.925% 1/31/28 (d)(e)(u) | 3,356,000 | 3,260,354 | |
Tranche Y 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3106% 3/6/31 (d)(e)(u) | 2,095,000 | 2,068,435 | |
81,049,698 | |||
Wireless Telecommunication Services - 0.1% | |||
Crown Subsea Communications Holding, Inc.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6826% 4/27/27 (d)(e)(u) | 2,500,000 | 2,504,175 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4326% 4/27/27 (d)(e)(u) | 1,358,322 | 1,359,599 | |
Intelsat Jackson Holdings SA 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.250% 9.7719% 2/1/29 (d)(e)(u) | 19,706,511 | 19,695,673 | |
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 7.19% 4/11/25 (d)(e)(u) | 912,047 | 912,102 | |
�� | 24,471,549 | ||
TOTAL COMMUNICATION SERVICES | 199,305,583 | ||
CONSUMER DISCRETIONARY - 1.5% | |||
Automobile Components - 0.1% | |||
American Trailer World Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 3/5/28 (d)(e)(u) | 2,730,623 | 2,575,660 | |
Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0811% 4/20/30 (d)(e)(u) | 4,685,000 | 4,671,835 | |
Novae LLC 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.3383% 12/22/28 (d)(e)(u) | 1,945,375 | 1,750,838 | |
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.8803% 12/17/28 (d)(e)(u) | 2,862,320 | 2,266,414 | |
Power Stop LLC 1LN, term loan 3 month U.S. LIBOR + 4.750% 10.1811% 1/26/29 (d)(e)(u) | 1,214,625 | 991,948 | |
Rough Country LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9.0035% 7/28/28 (d)(e)(u) | 852,375 | 823,181 | |
Truck Hero, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 1/29/28 (d)(e)(u) | 2,912,950 | 2,816,677 | |
15,896,553 | |||
Automobiles - 0.0% | |||
Bombardier Recreational Products, Inc. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 2.000% 7.4311% 5/23/27 (d)(e)(u) | 1,281,793 | 1,271,859 | |
CME Term SOFR 1 Month Index + 3.500% 8.8311% 12/13/29 (d)(e)(u) | 2,987,425 | 2,988,052 | |
CWGS Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 7.9295% 6/3/28 (d)(e)(u) | 6,604,323 | 6,229,131 | |
HarbourVest Partners LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.2419% 4/20/30 (d)(e)(u) | 3,872,112 | 3,868,899 | |
14,357,941 | |||
Broadline Retail - 0.2% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1955% 3/5/28 (d)(e)(u) | 61,663,817 | 61,413,461 | |
Cmg Media Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.8419% 12/17/26 (d)(e)(u) | 9,127,514 | 8,460,110 | |
CNT Holdings I Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7995% 11/8/27 (d)(e)(u) | 3,430,316 | 3,422,975 | |
Red Ventures LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3311% 3/3/30 (d)(e)(u) | 3,072,709 | 3,059,281 | |
76,355,827 | |||
Distributors - 0.1% | |||
Aip Rd Buyer Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3311% 12/23/28 (d)(e)(u) | 4,030,000 | 4,004,813 | |
BCPE Empire Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0811% 12/10/28 (d)(e)(u) | 7,216,101 | 7,211,050 | |
Gloves Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4455% 1/6/28 (d)(e)(u) | 1,231,646 | 1,190,078 | |
Windsor Holdings III, LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8181% 8/1/30 (d)(e)(u) | 3,890,000 | 3,873,001 | |
16,278,942 | |||
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4455% 8/12/28 (d)(e)(u) | 1,306,406 | 1,306,001 | |
AI Aqua Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.0625% 7/30/28 (d)(e)(u) | 6,332,825 | 6,306,797 | |
GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 6 month U.S. LIBOR + 5.000% 10.4341% 7/30/26 (d)(e)(u) | 4,606,258 | 4,623,531 | |
KUEHG Corp. 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.2419% 6/12/30 (d)(e)(u) | 12,110,000 | 12,112,180 | |
Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1303% 8/11/28 (d)(e)(u) | 2,250,000 | 2,245,320 | |
Ring Container Technologies Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 8/12/28 (d)(e)(u) | 2,142,375 | 2,140,768 | |
Sotheby's Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9224% 1/15/27 (d)(e)(u) | 1,620,000 | 1,574,770 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.2303% 3/4/28 (d)(e)(u) | 25,300,980 | 21,126,318 | |
51,435,685 | |||
Hotels, Restaurants & Leisure - 0.7% | |||
19Th Holdings Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6664% 2/7/29 (d)(e)(u) | 4,181,828 | 4,087,737 | |
Alterra Mountain Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 8/17/28 (d)(e)(u) | 4,298,223 | 4,300,931 | |
Aramark Services, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9455% 6/22/30 (d)(e)(u) | 2,251,057 | 2,245,429 | |
Tranche B-4 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 1/15/27 (d)(e)(u) | 2,289,288 | 2,282,145 | |
Arcis Golf LLC: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 11/24/28 (d)(e)(u) | 2,284,417 | 2,278,706 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 11/24/28 (e)(u)(v) | 132,000 | 131,670 | |
Bally's Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.8378% 10/1/28 (d)(e)(u) | 3,123,904 | 3,032,342 | |
BRE/Everbright M6 Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4153% 9/9/26 (d)(e)(u) | 1,138,967 | 1,131,142 | |
Burger King Worldwide, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 7.1955% 11/19/26 (d)(e)(u) | 2,769,649 | 2,750,428 | |
Caesars Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6811% 1/26/30 (d)(e)(u) | 17,456,250 | 17,454,155 | |
Carnival Finance LLC Tranche B 1LN, term loan: | |||
6 month U.S. LIBOR + 3.250% 8.6955% 10/18/28 (d)(e)(u) | 5,771,564 | 5,755,346 | |
CME Term SOFR 1 Month Index + 3.000% 8.3172% 8/8/27 (d)(e)(u) | 3,695,000 | 3,688,534 | |
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.4285% 7/21/28 (d)(e)(u) | 18,672,697 | 18,509,310 | |
ClubCorp Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 8.2879% 9/18/24 (d)(e)(u) | 10,063,206 | 9,917,692 | |
Dave & Buster's, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1875% 6/29/29 (d)(e)(u) | 2,995,488 | 2,994,739 | |
Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3311% 1/15/30 (d)(e)(u) | 6,040,000 | 6,055,100 | |
Equinox Holdings, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 12.731% 9/8/24 (d)(e)(u) | 794,000 | 682,221 | |
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 8.7305% 3/8/24 (d)(e)(u) | 4,448,573 | 4,278,994 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3311% 1/27/29 (d)(e)(u) | 28,698,500 | 28,391,713 | |
Flutter Financing B.V. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7535% 7/4/28 (d)(e)(u) | 2,223,200 | 2,223,067 | |
Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 12/1/28 (d)(e)(u) | 1,098,275 | 1,090,236 | |
Four Seasons Hotels Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9311% 11/30/29 (d)(e)(u) | 5,205,966 | 5,208,153 | |
Golden Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1702% 5/26/30 (d)(e)(u) | 4,455,000 | 4,443,863 | |
GVC Holdings Gibraltar Ltd.: | |||
Tranche B2 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 3.500% 8.5843% 10/31/29 (d)(e)(u) | 3,121,475 | 3,125,377 | |
Tranche B4 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 2.250% 7.4368% 3/16/27 (d)(e)(u) | 1,862,000 | 1,866,078 | |
Herschend Entertainment Co. LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 8/27/28 (d)(e)(u) | 1,350,938 | 1,351,505 | |
Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 8/2/28 (d)(e)(u) | 13,816,951 | 13,816,951 | |
Hilton Worldwide Finance LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 1.750% 7.165% 6/21/26 (d)(e)(u) | 2,008,852 | 2,006,863 | |
J&J Ventures Gaming LLC: | |||
1LN, term loan 3 month U.S. LIBOR + 4.000% 9.5379% 4/26/28 (d)(e)(u) | 2,029,478 | 1,933,403 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 4/26/28 (e)(u)(v) | 895,000 | 863,675 | |
Tranche DD2 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 4/26/28 (e)(u)(v) | 1,611,000 | 1,554,615 | |
Life Time, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.6113% 1/15/26 (d)(e)(u) | 1,595,000 | 1,600,981 | |
Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1811% 8/31/25 (d)(e)(u) | 1,807,416 | 1,800,638 | |
Ontario Gaming GTA LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8/1/30 (e)(u)(v) | 1,905,000 | 1,908,581 | |
Oravel Stays Singapore Pte Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.250% 13.79% 6/23/26 (d)(e)(u) | 1,788,500 | 1,520,225 | |
Pacific Bells LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.0035% 10/20/28 (d)(e)(u) | 1,492,314 | 1,461,543 | |
PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 2.500% 7.9455% 5/29/26 (d)(e)(u) | 2,297,125 | 2,296,712 | |
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 11.7689% 3/1/26 (d)(e)(u) | 2,907,433 | 2,749,588 | |
Playa Resorts Holding BV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5638% 1/5/29 (d)(e)(u) | 2,988,425 | 2,984,361 | |
Restaurant Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4919% 4/1/29 (d)(e)(u) | 4,180,960 | 4,040,731 | |
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4125% 4/14/29 (d)(e)(u) | 3,377,119 | 3,373,505 | |
Scientific Games Holdings LP term loan CME Term SOFR 3 Month Index + 3.500% 8.7684% 4/4/29 (d)(e)(u) | 7,425,970 | 7,381,860 | |
SeaWorld Parks & Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 8/25/28 (d)(e)(u) | 2,112,375 | 2,108,150 | |
Stars Group Holdings BV Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.7535% 7/21/26 (d)(e)(u) | 6,121,381 | 6,116,178 | |
Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6811% 2/7/27 (d)(e)(u) | 5,956,998 | 5,936,029 | |
Travelport Finance Luxembourg SARL 1LN, term loan: | |||
3 month U.S. LIBOR + 8.750% 14.1811% 2/28/25 (d)(e)(u) | 3,665,541 | 3,483,804 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index + 6.750% 13.3646% 5/29/26 (d)(e)(u) | 3,333,130 | 2,066,540 | |
United PF Holdings LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.6307% 12/30/26 (d)(e)(u) | 6,883,006 | 5,458,224 | |
2LN, term loan 3 month U.S. LIBOR + 8.500% 14.1307% 12/30/27 (d)(e)(h)(u) | 500,000 | 365,000 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 8.500% 14.1307% 12/30/26 (d)(e)(u) | 753,688 | 640,634 | |
Whatabrands LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4455% 8/3/28 (d)(e)(u) | 6,865,450 | 6,857,761 | |
Wyndham Hotels & Resorts, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6811% 5/25/30 (d)(e)(u) | 672,607 | 672,418 | |
224,275,583 | |||
Household Durables - 0.0% | |||
Mattress Firm, Inc. Tranche B 1LN, term loan 6 month U.S. LIBOR + 4.250% 9.95% 9/24/28 (d)(e)(u) | 5,314,820 | 5,261,672 | |
Runner Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 11.0369% 10/21/28 (d)(e)(u) | 1,797,250 | 1,363,663 | |
Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 10/30/27 (d)(e)(u) | 2,161,079 | 1,944,971 | |
8,570,306 | |||
Leisure Products - 0.0% | |||
Lids Holdings, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 5.500% 10.8681% 12/14/26 (d)(e)(h)(u) | 2,539,063 | 2,361,328 | |
Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 3/9/30 (d)(e)(u) | 5,142,113 | 5,136,610 | |
7,497,938 | |||
Specialty Retail - 0.2% | |||
Academy Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1826% 11/6/27 (d)(e)(u) | 3,122,485 | 3,126,388 | |
At Home Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.6824% 7/24/28 (d)(e)(u) | 1,768,500 | 1,080,996 | |
Belron Finance U.S. LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1599% 4/18/29 (d)(e)(u) | 905,000 | 905,000 | |
Driven Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4298% 12/17/28 (d)(e)(u) | 888,750 | 867,269 | |
Empire Today LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 10.4285% 4/1/28 (d)(e)(u) | 1,470,000 | 1,204,489 | |
Franchise Group, Inc. Tranche B 1LN, term loan: | |||
CME Term SOFR 3 Month Index + 4.750% 10.3111% 3/10/26 (d)(e)(u) | 5,950,434 | 5,325,638 | |
CME Term SOFR 3 Month Index + 4.750% 10.3769% 3/10/26 (d)(e)(u) | 1,501,238 | 1,336,101 | |
Harbor Freight Tools U.S.A., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 10/19/27 (d)(e)(u) | 2,000,036 | 1,988,956 | |
Jo-Ann Stores LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 10.3623% 7/7/28 (d)(e)(u) | 2,301,153 | 845,674 | |
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 12/18/27 (d)(e)(u) | 11,709,023 | 11,377,657 | |
Ls Group Opco Acquistion LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6824% 11/2/27 (d)(e)(u) | 3,440,656 | 3,429,198 | |
Michaels Companies, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.7535% 4/15/28 (d)(e)(u) | 4,120,624 | 3,812,978 | |
New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 13.664% 6/30/27 (d)(e)(u) | 1,680,904 | 1,580,050 | |
Petco Health & Wellness Co., Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.7535% 3/4/28 (d)(e)(u) | 2,008,138 | 1,994,844 | |
RH: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 7.9455% 10/20/28 (d)(e)(u) | 1,805,722 | 1,745,429 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6811% 10/20/28 (d)(e)(u) | 5,258,084 | 5,106,914 | |
RVR Dealership Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.2456% 2/8/28 (d)(e)(u) | 2,949,215 | 2,672,726 | |
Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6955% 4/16/28 (d)(e)(u) | 3,979,091 | 3,923,742 | |
Victoria's Secret & Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6809% 8/2/28 (d)(e)(u) | 1,886,400 | 1,834,524 | |
Woof Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.1847% 12/21/27 (d)(e)(u) | 2,728,607 | 2,544,426 | |
56,702,999 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Canada Goose, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 10/7/27 (d)(e)(u) | 1,452,834 | 1,434,310 | |
Crocs, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4311% 2/19/29 (d)(e)(u) | 6,135,896 | 6,150,561 | |
Hanesbrands, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0811% 3/8/30 (d)(e)(u) | 1,481,288 | 1,479,436 | |
9,064,307 | |||
TOTAL CONSUMER DISCRETIONARY | 480,436,081 | ||
CONSUMER STAPLES - 0.1% | |||
Beverages - 0.0% | |||
Bengal Debt Merger Sub LLC: | |||
1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5921% 1/24/29 (d)(e)(u) | 3,972,064 | 3,758,566 | |
2LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.3419% 1/24/30 (d)(e)(u) | 1,370,000 | 1,098,932 | |
Triton Water Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7535% 3/31/28 (d)(e)(u) | 8,989,212 | 8,825,698 | |
13,683,196 | |||
Consumer Staples Distribution & Retail - 0.1% | |||
8th Avenue Food & Provisions, Inc.: | |||
2LN, term loan CME Term SOFR 1 Month Index + 7.750% 13.1955% 10/1/26 (d)(e)(u) | 172,000 | 115,348 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 10/1/25 (d)(e)(u) | 483,230 | 460,156 | |
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0664% 2/3/27 (d)(e)(u) | 2,131,962 | 2,133,455 | |
Cardenas Merger Sub, LLC 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 6.750% 12.0919% 8/1/29 (d)(e)(u) | 4,412,575 | 4,391,615 | |
Froneri U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6811% 1/29/27 (d)(e)(u) | 2,938,946 | 2,922,106 | |
JP Intermediate B LLC term loan CME Term SOFR 1 Month Index + 5.500% 11.1307% 11/20/27 (d)(e)(u) | 3,805,329 | 1,331,865 | |
Shearer's Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 9/23/27 (d)(e)(u) | 3,703,938 | 3,700,345 | |
Upfield U.S.A. Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 1/31/28 (e)(u)(v) | 2,050,000 | 1,998,750 | |
17,053,640 | |||
Food Products - 0.0% | |||
Chobani LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 10/23/27 (d)(e)(u) | 4,109,646 | 4,104,509 | |
Del Monte Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6702% 5/16/29 (d)(e)(u) | 6,847,270 | 6,676,088 | |
10,780,597 | |||
Household Products - 0.0% | |||
Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2535% 12/22/26 (d)(e)(u) | 4,095,832 | 4,038,941 | |
Personal Care Products - 0.0% | |||
Conair Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2879% 5/17/28 (d)(e)(u) | 3,772,800 | 3,557,750 | |
TOTAL CONSUMER STAPLES | 49,114,124 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
American Consolidated Natural term loan 20.5% 9/16/25 (d)(u) | 129,651 | 129,219 | |
Apro LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2463% 11/14/26 (d)(e)(u) | 3,392,190 | 3,384,558 | |
BCP Renaissance Parent LLC Tranche B3 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.7419% 10/31/26 (d)(e)(u) | 1,868,167 | 1,864,674 | |
BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.9455% 3/17/28 (d)(e)(u) | 2,734,000 | 2,687,303 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9311% 6/4/28 (d)(e)(u) | 13,028,024 | 13,039,880 | |
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 11/19/29 (d)(e)(u) | 5,138,729 | 5,085,902 | |
EG America LLC: | |||
term loan CME Term SOFR 1 Month Index + 5.500% 9.1645% 2/7/28 (d)(e)(h)(u) | 5,687,402 | 5,403,032 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 9.4145% 2/7/28 (d)(e)(u) | 1,000,000 | 960,000 | |
Tranche BB 1LN, term loan: | |||
6 month U.S. LIBOR + 4.000% 9.1645% 2/5/25 (d)(e)(u) | 1,027,282 | 1,025,998 | |
CME Term SOFR 1 Month Index + 4.000% 9.1645% 2/5/25 (d)(e)(u) | 2,691,303 | 2,681,211 | |
Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 9.1645% 2/7/28 (d)(e)(h)(u) | 2,388,233 | 2,268,821 | |
GIP II Blue Holding LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9455% 9/29/28 (d)(e)(u) | 6,475,260 | 6,487,822 | |
GIP III Stetson I LP Tranche B, term loan CME Term SOFR 1 Month Index + 4.250% 9.6811% 7/18/25 (d)(e)(u) | 4,071,704 | 4,070,849 | |
Limetree Bay Terminals LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 10.5035% 2/15/24 (d)(e)(u) | 4,512,400 | 4,083,722 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(h)(u) | 2,102,309 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(h)(u) | 907,000 | 0 | |
Par Petroleum LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.7725% 2/14/30 (d)(e)(u) | 1,891,388 | 1,877,996 | |
55,050,987 | |||
FINANCIALS - 0.6% | |||
Capital Markets - 0.1% | |||
AssuredPartners, Inc. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.500% 8.9455% 2/13/27 (d)(e)(u) | 1,863,893 | 1,856,903 | |
CME Term SOFR 1 Month Index + 3.500% 8.9455% 2/13/27 (d)(e)(u) | 1,853,241 | 1,843,197 | |
CME Term SOFR 1 Month Index + 4.250% 9.5811% 2/13/27 (d)(e)(u) | 2,640,050 | 2,644,459 | |
Broadstreet Partners, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 1/27/27 (d)(e)(u) | 1,287,075 | 1,276,881 | |
Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3311% 5/1/30 (d)(e)(u) | 2,150,000 | 2,147,764 | |
Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9455% 7/25/30 (d)(e)(u) | 7,241,403 | 7,205,196 | |
Deerfield Dakota Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 8.9919% 4/9/27 (d)(e)(u) | 2,454,889 | 2,366,243 | |
Hightower Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.6123% 4/21/28 (d)(e)(u) | 1,965,000 | 1,937,156 | |
RCS Capital Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9158% 8/9/30 (d)(e)(u) | 955,000 | 952,316 | |
Superannuation & Investments U.S. LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1955% 12/1/28 (d)(e)(u) | 1,295,275 | 1,290,742 | |
23,520,857 | |||
Financial Services - 0.1% | |||
Agellan Portfolio 9% 8/7/25 (h)(u) | 424,000 | 424,000 | |
FinCo I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3694% 6/27/29 (d)(e)(u) | 1,411,582 | 1,410,989 | |
Focus Financial Partners LLC Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5811% 6/30/28 (d)(e)(u) | 4,812,095 | 4,795,686 | |
Fugue Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9225% 1/25/28 (d)(e)(u) | 2,179,524 | 2,180,439 | |
GT Polaris, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.3807% 9/24/27 (d)(e)(u) | 3,149,431 | 2,999,833 | |
LSF11 Trinity Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8126% 6/15/30 (d)(e)(u) | 775,000 | 775,000 | |
Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 10.3105% 1/9/24 (d)(e)(h)(u) | 6,607,220 | 6,198,233 | |
Nexus Buyer LLC: | |||
2LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6811% 11/1/29 (d)(e)(u) | 1,555,000 | 1,424,769 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 11/8/26 (d)(e)(u) | 1,296,564 | 1,277,764 | |
Recess Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 3/17/27 (e)(u)(v) | 1,280,000 | 1,276,800 | |
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 9.8826% 1/21/27 (d)(e)(h)(u) | 2,926,431 | 2,926,431 | |
TransUnion LLC: | |||
Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1811% 11/16/26 (d)(e)(u) | 2,864,493 | 2,859,136 | |
Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6955% 12/1/28 (d)(e)(u) | 2,211,997 | 2,209,851 | |
UFC Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.369% 4/29/26 (d)(e)(u) | 2,775,793 | 2,775,210 | |
Veritas Multifamily Portfolio 1 month U.S. LIBOR + 0.000% 0% (c)(e)(h)(u) | 5,457,455 | 2,401,280 | |
Walker & Dunlop, Inc. Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4311% 12/16/28 (d)(e)(u) | 822,938 | 822,938 | |
WH Borrower LLC Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 5.500% 10.808% 2/9/27 (d)(e)(u) | 3,500,869 | 3,476,818 | |
CME Term SOFR 1 Month Index + 5.500% 10.808% 2/15/27 (d)(e)(u) | 997,500 | 990,019 | |
41,225,196 | |||
Insurance - 0.4% | |||
Acrisure LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.500% 8.9455% 2/15/27 (d)(e)(u) | 13,381,768 | 13,102,223 | |
1 month U.S. LIBOR + 4.250% 9.6955% 2/15/27 (d)(e)(u) | 4,893,903 | 4,869,434 | |
CME Term SOFR 1 Month Index + 5.750% 11.1206% 2/15/27 (d)(e)(u) | 5,780,055 | 5,780,055 | |
Alliant Holdings Intermediate LLC: | |||
Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9347% 11/12/27 (d)(e)(u) | 5,636,938 | 5,631,414 | |
Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8138% 11/6/27 (d)(e)(u) | 2,910,563 | 2,908,234 | |
AmWINS Group, Inc. Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 2.250% 7.6955% 2/19/28 (d)(e)(u) | 5,278,189 | 5,271,591 | |
CME Term SOFR 1 Month Index + 2.750% 8.1955% 2/19/28 (d)(e)(u) | 1,323,350 | 1,321,140 | |
Amynta Agency Borrower, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4311% 2/28/28 (d)(e)(u) | 2,635,000 | 2,629,361 | |
Asurion LLC: | |||
1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4311% 8/19/28 (d)(e)(u) | 4,397,786 | 4,227,988 | |
Tranche B11 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6811% 8/19/28 (d)(e)(u) | 6,174,275 | 5,955,274 | |
Tranche B3 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6955% 1/31/28 (d)(e)(u) | 10,425,000 | 9,307,544 | |
Tranche B4 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6955% 1/20/29 (d)(e)(u) | 4,919,000 | 4,300,042 | |
Tranche B8 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.7879% 12/23/26 (d)(e)(u) | 16,795,049 | 16,312,191 | |
Tranche B9 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.7879% 7/31/27 (d)(e)(u) | 3,703,195 | 3,557,956 | |
HUB International Ltd. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 4.250% 9.5835% 6/8/30 (d)(e)(u) | 17,930,759 | 17,979,351 | |
CME Term SOFR 3 Month Index + 4.000% 9.3653% 11/10/29 (d)(e)(u) | 1,691,500 | 1,693,784 | |
Jones DesLauriers Insurance Management, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 3/16/30 (e)(u)(v) | 1,915,000 | 1,916,206 | |
Ryan Specialty Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4311% 9/1/27 (d)(e)(u) | 3,654,311 | 3,651,278 | |
USI, Inc. 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 8.7879% 12/2/26 (d)(e)(u) | 120,630 | 120,630 | |
CME Term SOFR 1 Month Index + 3.750% 8.9919% 11/22/29 (d)(e)(u) | 6,943,922 | 6,945,658 | |
117,481,354 | |||
TOTAL FINANCIALS | 182,227,407 | ||
HEALTH CARE - 0.5% | |||
Health Care Equipment & Supplies - 0.1% | |||
Avantor Funding, Inc. Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6811% 11/6/27 (d)(e)(u) | 3,185,636 | 3,186,177 | |
Embecta Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3367% 3/31/29 (d)(e)(u) | 1,293,625 | 1,283,121 | |
ICU Medical, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8919% 1/6/29 (d)(e)(u) | 2,345,313 | 2,340,716 | |
Insulet Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 5/4/28 (d)(e)(u) | 6,116,432 | 6,119,491 | |
Maravai Intermediate Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.3201% 10/19/27 (d)(e)(u) | 2,092,305 | 2,008,613 | |
Mozart Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 10/23/28 (d)(e)(u) | 6,284,276 | 6,277,049 | |
Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 9.0035% 11/30/27 (d)(e)(u) | 2,218,925 | 2,206,632 | |
Pathway Vet Alliance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.1955% 3/31/27 (d)(e)(u) | 3,425,182 | 3,159,731 | |
26,581,530 | |||
Health Care Providers & Services - 0.2% | |||
Accelerated Health Systems LLC Tranche B1 LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.6419% 2/15/29 (d)(e)(u) | 1,287,000 | 1,048,905 | |
AHP Health Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 8/24/28 (d)(e)(u) | 2,649,599 | 2,650,924 | |
Cano Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4311% 11/23/27 (d)(e)(u) | 4,180,412 | 2,612,758 | |
Charlotte Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.5625% 2/12/28 (d)(e)(u) | 1,477,575 | 1,455,042 | |
Da Vinci Purchaser Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4455% 1/8/27 (d)(e)(u) | 3,397,271 | 3,362,449 | |
Electron BidCo, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 11/1/28 (d)(e)(u) | 2,374,938 | 2,367,528 | |
Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3419% 10/1/27 (d)(e)(u) | 25,877,175 | 25,448,649 | |
HAH Group Holding Co. LLC: | |||
1LN, term loan: | |||
CME Term SOFR 1 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u) | 1,088,487 | 1,072,160 | |
CME Term SOFR 3 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u) | 599,076 | 587,095 | |
Tranche DD 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.44% 10/29/27 (d)(e)(u) | 137,733 | 135,667 | |
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1798% 3/15/28 (d)(e)(u) | 2,658,800 | 2,655,104 | |
Icon Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.7535% 7/3/28 (d)(e)(u) | 7,236,781 | 7,237,577 | |
MED ParentCo LP: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 8/31/26 (d)(e)(u) | 2,693,915 | 2,571,181 | |
2LN, term loan CME Term SOFR 1 Month Index + 8.250% 13.6955% 8/30/27 (d)(e)(u) | 810,000 | 695,790 | |
National Mentor Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1631% 3/2/28 (d)(e)(u) | 1,134,832 | 990,856 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 11/15/28 (d)(e)(u) | 7,296,966 | 7,270,551 | |
Pluto Acquisition I, Inc. term loan CME Term SOFR 1 Month Index + 4.000% 9.6841% 6/20/26 (d)(e)(u) | 2,842,000 | 2,401,490 | |
Surgery Center Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1785% 8/31/26 (d)(e)(u) | 3,032,814 | 3,036,393 | |
U.S. Anesthesia Partners, Inc.: | |||
2LN, term loan CME Term SOFR 1 Month Index + 7.500% 12.9326% 10/1/29 (d)(e)(h)(u) | 565,000 | 502,850 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6826% 10/1/28 (d)(e)(u) | 902,116 | 841,223 | |
Upstream Newco, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.7535% 11/20/26 (d)(e)(u) | 1,901,068 | 1,791,757 | |
70,735,949 | |||
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8202% 2/15/29 (d)(e)(u) | 15,993,850 | 15,787,209 | |
Imprivata, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 12/1/27 (d)(e)(u) | 2,971,600 | 2,938,704 | |
Virgin Pulse, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.1955% 4/6/28 (d)(e)(u) | 3,381,136 | 3,152,909 | |
Zelis Payments Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 9/30/26 (d)(e)(u) | 4,682,576 | 4,683,044 | |
26,561,866 | |||
Life Sciences Tools & Services - 0.0% | |||
PRA Health Sciences, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.7535% 7/3/28 (d)(e)(u) | 1,803,049 | 1,803,247 | |
Pharmaceuticals - 0.1% | |||
Elanco Animal Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1681% 8/1/27 (d)(e)(u) | 8,344,831 | 8,258,795 | |
Jazz Financing Lux SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 5/5/28 (d)(e)(u) | 8,402,436 | 8,402,436 | |
Organon & Co. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.4309% 6/2/28 (d)(e)(u) | 6,955,930 | 6,962,469 | |
Perrigo Investments LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.6811% 4/20/29 (d)(e)(u) | 1,717,650 | 1,707,344 | |
25,331,044 | |||
TOTAL HEALTH CARE | 151,013,636 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.1% | |||
Gemini HDPE LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.6307% 12/31/27 (d)(e)(u) | 1,856,846 | 1,854,061 | |
TransDigm, Inc.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4919% 8/24/28 (d)(e)(u) | 13,928,371 | 13,934,639 | |
Tranche H 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.4919% 2/22/27 (d)(e)(u) | 2,404,057 | 2,409,322 | |
18,198,022 | |||
Air Freight & Logistics - 0.0% | |||
Echo Global Logistics, Inc.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 11/23/28 (d)(e)(u) | 6,678,991 | 6,495,319 | |
2LN, term loan CME Term SOFR 3 Month Index + 7.000% 13.3782% 11/23/29 (d)(e)(h)(u) | 1,525,000 | 1,517,375 | |
Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.4919% 3/17/30 (d)(e)(u) | 882,788 | 853,656 | |
STG Logistics, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 6.000% 11.3919% 3/24/28 (d)(e)(h)(u) | 1,841,688 | 1,776,308 | |
10,642,658 | |||
Building Products - 0.2% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.7535% 5/17/28 (d)(e)(u) | 14,186,833 | 12,112,009 | |
APi Group DE, Inc. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 2.500% 7.9455% 10/1/26 (d)(e)(u) | 2,214,502 | 2,217,669 | |
CME Term SOFR 1 Month Index + 2.750% 8.1955% 12/16/28 (d)(e)(u) | 756,639 | 758,212 | |
AZZ, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.0811% 5/13/29 (d)(e)(u) | 2,584,746 | 2,588,623 | |
Emerson Climate Technologies Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3311% 5/31/30 (d)(e)(u) | 4,846,376 | 4,849,429 | |
Griffon Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.6387% 1/24/29 (d)(e)(u) | 3,026,593 | 3,016,182 | |
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8911% 2/25/29 (d)(e)(u) | 16,509,060 | 16,024,189 | |
Ingersoll-Rand Services Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1811% 2/28/27 (d)(e)(u) | 484,267 | 483,909 | |
Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8419% 4/29/29 (d)(e)(u) | 6,645,375 | 6,616,202 | |
Specialty Building Products Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 9.1811% 10/15/28 (d)(e)(u) | 1,397,313 | 1,371,113 | |
Standard Industries, Inc./New Jersey Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.9288% 9/22/28 (d)(e)(u) | 1,903,886 | 1,904,476 | |
51,942,013 | |||
Commercial Services & Supplies - 0.4% | |||
ABG Intermediate Holdings 2 LLC: | |||
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 11.4311% 12/20/29 (d)(e)(u) | 690,000 | 693,450 | |
Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 12/21/28 (d)(e)(u) | 10,528,902 | 10,522,374 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4187% 12/21/28 (d)(e)(u) | 9,171,840 | 9,173,490 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 5.9018% 12/21/28 (d)(e)(u)(w) | 3,007,161 | 3,007,702 | |
ADS Tactical, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.750% 11.1955% 3/19/26 (d)(e)(u) | 3,489,820 | 3,393,850 | |
All-Star Bidco AB: | |||
Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.900% 8.95% 11/16/28 (d)(e)(u) | 1,485,758 | 1,478,329 | |
Tranche B1 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.45% 11/16/28 (d)(e)(u) | 2,221,175 | 2,202,428 | |
Allied Universal Holdco LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.750% 9.1811% 5/14/28 (d)(e)(u) | 7,209,288 | 6,999,786 | |
CME Term SOFR 1 Month Index + 4.750% 9.8805% 5/14/28 (d)(e)(u) | 1,280,000 | 1,264,640 | |
APX Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.679% 7/9/28 (d)(e)(u) | 4,201,095 | 4,199,121 | |
Archkey Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.836% 6/30/28 (d)(e)(u) | 1,160,239 | 1,153,718 | |
AVSC Holding Corp. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 5.500% 10.9311% 10/15/26 (d)(e)(u) | 2,682,747 | 2,595,558 | |
Brand Energy & Infrastructure Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8719% 8/1/30 (d)(e)(u) | 8,350,000 | 8,056,247 | |
Clean Harbors, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4455% 10/8/28 (d)(e)(u) | 994,850 | 997,964 | |
Congruex Group LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.2691% 5/3/29 (d)(e)(u) | 2,722,500 | 2,674,856 | |
Covanta Holding Corp.: | |||
Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 2.500% 7.8311% 11/30/28 (d)(e)(u) | 1,882,951 | 1,874,723 | |
CME Term SOFR 1 Month Index + 3.000% 8.3125% 11/30/28 (d)(e)(u) | 893,023 | 892,282 | |
Tranche C 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 2.500% 7.8311% 11/30/28 (d)(e)(u) | 142,830 | 142,206 | |
CME Term SOFR 1 Month Index + 3.000% 8.3125% 11/30/28 (d)(e)(u) | 66,977 | 66,921 | |
Eagle 4 Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.7535% 7/12/28 (d)(e)(u) | 2,256,116 | 2,242,963 | |
Ensemble RCM LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2191% 8/1/26 (d)(e)(u) | 4,304,722 | 4,307,047 | |
Filtration Group Corp.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 10/19/28 (d)(e)(u) | 3,044,708 | 3,051,680 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 10/21/28 (d)(e)(u) | 614,063 | 610,483 | |
Harland Clarke Holdings Corp. 1LN, term loan CME Term SOFR 1 Month Index + 7.750% 13.2535% 6/16/26 (d)(e)(u) | 1,912,020 | 1,735,158 | |
Indy U.S. Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0811% 3/5/28 (d)(e)(u) | 2,140,917 | 2,044,575 | |
KNS Acquisitions, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6955% 4/21/27 (d)(e)(u) | 2,828,338 | 2,389,945 | |
Madison IAQ LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.3023% 6/21/28 (d)(e)(u) | 6,389,697 | 6,349,761 | |
Maverick Purchaser Sub LLC: | |||
Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 4.000% 9.3138% 2/15/29 (d)(e)(u) | 4,862,226 | 4,748,791 | |
CME Term SOFR 1 Month Index + 4.000% 9.4455% 1/23/27 (d)(e)(u) | 3,548,335 | 3,512,851 | |
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 8.750% 14.1955% 1/31/28 (d)(e)(u) | 2,880,000 | 2,584,800 | |
Neptune BidCo U.S., Inc.: | |||
term loan CME Term SOFR 1 Month Index + 4.750% 10.1485% 10/11/28 (d)(e)(u) | 3,002,475 | 2,700,366 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3985% 4/11/29 (d)(e)(u) | 18,139,538 | 16,499,361 | |
Omnia Partners LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6012% 7/25/30 (d)(e)(u) | 3,533,102 | 3,539,745 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7/19/30 (e)(u)(w) | 331,898 | 332,521 | |
Optiv Security, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.3384% 8/14/26 (d)(e)(u) | 2,210,000 | 2,121,600 | |
Pilot Travel Centers LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4311% 8/4/28 (d)(e)(u) | 7,216,247 | 7,190,485 | |
PowerTeam Services LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8419% 3/6/25 (d)(e)(u) | 3,386,368 | 3,145,089 | |
RLG Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6955% 7/8/28 (d)(e)(u) | 1,979,850 | 1,905,606 | |
Sabert Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9455% 12/10/26 (d)(e)(u) | 2,393,998 | 2,393,998 | |
SuperMoose Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.1419% 8/29/25 (d)(e)(u) | 1,460,195 | 1,375,708 | |
The Brickman Group, Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6191% 4/22/29 (d)(e)(u) | 1,778,646 | 1,770,500 | |
The GEO Group, Inc. Tranche 1B 1LN, term loan CME Term SOFR 1 Month Index + 7.120% 12.4561% 3/23/27 (d)(e)(u) | 1,370,590 | 1,391,368 | |
WMB Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6811% 11/3/29 (d)(e)(u) | 1,804,950 | 1,805,329 | |
141,139,375 | |||
Construction & Engineering - 0.1% | |||
Breakwater Energy Partners LLC Tranche B 1LN, term loan 11.25% 9/1/26 (d)(h)(u) | 4,585,600 | 4,431,065 | |
JMC Steel Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 2.000% 7.4264% 1/24/27 (d)(e)(u) | 1,915,500 | 1,901,134 | |
Pike Corp. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.000% 8.4455% 1/21/28 (d)(e)(u) | 2,397,260 | 2,396,014 | |
CME Term SOFR 1 Month Index + 3.500% 8.8311% 1/21/28 (d)(e)(u) | 1,741,838 | 1,744,015 | |
Rockwood Service Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4455% 1/23/27 (d)(e)(u) | 4,021,578 | 4,028,294 | |
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 6/4/28 (d)(e)(u) | 7,017,195 | 6,916,358 | |
Traverse Midstream Partners Ll Tranche B, term loan CME TERM SOFR 6 MONTH INDEX + 4.250% 9.2156% 2/16/28 (d)(e)(u) | 1,367,304 | 1,364,911 | |
USIC Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 5/14/28 (d)(e)(u) | 2,515,200 | 2,449,629 | |
25,231,420 | |||
Electrical Equipment - 0.1% | |||
Alliance Laundry Systems LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.9013% 10/8/27 (d)(e)(u) | 2,786,786 | 2,788,932 | |
Array Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6823% 10/14/27 (d)(e)(u) | 5,714,959 | 5,688,784 | |
Global IID Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0035% 12/16/28 (d)(e)(u) | 1,339,600 | 1,222,385 | |
Vertiv Group Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1823% 3/2/27 (d)(e)(u) | 6,572,738 | 6,566,362 | |
16,266,463 | |||
Ground Transportation - 0.0% | |||
Avis Budget Group, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 3/16/29 (d)(e)(u) | 1,575,063 | 1,572,605 | |
Genesee & Wyoming, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.3419% 12/30/26 (d)(e)(u) | 3,628,125 | 3,627,472 | |
Uber Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.0183% 3/3/30 (d)(e)(u) | 9,006,219 | 9,015,945 | |
14,216,022 | |||
Machinery - 0.0% | |||
Ali Group North America Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4455% 7/22/29 (d)(e)(u) | 2,544,778 | 2,545,007 | |
Chart Industries, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.164% 3/17/30 (d)(e)(u) | 4,732,450 | 4,726,534 | |
CPM Holdings, Inc.: | |||
2LN, term loan CME Term SOFR 1 Month Index + 8.250% 13.6826% 11/15/26 (d)(e)(u) | 223,434 | 222,503 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9326% 11/15/25 (d)(e)(u) | 1,127,490 | 1,127,490 | |
TNT Crane & Rigging LLC 2LN, term loan 3 month U.S. LIBOR + 8.750% 14.2583% 4/16/25 (d)(e)(h)(u) | 812,130 | 762,427 | |
Vertical U.S. Newco, Inc. Tranche B 1LN, term loan 6 month U.S. LIBOR + 3.500% 9.3811% 7/31/27 (d)(e)(u) | 2,074,800 | 2,070,775 | |
11,454,736 | |||
Passenger Airlines - 0.1% | |||
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.3378% 4/20/28 (d)(e)(u) | 8,354,300 | 8,668,923 | |
Air Canada Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9.1284% 8/11/28 (d)(e)(u) | 2,722,500 | 2,722,010 | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 10.7637% 7/2/27 (d)(e)(u) | 4,204,000 | 4,379,307 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0761% 10/20/27 (d)(e)(u) | 4,092,750 | 4,255,969 | |
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2919% 4/21/28 (d)(e)(u) | 6,579,779 | 6,588,004 | |
26,614,213 | |||
Professional Services - 0.2% | |||
AlixPartners LLP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 2/4/28 (d)(e)(u) | 4,536,594 | 4,529,653 | |
Cast & Crew Payroll LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.500% 8.9455% 2/7/26 (d)(e)(u) | 5,289,674 | 5,172,878 | |
CME Term SOFR 1 Month Index + 3.750% 9.0811% 12/30/28 (d)(e)(u) | 2,409,749 | 2,351,217 | |
Ceridian HCM Holding, Inc. Tranche B, term loan CME Term SOFR 1 Month Index + 2.500% 7.9455% 4/30/25 (d)(e)(u) | 4,265,064 | 4,258,837 | |
CHG Healthcare Services, Inc. 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 8.6955% 9/30/28 (d)(e)(u) | 1,426,970 | 1,417,167 | |
CME Term SOFR 1 Month Index + 3.750% 9/30/28 (e)(u)(v) | 500,000 | 499,375 | |
CoreLogic, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9455% 6/2/28 (d)(e)(u) | 14,822,495 | 13,790,256 | |
EAB Global, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.872% 8/16/28 (d)(e)(u) | 2,038,950 | 2,016,440 | |
EmployBridge LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 10.2584% 7/19/28 (d)(e)(u) | 3,852,616 | 3,207,303 | |
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0811% 4/29/29 (d)(e)(u) | 2,168,613 | 2,054,760 | |
Sedgwick Claims Management Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0811% 2/24/28 (d)(e)(u) | 1,596,825 | 1,598,246 | |
Sitel Worldwide Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1955% 8/27/28 (d)(e)(u) | 2,272,002 | 2,242,466 | |
Verscend Holding Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4455% 8/27/25 (d)(e)(u) | 6,316,507 | 6,308,612 | |
49,447,210 | |||
Transportation Infrastructure - 0.0% | |||
AIT Worldwide Logistics Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 10.1624% 4/6/28 (d)(e)(u) | 3,087,413 | 3,042,399 | |
ASP LS Acquisition Corp.: | |||
2LN, term loan 6 month U.S. LIBOR + 7.500% 13.1307% 5/7/29 (d)(e)(u) | 575,000 | 447,063 | |
Tranche B 1LN, term loan 6 month U.S. LIBOR + 4.500% 10.1307% 5/7/28 (d)(e)(u) | 2,920,519 | 2,533,550 | |
Wwex Unified Topco Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5035% 7/26/28 (d)(e)(u) | 2,942,016 | 2,849,460 | |
8,872,472 | |||
TOTAL INDUSTRIALS | 374,024,604 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Communications Equipment - 0.1% | |||
Anastasia Parent LLC Tranche B, term loan CME Term SOFR 3 Month Index + 3.750% 9.2535% 8/10/25 (d)(e)(u) | 5,568,025 | 4,155,139 | |
Ciena Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.814% 1/18/30 (d)(e)(u) | 1,114,400 | 1,114,400 | |
CommScope, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 4/4/26 (d)(e)(u) | 9,540,048 | 8,748,224 | |
Eos U.S. Finco LLC 1LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.2684% 10/6/29 (d)(e)(u) | 1,979,938 | 1,938,695 | |
Radiate Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.6955% 9/25/26 (d)(e)(u) | 7,529,541 | 6,149,602 | |
22,106,060 | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Coherent Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 7/1/29 (d)(e)(u) | 4,453,735 | 4,438,147 | |
DG Investment Intermediate Holdings, Inc.: | |||
2LN, term loan CME Term SOFR 1 Month Index + 6.750% 12.1955% 3/31/29 (d)(e)(u) | 600,000 | 528,300 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 3/31/28 (d)(e)(u) | 2,577,485 | 2,527,328 | |
Go Daddy Operating Co. LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4455% 8/10/27 (d)(e)(u) | 3,152,500 | 3,150,924 | |
TTM Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0681% 5/30/30 (d)(e)(u) | 2,713,046 | 2,713,046 | |
13,357,745 | |||
IT Services - 0.2% | |||
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3919% 2/16/28 (d)(e)(u) | 2,547,135 | 2,526,045 | |
AEA International Holdings Luxembourg SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2535% 9/7/28 (d)(e)(u) | 1,497,200 | 1,495,329 | |
Arches Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6811% 12/4/27 (d)(e)(u) | 2,928,311 | 2,843,654 | |
Camelot Finance SA: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 10/31/26 (d)(e)(u) | 6,516,072 | 6,513,205 | |
Tranche B, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 10/31/26 (d)(e)(u) | 2,749,034 | 2,748,346 | |
Constant Contact, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.5611% 2/10/28 (d)(e)(u) | 1,909,416 | 1,830,176 | |
GoDaddy, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.8311% 11/9/29 (d)(e)(u) | 2,923,191 | 2,926,845 | |
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.3419% 6/30/28 (d)(e)(u) | 3,264,012 | 1,865,938 | |
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5919% 8/19/28 (d)(e)(u) | 2,110,463 | 2,106,558 | |
Ion Trading Finance Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.0919% 3/26/28 (d)(e)(u) | 6,954,038 | 6,803,344 | |
Park Place Technologies LLC 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4311% 11/10/27 (d)(e)(u) | 2,456,177 | 2,395,386 | |
Peraton Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 2/1/28 (d)(e)(u) | 16,692,669 | 16,512,722 | |
Tempo Acquisition LLC 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 8.3311% 8/31/28 (d)(e)(u) | 4,058,335 | 4,063,408 | |
VFH Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4202% 1/13/29 (d)(e)(u) | 5,664,600 | 5,619,283 | |
60,250,239 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0176% 7/6/29 (d)(e)(u) | 5,860,184 | 5,867,510 | |
MKS Instruments, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1788% 8/17/29 (d)(e)(u) | 4,573,559 | 4,566,882 | |
�� | 10,434,392 | ||
Software - 0.7% | |||
A&V Holdings Midco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.370% 10.2611% 3/10/27 (d)(e)(u) | 2,035,108 | 1,994,406 | |
Applied Systems, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.7419% 9/19/26 (d)(e)(u) | 3,920,175 | 3,932,955 | |
AppLovin Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.100% 8.412% 8/14/30 (d)(e)(u) | 5,733,962 | 5,713,893 | |
Aptean, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6811% 4/23/26 (d)(e)(u) | 2,351,241 | 2,327,728 | |
Ascend Learning LLC: | |||
2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1811% 12/10/29 (d)(e)(u) | 2,200,000 | 1,876,424 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 12/10/28 (d)(e)(u) | 13,373,762 | 12,843,626 | |
Byju's Alpha, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.000% 15.4885% 11/24/26 (d)(e)(u) | 3,548,952 | 1,809,966 | |
Central Parent, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4919% 7/6/29 (d)(e)(u) | 5,050,852 | 5,052,064 | |
Cloud Software Group, Inc.: | |||
Tranche A 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9/30/28 (e)(u)(v) | 1,075,000 | 1,033,731 | |
Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.8419% 3/30/29 (d)(e)(u) | 7,124,200 | 6,851,699 | |
ConnectWise LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.9455% 9/30/28 (d)(e)(u) | 4,402,055 | 4,319,516 | |
DCert Buyer, Inc.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3311% 10/16/26 (d)(e)(u) | 9,387,940 | 9,346,727 | |
Tranche B 2LN, term loan 1 month U.S. LIBOR + 7.000% 12.3311% 2/19/29 (d)(e)(u) | 2,493,409 | 2,323,034 | |
Epicor Software Corp.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7/31/27 (e)(u)(v) | 1,000,000 | 1,000,630 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 7/31/27 (d)(e)(u) | 3,406,362 | 3,399,549 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 12.981% 6/13/25 (d)(e)(u) | 6,633,000 | 6,623,316 | |
Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 3.500% 9.231% 6/13/24 (d)(e)(u) | 15,484,739 | 15,463,835 | |
Flexera Software LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1955% 3/3/28 (d)(e)(u) | 2,224,275 | 2,197,873 | |
Gen Digital, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 7.4311% 9/12/29 (d)(e)(u) | 8,721,320 | 8,703,877 | |
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.4455% 12/1/27 (d)(e)(u) | 4,143,750 | 4,141,181 | |
Helios Software Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6599% 7/14/30 (d)(e)(u) | 835,000 | 826,391 | |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1681% 3/1/29 (d)(e)(u) | 6,699,707 | 6,565,712 | |
MH Sub I LLC: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5811% 5/3/28 (d)(e)(u) | 16,472,069 | 15,816,810 | |
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.5811% 2/23/29 (d)(e)(u) | 2,065,000 | 1,792,936 | |
NAVEX TopCo, Inc.: | |||
2LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4311% 9/4/26 (d)(e)(u) | 175,000 | 171,719 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6811% 9/5/25 (d)(e)(u) | 1,226,088 | 1,222,582 | |
Open Text Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1811% 1/31/30 (d)(e)(u) | 8,466,395 | 8,471,136 | |
Polaris Newco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.5379% 6/2/28 (d)(e)(u) | 14,392,578 | 13,951,878 | |
Project Boost Purchaser LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 5/30/26 (d)(e)(u) | 2,740,172 | 2,735,377 | |
Proofpoint, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.6955% 8/31/28 (d)(e)(u) | 8,319,668 | 8,229,982 | |
Rackspace Technology Global, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1769% 2/15/28 (d)(e)(u) | 7,347,005 | 3,260,233 | |
RealPage, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 4/22/28 (d)(e)(u) | 4,710,590 | 4,653,309 | |
Red Planet Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 9/30/28 (d)(e)(u) | 2,821,020 | 2,657,626 | |
Renaissance Holdings Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 9.9919% 4/7/30 (d)(e)(u) | 6,220,000 | 6,222,923 | |
Roper Industrial Products Investment Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.7419% 11/22/29 (d)(e)(u) | 1,481,288 | 1,482,324 | |
Sophia LP: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5811% 10/7/27 (d)(e)(u) | 613,800 | 609,773 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9.0379% 10/7/27 (d)(e)(u) | 6,434,292 | 6,419,558 | |
Sovos Compliance LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.9455% 8/11/28 (d)(e)(u) | 2,152,053 | 2,092,204 | |
SS&C Technologies, Inc.: | |||
Tranche B 3LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 4/16/25 (d)(e)(u) | 2,016,460 | 2,016,259 | |
Tranche B 4LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 4/16/25 (d)(e)(u) | 1,904,171 | 1,903,980 | |
Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 4/16/25 (d)(e)(u) | 6,245,929 | 6,243,306 | |
STG-Fairway Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 1/31/27 (d)(e)(u) | 1,216,644 | 1,211,704 | |
UKG, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.2191% 5/4/26 (d)(e)(u) | 4,677,709 | 4,675,744 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 8.6184% 5/3/26 (d)(e)(u) | 16,159,161 | 16,140,578 | |
CME Term SOFR 1 Month Index + 4.500% 10.0225% 5/4/26 (d)(e)(u) | 1,925,000 | 1,929,004 | |
2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6184% 5/3/27 (d)(e)(u) | 6,093,000 | 6,050,593 | |
Veritas U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 10.4455% 9/1/25 (d)(e)(u) | 4,340,389 | 3,650,137 | |
VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.6811% 2/28/27 (d)(e)(u) | 4,359,829 | 4,305,332 | |
236,265,140 | |||
TOTAL INFORMATION TECHNOLOGY | 342,413,576 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.3% | |||
ARC Falcon I, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 9/30/28 (d)(e)(u) | 5,465,201 | 5,336,277 | |
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4311% 9/22/29 (d)(e)(h)(u) | 675,000 | 604,125 | |
Aruba Investment Holdings LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0811% 11/24/27 (d)(e)(u) | 1,791,000 | 1,728,315 | |
2LN, term loan 1 month U.S. LIBOR + 7.750% 13.1811% 11/24/28 (d)(e)(u) | 935,000 | 849,289 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.4311% 11/24/27 (d)(e)(u) | 3,132,201 | 3,036,293 | |
Avient Corp. Tranche B7 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8718% 8/29/29 (d)(e)(u) | 960,674 | 961,875 | |
Bakelite U.S. Holding Ltd. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3919% 5/27/29 (d)(e)(u) | 1,722,600 | 1,704,306 | |
Consolidated Energy Finance SA: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9.0379% 5/7/25 (d)(e)(h)(u) | 2,582,300 | 2,517,743 | |
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 8.0379% 5/7/25 (d)(e)(u) | 1,721,190 | 1,691,930 | |
Cyanco Intermediate 2 Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0811% 7/7/28 (d)(e)(u) | 1,005,000 | 1,006,889 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6169% 10/4/29 (d)(e)(u) | 9,921,806 | 9,506,380 | |
Groupe Solmax, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 10.2267% 5/27/28 (d)(e)(u) | 1,644,030 | 1,515,796 | |
Herens U.S. Holdco Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.920% 9.2669% 7/3/28 (d)(e)(u) | 3,075,246 | 2,689,733 | |
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 10.0332% 3/15/29 (d)(e)(u) | 6,427,145 | 6,112,793 | |
Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.430% 12.8577% 3/15/30 (d)(e)(u) | 1,320,000 | 1,066,732 | |
INEOS U.S. Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9311% 2/10/30 (d)(e)(u) | 1,260,000 | 1,250,235 | |
INEOS U.S. Petrochem LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1811% 3/1/30 (d)(e)(u) | 1,300,000 | 1,291,875 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 1/20/26 (d)(e)(u) | 4,959,532 | 4,922,335 | |
Koppers, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.415% 4/10/30 (d)(e)(u) | 3,072,300 | 3,079,981 | |
Luxembourg Investment Co. 428 SARL Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.000% 10.3919% 1/3/29 (d)(e)(u) | 1,435,795 | 1,041,856 | |
Manchester Acquisition Sub LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.750% 11.1767% 12/1/26 (d)(e)(u) | 1,167,225 | 1,073,847 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 5.000% 10.2684% 11/9/28 (d)(e)(u) | 5,270,000 | 5,267,787 | |
CME Term SOFR 3 Month Index + 3.750% 9.2535% 11/9/28 (d)(e)(u) | 6,184,217 | 6,087,619 | |
Starfruit U.S. Holdco LLC Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 4.000% 9.3181% 4/3/28 (d)(e)(u) | 4,431,705 | 4,409,547 | |
CME Term SOFR 1 Month Index + 4.000% 9.3467% 4/3/28 (d)(e)(u) | 1,650,000 | 1,643,120 | |
The Chemours Co. LLC Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8311% 8/10/28 (d)(e)(u) | 6,294,429 | 6,192,145 | |
U.S. Coatings Acquisition, Inc. term loan CME Term SOFR 1 Month Index + 2.500% 7.812% 12/20/29 (d)(e)(u) | 1,093,163 | 1,094,868 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.3125% 9/22/28 (d)(e)(u) | 1,802,130 | 1,798,003 | |
79,481,694 | |||
Construction Materials - 0.0% | |||
Janus International Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.668% 8/3/30 (d)(e)(u) | 770,000 | 769,038 | |
Smyrna Ready Mix LLC Tranche B 1lN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6811% 4/1/29 (d)(e)(u) | 3,188,297 | 3,196,268 | |
VM Consolidated, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 3/27/28 (d)(e)(u) | 3,352,045 | 3,347,855 | |
White Capital Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9.0811% 10/19/27 (d)(e)(u) | 3,495,734 | 3,489,896 | |
10,803,057 | |||
Containers & Packaging - 0.2% | |||
AOT Packaging Products AcquisitionCo LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 3/3/28 (d)(e)(u) | 4,452,152 | 4,335,283 | |
Berlin Packaging, LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.250% 8.5735% 3/11/28 (d)(e)(u) | 559,916 | 548,017 | |
1 month U.S. LIBOR + 3.750% 9.1878% 3/11/28 (d)(e)(u) | 7,147,272 | 7,071,368 | |
Berry Global, Inc. Tranche Z 1LN, term loan 1 month U.S. LIBOR + 1.750% 7.2925% 7/1/26 (d)(e)(u) | 3,402,076 | 3,400,613 | |
Canister International Group, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1811% 12/21/26 (d)(e)(u) | 3,366,900 | 3,366,900 | |
Charter NEX U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1955% 12/1/27 (d)(e)(u) | 3,753,329 | 3,724,579 | |
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.6061% 4/13/29 (d)(e)(u) | 15,124,405 | 15,010,972 | |
Graham Packaging Co., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 8/4/27 (d)(e)(u) | 4,281,379 | 4,269,091 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.750% 10.476% 2/9/26 (d)(e)(u) | 3,240,612 | 3,027,963 | |
Pregis TopCo Corp. 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.750% 9.1955% 8/1/26 (d)(e)(u) | 1,719,375 | 1,712,205 | |
CME Term SOFR 1 Month Index + 4.000% 9.0811% 7/31/26 (d)(e)(u) | 1,497,205 | 1,495,648 | |
Proampac PG Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.3047% 11/18/25 (d)(e)(u) | 1,163,329 | 1,160,421 | |
Reynolds Consumer Products LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1811% 1/30/27 (d)(e)(u) | 3,565,333 | 3,561,697 | |
Reynolds Group Holdings, Inc. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.250% 8.6955% 2/5/26 (d)(e)(u) | 1,973,531 | 1,972,682 | |
CME Term SOFR 1 Month Index + 3.250% 8.6955% 9/24/28 (d)(e)(u) | 2,976,975 | 2,974,980 | |
57,632,419 | |||
Metals & Mining - 0.0% | |||
Arsenal AIC Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8792% 7/27/30 (d)(e)(u) | 2,930,000 | 2,931,465 | |
U.S. Silica Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1811% 3/23/30 (d)(e)(u) | 2,073,478 | 2,073,478 | |
5,004,943 | |||
Paper & Forest Products - 0.0% | |||
Ahlstrom-Munksjo OYJ 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2879% 2/4/28 (d)(e)(u) | 2,278,096 | 2,192,668 | |
TOTAL MATERIALS | 155,114,781 | ||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
DTZ U.S. Borrower LLC Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 2.750% 8.1955% 8/21/25 (d)(e)(u) | 422,491 | 421,435 | |
CME Term SOFR 1 Month Index + 3.250% 8.6811% 1/31/30 (d)(e)(u) | 4,320,740 | 4,255,929 | |
CME Term SOFR 1 Month Index + 4.000% 9.3311% 1/31/30 (d)(e)(u) | 1,350,000 | 1,343,250 | |
Greystar Real Estate Partners 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.064% 8/7/30 (d)(e)(u) | 1,725,000 | 1,720,688 | |
7,741,302 | |||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Brookfield WEC Holdings, Inc.: | |||
1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0811% 8/1/25 (d)(e)(u) | 461,513 | 461,803 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1955% 8/1/25 (d)(e)(u) | 11,401,942 | 11,384,041 | |
ExGen Renewables IV, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 8.1841% 12/15/27 (d)(e)(u) | 1,683,347 | 1,671,428 | |
Generation Bridge Northeast LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5643% 8/7/29 (d)(e)(u) | 2,055,000 | 2,049,863 | |
PG&E Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4455% 6/23/25 (d)(e)(u) | 13,674,731 | 13,648,202 | |
Vistra Operations Co. LLC Tranche B 3LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1955% 12/31/25 (d)(e)(u) | 5,041,663 | 5,035,462 | |
34,250,799 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Esdec Solar Group BV Tranche B 1LN, term loan 6 month U.S. LIBOR + 4.750% 9.9596% 8/27/28 (d)(e)(u) | 2,714,965 | 2,714,965 | |
Natgasoline LLC Tranche B, term loan CME Term SOFR 1 Month Index + 3.500% 8.9455% 11/14/25 (d)(e)(u) | 1,675,855 | 1,667,475 | |
Win Waste Innovations Holdings Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0811% 3/25/28 (d)(e)(u) | 1,960,000 | 1,685,051 | |
6,067,491 | |||
Multi-Utilities - 0.0% | |||
Osmose Utilities Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6955% 6/23/28 (d)(e)(u) | 178,186 | 176,599 | |
TOTAL UTILITIES | 40,494,889 | ||
TOTAL BANK LOAN OBLIGATIONS (Cost $2,088,536,920) | 2,036,936,970 | ||
Bank Notes - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank 5.974% 8/9/28 (d) | 8,844,000 | 8,160,261 | |
KeyBank NA 6.95% 2/1/28 | 1,259,000 | 1,241,456 | |
Regions Bank 6.45% 6/26/37 | 15,683,000 | 15,414,956 | |
TOTAL BANK NOTES (Cost $25,774,542) | 24,816,673 | ||
Preferred Securities - 0.5% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
CAS Capital No 1 Ltd. 4% (Reg. S) (d)(i) | 1,630,000 | 1,330,151 | |
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen International Finance NV: | |||
3.748% (Reg. S) (d)(i) | EUR | 1,700,000 | 1,642,497 |
3.875% (Reg. S) (d)(i) | EUR | 19,900,000 | 18,138,262 |
19,780,759 | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (i) | 2,363,000 | 2,368,324 | |
Tobacco - 0.0% | |||
British American Tobacco PLC 3% (Reg. S) (d)(i) | EUR | 14,550,000 | 13,535,080 |
TOTAL CONSUMER STAPLES | 15,903,404 | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Energy Transfer LP 3 month U.S. LIBOR + 4.020% 9.6542% (d)(e)(i) | 16,335,000 | 15,102,670 | |
EnLink Midstream Partners LP 3 month U.S. LIBOR + 4.110% 9.6184% 12/31/99 (d)(e)(i) | 650,000 | 590,394 | |
Plains All American Pipeline LP CME Term SOFR 3 Month Index + 4.110% 9.7362% (d)(e)(i) | 3,643,000 | 3,359,183 | |
19,052,247 | |||
FINANCIALS - 0.2% | |||
Banks - 0.2% | |||
AIB Group PLC 6.25% (Reg. S) (d)(i) | EUR | 3,600,000 | 3,762,388 |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (d)(i) | EUR | 3,400,000 | 3,728,532 |
Banco Do Brasil SA 6.25% (b)(d)(i) | 1,545,000 | 1,495,458 | |
Banco Mercantil del Norte SA: | |||
6.75% (b)(d)(i) | 1,465,000 | 1,451,047 | |
7.625% (b)(d)(i) | 1,568,000 | 1,480,726 | |
Bank of America Corp.: | |||
5.875% (d)(i) | 3,830,000 | 3,638,653 | |
6.25% (d)(i) | 2,765,000 | 2,835,223 | |
Bank of Nova Scotia: | |||
CME Term SOFR 3 Month Index + 2.900% 8.2091% (d)(e)(i) | 2,133,000 | 1,923,190 | |
4.9% (d)(i) | 1,360,000 | 1,270,413 | |
Barclays PLC: | |||
5.875% (Reg. S) (d)(i) | GBP | 2,950,000 | 3,499,027 |
7.125% (d)(i) | GBP | 645,000 | 764,160 |
8.875% (d)(i) | GBP | 1,600,000 | 1,905,705 |
BBVA Bancomer SA Texas Branch: | |||
5.125% 1/18/33 (b)(d) | 900,000 | 783,024 | |
5.35% 11/12/29 (b)(d) | 485,000 | 475,951 | |
8.45% 6/29/38 (b)(d) | 885,000 | 898,538 | |
BNP Paribas SA 6.625% (Reg. S) (d)(i) | 4,470,000 | 4,541,240 | |
Emirates NBD Bank PJSC 6.125% (Reg. S) (d)(i) | 1,451,000 | 1,479,240 | |
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (d)(i) | 300,000 | 301,538 | |
JPMorgan Chase & Co.: | |||
4.6% (d)(i) | 2,760,000 | 2,600,127 | |
6.1% (d)(i) | 4,812,000 | 4,910,635 | |
Lloyds Banking Group PLC 5.125% (d)(i) | GBP | 435,000 | 507,859 |
NBK Tier 1 Financing 2 Ltd. 4.5% (b)(d)(i) | 1,210,000 | 1,125,893 | |
NBK Tier 1 Ltd. 3.625% (b)(d)(i) | 635,000 | 551,477 | |
Societe Generale 7.875% (Reg. S) (d)(i) | 1,800,000 | 1,821,187 | |
Tinkoff Credit Systems 6% (b)(c)(d)(h)(i) | 715,000 | 35,750 | |
Wells Fargo & Co. 5.9% (d)(i) | 2,110,000 | 2,114,692 | |
49,901,673 | |||
Capital Markets - 0.0% | |||
Charles Schwab Corp. 4% (d)(i) | 2,455,000 | 1,878,173 | |
Credit Suisse Group AG 7.5% (Reg. S) (c)(d)(i) | 15,540,000 | 777,000 | |
UBS Group AG 7% (Reg. S) (d)(i) | 940,000 | 948,761 | |
3,603,934 | |||
Consumer Finance - 0.0% | |||
Ally Financial, Inc.: | |||
4.7% (d)(i) | 3,166,000 | 2,230,842 | |
4.7% (d)(i) | 3,134,000 | 2,024,146 | |
4,254,988 | |||
Insurance - 0.0% | |||
QBE Insurance Group Ltd. 5.25% (Reg. S) (d)(i) | 7,527,000 | 7,079,804 | |
TOTAL FINANCIALS | 64,840,399 | ||
INDUSTRIALS - 0.0% | |||
Ground Transportation - 0.0% | |||
Mobico Group PLC 4.25% (Reg. S) (d)(i) | GBP | 1,540,000 | 1,735,445 |
Marine Transportation - 0.0% | |||
DP World Salaam 6% (Reg. S) (d)(i) | 2,000,000 | 2,003,263 | |
Trading Companies & Distributors - 0.0% | |||
AerCap Holdings NV 5.875% 10/10/79 (d) | 8,280,000 | 8,185,777 | |
Air Lease Corp. 4.125% 12/31/99 (d)(i) | 1,475,000 | 1,076,296 | |
Aircastle Ltd. 5.25% 12/31/99 (b)(d)(i) | 2,360,000 | 1,886,236 | |
11,148,309 | |||
TOTAL INDUSTRIALS | 14,887,017 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
Network i2i Ltd.: | |||
3.975% (b)(d)(i) | 645,000 | 596,442 | |
5.65% (b)(d)(i) | 1,495,000 | 1,481,466 | |
2,077,908 | |||
MATERIALS - 0.0% | |||
Construction Materials - 0.0% | |||
CEMEX S.A.B. de CV: | |||
5.125% (b)(d)(i) | 2,260,000 | 2,150,447 | |
9.125% (b)(d)(i) | 1,475,000 | 1,563,679 | |
3,714,126 | |||
REAL ESTATE - 0.1% | |||
Real Estate Management & Development - 0.1% | |||
Aroundtown SA 3.375% (Reg. S) (d)(i) | EUR | 6,200,000 | 2,929,880 |
AT Securities BV USD SWAP SEMI 30/360 5Y INDX + 3.540% 7.747% (Reg. S) (d)(e)(i) | 13,000,000 | 5,851,820 | |
Citycon Oyj 4.496% (Reg. S) (d)(i) | EUR | 2,550,000 | 1,919,762 |
CPI Property Group SA 3.75% (Reg. S) (d)(i) | EUR | 6,840,000 | 2,100,694 |
Grand City Properties SA 1.5% (Reg. S) (d)(i) | EUR | 10,500,000 | 4,929,907 |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (d)(i) | EUR | 11,640,000 | 7,170,397 |
3.625% (Reg. S) (d)(i) | EUR | 600,000 | 308,234 |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (d)(i) | EUR | 5,240,000 | 582,986 |
25,793,680 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Electricite de France SA 5.625% (Reg. S) (d)(i) | 950,000 | 943,787 | |
SSE PLC 3.74% (Reg. S) (d)(i) | GBP | 3,300,000 | 3,849,257 |
4,793,044 | |||
Multi-Utilities - 0.0% | |||
Veolia Environnement SA 2% (Reg. S) (d)(i) | EUR | 2,700,000 | 2,498,389 |
TOTAL UTILITIES | 7,291,433 | ||
TOTAL PREFERRED SECURITIES (Cost $248,670,436) | 174,671,124 | ||
Money Market Funds - 2.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (x) | 552,137,100 | 552,247,527 | |
Fidelity Securities Lending Cash Central Fund 5.44% (x)(y) | 264,808,269 | 264,834,750 | |
TOTAL MONEY MARKET FUNDS (Cost $817,026,322) | 817,082,277 | ||
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.2575% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring June 2033 | 6/08/28 | 14,800,000 | 656,036 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.305% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 30,400,000 | 1,323,453 | |
TOTAL PUT OPTIONS | 1,979,489 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.2575% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring June 2033 | 6/08/28 | 14,800,000 | 539,856 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.305% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 30,400,000 | 1,141,563 | |
TOTAL CALL OPTIONS | 1,681,419 | |||
TOTAL PURCHASED SWAPTIONS (Cost $3,647,444) | 3,660,908 |
TOTAL INVESTMENT IN SECURITIES - 107.3% (Cost $37,155,788,848) | 34,179,685,411 |
NET OTHER ASSETS (LIABILITIES) - (7.3)% | (2,333,038,124) |
NET ASSETS - 100.0% | 31,846,647,287 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 9/1/53 | (9,250,000) | (7,631,254) |
2% 9/1/53 | (115,650,000) | (95,411,296) |
2.5% 9/1/53 | (24,150,000) | (20,555,842) |
3% 9/1/53 | (75,300,000) | (66,210,816) |
3.5% 9/1/53 | (17,000,000) | (15,435,227) |
TOTAL GINNIE MAE | (205,244,435) | |
Uniform Mortgage Backed Securities | ||
1.5% 9/1/53 | (28,800,000) | (21,711,447) |
2% 9/1/53 | (51,900,000) | (41,315,748) |
2% 9/1/53 | (51,850,000) | (41,275,944) |
2% 9/1/53 | (84,400,000) | (67,187,844) |
2% 9/1/53 | (77,850,000) | (61,973,621) |
2% 9/1/53 | (8,300,000) | (6,607,335) |
2% 9/1/53 | (4,700,000) | (3,741,503) |
2% 9/1/53 | (129,750,000) | (103,289,368) |
2.5% 9/1/53 | (10,900,000) | (9,033,801) |
2.5% 9/1/53 | (5,400,000) | (4,475,461) |
2.5% 9/1/53 | (6,725,000) | (5,573,607) |
2.5% 9/1/53 | (6,100,000) | (5,055,614) |
2.5% 9/1/53 | (6,900,000) | (5,718,645) |
3% 9/1/53 | (3,700,000) | (3,187,637) |
3% 9/1/53 | (2,500,000) | (2,153,809) |
3.5% 9/1/53 | (4,825,000) | (4,311,401) |
3.5% 9/1/53 | (17,400,000) | (15,547,852) |
4.5% 9/1/53 | (3,500,000) | (3,318,984) |
5% 9/1/53 | (12,450,000) | (12,072,123) |
5% 9/1/53 | (25,650,000) | (24,871,481) |
5.5% 9/1/53 | (30,650,000) | (30,276,453) |
5.5% 9/1/53 | (6,700,000) | (6,618,344) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (479,318,022) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $677,879,821) | (684,562,457) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Bond Index Contracts | |||||
Eurex Euro-Bund Contracts (Germany) | 8 | Dec 2023 | 1,150,539 | 5,340 | 5,340 |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 102 | Dec 2023 | 14,794,351 | 221,833 | 221,833 |
Eurex Euro-Schatz Contracts (Germany) | 87 | Dec 2023 | 9,950,820 | 25,320 | 25,320 |
TME 10 Year Canadian Note Contracts (Canada) | 305 | Dec 2023 | 26,931,283 | 240,948 | 240,948 |
TOTAL BOND INDEX CONTRACTS | 493,441 | ||||
Treasury Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 73 | Sep 2023 | 5,494,991 | (27,029) | (27,029) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 386 | Dec 2023 | 78,668,609 | 228,430 | 228,430 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 16,992 | Dec 2023 | 1,816,816,500 | 1,391,107 | 1,391,107 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 310 | Dec 2023 | 37,723,125 | 514,470 | 514,470 |
TOTAL TREASURY CONTRACTS | 2,106,978 | ||||
TOTAL PURCHASED | 2,600,419 | ||||
Sold | |||||
Bond Index Contracts | |||||
ICE Long Gilt Contracts (United Kingdom) | 200 | Dec 2023 | 24,213,615 | (484,269) | (484,269) |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 3,644 | Dec 2023 | 404,597,875 | (4,007,632) | (4,007,632) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2,195 | Dec 2023 | 234,693,516 | (1,624,417) | (1,624,417) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 50 | Dec 2023 | 6,084,375 | (86,830) | (86,830) |
TOTAL TREASURY CONTRACTS | (5,718,879) | ||||
TOTAL SOLD | (6,203,148) | ||||
TOTAL FUTURES CONTRACTS | (3,602,729) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 6.3% | |||||
The notional amount of futures sold as a percentage of Net Assets is 2.1% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
GBP | 907,000 | USD | 1,153,269 | Barclays Bank PLC | 9/01/23 | (4,281) |
USD | 3,535,899 | EUR | 3,238,000 | BNP Paribas S.A. | 9/01/23 | 24,774 |
EUR | 1,880,000 | USD | 2,040,817 | BNP Paribas S.A. | 9/05/23 | (2,239) |
AUD | 317,000 | USD | 216,208 | Brown Brothers Harriman & Co | 9/15/23 | (10,732) |
CAD | 219,000 | USD | 162,744 | BNP Paribas S.A. | 9/15/23 | (641) |
CAD | 371,000 | USD | 274,286 | BNP Paribas S.A. | 9/15/23 | 327 |
CAD | 123,000 | USD | 93,445 | Brown Brothers Harriman & Co | 9/15/23 | (2,401) |
CAD | 224,000 | USD | 167,268 | JPMorgan Chase Bank, N.A. | 9/15/23 | (1,464) |
EUR | 2,230,000 | USD | 2,441,924 | BNP Paribas S.A. | 9/15/23 | (22,658) |
EUR | 2,589,000 | USD | 2,854,151 | BNP Paribas S.A. | 9/15/23 | (45,416) |
EUR | 2,159,000 | USD | 2,407,326 | BNP Paribas S.A. | 9/15/23 | (65,087) |
EUR | 697,000 | USD | 785,191 | BNP Paribas S.A. | 9/15/23 | (29,035) |
EUR | 240,000 | USD | 261,263 | BNP Paribas S.A. | 9/15/23 | (893) |
EUR | 3,620,000 | USD | 3,955,591 | BNP Paribas S.A. | 9/15/23 | (28,354) |
EUR | 3,265,000 | USD | 3,574,163 | Bank of America, N.A. | 9/15/23 | (32,055) |
EUR | 761,000 | USD | 838,291 | Brown Brothers Harriman & Co | 9/15/23 | (12,703) |
EUR | 459,000 | USD | 501,030 | Brown Brothers Harriman & Co | 9/15/23 | (3,074) |
EUR | 5,666,000 | USD | 6,231,393 | Brown Brothers Harriman & Co | 9/15/23 | (84,506) |
EUR | 1,908,000 | USD | 2,146,891 | Brown Brothers Harriman & Co | 9/15/23 | (76,955) |
EUR | 2,237,000 | USD | 2,481,059 | Brown Brothers Harriman & Co | 9/15/23 | (54,200) |
EUR | 4,445,000 | USD | 4,911,192 | Canadian Imperial Bk. of Comm. | 9/15/23 | (88,934) |
EUR | 1,199,000 | USD | 1,320,578 | Canadian Imperial Bk. of Comm. | 9/15/23 | (19,816) |
EUR | 300,000 | USD | 329,022 | Goldman Sachs Bank USA | 9/15/23 | (3,560) |
EUR | 722,000 | USD | 796,803 | JPMorgan Chase Bank, N.A. | 9/15/23 | (13,525) |
EUR | 511,000 | USD | 552,791 | JPMorgan Chase Bank, N.A. | 9/15/23 | 1,579 |
EUR | 6,370,000 | USD | 6,946,772 | Royal Bank of Canada | 9/15/23 | (36,135) |
GBP | 1,337,000 | USD | 1,704,206 | BNP Paribas S.A. | 9/15/23 | (10,415) |
GBP | 2,119,000 | USD | 2,667,287 | BNP Paribas S.A. | 9/15/23 | 17,188 |
GBP | 511,000 | USD | 668,497 | Brown Brothers Harriman & Co | 9/15/23 | (21,132) |
GBP | 385,000 | USD | 489,158 | JPMorgan Chase Bank, N.A. | 9/15/23 | (1,417) |
GBP | 753,000 | USD | 957,640 | JPMorgan Chase Bank, N.A. | 9/15/23 | (3,695) |
GBP | 296,000 | USD | 377,525 | Royal Bank of Canada | 9/15/23 | (2,535) |
USD | 497,747 | AUD | 722,000 | Bank of America, N.A. | 9/15/23 | 29,754 |
USD | 221,765 | CAD | 300,000 | BNP Paribas S.A. | 9/05/23 | (260) |
USD | 27,256 | CAD | 36,000 | Bank of America, N.A. | 9/15/23 | 609 |
USD | 199,669 | CAD | 267,000 | Bank of America, N.A. | 9/15/23 | 2,037 |
USD | 148,681 | CAD | 200,000 | Brown Brothers Harriman & Co | 9/15/23 | 642 |
USD | 52,987 | CAD | 70,000 | Goldman Sachs Bank USA | 9/15/23 | 1,173 |
USD | 835,724 | CAD | 1,103,000 | Royal Bank of Canada | 9/15/23 | 19,288 |
USD | 1,738,217 | EUR | 1,582,000 | BNP Paribas S.A. | 9/15/23 | 21,949 |
USD | 4,844,422 | EUR | 4,429,000 | BNP Paribas S.A. | 9/15/23 | 39,522 |
USD | 476,772 | EUR | 439,000 | BNP Paribas S.A. | 9/15/23 | 513 |
USD | 403,761,621 | EUR | 367,253,000 | Bank of America, N.A. | 9/15/23 | 5,339,000 |
USD | 85,934 | EUR | 79,000 | Bank of America, N.A. | 9/15/23 | 229 |
USD | 876,091 | EUR | 793,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 15,787 |
USD | 763,824 | EUR | 691,000 | Citibank, N. A. | 9/15/23 | 14,177 |
USD | 477,321 | EUR | 436,000 | JPMorgan Chase Bank, N.A. | 9/15/23 | 4,317 |
USD | 212,097,520 | GBP | 165,364,000 | BNP Paribas S.A. | 9/15/23 | 2,604,593 |
USD | 547,954 | GBP | 418,000 | BNP Paribas S.A. | 9/15/23 | 18,407 |
USD | 983,148 | GBP | 750,000 | BNP Paribas S.A. | 9/15/23 | 33,004 |
USD | 191,582 | GBP | 150,000 | BNP Paribas S.A. | 9/15/23 | 1,553 |
USD | 673,991 | GBP | 515,000 | Bank of America, N.A. | 9/15/23 | 21,558 |
USD | 1,227,679 | GBP | 954,000 | Bank of America, N.A. | 9/15/23 | 19,095 |
USD | 1,218,211 | GBP | 958,000 | Barclays Bank PLC | 9/15/23 | 4,560 |
USD | 764,873 | GBP | 595,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 11,092 |
USD | 1,243,268 | GBP | 980,000 | JPMorgan Chase Bank, N.A. | 9/15/23 | 1,746 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 7,570,355 | |||||
Unrealized Appreciation | 8,248,473 | |||||
Unrealized Depreciation | (678,118) |
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. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 6,120,000 | 106,328 | (66,737) | 39,591 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Merrill Lynch Capital Services, Inc. | (0.5%) | Monthly | 6,260,000 | 108,761 | (105,862) | 2,899 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 1,800,000 | 432,952 | (517,978) | (85,026) | ||
CMBX N.A. BBB- Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (3%) | Monthly | 2,650,000 | 707,035 | (713,266) | (6,231) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 1,820,000 | 437,763 | (529,830) | (92,067) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 1,400,000 | 336,740 | (348,654) | (11,914) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 2,650,000 | 637,402 | (657,490) | (20,088) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 2,200,000 | 529,164 | (589,618) | (60,454) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 4,910,000 | 1,180,997 | (1,465,961) | (284,964) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 1,750,000 | 420,926 | (427,906) | (6,980) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 510,000 | 122,670 | (136,613) | (13,943) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 2,970,000 | 714,371 | (873,828) | (159,457) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 1,340,000 | 322,309 | (382,318) | (60,009) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 1,200,000 | 288,635 | (323,023) | (34,388) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 1,280,000 | 307,877 | (394,723) | (86,846) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 2,380,000 | 572,459 | (613,265) | (40,806) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1,670,000 | 401,683 | (407,750) | (6,067) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1,670,000 | 401,683 | (420,616) | (18,933) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1,680,000 | 404,089 | (425,223) | (21,134) | ||
Intesa Sanpaolo SpA | Jun 2028 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 7,980,000 | (33,066) | 11,100 | (21,966) | |
TOTAL BUY PROTECTION | 8,400,778 | (9,389,561) | (988,783) | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 12,380,000 | (215,089) | 292,983 | 77,894 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 17,290,000 | (478,439) | 479,993 | 1,554 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 12,870,000 | (356,131) | 350,096 | (6,035) | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 7,720,000 | (213,623) | 210,003 | (3,620) | |
TOTAL SELL PROTECTION | (1,263,282) | 1,333,075 | 69,793 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 7,137,496 | (8,056,486) | (918,990) |
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) ($) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2028 | 20,974,000 | (383,810) | 0 | (383,810) | |
3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2030 | 1,920,000 | (35,982) | 0 | (35,982) | |
3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2033 | 5,810,000 | (176,625) | 0 | (176,625) | |
TOTAL INTEREST RATE SWAPS | (596,417) | 0 | (596,417) |
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound sterling |
USD | - | U.S. dollar |
(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 $6,213,212,128 or 19.5% of net assets. |
(c) | Non-income producing - Security is in default. |
(d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(f) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(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 $1,744,088 or 0.0% of net assets. |
(h) | Level 3 security |
(i) | Security is perpetual in nature with no stated maturity date. |
(j) | 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 $28,001,841. |
(k) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $317,503. |
(l) | Security or a portion of the security is on loan at period end. |
(m) | 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 $13,762,451. |
(n) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,052,910. |
(o) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(p) | 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. |
(q) | 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. |
(r) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(s) | 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. |
(t) | Non-income producing |
(u) | 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. |
(v) | The coupon rate will be determined upon settlement of the loan after period end. |
(w) | Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $2,286,552 and $2,287,528, respectively. |
(x) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(y) | Investment made with cash collateral received from securities on loan. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) |
Chesapeake Energy Corp. | 2/10/21 | 5,862 |
Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 1,623,231 |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.43% | 1,749,086,847 | 11,288,597,353 | 12,485,436,672 | 59,926,294 | - | (1) | 552,247,527 | 1.4% |
Fidelity Securities Lending Cash Central Fund 5.44% | 676,408,590 | 7,157,451,167 | 7,569,025,007 | 734,290 | - | - | 264,834,750 | 0.9% |
Total | 2,425,495,437 | 18,446,048,520 | 20,054,461,679 | 60,660,584 | - | (1) | 817,082,277 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 2,192,200 | - | - | 2,192,200 |
Consumer Discretionary | 3,354,821 | 2,262,335 | - | 1,092,486 |
Energy | 32,141,064 | 22,389,143 | - | 9,751,921 |
Financials | 7,902,777 | 4,136,216 | - | 3,766,561 |
Health Care | 2,934,540 | 2,934,540 | - | - |
Industrials | 3,264,432 | 2,659,916 | - | 604,516 |
Information Technology | 3,260,351 | 2,261,563 | - | 998,788 |
Real Estate | 3,680,290 | 3,180,196 | 500,094 | - |
Utilities | 3,516,955 | - | - | 3,516,955 |
Corporate Bonds | 9,891,497,387 | - | 9,887,296,114 | 4,201,273 |
U.S. Government and Government Agency Obligations | 10,034,416,776 | - | 10,034,416,776 | - |
U.S. Government Agency - Mortgage Securities | 6,245,053,923 | - | 6,245,053,923 | - |
Asset-Backed Securities | 2,088,566,517 | - | 2,087,324,282 | 1,242,235 |
Collateralized Mortgage Obligations | 508,748,169 | - | 508,748,154 | 15 |
Commercial Mortgage Securities | 1,767,577,334 | - | 1,744,067,944 | 23,509,390 |
Municipal Securities | 91,199,357 | - | 91,199,357 | - |
Foreign Government and Government Agency Obligations | 422,954,055 | - | 422,954,055 | - |
Supranational Obligations | 10,256,511 | - | 10,256,511 | - |
Bank Loan Obligations | 2,036,936,970 | - | 2,002,476,952 | 34,460,018 |
Bank Notes | 24,816,673 | - | 24,816,673 | - |
Preferred Securities | 174,671,124 | - | 174,635,374 | 35,750 |
Money Market Funds | 817,082,277 | 817,082,277 | - | - |
Purchased Swaptions | 3,660,908 | - | 3,660,908 | - |
Total Investments in Securities: | 34,179,685,411 | 856,906,186 | 33,237,407,117 | 85,372,108 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 2,627,448 | 2,627,448 | - | - |
Forward Foreign Currency Contracts | 8,248,473 | - | 8,248,473 | - |
Swaps | 8,433,844 | - | 8,433,844 | - |
Total Assets | 19,309,765 | 2,627,448 | 16,682,317 | - |
Liabilities | ||||
Futures Contracts | (6,230,177) | (6,230,177) | - | - |
Forward Foreign Currency Contracts | (678,118) | - | (678,118) | - |
Swaps | (1,892,765) | - | (1,892,765) | - |
Total Liabilities | (8,801,060) | (6,230,177) | (2,570,883) | - |
Total Derivative Instruments: | 10,508,705 | (3,602,729) | 14,111,434 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (684,562,457) | - | (684,562,457) | - |
Total Other Financial Instruments: | (684,562,457) | - | (684,562,457) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (e) | 8,433,844 | (1,296,348) |
Total Credit Risk | 8,433,844 | (1,296,348) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (a) | 8,248,473 | (678,118) |
Total Foreign Exchange Risk | 8,248,473 | (678,118) |
Interest Rate Risk | ||
Futures Contracts (b) | 2,627,448 | (6,230,177) |
Purchased Swaptions (c) | 3,660,908 | 0 |
Swaps (d) | 0 | (596,417) |
Total Interest Rate Risk | 6,288,356 | (6,826,594) |
Total Value of Derivatives | 22,970,673 | (8,801,060) |
Statement of Assets and Liabilities | ||||
August 31, 2023 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $259,072,884) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $36,338,762,526) | $ | 33,362,603,134 | ||
Fidelity Central Funds (cost $817,026,322) | 817,082,277 | |||
Total Investment in Securities (cost $37,155,788,848) | $ | 34,179,685,411 | ||
Cash | 5,604,614 | |||
Foreign currency held at value (cost $3,161,431) | 3,158,788 | |||
Receivable for investments sold | 7,952,915 | |||
Receivable for TBA sale commitments | 677,879,821 | |||
Unrealized appreciation on forward foreign currency contracts | 8,248,473 | |||
Receivable for fund shares sold | 58,085,327 | |||
Dividends receivable | 95,145 | |||
Interest receivable | 264,191,042 | |||
Distributions receivable from Fidelity Central Funds | 3,333,615 | |||
Receivable for daily variation margin on futures contracts | 782,931 | |||
Receivable for daily variation margin on centrally cleared OTC swaps | 47,773 | |||
Bi-lateral OTC swaps, at value | 8,433,844 | |||
Receivable from investment adviser for expense reductions | 193,651 | |||
Other receivables | 853,868 | |||
Total assets | 35,218,547,218 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 71,283,890 | ||
Delayed delivery | 2,291,715,334 | |||
TBA sale commitments, at value | 684,562,457 | |||
Unrealized depreciation on forward foreign currency contracts | 678,118 | |||
Payable for fund shares redeemed | 32,308,837 | |||
Distributions payable | 12,620,587 | |||
Bi-lateral OTC swaps, at value | 1,296,348 | |||
Accrued management fee | 7,732,395 | |||
Distribution and service plan fees payable | 322,671 | |||
Other affiliated payables | 4,147,208 | |||
Other payables and accrued expenses | 397,336 | |||
Collateral on securities loaned | 264,834,750 | |||
Total Liabilities | 3,371,899,931 | |||
Net Assets | $ | 31,846,647,287 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 36,367,347,465 | ||
Total accumulated earnings (loss) | (4,520,700,178) | |||
Net Assets | $ | 31,846,647,287 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($835,581,419 ÷ 89,492,698 shares)(a) | $ | 9.34 | ||
Maximum offering price per share (100/96.00 of $9.34) | $ | 9.73 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($291,127,159 ÷ 31,237,412 shares)(a) | $ | 9.32 | ||
Maximum offering price per share (100/96.00 of $9.32) | $ | 9.71 | ||
Class C : | ||||
Net Asset Value and offering price per share ($109,821,416 ÷ 11,758,647 shares)(a) | $ | 9.34 | ||
Total Bond : | ||||
Net Asset Value, offering price and redemption price per share ($14,131,224,631 ÷ 1,514,175,282 shares) | $ | 9.33 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($9,287,825,914 ÷ 996,780,487 shares) | $ | 9.32 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($7,191,066,748 ÷ 771,704,481 shares) | $ | 9.32 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Year ended August 31, 2023 | ||||
Investment Income | ||||
Dividends | $ | 16,489,844 | ||
Interest | 1,297,370,056 | |||
Income from Fidelity Central Funds (including $734,290 from security lending) | 60,660,584 | |||
Total Income | 1,374,520,484 | |||
Expenses | ||||
Management fee | $ | 87,883,315 | ||
Transfer agent fees | 31,005,479 | |||
Distribution and service plan fees | 3,703,707 | |||
Fund wide operations fee | 15,472,639 | |||
Independent trustees' fees and expenses | 105,265 | |||
Legal | 388,524 | |||
Total expenses before reductions | 138,558,929 | |||
Expense reductions | (2,639,501) | |||
Total expenses after reductions | 135,919,428 | |||
Net Investment income (loss) | 1,238,601,056 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (1,181,403,685) | |||
Forward foreign currency contracts | (27,853,655) | |||
Foreign currency transactions | (1,237,516) | |||
Futures contracts | 9,276,840 | |||
Swaps | (1,375,363) | |||
Total net realized gain (loss) | (1,202,593,379) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 45,417,187 | |||
Fidelity Central Funds | (1) | |||
Forward foreign currency contracts | (7,651,484) | |||
Assets and liabilities in foreign currencies | 657,085 | |||
Futures contracts | (3,181,973) | |||
Swaps | (2,012,713) | |||
TBA Sale commitments | (16,536,657) | |||
Total change in net unrealized appreciation (depreciation) | 16,691,444 | |||
Net gain (loss) | (1,185,901,935) | |||
Net increase (decrease) in net assets resulting from operations | $ | 52,699,121 |
Statement of Changes in Net Assets | ||||
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 1,238,601,056 | $ | 810,521,427 |
Net realized gain (loss) | (1,202,593,379) | (256,087,887) | ||
Change in net unrealized appreciation (depreciation) | 16,691,444 | (4,366,198,255) | ||
Net increase (decrease) in net assets resulting from operations | 52,699,121 | (3,811,764,715) | ||
Distributions to shareholders | (1,223,895,143) | (828,469,006) | ||
Share transactions - net increase (decrease) | 3,426,795,976 | 79,472,472 | ||
Total increase (decrease) in net assets | 2,255,599,954 | (4,560,761,249) | ||
Net Assets | ||||
Beginning of period | 29,591,047,333 | 34,151,808,582 | ||
End of period | $ | 31,846,647,287 | $ | 29,591,047,333 |
Fidelity Advisor® Total Bond Fund Class A |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.70 | $ | 11.23 | $ | 11.52 | $ | 11.00 | $ | 10.38 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .367 | .237 | .224 | .269 | .300 | |||||
Net realized and unrealized gain (loss) | (.364) | (1.524) | .006 | .521 | .646 | |||||
Total from investment operations | .003 | (1.287) | .230 | .790 | .946 | |||||
Distributions from net investment income | (.363) | (.238) | (.214) | (.260) | (.326) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.363) | (.243) | (.520) | (.270) | (.326) | |||||
Net asset value, end of period | $ | 9.34 | $ | 9.70 | $ | 11.23 | $ | 11.52 | $ | 11.00 |
Total Return C,D | .07% | (11.59)% | 2.09% | 7.30% | 9.32% | |||||
Ratios to Average Net Assets B,E,F | ||||||||||
Expenses before reductions | .75% | .75% | .75% | .75% | .75% | |||||
Expenses net of fee waivers, if any | .75% | .75% | .75% | .75% | .75% | |||||
Expenses net of all reductions | .75% | .75% | .75% | .75% | .75% | |||||
Net investment income (loss) | 3.90% | 2.25% | 2.01% | 2.42% | 2.87% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 835,581 | $ | 729,405 | $ | 900,239 | $ | 803,222 | $ | 614,156 |
Portfolio turnover rate G | 177% | 129% | 195% | 222% | 170% H |
Fidelity Advisor® Total Bond Fund Class M |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 | $ | 10.36 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .367 | .237 | .224 | .268 | .300 | |||||
Net realized and unrealized gain (loss) | (.365) | (1.525) | .006 | .522 | .646 | |||||
Total from investment operations | .002 | (1.288) | .230 | .790 | .946 | |||||
Distributions from net investment income | (.362) | (.237) | (.214) | (.260) | (.326) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.362) | (.242) | (.520) | (.270) | (.326) | |||||
Net asset value, end of period | $ | 9.32 | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 |
Total Return C,D | .06% | (11.62)% | 2.09% | 7.31% | 9.33% | |||||
Ratios to Average Net Assets B,E,F | ||||||||||
Expenses before reductions | .75% | .75% | .75% | .75% | .75% | |||||
Expenses net of fee waivers, if any | .75% | .75% | .75% | .75% | .75% | |||||
Expenses net of all reductions | .75% | .75% | .75% | .75% | .75% | |||||
Net investment income (loss) | 3.90% | 2.25% | 2.01% | 2.42% | 2.86% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 291,127 | $ | 301,768 | $ | 373,315 | $ | 369,850 | $ | 343,191 |
Portfolio turnover rate G | 177% | 129% | 195% | 222% | 170% H |
Fidelity Advisor® Total Bond Fund Class C |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.70 | $ | 11.24 | $ | 11.53 | $ | 11.01 | $ | 10.39 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .295 | .157 | .139 | .184 | .220 | |||||
Net realized and unrealized gain (loss) | (.364) | (1.535) | .006 | .521 | .646 | |||||
Total from investment operations | (.069) | (1.378) | .145 | .705 | .866 | |||||
Distributions from net investment income | (.291) | (.157) | (.129) | (.175) | (.246) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.291) | (.162) | (.435) | (.185) | (.246) | |||||
Net asset value, end of period | $ | 9.34 | $ | 9.70 | $ | 11.24 | $ | 11.53 | $ | 11.01 |
Total Return C,D | (.70)% | (12.35)% | 1.31% | 6.49% | 8.49% | |||||
Ratios to Average Net Assets B,E,F | ||||||||||
Expenses before reductions | 1.52% | 1.52% | 1.51% | 1.51% | 1.52% | |||||
Expenses net of fee waivers, if any | 1.52% | 1.52% | 1.51% | 1.51% | 1.52% | |||||
Expenses net of all reductions | 1.52% | 1.52% | 1.51% | 1.51% | 1.52% | |||||
Net investment income (loss) | 3.13% | 1.49% | 1.24% | 1.66% | 2.10% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 109,821 | $ | 112,311 | $ | 171,689 | $ | 205,949 | $ | 153,944 |
Portfolio turnover rate G | 177% | 129% | 195% | 222% | 170% H |
Fidelity® Total Bond Fund |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.69 | $ | 11.23 | $ | 11.52 | $ | 11.00 | $ | 10.38 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .396 | .267 | .258 | .301 | .333 | |||||
Net realized and unrealized gain (loss) | (.365) | (1.533) | .005 | .522 | .645 | |||||
Total from investment operations | .031 | (1.266) | .263 | .823 | .978 | |||||
Distributions from net investment income | (.391) | (.269) | (.247) | (.293) | (.358) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.391) | (.274) | (.553) | (.303) | (.358) | |||||
Net asset value, end of period | $ | 9.33 | $ | 9.69 | $ | 11.23 | $ | 11.52 | $ | 11.00 |
Total Return C | .36% | (11.42)% | 2.39% | 7.62% | 9.65% | |||||
Ratios to Average Net Assets A,D,E | ||||||||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% | |||||
Net investment income (loss) | 4.20% | 2.55% | 2.30% | 2.72% | 3.17% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 14,131,225 | $ | 14,816,563 | $ | 16,260,424 | $ | 16,158,697 | $ | 14,074,694 |
Portfolio turnover rate F | 177% | 129% | 195% | 222% | 170% G |
Fidelity Advisor® Total Bond Fund Class I |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 | $ | 10.36 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .390 | .262 | .252 | .296 | .326 | |||||
Net realized and unrealized gain (loss) | (.364) | (1.524) | .006 | .521 | .646 | |||||
Total from investment operations | .026 | (1.262) | .258 | .817 | .972 | |||||
Distributions from net investment income | (.386) | (.263) | (.242) | (.287) | (.352) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.386) | (.268) | (.548) | (.297) | (.352) | |||||
Net asset value, end of period | $ | 9.32 | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 |
Total Return C | .31% | (11.40)% | 2.34% | 7.58% | 9.61% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .50% | .50% | .50% | .50% | .50% | |||||
Expenses net of fee waivers, if any | .50% | .50% | .50% | .50% | .50% | |||||
Expenses net of all reductions | .50% | .50% | .50% | .50% | .50% | |||||
Net investment income (loss) | 4.15% | 2.50% | 2.25% | 2.67% | 3.12% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 9,287,826 | $ | 7,251,751 | $ | 8,422,197 | $ | 7,629,091 | $ | 6,348,237 |
Portfolio turnover rate F | 177% | 129% | 195% | 222% | 170% G |
Fidelity Advisor® Total Bond Fund Class Z |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 | $ | 10.36 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .403 | .278 | .267 | .311 | .340 | |||||
Net realized and unrealized gain (loss) | (.364) | (1.525) | .006 | .522 | .647 | |||||
Total from investment operations | .039 | (1.247) | .273 | .833 | .987 | |||||
Distributions from net investment income | (.399) | (.278) | (.257) | (.303) | (.367) | |||||
Distributions from net realized gain | - | (.005) | (.306) | (.010) | - | |||||
Total distributions | (.399) | (.283) | (.563) | (.313) | (.367) | |||||
Net asset value, end of period | $ | 9.32 | $ | 9.68 | $ | 11.21 | $ | 11.50 | $ | 10.98 |
Total Return C | .45% | (11.27)% | 2.48% | 7.73% | 9.76% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .40% | .40% | .40% | .40% | .40% | |||||
Expenses net of fee waivers, if any | .36% | .36% | .36% | .36% | .36% | |||||
Expenses net of all reductions | .36% | .36% | .36% | .36% | .36% | |||||
Net investment income (loss) | 4.29% | 2.64% | 2.39% | 2.81% | 3.26% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 7,191,067 | $ | 6,379,250 | $ | 8,023,946 | $ | 5,723,315 | $ | 3,774,546 |
Portfolio turnover rate F | 177% | 129% | 195% | 222% | 170% G |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Fidelity Total Bond Fund | $397,336 |
Gross unrealized appreciation | $149,764,163 |
Gross unrealized depreciation | (3,044,894,597) |
Net unrealized appreciation (depreciation) | $(2,895,130,434) |
Tax Cost | $37,091,357,146 |
Undistributed ordinary income | $2,676,082 |
Capital loss carryforward | $(1,625,202,094) |
Net unrealized appreciation (depreciation) on securities and other investments | $(2,898,174,170) |
Short-term | $(788,677,536) |
Long-term | (836,524,558) |
Total capital loss carryforward | $(1,625,202,094) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $1,223,895,143 | $812,978,824 |
Long-term Capital Gains | - | 15,490,182 |
Total | $1,223,895,143 | $828,469,006 |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Total Bond Fund | ||
Credit Risk | ||
Purchased Options | (6,388,467) | 599,839 |
Swaps | 1,194,277 | (1,956,626) |
Total Credit Risk | (5,194,190) | (1,356,787) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (27,853,655) | (7,651,484) |
Total Foreign Exchange Risk | (27,853,655) | (7,651,484) |
Interest Rate Risk | ||
Futures Contracts | 9,276,840 | (3,181,973) |
Purchased Options | - | 13,464 |
Swaps | (2,569,640) | (56,087) |
Total Interest Rate Risk | 6,707,200 | (3,224,596) |
Totals | (26,340,645) | (12,232,867) |
Purchases ($) | Sales ($) | |
Fidelity Total Bond Fund | 32,497,605,893 | 33,855,729,433 |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $1,900,807 | $60,790 |
Class M | - % | .25% | 732,664 | 2,102 |
Class C | .75% | .25% | 1,070,236 | 170,833 |
$3,703,707 | $233,725 |
Retained by FDC | |
Class A | $126,816 |
Class M | 11,447 |
Class C A | 796 |
$139,059 |
Amount | % of Class-Level Average Net Assets | |
Class A | $ 1,134,647 | .15 |
Class M | 438,948 | .15 |
Class C | 180,347 | .17 |
Total Bond | 13,992,187 | .10 |
Class I | 12,095,435 | .15 |
Class Z | 3,163,915 | .05 |
$31,005,479 |
Fidelity Total Bond Fund | .05% |
Amount | |
Fidelity Total Bond Fund | $381 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Total Bond Fund | 2,295,876 | 1,903,358 | 35,497 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Total Bond Fund | $80,151 | $2,843 | $- |
Expense Limitations | Reimbursement | |
Class Z | .36% | $2,523,330 |
Expense reduction | |
Class M | $210 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Total Bond Fund | ||
Distributions to shareholders | ||
Class A | $29,313,852 | $18,978,754 |
Class M | 11,280,779 | 7,923,873 |
Class C | 3,292,973 | 2,143,669 |
Total Bond | 580,079,347 | 397,399,649 |
Class I | 331,812,591 | 200,685,515 |
Class Z | 268,115,601 | 201,337,546 |
Total | $1,223,895,143 | $828,469,006 |
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2023 | Year ended August 31, 2022 | Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Total Bond Fund | ||||
Class A | ||||
Shares sold | 31,496,069 | 16,666,627 | $297,683,264 | $176,364,750 |
Reinvestment of distributions | 3,041,689 | 1,771,072 | 28,656,228 | 18,485,086 |
Shares redeemed | (20,276,514) | (23,343,223) | (191,091,866) | (244,762,728) |
Net increase (decrease) | 14,261,244 | (4,905,524) | $135,247,626 | $(49,912,892) |
Class M | ||||
Shares sold | 7,723,677 | 8,195,741 | $72,808,141 | $87,497,942 |
Reinvestment of distributions | 1,193,780 | 756,846 | 11,223,357 | 7,884,425 |
Shares redeemed | (8,862,373) | (11,063,455) | (83,493,790) | (116,365,253) |
Net increase (decrease) | 55,084 | (2,110,868) | $537,708 | $(20,982,886) |
Class C | ||||
Shares sold | 4,274,731 | 1,532,704 | $40,409,231 | $16,248,853 |
Reinvestment of distributions | 340,360 | 199,758 | 3,207,040 | 2,087,377 |
Shares redeemed | (4,437,146) | (5,430,823) | (41,762,472) | (57,187,283) |
Net increase (decrease) | 177,945 | (3,698,361) | $1,853,799 | $(38,851,053) |
Total Bond | ||||
Shares sold | 408,163,826 | 615,269,221 | $3,836,234,230 | $6,288,570,907 |
Reinvestment of distributions | 54,228,842 | 33,962,376 | 510,422,634 | 353,838,883 |
Shares redeemed | (477,138,941) | (568,466,680) | (4,459,488,339) | (5,903,672,470) |
Net increase (decrease) | (14,746,273) | 80,764,917 | $(112,831,475) | $738,737,320 |
Class I | ||||
Shares sold | 486,572,554 | 256,144,611 | $4,574,529,789 | $2,659,006,174 |
Reinvestment of distributions | 33,954,063 | 18,429,174 | 319,340,003 | 191,846,600 |
Shares redeemed | (273,236,836) | (276,345,429) | (2,565,015,312) | (2,864,282,651) |
Net increase (decrease) | 247,289,781 | (1,771,644) | $2,328,854,480 | $(13,429,877) |
Class Z | ||||
Shares sold | 339,028,298 | 266,380,048 | $3,195,114,991 | $2,802,215,358 |
Reinvestment of distributions | 22,583,760 | 15,081,006 | 212,295,381 | 157,427,587 |
Shares redeemed | (249,165,559) | (337,880,305) | (2,334,276,534) | (3,495,731,085) |
Net increase (decrease) | 112,446,499 | (56,419,251) | $1,073,133,838 | $(536,088,140) |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Total Bond Fund | ||||||||||
Class A | .74% | |||||||||
Actual | $ 1,000 | $ 1,011.90 | $ 3.75 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.48 | $ 3.77 | |||||||
Class M | .74% | |||||||||
Actual | $ 1,000 | $ 1,011.90 | $ 3.75 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.48 | $ 3.77 | |||||||
Class C | 1.51% | |||||||||
Actual | $ 1,000 | $ 1,008.10 | $ 7.64 | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.59 | $ 7.68 | |||||||
Fidelity® Total Bond Fund | .45% | |||||||||
Actual | $ 1,000 | $ 1,013.40 | $ 2.28 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.94 | $ 2.29 | |||||||
Class I | .50% | |||||||||
Actual | $ 1,000 | $ 1,013.20 | $ 2.54 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.68 | $ 2.55 | |||||||
Class Z | .36% | |||||||||
Actual | $ 1,000 | $ 1,013.90 | $ 1.83 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.39 | $ 1.84 | |||||||
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![](https://capedge.com/proxy/N-CSR/0000751199-23-000220/img92320_1.jpg)
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | -6.76% | -1.29% | 0.04% |
Class M (incl. 4.00% sales charge) | -6.73% | -1.28% | 0.05% |
Class C (incl. contingent deferred sales charge) | -4.48% | -1.23% | -0.17% |
Fidelity® Government Income Fund | -2.44% | -0.17% | 0.78% |
Class I | -2.59% | -0.20% | 0.72% |
Class Z | -2.35% | -0.06% | 0.80% |
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Fidelity® Government Income Fund, a class of the fund, on August 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Government Bond Index performed over the same period. |
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Coupon Distribution (% of Fund's Investments) | ||
Zero coupon bonds | 0.0 | |
0.01 - 0.99% | 9.7 | |
1 - 1.99% | 11.7 | |
2 - 2.99% | 32.2 | |
3 - 3.99% | 19.5 | |
4 - 4.99% | 13.3 | |
5 - 5.99% | 7.8 | |
6 - 6.99% | 0.8 | |
7 - 7.99% | 0.0 | |
8 - 8.99% | 0.0 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (4.2)% |
Futures and Swaps - 10.4% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
U.S. Government and Government Agency Obligations - 61.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.6% | |||
Freddie Mac 4% 11/25/24 | 18,000 | 17,669 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,235 | 2,297 | |
5.375% 4/1/56 | 2,737 | 2,897 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 22,863 | ||
U.S. Treasury Obligations - 60.3% | |||
U.S. Treasury Bonds: | |||
2% 8/15/51 | 96,662 | 61,369 | |
2.25% 2/15/52 | 18,700 | 12,615 | |
2.375% 2/15/42 | 353 | 263 | |
2.5% 2/15/45 | 141,861 | 104,173 | |
2.875% 5/15/49 | 4,458 | 3,456 | |
3% 2/15/49 | 95,774 | 76,024 | |
3.625% 2/15/53 | 140,154 | 126,270 | |
3.625% 5/15/53 | 70,650 | 63,717 | |
4.125% 8/15/53 | 6,290 | 6,205 | |
4.75% 2/15/37 | 55,003 | 58,729 | |
U.S. Treasury Notes: | |||
0.25% 5/15/24 | 4,258 | 4,106 | |
0.25% 7/31/25 | 11,803 | 10,812 | |
0.25% 9/30/25 | 870 | 793 | |
0.25% 10/31/25 | 17,700 | 16,069 | |
0.375% 4/30/25 | 236,870 | 219,503 | |
0.625% 10/15/24 | 25,100 | 23,834 | |
0.75% 8/31/26 | 125,830 | 112,652 | |
1.125% 10/31/26 | 47,300 | 42,640 | |
1.125% 8/31/28 | 290,798 | 249,950 | |
1.5% 9/30/24 | 13,631 | 13,088 | |
1.5% 10/31/24 | 24,300 | 23,274 | |
1.5% 1/31/27 | 22,230 | 20,164 | |
1.625% 9/30/26 | 1,028 | 944 | |
1.75% 7/31/24 | 1,720 | 1,663 | |
2.25% 4/30/24 | 87,731 | 85,918 | |
2.25% 3/31/26 | 928 | 875 | |
2.375% 3/31/29 | 23,000 | 20,859 | |
2.5% 2/28/26 | 68,418 | 64,957 | |
2.5% 3/31/27 | 46,600 | 43,666 | |
2.625% 5/31/27 | 45,180 | 42,409 | |
2.625% 7/31/29 | 41,009 | 37,558 | |
2.75% 2/15/24 | 28,749 | 28,403 | |
2.75% 4/30/27 | 40,000 | 37,755 | |
2.75% 7/31/27 | 33,510 | 31,545 | |
2.75% 5/31/29 | 18,900 | 17,459 | |
2.75% 8/15/32 | 5,691 | 5,108 | |
2.875% 4/30/29 | 7,778 | 7,239 | |
2.875% 5/15/32 | 28,790 | 26,164 | |
3% 7/31/24 | 37,100 | 36,300 | |
3.375% 5/15/33 | 14,050 | 13,236 | |
3.5% 1/31/28 | 5,750 | 5,560 | |
3.625% 5/15/26 | 26,990 | 26,318 | |
3.75% 5/31/30 | 55,440 | 53,944 | |
3.75% 6/30/30 | 37,950 | 36,924 | |
3.875% 1/15/26 | 17,280 | 16,953 | |
3.875% 12/31/27 | 7,700 | 7,557 | |
3.875% 8/15/33 | 4,794 | 4,709 | |
4% 12/15/25 | 23,900 | 23,513 | |
4.125% 6/15/26 | 39,440 | 38,984 | |
4.125% 10/31/27 | 24,500 | 24,271 | |
4.125% 8/31/30 | 15,300 | 15,235 | |
4.125% 11/15/32 | 12,312 | 12,306 | |
4.25% 12/31/24 | 29,400 | 29,041 | |
4.375% 10/31/24 | 35,300 | 34,935 | |
4.5% 11/30/24 | 77,700 | 77,002 | |
4.625% 2/28/25 | 18,900 | 18,769 | |
4.75% 7/31/25 | 30,490 | 30,408 | |
TOTAL U.S. TREASURY OBLIGATIONS | 2,208,193 | ||
Other Government Related - 0.2% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 8,660 | 8,266 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,457,427) | 2,239,322 | ||
U.S. Government Agency - Mortgage Securities - 36.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 15.1% | |||
12 month U.S. LIBOR + 1.360% 3.932% 10/1/35 (b)(c) | 6 | 6 | |
12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (b)(c) | 1 | 1 | |
12 month U.S. LIBOR + 1.460% 3.846% 1/1/35 (b)(c) | 10 | 10 | |
12 month U.S. LIBOR + 1.480% 5.73% 7/1/34 (b)(c) | 7 | 7 | |
12 month U.S. LIBOR + 1.530% 3.94% 3/1/36 (b)(c) | 63 | 63 | |
12 month U.S. LIBOR + 1.550% 3.985% 2/1/44 (b)(c) | 23 | 23 | |
12 month U.S. LIBOR + 1.550% 5.215% 5/1/44 (b)(c) | 34 | 34 | |
12 month U.S. LIBOR + 1.550% 5.803% 6/1/36 (b)(c) | 15 | 16 | |
12 month U.S. LIBOR + 1.560% 3.935% 2/1/44 (b)(c) | 56 | 56 | |
12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (b)(c) | 80 | 80 | |
12 month U.S. LIBOR + 1.570% 4.164% 4/1/44 (b)(c) | 104 | 105 | |
12 month U.S. LIBOR + 1.580% 3.83% 1/1/44 (b)(c) | 57 | 57 | |
12 month U.S. LIBOR + 1.580% 4.08% 4/1/44 (b)(c) | 38 | 38 | |
12 month U.S. LIBOR + 1.620% 4.537% 5/1/35 (b)(c) | 3 | 3 | |
12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (b)(c) | 1 | 1 | |
12 month U.S. LIBOR + 1.630% 4.911% 11/1/36 (b)(c) | 13 | 13 | |
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (b)(c) | 15 | 15 | |
12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (b)(c) | 0 | 0 | |
12 month U.S. LIBOR + 1.680% 4.653% 7/1/43 (b)(c) | 22 | 22 | |
12 month U.S. LIBOR + 1.700% 5.189% 6/1/42 (b)(c) | 53 | 53 | |
12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (b)(c) | 141 | 143 | |
12 month U.S. LIBOR + 1.750% 4.454% 7/1/35 (b)(c) | 26 | 26 | |
12 month U.S. LIBOR + 1.750% 4.579% 8/1/41 (b)(c) | 4 | 4 | |
12 month U.S. LIBOR + 1.770% 3.995% 2/1/37 (b)(c) | 24 | 24 | |
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (b)(c) | 148 | 150 | |
12 month U.S. LIBOR + 1.800% 4.505% 12/1/40 (b)(c) | 81 | 82 | |
12 month U.S. LIBOR + 1.800% 6.05% 7/1/41 (b)(c) | 20 | 21 | |
12 month U.S. LIBOR + 1.810% 4.06% 12/1/39 (b)(c) | 1 | 1 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (b)(c) | 17 | 17 | |
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (b)(c) | 86 | 87 | |
12 month U.S. LIBOR + 1.810% 6.05% 7/1/41 (b)(c) | 33 | 34 | |
12 month U.S. LIBOR + 1.820% 4.295% 2/1/35 (b)(c) | 4 | 4 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (b)(c) | 14 | 14 | |
12 month U.S. LIBOR + 1.850% 4.429% 4/1/36 (b)(c) | 18 | 19 | |
12 month U.S. LIBOR + 1.890% 5.057% 8/1/35 (b)(c) | 16 | 16 | |
12 month U.S. LIBOR + 1.950% 5.771% 7/1/37 (b)(c) | 4 | 4 | |
6 month U.S. LIBOR + 1.470% 4.059% 10/1/33 (b)(c) | 14 | 14 | |
6 month U.S. LIBOR + 1.530% 4.372% 3/1/35 (b)(c) | 27 | 27 | |
6 month U.S. LIBOR + 1.530% 4.461% 12/1/34 (b)(c) | 15 | 15 | |
REFINITIV USD IBOR CONSUMER CA + 1.500% 4.724% 1/1/35 (b)(c) | 3 | 3 | |
REFINITIV USD IBOR CONSUMER CA + 1.510% 7.023% 2/1/33 (b)(c) | 12 | 12 | |
REFINITIV USD IBOR CONSUMER CA + 1.550% 6.074% 9/1/33 (b)(c) | 24 | 25 | |
REFINITIV USD IBOR CONSUMER CA + 1.550% 6.154% 10/1/33 (b)(c) | 9 | 9 | |
REFINITIV USD IBOR CONSUMER CA + 1.560% 7.103% 7/1/35 (b)(c) | 9 | 9 | |
REFINITIV USD IBOR CONSUMER CA + 1.620% 4.293% 3/1/33 (b)(c) | 9 | 9 | |
REFINITIV USD IBOR CONSUMER CA + 1.740% 5.467% 5/1/36 (b)(c) | 27 | 27 | |
REFINITIV USD IBOR CONSUMER CA + 1.960% 4.424% 9/1/35 (b)(c) | 0 | 0 | |
U.S. TREASURY 1 YEAR INDEX + 2.180% 4.546% 7/1/36 (b)(c) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (b)(c) | 13 | 13 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (b)(c) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.404% 10/1/33 (b)(c) | 20 | 20 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 5.33% 7/1/34 (b)(c) | 3 | 3 | |
1.5% 11/1/40 to 2/1/51 (d) | 71,901 | 55,783 | |
2% 2/1/28 to 4/1/52 | 185,009 | 155,644 | |
2.5% 1/1/28 to 1/1/52 | 130,998 | 112,521 | |
3% 1/1/28 to 2/1/52 (e)(f) | 71,824 | 63,952 | |
3.4% 8/1/42 to 9/1/42 | 25 | 23 | |
3.5% 5/1/35 to 3/1/52 | 59,846 | 53,875 | |
4% 3/1/36 to 4/1/49 | 6,820 | 6,429 | |
4.25% 11/1/41 | 5 | 5 | |
4.5% to 4.5% 6/1/24 to 1/1/53 | 23,198 | 22,173 | |
5% 10/1/29 to 12/1/52 | 24,592 | 24,063 | |
5.279% 8/1/41 (b) | 53 | 53 | |
5.5% 12/1/23 to 8/1/53 | 41,415 | 41,093 | |
6% to 6% 9/1/29 to 6/1/53 (d) | 14,384 | 14,606 | |
6.5% 12/1/23 to 8/1/36 | 439 | 451 | |
6.688% 2/1/39 (b) | 27 | 28 | |
7% to 7% 2/1/24 to 10/1/32 | 17 | 17 | |
7.5% to 7.5% 9/1/25 to 11/1/31 | 10 | 10 | |
TOTAL FANNIE MAE | 552,165 | ||
Freddie Mac - 9.7% | |||
12 month U.S. LIBOR + 1.320% 3.575% 1/1/36 (b)(c) | 6 | 6 | |
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (b)(c) | 5 | 5 | |
12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (b)(c) | 3 | 3 | |
12 month U.S. LIBOR + 1.660% 4.04% 7/1/36 (b)(c) | 20 | 20 | |
12 month U.S. LIBOR + 1.750% 4% 12/1/40 (b)(c) | 29 | 29 | |
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (b)(c) | 280 | 284 | |
12 month U.S. LIBOR + 1.750% 6% 7/1/41 (b)(c) | 7 | 7 | |
12 month U.S. LIBOR + 1.860% 5.239% 4/1/36 (b)(c) | 2 | 2 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) | 26 | 26 | |
12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (b)(c) | 306 | 310 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (b)(c) | 7 | 7 | |
12 month U.S. LIBOR + 1.900% 4.936% 10/1/42 (b)(c) | 107 | 107 | |
12 month U.S. LIBOR + 1.910% 5.212% 5/1/41 (b)(c) | 47 | 48 | |
12 month U.S. LIBOR + 1.910% 5.568% 5/1/41 (b)(c) | 55 | 55 | |
12 month U.S. LIBOR + 1.910% 5.698% 6/1/41 (b)(c) | 51 | 52 | |
12 month U.S. LIBOR + 1.910% 6.16% 6/1/41 (b)(c) | 17 | 17 | |
12 month U.S. LIBOR + 2.020% 4.936% 4/1/38 (b)(c) | 2 | 2 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (b)(c) | 1 | 1 | |
12 month U.S. LIBOR + 2.040% 6.256% 7/1/36 (b)(c) | 107 | 109 | |
12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (b)(c) | 4 | 4 | |
REFINITIV USD IBOR CONSUMER CA + 1.120% 4.029% 8/1/37 (b)(c) | 2 | 2 | |
REFINITIV USD IBOR CONSUMER CA + 1.660% 4.165% 1/1/37 (b)(c) | 5 | 5 | |
REFINITIV USD IBOR CONSUMER CA + 1.660% 7.04% 7/1/35 (b)(c) | 3 | 3 | |
REFINITIV USD IBOR CONSUMER CA + 1.880% 4.488% 10/1/36 (b)(c) | 35 | 35 | |
REFINITIV USD IBOR CONSUMER CA + 1.990% 5.001% 10/1/35 (b)(c) | 17 | 18 | |
REFINITIV USD IBOR CONSUMER CA + 2.010% 6.76% 5/1/37 (b)(c) | 3 | 3 | |
REFINITIV USD IBOR CONSUMER CA + 2.020% 7.385% 6/1/37 (b)(c) | 7 | 7 | |
REFINITIV USD IBOR CONSUMER CA + 2.680% 7.524% 10/1/35 (b)(c) | 14 | 14 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.857% 6/1/33 (b)(c) | 25 | 25 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.065% 4/1/34 (b)(c) | 8 | 8 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 5.196% 6/1/33 (b)(c) | 7 | 7 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 5.024% 3/1/35 (b)(c) | 13 | 13 | |
U.S. TREASURY 1 YEAR INDEX + 2.540% 6.046% 7/1/35 (b)(c) | 215 | 218 | |
1.5% 12/1/40 to 3/1/51 | 40,339 | 30,830 | |
2% 5/1/35 to 4/1/52 | 88,203 | 72,755 | |
2.5% 1/1/28 to 1/1/52 | 66,749 | 57,851 | |
3% 12/1/30 to 3/1/52 | 23,667 | 20,846 | |
3.5% 3/1/32 to 3/1/52 | 34,423 | 31,198 | |
4% 1/1/36 to 2/1/50 | 6,328 | 5,986 | |
4% 4/1/48 | 2 | 2 | |
4.5% 6/1/25 to 11/1/52 | 32,139 | 30,609 | |
5% 8/1/33 to 12/1/52 | 29,121 | 28,429 | |
5.5% 10/1/52 to 8/1/53 (d) | 52,065 | 51,827 | |
6% 1/1/24 to 7/1/53 | 18,422 | 18,673 | |
6.5% 5/1/26 to 1/1/53 (e) | 4,983 | 5,068 | |
7% 8/1/26 to 9/1/36 | 21 | 22 | |
7.5% 1/1/27 to 11/1/30 | 0 | 0 | |
8% 7/1/24 to 8/1/30 | 0 | 0 | |
8.5% 8/1/26 to 8/1/27 | 0 | 0 | |
TOTAL FREDDIE MAC | 355,548 | ||
Ginnie Mae - 8.1% | |||
3.5% 11/15/40 to 12/20/49 | 2,273 | 2,101 | |
4% 8/15/39 to 5/20/49 | 8,379 | 7,952 | |
4.5% 6/20/33 to 6/20/41 | 1,381 | 1,347 | |
5.5% 10/15/35 to 9/15/39 | 40 | 41 | |
7% to 7% 11/15/27 to 8/15/32 | 13 | 13 | |
7.5% to 7.5% 12/15/23 to 1/15/31 | 4 | 4 | |
8% 12/15/23 to 12/15/27 | 0 | 0 | |
8.5% 8/15/29 to 1/15/31 | 0 | 0 | |
2% 11/20/50 to 4/20/51 | 45,992 | 38,069 | |
2% 9/1/53 (g) | 22,700 | 18,728 | |
2% 9/1/53 (g) | 30,050 | 24,791 | |
2% 9/1/53 (g) | 8,300 | 6,848 | |
2% 9/1/53 (g) | 11,450 | 9,446 | |
2% 9/1/53 (g) | 18,350 | 15,139 | |
2% 9/1/53 (g) | 16,650 | 13,736 | |
2% 10/1/53 (g) | 3,700 | 3,056 | |
2% 10/1/53 (g) | 46,300 | 38,237 | |
2.5% 6/20/51 to 12/20/51 | 22,029 | 18,771 | |
2.5% 9/1/53 (g) | 15,700 | 13,363 | |
2.5% 10/1/53 (g) | 1,700 | 1,448 | |
3% 5/15/42 to 2/20/50 | 923 | 824 | |
3% 9/1/53 (g) | 20,400 | 17,938 | |
3% 9/1/53 (g) | 13,575 | 11,936 | |
3% 9/1/53 (g) | 13,950 | 12,266 | |
3% 9/1/53 (g) | 5,150 | 4,528 | |
3% 9/1/53 (g) | 675 | 594 | |
3% 10/1/53 (g) | 19,750 | 17,378 | |
4% 9/1/53 (g) | 1,250 | 1,165 | |
4% 9/1/53 (g) | 1,000 | 932 | |
5% 9/20/33 to 4/20/48 | 779 | 775 | |
5.47% 8/20/59 (b)(h) | 1 | 1 | |
5.5% 9/1/53 (g) | 7,850 | 7,773 | |
5.5% 9/1/53 (g) | 7,650 | 7,575 | |
6% 11/20/31 to 5/15/40 | 1,400 | 1,428 | |
6.5% 3/20/31 to 8/15/36 | 7 | 7 | |
TOTAL GINNIE MAE | 298,210 | ||
Uniform Mortgage Backed Securities - 3.2% | |||
1.5% 9/1/53 (g) | 925 | 697 | |
1.5% 9/1/53 (g) | 775 | 584 | |
2% 9/1/53 (g) | 1,200 | 955 | |
2% 9/1/53 (g) | 2,350 | 1,871 | |
2% 9/1/53 (g) | 1,700 | 1,353 | |
2% 9/1/53 (g) | 2,200 | 1,751 | |
2% 9/1/53 (g) | 2,100 | 1,672 | |
2% 9/1/53 (g) | 18,700 | 14,886 | |
2% 10/1/53 (g) | 550 | 438 | |
2% 10/1/53 (g) | 200 | 159 | |
2% 10/1/53 (g) | 200 | 159 | |
2% 10/1/53 (g) | 350 | 279 | |
2.5% 9/1/53 (g) | 1,650 | 1,368 | |
2.5% 9/1/53 (g) | 1,150 | 953 | |
2.5% 9/1/53 (g) | 13,750 | 11,396 | |
3% 9/1/53 (g) | 1,500 | 1,292 | |
3% 9/1/53 (g) | 3,025 | 2,606 | |
3% 9/1/53 (g) | 475 | 409 | |
4% 9/1/53 (g) | 13,975 | 12,901 | |
4% 9/1/53 (g) | 7,800 | 7,200 | |
4% 9/1/53 (g) | 6,125 | 5,654 | |
5% 9/1/38 (g) | 8,200 | 8,099 | |
5% 9/1/38 (g) | 1,900 | 1,877 | |
5.5% 9/1/53 (g) | 7,500 | 7,409 | |
5.5% 9/1/53 (g) | 3,300 | 3,260 | |
5.5% 9/1/53 (g) | 12,675 | 12,521 | |
5.5% 9/1/53 (g) | 14,200 | 14,027 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 115,776 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,393,572) | 1,321,699 | ||
Collateralized Mortgage Obligations - 6.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency - 6.5% | |||
Fannie Mae: | |||
floater: | |||
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.31% 4/25/24 (b)(c) | 2 | 2 | |
Series 2001-38 Class QF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.090% 6.3821% 8/25/31 (b)(c) | 23 | 23 | |
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2021% 2/25/32 (b)(c) | 1 | 1 | |
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.3445% 3/18/32 (b)(c) | 1 | 1 | |
Series 2002-49 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 5.9445% 11/18/31 (b)(c) | 19 | 19 | |
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 4/25/32 (b)(c) | 10 | 10 | |
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 10/25/32 (b)(c) | 1 | 1 | |
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1521% 1/25/32 (b)(c) | 0 | 0 | |
Series 2002-74 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8521% 11/25/32 (b)(c) | 20 | 20 | |
Series 2002-75 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 11/25/32 (b)(c) | 18 | 18 | |
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 12/25/33 (b)(i)(j) | 18 | 2 | |
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2779% 11/25/36 (b)(i)(j) | 13 | 1 | |
Series 2010-15 Class FJ, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3321% 6/25/36 (b)(c) | 1,608 | 1,608 | |
planned amortization class: | |||
Series 1993-207 Class H, 6.5% 11/25/23 | 0 | 0 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 0 | 0 | |
Series 1999-17 Class PG, 6% 4/25/29 | 5 | 5 | |
Series 1999-32 Class PL, 6% 7/25/29 | 6 | 6 | |
Series 1999-33 Class PK, 6% 7/25/29 | 4 | 4 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 1 | 1 | |
Series 2003-70 Class BJ, 5% 7/25/33 | 30 | 29 | |
Series 2005-102 Class CO 11/25/35 (k) | 3 | 3 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 86 | 85 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 1,499 | 1,500 | |
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.5046% 8/25/35 (b)(c)(j) | 1 | 1 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 11 | 11 | |
Series 2006-12 Class BO 10/25/35 (k) | 14 | 12 | |
Series 2006-15 Class OP 3/25/36 (k) | 18 | 15 | |
Series 2006-37 Class OW 5/25/36 (k) | 2 | 2 | |
Series 2006-45 Class OP 6/25/36 (k) | 173 | 136 | |
Series 2006-62 Class KP 4/25/36 (k) | 9 | 7 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 1,647 | 1,597 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 312 | 280 | |
Class GA, 1.75% 6/25/42 | 342 | 306 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 1 | 1 | |
Series 1999-25 Class Z, 6% 6/25/29 | 5 | 5 | |
Series 2001-20 Class Z, 6% 5/25/31 | 6 | 6 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 3 | 3 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 2 | 2 | |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1479% 11/25/32 (b)(i)(j) | 4 | 0 | |
Series 2003-117 Class MD, 5% 12/25/23 | 1 | 1 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 145 | 144 | |
Series 2004-91 Class Z, 5% 12/25/34 | 1,425 | 1,396 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 95 | 93 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 440 | 431 | |
Series 2006-72 Class CY, 6% 8/25/26 | 295 | 294 | |
Series 2009-59 Class HB, 5% 8/25/39 | 688 | 678 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (i) | 5 | 0 | |
Series 2020-101 Class BA, 1.5% 9/25/45 | 3,028 | 2,528 | |
Series 2020-49 Class JA, 2% 8/25/44 | 1,102 | 979 | |
Series 2021-68 Class A, 2% 7/25/49 | 2,179 | 1,747 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 1,191 | 1,027 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 1,965 | 1,705 | |
Series 2022-1 Class KA, 3% 5/25/48 | 1,992 | 1,771 | |
Series 2022-3 Class N, 2% 10/25/47 | 16,061 | 13,429 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 1,435 | 1,232 | |
Series 2022-49 Class TE, 4.5% 12/25/48 | 15,071 | 14,468 | |
Series 2022-65 Class GA, 5% 4/25/46 | 15,137 | 14,641 | |
Series 2022-7 Class A, 3% 5/25/48 | 2,837 | 2,522 | |
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2379% 12/25/36 (b)(i)(j) | 9 | 1 | |
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0379% 5/25/37 (b)(i)(j) | 5 | 0 | |
Series 1993-165 Class SH, 19.800% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 4.5198% 9/25/23 (b)(c)(j) | 0 | 0 | |
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6979% 3/25/33 (b)(i)(j) | 1 | 0 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 73 | 73 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 42 | 42 | |
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.2076% 6/25/37 (b)(c)(j) | 4 | 5 | |
Series 2007-66: | |||
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.1876% 7/25/37 (b)(c)(j) | 6 | 7 | |
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.1876% 7/25/37 (b)(c)(j) | 2 | 2 | |
Series 2008-12 Class SG, 6.230% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9479% 3/25/38 (b)(i)(j) | 31 | 3 | |
Series 2010-135: | |||
Class LS, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 12/25/40 (b)(i)(j) | 31 | 2 | |
Class ZA, 4.5% 12/25/40 | 16 | 15 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (i) | 169 | 2 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 151 | 148 | |
Series 2010-39 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.030% 6.3221% 3/25/36 (b)(c) | 1,117 | 1,116 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 331 | 327 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 21 | 22 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 48 | 45 | |
Series 2011-67 Class AI, 4% 7/25/26 (i) | 14 | 0 | |
Series 2012-100 Class WI, 3% 9/25/27 (i) | 57 | 2 | |
Series 2012-14 Class JS, 6.530% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2479% 12/25/30 (b)(i)(j) | 2 | 0 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 2,368 | 2,216 | |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1479% 6/25/41 (b)(i)(j) | 6 | 0 | |
Series 2013-133 Class IB, 3% 4/25/32 (i) | 19 | 0 | |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6479% 1/25/44 (b)(i)(j) | 21 | 2 | |
Series 2013-51 Class GI, 3% 10/25/32 (i) | 23 | 1 | |
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.3179% 6/25/35 (b)(i)(j) | 25 | 2 | |
Series 2015-42 Class IL, 6% 6/25/45 (i) | 128 | 22 | |
Series 2015-70 Class JC, 3% 10/25/45 | 145 | 135 | |
Series 2016-26 Class CG, 3% 5/25/46 | 4,751 | 4,426 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 71 | 12 | |
Series 2017-74 Class SH, 6.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.7979% 10/25/47 (b)(i)(j) | 597 | 62 | |
Series 2018-45 Class GI, 4% 6/25/48 (i) | 822 | 164 | |
Series 2020-45 Class JL, 3% 7/25/40 | 698 | 629 | |
Series 2021-59 Class H, 2% 6/25/48 | 1,235 | 1,007 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 1,335 | 1,092 | |
Class DM, 2% 1/25/48 | 1,418 | 1,160 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (i) | 5 | 1 | |
Series 343 Class 16, 5.5% 5/25/34 (i) | 4 | 1 | |
Series 348 Class 14, 6.5% 8/25/34 (b)(i) | 3 | 1 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(i) | 2 | 0 | |
Class 13, 6% 3/25/34 (i) | 3 | 0 | |
Series 359 Class 19, 6% 7/25/35 (b)(i) | 2 | 0 | |
Series 384 Class 6, 5% 7/25/37 (i) | 18 | 3 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.103% 1/15/32 (b)(c) | 0 | 0 | |
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (b)(c) | 1 | 1 | |
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.303% 3/15/32 (b)(c) | 0 | 0 | |
Series 2432: | |||
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 6/15/31 (b)(c) | 1 | 1 | |
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 3/15/32 (b)(c) | 0 | 0 | |
Series 2526 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 11/15/32 (b)(c) | 6 | 6 | |
Series 2530 Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 5.903% 2/15/32 (b)(c) | 11 | 11 | |
Series 2682 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 10/15/33 (b)(c) | 592 | 591 | |
Series 2711 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/33 (b)(c) | 398 | 397 | |
floater planned amortization class Series 2770 Class FH, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 3/15/34 (b)(c) | 146 | 143 | |
floater target amortization class Series 3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.553% 5/15/37 (b)(c) | 23 | 22 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 6 | 6 | |
Series 2101 Class PD, 6% 11/15/28 | 3 | 3 | |
Series 2121 Class MG, 6% 2/15/29 | 3 | 3 | |
Series 2131 Class BG, 6% 3/15/29 | 18 | 18 | |
Series 2137 Class PG, 6% 3/15/29 | 3 | 3 | |
Series 2154 Class PT, 6% 5/15/29 | 5 | 5 | |
Series 2162 Class PH, 6% 6/15/29 | 1 | 1 | |
Series 2520 Class BE, 6% 11/15/32 | 9 | 9 | |
Series 2682 Class LD, 4.5% 10/15/33 | 133 | 131 | |
Series 2693 Class MD, 5.5% 10/15/33 | 20 | 20 | |
Series 2802 Class OB, 6% 5/15/34 | 18 | 18 | |
Series 2996 Class MK, 5.5% 6/15/35 | 5 | 5 | |
Series 3002 Class NE, 5% 7/15/35 | 21 | 21 | |
Series 3110 Class OP 9/15/35 (k) | 5 | 4 | |
Series 3119 Class PO 2/15/36 (k) | 21 | 17 | |
Series 3121 Class KO 3/15/36 (k) | 4 | 3 | |
Series 3123 Class LO 3/15/36 (k) | 12 | 10 | |
Series 3145 Class GO 4/15/36 (k) | 12 | 10 | |
Series 3189 Class PD, 6% 7/15/36 | 19 | 19 | |
Series 3225 Class EO 10/15/36 (k) | 6 | 5 | |
Series 3258 Class PM, 5.5% 12/15/36 | 7 | 7 | |
Series 3415 Class PC, 5% 12/15/37 | 189 | 185 | |
Series 3806 Class UP, 4.5% 2/15/41 | 42 | 41 | |
Series 3832 Class PE, 5% 3/15/41 | 83 | 82 | |
Series 3857 Class ZP, 5% 5/15/41 | 3,826 | 3,796 | |
Series 4135 Class AB, 1.75% 6/15/42 | 255 | 228 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 4 | 4 | |
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 1,828 | 1,864 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 0 | 0 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 4,678 | 4,213 | |
Class LY, 3% 10/25/40 | 3,545 | 3,193 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 7,021 | 6,012 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 1,418 | 1,243 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 1,505 | 1,287 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 1,451 | 1,253 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 1,669 | 1,432 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 1,102 | 952 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 5,445 | 4,763 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 1,176 | 1,014 | |
Series 2135 Class JE, 6% 3/15/29 | 1 | 1 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 18 | 18 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 2 | 2 | |
Series 2281 Class ZB, 6% 3/15/30 | 3 | 3 | |
Series 2303 Class ZV, 6% 4/15/31 | 11 | 11 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 30 | 30 | |
Series 2502 Class ZC, 6% 9/15/32 | 4 | 4 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 5 | 5 | |
Series 2587 Class AD, 4.71% 3/15/33 | 397 | 393 | |
Series 2877 Class ZD, 5% 10/15/34 | 1,753 | 1,720 | |
Series 2998 Class LY, 5.5% 7/15/25 | 4 | 4 | |
Series 3007 Class EW, 5.5% 7/15/25 | 307 | 306 | |
Series 3871 Class KB, 5.5% 6/15/41 | 4,607 | 4,701 | |
Series 3889 Class DZ, 4% 1/15/41 | 12,285 | 11,658 | |
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.297% 2/15/36 (b)(i)(j) | 6 | 1 | |
Series 2013-4281 Class AI, 4% 12/15/28 (i) | 10 | 0 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 181 | 169 | |
Series 2018-4763 Class SC, 6.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.897% 8/15/47 (b)(i)(j) | 302 | 31 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 7,953 | 7,159 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 17,473 | 16,138 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 5,332 | 4,544 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 9,184 | 7,879 | |
Series 2022-5236 Class P, 5% 4/25/48 | 2,329 | 2,289 | |
Series 2022-5266 Class CD, 4.5% 10/25/44 | 1,658 | 1,608 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 94 | 96 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 74 | 75 | |
Series 2947 Class XZ, 6% 3/15/35 | 38 | 39 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 64 | 65 | |
Series 3237 Class C, 5.5% 11/15/36 | 87 | 86 | |
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.357% 11/15/36 (b)(i)(j) | 27 | 2 | |
Series 3287 Class SD, 6.630% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.447% 3/15/37 (b)(i)(j) | 40 | 4 | |
Series 3297 Class BI, 6.640% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.457% 4/15/37 (b)(i)(j) | 56 | 6 | |
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.277% 6/15/37 (b)(i)(j) | 17 | 2 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,816 | 2,801 | |
Series 3949 Class MK, 4.5% 10/15/34 | 15 | 15 | |
Series 4055 Class BI, 3.5% 5/15/31 (i) | 17 | 0 | |
Series 4314 Class AI, 5% 3/15/34 (i) | 4 | 0 | |
Series 4427 Class LI, 3.5% 2/15/34 (i) | 65 | 4 | |
Series 4471 Class PA 4% 12/15/40 | 62 | 59 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 2 | 2 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/24 (b)(c) | 0 | 0 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 2 | 2 | |
Series 2056 Class Z, 6% 5/15/28 | 5 | 5 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer: | |||
Series 2021-5159 Class GC, 2% 11/25/47 | 1,138 | 973 | |
Series 4341 Class ML, 3.5% 11/15/31 | 2,200 | 2,104 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 193 | 185 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2629% 6/16/37 (b)(i)(j) | 11 | 1 | |
Series 2007-59 Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9285% 7/20/37 (b)(c) | 84 | 83 | |
Series 2008-2 Class FD, CME Term SOFR 1 Month Index + 0.590% 5.9085% 1/20/38 (b)(c) | 84 | 83 | |
Series 2008-73 Class FA, CME Term SOFR 1 Month Index + 0.970% 6.2885% 8/20/38 (b)(c) | 584 | 583 | |
Series 2008-83 Class FB, CME Term SOFR 1 Month Index + 1.010% 6.3285% 9/20/38 (b)(c) | 428 | 428 | |
Series 2009-108 Class CF, CME Term SOFR 1 Month Index + 0.710% 6.0271% 11/16/39 (b)(c) | 408 | 403 | |
Series 2009-116 Class KF, CME Term SOFR 1 Month Index + 0.640% 5.9571% 12/16/39 (b)(c) | 67 | 66 | |
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.98% 3/20/60 (b)(c)(h) | 104 | 103 | |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 7/20/60 (b)(c)(h) | 916 | 909 | |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.5553% 9/20/60 (b)(c)(h) | 954 | 946 | |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.5553% 8/20/60 (b)(c)(h) | 736 | 730 | |
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.6353% 12/20/60 (b)(c)(h) | 422 | 419 | |
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 12/20/60 (b)(c)(h) | 365 | 363 | |
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 2/20/61 (b)(c)(h) | 343 | 341 | |
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.7077% 2/20/61 (b)(c)(h) | 492 | 489 | |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 4/20/61 (b)(c)(h) | 342 | 341 | |
Series 2011-H14: | |||
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (b)(c)(h) | 530 | 527 | |
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (b)(c)(h) | 396 | 394 | |
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.7853% 6/20/61 (b)(c)(h) | 434 | 432 | |
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.8053% 9/20/61 (b)(c)(h) | 2,111 | 2,102 | |
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8553% 10/20/61 (b)(c)(h) | 1,490 | 1,485 | |
Series 2012-98 Class FA, CME Term SOFR 1 Month Index + 0.510% 5.8285% 8/20/42 (b)(c) | 92 | 89 | |
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 11/20/61 (b)(c)(h) | 1,470 | 1,466 | |
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 1/20/62 (b)(c)(h) | 757 | 755 | |
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 1/20/62 (b)(c)(h) | 1,371 | 1,366 | |
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 3/20/62 (b)(c)(h) | 643 | 640 | |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8711% 5/20/61 (b)(c)(h) | 18 | 17 | |
Series 2013-H19: | |||
Class FC, CME Term SOFR 1 Month Index + 0.600% 5.8553% 8/20/63 (b)(c)(h) | 122 | 122 | |
Class FD, CME Term SOFR 1 Month Index + 0.600% 5.8553% 8/20/63 (b)(c)(h) | 113 | 113 | |
Series 2014-H02 Class FB, CME Term SOFR 1 Month Index + 0.650% 5.8677% 12/20/63 (b)(c)(h) | 6,570 | 6,554 | |
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8177% 1/20/64 (b)(c)(h) | 1,551 | 1,545 | |
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 5.8177% 12/20/63 (b)(c)(h) | 129 | 128 | |
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 6/20/64 (b)(c)(h) | 116 | 115 | |
Series 2015-H07 Class FA, CME Term SOFR 1 Month Index + 0.410% 4.7364% 3/20/65 (b)(c)(h) | 18 | 18 | |
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 4.9096% 5/20/63 (b)(c)(h) | 31 | 29 | |
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 4.9314% 4/20/63 (b)(c)(h) | 40 | 39 | |
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 4.5891% 12/20/62 (b)(c)(h) | 41 | 40 | |
planned amortization class: | |||
Series 2010-158 Class MS, 9.770% - CME Term SOFR 1 Month Index 0% 12/20/40 (b)(j) | 118 | 93 | |
Series 2010-31 Class BP, 5% 3/20/40 | 4,086 | 4,016 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (i) | 31 | 2 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 48 | 46 | |
Series 2016-69 Class WA, 3% 2/20/46 | 96 | 87 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 360 | 318 | |
Series 2017-153 Class GA, 3% 9/20/47 | 255 | 228 | |
Series 2017-182 Class KA, 3% 10/20/47 | 202 | 180 | |
Series 2018-13 Class Q, 3% 4/20/47 | 250 | 227 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 32 | 31 | |
Series 2010-160 Class DY, 4% 12/20/40 | 243 | 232 | |
Series 2010-170 Class B, 4% 12/20/40 | 54 | 51 | |
Series 2011-69 Class GX, 4.5% 5/16/40 | 2,289 | 2,258 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (h) | 849 | 833 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,554 | 3,173 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (h) | 927 | 883 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 811 | 838 | |
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0729% 5/16/34 (b)(i)(j) | 7 | 0 | |
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7729% 8/17/34 (b)(i)(j) | 7 | 1 | |
Series 2010-116 Class QB, 4% 9/16/40 | 19 | 18 | |
Series 2010-14 Class SN, 5.830% - CME Term SOFR 1 Month Index 0.5229% 2/16/40 (b)(i)(j) | 42 | 2 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 4,071 | 3,694 | |
Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 5/20/60 (b)(c)(h) | 57 | 57 | |
Series 2010-H16 Class BA, 3.55% 7/20/60 (h) | 124 | 120 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(h) | 61 | 60 | |
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6715% 7/20/41 (b)(i)(j) | 22 | 2 | |
Series 2012-76 Class GS, 6.580% - CME Term SOFR 1 Month Index 1.2729% 6/16/42 (b)(i)(j) | 25 | 2 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 169 | 161 | |
Series 2013-H01 Class FA, 1.65% 1/20/63 (h) | 0 | 0 | |
Series 2013-H04 Class BA, 1.65% 2/20/63 (h) | 0 | 0 | |
Series 2014-2 Class BA, 3% 1/20/44 | 481 | 432 | |
Series 2014-21 Class HA, 3% 2/20/44 | 179 | 161 | |
Series 2014-25 Class HC, 3% 2/20/44 | 304 | 272 | |
Series 2014-5 Class A, 3% 1/20/44 | 255 | 229 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (h) | 3 | 2 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(h) | 144 | 138 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.85% 5/20/66 (b)(c)(h) | 4,219 | 4,207 | |
Series 2017-186 Class HK, 3% 11/16/45 | 262 | 235 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.7% 8/20/66 (b)(c)(h) | 5,088 | 5,065 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 9,593 | 9,524 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $247,343) | 237,950 | ||
Commercial Mortgage Securities - 3.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 10,774 | 10,439 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 306 | 294 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (b) | 12,319 | 11,872 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 484 | 466 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 13,881 | 13,297 | |
Series 2017-K729 Class A2, 3.136% 10/25/24 | 7,600 | 7,402 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 6,500 | 5,203 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 2,490 | 2,040 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 2,200 | 2,023 | |
Series 2022-K140 Class A2, 2.25% 1/25/32 | 8,719 | 7,184 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 18,773 | 17,044 | |
Series 2023-158 Class A2, 4.05% 7/25/33 | 3,540 | 3,334 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 13,919 | 13,615 | |
Series 2021-K134 Class A2, 2.243% 10/25/31 | 14,877 | 12,320 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 6,287 | 5,533 | |
Series K063 Class A2, 3.43% 1/25/27 | 4,900 | 4,666 | |
Series K086 Class A2, 3.859% 11/25/28 | 4,017 | 3,847 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 7,924 | 7,643 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $130,350) | 128,222 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Israeli State 5.5% 4/26/24 (Cost $4,915) | 4,828 | 4,805 | |
Money Market Funds - 2.3% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.43% (l) (Cost $83,960) | 83,945,636 | 83,962 | |
TOTAL INVESTMENT IN SECURITIES - 109.6% (Cost $4,317,567) | 4,015,960 |
NET OTHER ASSETS (LIABILITIES) - (9.6)% | (352,799) |
NET ASSETS - 100.0% | 3,663,161 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 9/1/53 | (3,700) | (3,051) |
2% 9/1/53 | (46,300) | (38,198) |
2% 9/1/53 | (20,200) | (16,665) |
2.5% 9/1/53 | (1,700) | (1,447) |
3% 9/1/53 | (19,750) | (17,366) |
TOTAL GINNIE MAE | (76,727) | |
Uniform Mortgage Backed Securities | ||
1.5% 9/1/53 | (1,700) | (1,282) |
2% 9/1/53 | (3,550) | (2,826) |
2% 9/1/53 | (1,700) | (1,353) |
2% 9/1/53 | (550) | (438) |
2% 9/1/53 | (200) | (159) |
2% 9/1/53 | (200) | (159) |
2% 9/1/53 | (2,100) | (1,672) |
2% 9/1/53 | (350) | (279) |
2.5% 9/1/53 | (2,800) | (2,321) |
2.5% 9/1/53 | (3,500) | (2,901) |
2.5% 9/1/53 | (9,300) | (7,708) |
3.5% 9/1/53 | (14,600) | (13,046) |
5.5% 9/1/53 | (4,500) | (4,445) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (38,589) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $114,731) | (115,316) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 326 | Dec 2023 | 36,196 | 252 | 252 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,606 | Dec 2023 | 327,310 | 909 | 909 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 231 | Dec 2023 | 28,110 | 400 | 400 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 3 | Dec 2023 | 388 | 6 | 6 |
TOTAL PURCHASED | 1,567 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 260 | Dec 2023 | 27,800 | (196) | (196) |
TOTAL FUTURES CONTRACTS | 1,371 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 10.7% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.8% |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2028 | 8,951 | (164) | 0 | (164) | |
3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2033 | 5,800 | (176) | 0 | (176) | |
3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2053 | 1,159 | (71) | 0 | (71) | |
TOTAL INTEREST RATE SWAPS | (411) | 0 | (411) |
(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 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 $1,451,000. |
(e) | 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 $3,353,000. |
(f) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $701,000. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(i) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(j) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(l) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.43% | 529,585 | 1,216,491 | 1,662,114 | 9,728 | - | - | 83,962 | 0.2% |
Fidelity Securities Lending Cash Central Fund 5.44% | 80,585 | 753,597 | 834,182 | 129 | - | - | - | 0.0% |
Total | 610,170 | 1,970,088 | 2,496,296 | 9,857 | - | - | 83,962 | |
Valuation Inputs at Reporting Date: | ||||
Description (Amounts in thousands) | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 2,239,322 | - | 2,239,322 | - |
U.S. Government Agency - Mortgage Securities | 1,321,699 | - | 1,321,699 | - |
Collateralized Mortgage Obligations | 237,950 | - | 237,950 | - |
Commercial Mortgage Securities | 128,222 | - | 128,222 | - |
Foreign Government and Government Agency Obligations | 4,805 | - | 4,805 | - |
Money Market Funds | 83,962 | 83,962 | - | - |
Total Investments in Securities: | 4,015,960 | 83,962 | 3,931,998 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 1,567 | 1,567 | - | - |
Total Assets | 1,567 | 1,567 | - | - |
Liabilities | ||||
Futures Contracts | (196) | (196) | - | - |
Swaps | (411) | - | (411) | - |
Total Liabilities | (607) | (196) | (411) | - |
Total Derivative Instruments: | 960 | 1,371 | (411) | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (115,316) | - | (115,316) | - |
Total Other Financial Instruments: | (115,316) | - | (115,316) | - |
Primary Risk Exposure / Derivative Type | Value | |
(Amounts in thousands) | Asset ($) | Liability ($) |
Interest Rate Risk | ||
Futures Contracts (a) | 1,567 | (196) |
Swaps (b) | 0 | (411) |
Total Interest Rate Risk | 1,567 | (607) |
Total Value of Derivatives | 1,567 | (607) |
Statement of Assets and Liabilities | ||||
Amounts in thousands (except per-share amounts) | August 31, 2023 | |||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,233,607) | $ | 3,931,998 | ||
Fidelity Central Funds (cost $83,960) | 83,962 | |||
Total Investment in Securities (cost $4,317,567) | $ | 4,015,960 | ||
Receivable for investments sold | 93 | |||
Receivable for TBA sale commitments | 114,731 | |||
Receivable for fund shares sold | 3,224 | |||
Interest receivable | 13,667 | |||
Distributions receivable from Fidelity Central Funds | 402 | |||
Receivable for daily variation margin on futures contracts | 201 | |||
Receivable for daily variation margin on centrally cleared OTC swaps | 27 | |||
Receivable from investment adviser for expense reductions | 48 | |||
Total assets | 4,148,353 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 21,451 | ||
Delayed delivery | 343,225 | |||
TBA sale commitments, at value | 115,316 | |||
Payable for fund shares redeemed | 3,494 | |||
Distributions payable | 328 | |||
Accrued management fee | 898 | |||
Distribution and service plan fees payable | 61 | |||
Other affiliated payables | 419 | |||
Total Liabilities | 485,192 | |||
Net Assets | $ | 3,663,161 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,241,868 | ||
Total accumulated earnings (loss) | (578,707) | |||
Net Assets | $ | 3,663,161 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($103,376 ÷ 11,410 shares)(a) | $ | 9.06 | ||
Maximum offering price per share (100/96.00 of $9.06) | $ | 9.44 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($83,063 ÷ 9,169 shares)(a) | $ | 9.06 | ||
Maximum offering price per share (100/96.00 of $9.06) | $ | 9.44 | ||
Class C : | ||||
Net Asset Value and offering price per share ($26,095 ÷ 2,898 shares)(a)(b) | $ | 9.01 | ||
Government Income : | ||||
Net Asset Value, offering price and redemption price per share ($1,556,472 ÷ 172,044 shares) | $ | 9.05 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($195,395 ÷ 21,564 shares) | $ | 9.06 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($1,698,760 ÷ 187,391 shares) | $ | 9.07 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. | ||||
(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or shares. |
Statement of Operations | ||||
Amounts in thousands | Year ended August 31, 2023 | |||
Investment Income | ||||
Interest | $ | 89,327 | ||
Income from Fidelity Central Funds (including $129 from security lending) | 9,857 | |||
Total Income | 99,184 | |||
Expenses | ||||
Management fee | $ | 10,405 | ||
Transfer agent fees | 3,043 | |||
Distribution and service plan fees | 779 | |||
Fund wide operations fee | 1,831 | |||
Independent trustees' fees and expenses | 13 | |||
Total expenses before reductions | 16,071 | |||
Expense reductions | (587) | |||
Total expenses after reductions | 15,484 | |||
Net Investment income (loss) | 83,700 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (113,151) | |||
Futures contracts | (18,627) | |||
Swaps | (901) | |||
Total net realized gain (loss) | (132,679) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (42,239) | |||
Futures contracts | 2,440 | |||
Swaps | (268) | |||
TBA Sale commitments | (4,347) | |||
Total change in net unrealized appreciation (depreciation) | (44,414) | |||
Net gain (loss) | (177,093) | |||
Net increase (decrease) in net assets resulting from operations | $ | (93,393) |
Statement of Changes in Net Assets | ||||
Amount in thousands | Year ended August 31, 2023 | Year ended August 31, 2022 | ||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 83,700 | $ | 38,185 |
Net realized gain (loss) | (132,679) | (59,827) | ||
Change in net unrealized appreciation (depreciation) | (44,414) | (394,506) | ||
Net increase (decrease) in net assets resulting from operations | (93,393) | (416,148) | ||
Distributions to shareholders | (79,823) | (39,020) | ||
Share transactions - net increase (decrease) | 240,581 | 543,547 | ||
Total increase (decrease) in net assets | 67,365 | 88,379 | ||
Net Assets | ||||
Beginning of period | 3,595,796 | 3,507,417 | ||
End of period | $ | 3,663,161 | $ | 3,595,796 |
Fidelity Advisor® Government Income Fund Class A |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.51 | $ | 10.78 | $ | 11.17 | $ | 10.70 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .189 | .076 | .052 | .117 | .199 | |||||
Net realized and unrealized gain (loss) | (.461) | (1.269) | (.255) | .477 | .696 | |||||
Total from investment operations | (.272) | (1.193) | (.203) | .594 | .895 | |||||
Distributions from net investment income | (.178) | (.077) | (.046) | (.124) | (.195) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.178) | (.077) | (.187) | (.124) | (.195) | |||||
Net asset value, end of period | $ | 9.06 | $ | 9.51 | $ | 10.78 | $ | 11.17 | $ | 10.70 |
Total Return C,D | (2.87)% | (11.11)% | (1.84)% | 5.59% | 9.06% | |||||
Ratios to Average Net Assets B,E,F | ||||||||||
Expenses before reductions | .79% | .77% | .76% | .77% | .78% | |||||
Expenses net of fee waivers, if any | .79% | .77% | .76% | .77% | .78% | |||||
Expenses net of all reductions | .79% | .77% | .76% | .77% | .78% | |||||
Net investment income (loss) | 2.05% | .74% | .48% | 1.08% | 1.96% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 103 | $ | 119 | $ | 185 | $ | 215 | $ | 139 |
Portfolio turnover rate G | 354% | 318% H | 223% | 255% H | 246% |
Fidelity Advisor® Government Income Fund Class M |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.51 | $ | 10.77 | $ | 11.17 | $ | 10.70 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .191 | .077 | .052 | .118 | .201 | |||||
Net realized and unrealized gain (loss) | (.460) | (1.259) | (.265) | .477 | .696 | |||||
Total from investment operations | (.269) | (1.182) | (.213) | .595 | .897 | |||||
Distributions from net investment income | (.181) | (.078) | (.046) | (.125) | (.197) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.181) | (.078) | (.187) | (.125) | (.197) | |||||
Net asset value, end of period | $ | 9.06 | $ | 9.51 | $ | 10.77 | $ | 11.17 | $ | 10.70 |
Total Return C,D | (2.85)% | (11.01)% | (1.92)% | 5.61% | 9.08% | |||||
Ratios to Average Net Assets B,E,F | ||||||||||
Expenses before reductions | .76% | .76% | .75% | .76% | .76% | |||||
Expenses net of fee waivers, if any | .76% | .76% | .75% | .76% | .76% | |||||
Expenses net of all reductions | .76% | .76% | .75% | .76% | .76% | |||||
Net investment income (loss) | 2.07% | .75% | .48% | 1.09% | 1.98% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 83 | $ | 95 | $ | 128 | $ | 151 | $ | 131 |
Portfolio turnover rate G | 354% | 318% H | 223% | 255% H | 246% |
Fidelity Advisor® Government Income Fund Class C |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.45 | $ | 10.73 | $ | 11.16 | $ | 10.70 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .119 | (.002) | (.032) | .034 | .122 | |||||
Net realized and unrealized gain (loss) | (.451) | (1.261) | (.257) | .472 | .695 | |||||
Total from investment operations | (.332) | (1.263) | (.289) | .506 | .817 | |||||
Distributions from net investment income | (.108) | (.017) | - C | (.046) | (.117) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.108) | (.017) | (.141) | (.046) | (.117) | |||||
Net asset value, end of period | $ | 9.01 | $ | 9.45 | $ | 10.73 | $ | 11.16 | $ | 10.70 |
Total Return D,E | (3.52)% | (11.78)% | (2.61)% | 4.75% | 8.24% | |||||
Ratios to Average Net Assets B,F,G | ||||||||||
Expenses before reductions | 1.54% | 1.53% | 1.53% | 1.53% | 1.54% | |||||
Expenses net of fee waivers, if any | 1.54% | 1.53% | 1.53% | 1.53% | 1.54% | |||||
Expenses net of all reductions | 1.54% | 1.53% | 1.53% | 1.53% | 1.54% | |||||
Net investment income (loss) | 1.29% | (.02)% | (.29)% | .31% | 1.20% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 26 | $ | 33 | $ | 48 | $ | 80 | $ | 51 |
Portfolio turnover rate H | 354% | 318% I | 223% | 255% I | 246% |
Fidelity® Government Income Fund |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.49 | $ | 10.76 | $ | 11.15 | $ | 10.68 | $ | 9.99 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .220 | .108 | .085 | .152 | .232 | |||||
Net realized and unrealized gain (loss) | (.451) | (1.269) | (.257) | .476 | .686 | |||||
Total from investment operations | (.231) | (1.161) | (.172) | .628 | .918 | |||||
Distributions from net investment income | (.209) | (.109) | (.077) | (.158) | (.228) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.209) | (.109) | (.218) | (.158) | (.228) | |||||
Net asset value, end of period | $ | 9.05 | $ | 9.49 | $ | 10.76 | $ | 11.15 | $ | 10.68 |
Total Return C | (2.44)% | (10.84)% | (1.56)% | 5.94% | 9.33% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% | |||||
Net investment income (loss) | 2.38% | 1.06% | .79% | 1.39% | 2.29% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 1,556 | $ | 1,756 | $ | 2,130 | $ | 2,743 | $ | 2,633 |
Portfolio turnover rate F | 354% | 318% G | 223% | 255% G | 246% |
Fidelity Advisor® Government Income Fund Class I |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.51 | $ | 10.78 | $ | 11.17 | $ | 10.70 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .215 | .105 | .081 | .148 | .228 | |||||
Net realized and unrealized gain (loss) | (.460) | (1.270) | (.257) | .477 | .696 | |||||
Total from investment operations | (.245) | (1.165) | (.176) | .625 | .924 | |||||
Distributions from net investment income | (.205) | (.105) | (.073) | (.155) | (.224) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.205) | (.105) | (.214) | (.155) | (.224) | |||||
Net asset value, end of period | $ | 9.06 | $ | 9.51 | $ | 10.78 | $ | 11.17 | $ | 10.70 |
Total Return C | (2.59)% | (10.85)% | (1.59)% | 5.89% | 9.38% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .50% | .49% | .49% | .49% | .49% | |||||
Expenses net of fee waivers, if any | .50% | .49% | .49% | .49% | .49% | |||||
Expenses net of all reductions | .50% | .49% | .49% | .49% | .49% | |||||
Net investment income (loss) | 2.34% | 1.02% | .75% | 1.36% | 2.25% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 195 | $ | 199 | $ | 280 | $ | 411 | $ | 407 |
Portfolio turnover rate F | 354% | 318% G | 223% | 255% G | 246% |
Fidelity Advisor® Government Income Fund Class Z |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 A | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.51 | $ | 10.78 | $ | 11.18 | $ | 10.70 | $ | 9.91 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .228 | .116 | .095 | .163 | .198 | |||||
Net realized and unrealized gain (loss) | (.450) | (1.268) | (.267) | .485 | .808 | |||||
Total from investment operations | (.222) | (1.152) | (.172) | .648 | 1.006 | |||||
Distributions from net investment income | (.218) | (.118) | (.087) | (.168) | (.216) | |||||
Distributions from net realized gain | - | - | (.141) | - | - | |||||
Total distributions | (.218) | (.118) | (.228) | (.168) | (.216) | |||||
Net asset value, end of period | $ | 9.07 | $ | 9.51 | $ | 10.78 | $ | 11.18 | $ | 10.70 |
Total Return D,E | (2.35)% | (10.74)% | (1.55)% | 6.12% | 10.27% | |||||
Ratios to Average Net Assets C,F,G | ||||||||||
Expenses before reductions | .40% | .40% | .40% | .40% | .40% H | |||||
Expenses net of fee waivers, if any | .36% | .36% | .36% | .36% | .36% H | |||||
Expenses net of all reductions | .36% | .36% | .36% | .36% | .36% H | |||||
Net investment income (loss) | 2.47% | 1.15% | .88% | 1.48% | 2.27% H | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 1,699 | $ | 1,394 | $ | 735 | $ | 937 | $ | 139 |
Portfolio turnover rate I | 354% | 318% J | 223% | 255% J | 246% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $3,414 |
Gross unrealized depreciation | (302,239) |
Net unrealized appreciation (depreciation) | $(298,825) |
Tax Cost | $4,313,840 |
Undistributed ordinary income | $1,150 |
Capital loss carryforward | $(281,033) |
Net unrealized appreciation (depreciation) on securities and other investments | $(298,825) |
Short-term | $(165,808) |
Long-term | (115,225) |
Total capital loss carryforward | $(281,033) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $79,823 | $39,020 |
Total | $79,823 | $39,020 |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Government Income Fund | ||
Interest Rate Risk | ||
Futures Contracts | (18,627) | 2,440 |
Swaps | (901) | (268) |
Total Interest Rate Risk | (19,528) | 2,172 |
Totals | (19,528) | 2,172 |
Purchases ($) | Sales ($) | |
Fidelity Government Income Fund | 7,675,683 | 7,846,877 |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $274 | $3 |
Class M | - % | .25% | 218 | 1 |
Class C | .75% | .25% | 287 | 20 |
$779 | $24 |
Retained by FDC | |
Class A | $13 |
Class M | 1 |
Class C A | 1 |
$15 |
Amount | % of Class-Level Average Net Assets | |
Class A | $206 | .19 |
Class M | 142 | .16 |
Class C | 55 | .19 |
Government Income | 1,632 | .10 |
Class I | 284 | .15 |
Class Z | 724 | .05 |
$3,043 |
Fidelity Government Income Fund | .05% |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Government Income Fund | $14 | $- | $- |
Expense Limitations | Reimbursement | |
Class Z | .36% | $578 |
Expense reduction | |
Class M | $1 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Government Income Fund | ||
Distributions to shareholders | ||
Class A | $2,110 | $1,067 |
Class M | 1,702 | 824 |
Class C | 336 | 66 |
Government Income | 37,026 | 20,606 |
Class I | 4,277 | 2,410 |
Class Z | 34,372 | 14,047 |
Total | $79,823 | $39,020 |
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2023 | Year ended August 31, 2022 | Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Government Income Fund | ||||
Class A | ||||
Shares sold | 1,513 | 2,041 | $13,966 | $20,884 |
Reinvestment of distributions | 220 | 101 | 2,022 | 1,022 |
Shares redeemed | (2,876) | (6,788) | (26,482) | (70,057) |
Net increase (decrease) | (1,143) | (4,646) | $(10,494) | $(48,151) |
Class M | ||||
Shares sold | 2,172 | 2,434 | $20,012 | $24,763 |
Reinvestment of distributions | 169 | 75 | 1,558 | 755 |
Shares redeemed | (3,211) | (4,360) | (29,618) | (44,736) |
Net increase (decrease) | (870) | (1,851) | $(8,048) | $(19,218) |
Class C | ||||
Shares sold | 357 | 388 | $3,270 | $3,951 |
Reinvestment of distributions | 36 | 7 | 332 | 66 |
Shares redeemed | (959) | (1,438) | (8,788) | (14,547) |
Net increase (decrease) | (566) | (1,043) | $(5,186) | $(10,530) |
Government Income | ||||
Shares sold | 38,534 | 45,717 | $355,883 | $462,305 |
Reinvestment of distributions | 3,764 | 1,913 | 34,583 | 19,241 |
Shares redeemed | (55,194) | (60,673) | (507,770) | (615,563) |
Net increase (decrease) | (12,896) | (13,043) | $(117,304) | $(134,017) |
Class I | ||||
Shares sold | 10,672 | 7,936 | $98,225 | $81,576 |
Reinvestment of distributions | 455 | 229 | 4,187 | 2,318 |
Shares redeemed | (10,495) | (13,237) | (96,612) | (136,001) |
Net increase (decrease) | 632 | (5,072) | $5,800 | $(52,107) |
Class Z | ||||
Shares sold | 72,658 | 107,510 | $672,939 | $1,106,400 |
Reinvestment of distributions | 3,658 | 1,383 | 33,676 | 13,887 |
Shares redeemed | (35,436) | (30,583) | (330,802) | (312,717) |
Net increase (decrease) | 40,880 | 78,310 | $375,813 | $807,570 |
Strategic Advisers Fidelity Core Income Fund | |
Fidelity Government Income Fund | 14% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Government Income Fund | ||||||||||
Class A | .78% | |||||||||
Actual | $ 1,000 | $ 1,001.80 | $ 3.94 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.27 | $ 3.97 | |||||||
Class M | .76% | |||||||||
Actual | $ 1,000 | $ 1,003.00 | $ 3.84 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.37 | $ 3.87 | |||||||
Class C | 1.52% | |||||||||
Actual | $ 1,000 | $ 999.10 | $ 7.66 | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.54 | $ 7.73 | |||||||
Fidelity® Government Income Fund | .45% | |||||||||
Actual | $ 1,000 | $ 1,004.60 | $ 2.27 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.94 | $ 2.29 | |||||||
Class I | .49% | |||||||||
Actual | $ 1,000 | $ 1,003.20 | $ 2.47 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.74 | $ 2.50 | |||||||
Class Z | .36% | |||||||||
Actual | $ 1,000 | $ 1,005.00 | $ 1.82 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.39 | $ 1.84 | |||||||
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
Fidelity® Series Government Bond Index Fund | -1.96% | 0.23% | 0.25% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® Series Government Bond Index Fund, on August 17, 2018, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Government Bond Index performed over the same period. |
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Coupon Distribution (% of Fund's Investments) | ||
0.01 - 0.99% | 29.4 | |
1 - 1.99% | 23.1 | |
2 - 2.99% | 20.2 | |
3 - 3.99% | 14.9 | |
4 - 4.99% | 8.8 | |
5 - 5.99% | 1.7 | |
6 - 6.99% | 1.3 | |
7 - 7.99% | 0.3 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
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U.S. Government and Government Agency Obligations - 98.8% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 2.8% | |||
Fannie Mae: | |||
0.5% 6/17/25 | 5,000 | 4,620 | |
0.625% 4/22/25 | 814,000 | 758,200 | |
0.875% 12/18/26 | 1,200,000 | 1,060,591 | |
0.875% 8/5/30 | 1,057,000 | 838,392 | |
1.625% 1/7/25 | 15,000 | 14,317 | |
1.875% 9/24/26 | 674,000 | 622,883 | |
2.125% 4/24/26 | 221,000 | 207,261 | |
2.5% 2/5/24 | 690,000 | 681,441 | |
2.625% 9/6/24 | 9,000 | 8,756 | |
5.625% 7/15/37 | 163,000 | 182,307 | |
6.25% 5/15/29 | 71,000 | 77,780 | |
7.125% 1/15/30 | 6,000 | 6,924 | |
7.25% 5/15/30 | 866,000 | 1,011,118 | |
Federal Farm Credit Bank: | |||
0.72% 10/27/26 | 500,000 | 441,243 | |
1% 10/7/26 | 1,000,000 | 892,930 | |
1.3% 3/30/27 | 130,000 | 115,343 | |
3% 8/3/26 | 1,560,000 | 1,488,898 | |
4.25% 9/30/25 | 800,000 | 789,652 | |
Federal Home Loan Bank: | |||
1% 12/20/24 | 330,000 | 312,535 | |
1% 3/23/26 | 994,500 | 902,343 | |
1.25% 10/26/26 | 1,060,000 | 951,239 | |
3.25% 11/16/28 | 1,850,000 | 1,761,112 | |
3.375% 3/8/24 | 530,000 | 524,078 | |
5.5% 7/15/36 | 100,000 | 109,999 | |
Freddie Mac: | |||
0.375% 9/23/25 | 3,210,000 | 2,928,929 | |
6.25% 7/15/32 | 585,000 | 669,047 | |
6.75% 9/15/29 | 185,000 | 208,400 | |
6.75% 3/15/31 | 173,000 | 199,304 | |
Tennessee Valley Authority: | |||
4.625% 9/15/60 | 2,440,000 | 2,272,136 | |
4.875% 1/15/48 | 630,000 | 613,709 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 20,655,487 | ||
U.S. Treasury Obligations - 96.0% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 2,221,000 | 1,375,545 | |
1.125% 8/15/40 | 2,054,000 | 1,261,044 | |
1.25% 5/15/50 | 5,591,000 | 2,922,389 | |
1.375% 11/15/40 | 12,447,000 | 7,946,145 | |
1.375% 8/15/50 | 2,035,000 | 1,099,933 | |
1.625% 11/15/50 | 8,814,000 | 5,098,348 | |
1.75% 8/15/41 | 6,178,000 | 4,151,085 | |
1.875% 2/15/41 | 3,726,000 | 2,585,786 | |
1.875% 2/15/51 | 4,353,000 | 2,685,427 | |
1.875% 11/15/51 | 4,779,000 | 2,936,471 | |
2% 11/15/41 | 4,351,000 | 3,044,510 | |
2% 2/15/50 | 5,143,000 | 3,293,328 | |
2% 8/15/51 | 7,701,000 | 4,889,233 | |
2.25% 5/15/41 | 3,180,000 | 2,343,138 | |
2.25% 8/15/46 | 1,070,000 | 737,046 | |
2.25% 8/15/49 | 3,614,000 | 2,458,508 | |
2.25% 2/15/52 | 8,250,000 | 5,565,527 | |
2.375% 2/15/42 | 10,260,000 | 7,627,652 | |
2.375% 11/15/49 | 259,000 | 181,128 | |
2.375% 5/15/51 | 6,619,000 | 4,600,464 | |
2.5% 2/15/45 | 160,000 | 117,494 | |
2.5% 2/15/46 | 2,660,000 | 1,933,903 | |
2.75% 8/15/42 | 3,058,000 | 2,404,591 | |
2.75% 11/15/42 | 370,000 | 290,103 | |
2.75% 8/15/47 | 9,501,000 | 7,201,090 | |
2.75% 11/15/47 | 450,000 | 340,734 | |
2.875% 5/15/43 | 4,159,000 | 3,312,741 | |
2.875% 8/15/45 | 66,000 | 51,642 | |
2.875% 11/15/46 | 2,801,000 | 2,178,762 | |
2.875% 5/15/49 | 1,675,000 | 1,298,321 | |
2.875% 5/15/52 | 2,080,000 | 1,614,681 | |
3% 5/15/42 | 3,768,000 | 3,090,790 | |
3% 11/15/44 | 265,000 | 213,170 | |
3% 5/15/45 | 303,000 | 242,802 | |
3% 11/15/45 | 3,672,000 | 2,933,584 | |
3% 2/15/47 | 5,955,000 | 4,733,992 | |
3% 5/15/47 | 8,000 | 6,358 | |
3% 2/15/48 | 1,326,000 | 1,052,564 | |
3% 8/15/48 | 519,000 | 411,855 | |
3% 2/15/49 | 420,000 | 333,391 | |
3% 8/15/52 | 8,700,000 | 6,933,152 | |
3.125% 11/15/41 | 1,240,000 | 1,046,105 | |
3.125% 2/15/43 | 137,000 | 113,796 | |
3.125% 8/15/44 | 533,000 | 438,559 | |
3.125% 5/15/48 | 5,311,000 | 4,313,528 | |
3.25% 5/15/42 | 2,120,000 | 1,810,364 | |
3.375% 8/15/42 | 3,690,000 | 3,202,084 | |
3.375% 5/15/44 | 3,819,000 | 3,274,793 | |
3.375% 11/15/48 | 710,000 | 603,389 | |
3.625% 8/15/43 | 2,541,000 | 2,271,118 | |
3.625% 2/15/44 | 600,000 | 535,219 | |
3.75% 8/15/41 | 275,000 | 254,740 | |
3.75% 11/15/43 | 985,000 | 896,004 | |
3.875% 8/15/40 | 2,366,000 | 2,245,944 | |
4% 11/15/42 | 1,710,000 | 1,622,429 | |
4% 11/15/52 | 4,980,000 | 4,805,116 | |
4.25% 11/15/40 | 92,000 | 91,623 | |
4.375% 2/15/38 | 410,000 | 419,738 | |
4.375% 11/15/39 | 523,000 | 530,150 | |
4.5% 2/15/36 | 1,391,000 | 1,453,486 | |
4.625% 2/15/40 | 1,569,000 | 1,638,747 | |
4.75% 2/15/41 | 12,000 | 12,678 | |
5% 5/15/37 | 1,471,000 | 1,608,044 | |
5.25% 11/15/28 | 2,005,000 | 2,093,659 | |
5.25% 2/15/29 | 3,824,000 | 4,002,802 | |
5.5% 8/15/28 | 4,187,000 | 4,409,925 | |
6.125% 8/15/29 | 443,000 | 486,089 | |
6.25% 5/15/30 | 6,070,000 | 6,784,648 | |
6.5% 11/15/26 | 980,000 | 1,037,728 | |
7.5% 11/15/24 | 1,230,000 | 1,263,200 | |
U.S. Treasury Notes: | |||
0.25% 6/15/24 | 3,075,000 | 2,953,922 | |
0.25% 5/31/25 | 11,735,000 | 10,813,619 | |
0.25% 6/30/25 (b) | 273,000 | 250,883 | |
0.25% 7/31/25 | 5,195,000 | 4,758,904 | |
0.25% 8/31/25 | 18,360,000 | 16,763,543 | |
0.25% 9/30/25 | 7,888,000 | 7,186,708 | |
0.25% 10/31/25 | 1,882,000 | 1,708,577 | |
0.375% 7/15/24 | 1,086,000 | 1,039,887 | |
0.375% 9/15/24 | 8,936,000 | 8,490,247 | |
0.375% 4/30/25 | 7,678,000 | 7,115,047 | |
0.375% 11/30/25 | 1,170,000 | 1,061,958 | |
0.375% 12/31/25 | 10,554,000 | 9,562,913 | |
0.375% 1/31/26 | 5,750,000 | 5,189,600 | |
0.375% 7/31/27 | 16,032,000 | 13,741,178 | |
0.375% 9/30/27 | 1,530,000 | 1,304,205 | |
0.5% 3/31/25 | 3,222,000 | 3,001,243 | |
0.5% 2/28/26 | 8,512,000 | 7,685,405 | |
0.5% 4/30/27 | 3,017,000 | 2,621,019 | |
0.5% 5/31/27 | 5,115,000 | 4,430,869 | |
0.5% 6/30/27 | 4,825,000 | 4,169,290 | |
0.5% 8/31/27 | 4,183,000 | 3,594,112 | |
0.5% 10/31/27 | 5,860,000 | 5,006,866 | |
0.625% 10/15/24 | 2,810,000 | 2,668,293 | |
0.625% 7/31/26 | 3,440,000 | 3,076,247 | |
0.625% 3/31/27 | 4,626,000 | 4,048,834 | |
0.625% 11/30/27 | 6,368,000 | 5,457,077 | |
0.625% 12/31/27 | 2,957,000 | 2,527,888 | |
0.625% 5/15/30 | 3,797,000 | 3,012,237 | |
0.625% 8/15/30 | 11,548,000 | 9,099,012 | |
0.75% 3/31/26 | 10,364,000 | 9,406,140 | |
0.75% 4/30/26 | 15,816,000 | 14,303,595 | |
0.75% 5/31/26 | 640,000 | 577,200 | |
0.75% 8/31/26 | 8,742,000 | 7,826,480 | |
0.75% 1/31/28 | 2,797,000 | 2,398,974 | |
0.875% 6/30/26 | 14,716,000 | 13,302,459 | |
0.875% 9/30/26 | 5,616,000 | 5,039,702 | |
0.875% 11/15/30 | 11,039,000 | 8,836,375 | |
1% 7/31/28 | 1,010,000 | 864,339 | |
1.125% 2/28/25 | 11,337,000 | 10,693,537 | |
1.125% 10/31/26 | 3,400,000 | 3,065,047 | |
1.125% 2/28/27 | 478,000 | 427,362 | |
1.125% 8/31/28 | 1,748,000 | 1,502,392 | |
1.125% 2/15/31 | 8,959,000 | 7,278,838 | |
1.25% 8/31/24 | 953,000 | 914,768 | |
1.25% 11/30/26 | 2,098,000 | 1,894,838 | |
1.25% 12/31/26 | 1,130,000 | 1,019,119 | |
1.25% 3/31/28 | 520,000 | 454,452 | |
1.25% 4/30/28 | 7,533,000 | 6,569,600 | |
1.25% 6/30/28 | 14,120,000 | 12,267,853 | |
1.25% 9/30/28 | 2,220,000 | 1,915,877 | |
1.25% 8/15/31 | 5,604,000 | 4,525,230 | |
1.375% 1/31/25 | 3,446,000 | 3,270,066 | |
1.375% 8/31/26 | 5,158,000 | 4,705,869 | |
1.375% 10/31/28 | 2,290,000 | 1,985,054 | |
1.375% 12/31/28 | 8,811,000 | 7,610,845 | |
1.375% 11/15/31 | 10,563,000 | 8,560,569 | |
1.5% 9/30/24 | 1,066,000 | 1,023,527 | |
1.5% 10/31/24 | 641,000 | 613,933 | |
1.5% 11/30/24 | 3,523,000 | 3,365,153 | |
1.5% 2/15/25 | 4,890,000 | 4,642,826 | |
1.5% 8/15/26 | 192,000 | 175,988 | |
1.5% 1/31/27 | 4,376,000 | 3,969,340 | |
1.5% 11/30/28 | 10,436,000 | 9,090,327 | |
1.5% 2/15/30 | 8,802,000 | 7,466,915 | |
1.625% 2/15/26 | 10,000 | 9,295 | |
1.625% 5/15/26 | 542,000 | 501,223 | |
1.625% 9/30/26 | 199,000 | 182,761 | |
1.625% 10/31/26 | 3,500,000 | 3,205,234 | |
1.625% 8/15/29 | 908,000 | 786,342 | |
1.625% 5/15/31 | 6,993,000 | 5,857,457 | |
1.75% 6/30/24 | 1,098,000 | 1,065,746 | |
1.75% 7/31/24 | 720,000 | 696,488 | |
1.75% 12/31/24 | 3,061,000 | 2,926,364 | |
1.75% 11/15/29 | 2,449,000 | 2,129,673 | |
1.875% 7/31/26 | 105,000 | 97,400 | |
1.875% 2/28/27 | 4,800,000 | 4,403,437 | |
1.875% 2/15/32 | 6,160,000 | 5,176,345 | |
2% 5/31/24 | 928,000 | 904,691 | |
2% 2/15/25 | 56,000 | 53,568 | |
2% 8/15/25 | 6,432,000 | 6,088,792 | |
2% 11/15/26 | 2,652,000 | 2,455,172 | |
2.125% 5/15/25 | 734,000 | 699,737 | |
2.25% 11/15/24 | 196,000 | 189,132 | |
2.25% 12/31/24 | 2,514,000 | 2,419,430 | |
2.25% 2/15/27 | 1,829,000 | 1,700,756 | |
2.25% 8/15/27 | 1,597,000 | 1,474,543 | |
2.25% 11/15/27 | 1,113,000 | 1,023,482 | |
2.375% 8/15/24 | 200,000 | 194,352 | |
2.375% 4/30/26 | 626,000 | 591,228 | |
2.375% 5/15/27 | 4,000 | 3,723 | |
2.375% 3/31/29 | 3,930,000 | 3,564,172 | |
2.375% 5/15/29 | 3,505,000 | 3,174,763 | |
2.5% 2/28/26 | 1,670,000 | 1,585,521 | |
2.625% 3/31/25 | 1,463,000 | 1,409,052 | |
2.625% 12/31/25 | 10,697,000 | 10,205,189 | |
2.625% 1/31/26 | 4,318,000 | 4,114,413 | |
2.625% 5/31/27 | 1,000,000 | 938,672 | |
2.625% 2/15/29 | 4,831,000 | 4,447,539 | |
2.625% 7/31/29 | 1,681,000 | 1,539,560 | |
2.75% 2/28/25 | 971,000 | 938,267 | |
2.75% 6/30/25 | 1,403,000 | 1,349,730 | |
2.75% 8/31/25 | 17,000 | 16,319 | |
2.75% 7/31/27 | 4,416,000 | 4,157,078 | |
2.75% 2/15/28 | 1,089,000 | 1,020,257 | |
2.75% 5/31/29 | 880,000 | 812,900 | |
2.75% 8/15/32 | 6,420,000 | 5,762,702 | |
2.875% 4/30/25 | 47,000 | 45,397 | |
2.875% 5/31/25 | 104,000 | 100,344 | |
2.875% 7/31/25 | 3,667,000 | 3,531,923 | |
2.875% 11/30/25 | 629,000 | 603,987 | |
2.875% 5/15/28 | 5,922,000 | 5,565,523 | |
2.875% 8/15/28 | 13,312,000 | 12,481,040 | |
2.875% 4/30/29 | 3,060,000 | 2,848,071 | |
2.875% 5/15/32 | 7,910,000 | 7,188,521 | |
3% 6/30/24 | 3,430,000 | 3,363,142 | |
3% 7/31/24 | 4,110,000 | 4,021,378 | |
3% 9/30/25 | 2,655,000 | 2,559,171 | |
3% 10/31/25 | 9,000 | 8,670 | |
3.125% 8/15/25 | 270,000 | 261,214 | |
3.125% 8/31/27 | 1,610,000 | 1,536,292 | |
3.125% 11/15/28 | 4,238,000 | 4,012,691 | |
3.125% 8/31/29 | 2,850,000 | 2,682,451 | |
3.25% 6/30/27 | 3,060,000 | 2,937,600 | |
3.25% 6/30/29 | 8,430,000 | 7,994,670 | |
3.375% 5/15/33 | 8,390,000 | 7,903,642 | |
3.5% 9/15/25 | 4,690,000 | 4,567,987 | |
3.5% 2/15/33 | 10,220,000 | 9,732,953 | |
3.625% 3/31/30 | 5,530,000 | 5,341,634 | |
3.875% 11/30/27 | 1,690,000 | 1,658,973 | |
3.875% 12/31/27 | 5,820,000 | 5,712,244 | |
3.875% 11/30/29 | 930,000 | 911,364 | |
3.875% 12/31/29 | 1,410,000 | 1,381,635 | |
4% 2/29/28 | 2,430,000 | 2,400,100 | |
4% 10/31/29 | 5,800,000 | 5,722,289 | |
4.125% 10/31/27 | 10,520,000 | 10,421,786 | |
4.125% 11/15/32 | 5,820,000 | 5,817,272 | |
4.25% 9/30/24 | 984,000 | 972,968 | |
4.25% 12/31/24 | 15,010,000 | 14,826,479 | |
4.25% 10/15/25 | 830,000 | 820,695 | |
4.375% 10/31/24 | 7,380,000 | 7,303,605 | |
4.5% 11/30/24 | 3,580,000 | 3,547,836 | |
TOTAL U.S. TREASURY OBLIGATIONS | 725,326,356 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $825,445,457) | 745,981,843 | ||
Money Market Funds - 0.3% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (c) | 2,505,990 | 2,506,491 | |
Fidelity Securities Lending Cash Central Fund 5.44% (c)(d) | 204,355 | 204,375 | |
TOTAL MONEY MARKET FUNDS (Cost $2,710,866) | 2,710,866 | ||
TOTAL INVESTMENT IN SECURITIES - 99.1% (Cost $828,156,323) | 748,692,709 |
NET OTHER ASSETS (LIABILITIES) - 0.9% | 6,663,444 |
NET ASSETS - 100.0% | 755,356,153 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 6,007,393 | 74,389,077 | 77,889,979 | 70,770 | - | - | 2,506,491 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.44% | 4,008,675 | 99,919,994 | 103,724,294 | 5,784 | - | - | 204,375 | 0.0% |
Total | 10,016,068 | 174,309,071 | 181,614,273 | 76,554 | - | - | 2,710,866 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 745,981,843 | - | 745,981,843 | - |
Money Market Funds | 2,710,866 | 2,710,866 | - | - |
Total Investments in Securities: | 748,692,709 | 2,710,866 | 745,981,843 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $200,338) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $825,445,457) | $ | 745,981,843 | ||
Fidelity Central Funds (cost $2,710,866) | 2,710,866 | |||
Total Investment in Securities (cost $828,156,323) | $ | 748,692,709 | ||
Receivable for investments sold | 17,313,716 | |||
Receivable for fund shares sold | 1,163,801 | |||
Interest receivable | 3,291,730 | |||
Distributions receivable from Fidelity Central Funds | 6,618 | |||
Total assets | 770,468,574 | |||
Liabilities | ||||
Payable for investments purchased | $ | 12,668,878 | ||
Payable for fund shares redeemed | 2,236,513 | |||
Other payables and accrued expenses | 2,655 | |||
Collateral on securities loaned | 204,375 | |||
Total Liabilities | 15,112,421 | |||
Net Assets | $ | 755,356,153 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 855,175,159 | ||
Total accumulated earnings (loss) | (99,819,006) | |||
Net Assets | $ | 755,356,153 | ||
Net Asset Value, offering price and redemption price per share ($755,356,153 ÷ 83,436,985 shares) | $ | 9.05 |
Statement of Operations | ||||
Year ended August 31, 2023 | ||||
Investment Income | ||||
Interest | $ | 16,401,903 | ||
Income from Fidelity Central Funds (including $5,784 from security lending) | 76,554 | |||
Total Income | 16,478,457 | |||
Expenses | ||||
Custodian fees and expenses | $ | 7,911 | ||
Independent trustees' fees and expenses | 2,298 | |||
Miscellaneous | 24 | |||
Total expenses before reductions | 10,233 | |||
Expense reductions | (188) | |||
Total expenses after reductions | 10,045 | |||
Net Investment income (loss) | 16,468,412 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (9,872,885) | |||
Total net realized gain (loss) | (9,872,885) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (19,174,841) | |||
Net gain (loss) | (29,047,726) | |||
Net increase (decrease) in net assets resulting from operations | $ | (12,579,314) |
Statement of Changes in Net Assets | ||||
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 16,468,412 | $ | 7,880,270 |
Net realized gain (loss) | (9,872,885) | (10,304,626) | ||
Change in net unrealized appreciation (depreciation) | (19,174,841) | (65,485,298) | ||
Net increase (decrease) in net assets resulting from operations | (12,579,314) | (67,909,654) | ||
Distributions to shareholders | (16,468,381) | (7,879,915) | ||
Share transactions | ||||
Proceeds from sales of shares | 278,231,194 | 248,759,640 | ||
Reinvestment of distributions | 16,432,999 | 7,879,915 | ||
Cost of shares redeemed | (100,002,628) | (162,041,844) | ||
Net increase (decrease) in net assets resulting from share transactions | 194,661,565 | 94,597,711 | ||
Total increase (decrease) in net assets | 165,613,870 | 18,808,142 | ||
Net Assets | ||||
Beginning of period | 589,742,283 | 570,934,141 | ||
End of period | $ | 755,356,153 | $ | 589,742,283 |
Other Information | ||||
Shares | ||||
Sold | 30,192,350 | 24,630,281 | ||
Issued in reinvestment of distributions | 1,787,752 | 788,190 | ||
Redeemed | (10,873,343) | (16,309,869) | ||
Net increase (decrease) | 21,106,759 | 9,108,602 | ||
Fidelity® Series Government Bond Index Fund |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.46 | $ | 10.73 | $ | 11.23 | $ | 10.76 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .228 | .133 | .118 | .197 | .239 | |||||
Net realized and unrealized gain (loss) | (.412) | (1.270) | (.323) | .504 | .782 | |||||
Total from investment operations | (.184) | (1.137) | (.205) | .701 | 1.021 | |||||
Distributions from net investment income | (.226) | (.133) | (.125) | (.200) | (.261) | |||||
Distributions from net realized gain | - | - | (.170) | (.031) | - | |||||
Total distributions | (.226) | (.133) | (.295) | (.231) | (.261) | |||||
Net asset value, end of period | $ | 9.05 | $ | 9.46 | $ | 10.73 | $ | 11.23 | $ | 10.76 |
Total Return C | (1.96)% | (10.66)% | (1.85)% | 6.60% | 10.40% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions F | -% | -% | -% | -% | -% | |||||
Expenses net of fee waivers, if any F | -% | -% | -% | -% | -% | |||||
Expenses net of all reductions F | -% | -% | -% | -% | -% | |||||
Net investment income (loss) | 2.48% | 1.32% | 1.11% | 1.80% | 2.37% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 755,356 | $ | 589,742 | $ | 570,934 | $ | 240,514 | $ | 138,041 |
Portfolio turnover rate G | 26% | 41% | 23% | 37% | 59% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $22,437 |
Gross unrealized depreciation | (79,826,187) |
Net unrealized appreciation (depreciation) | $(79,803,750) |
Tax Cost | $828,496,459 |
Capital loss carryforward | $(19,980,803) |
Net unrealized appreciation (depreciation) on securities and other investments | $(79,803,750) |
Short-term | $(5,843,550) |
Long-term | (14,137,253) |
Total capital loss carryforward | $(19,980,803) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $16,468,381 | $ 7,879,915 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Series Government Bond Index Fund | $622 | $- | $- |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Series Government Bond Index Fund | -%-D | |||||||||
Actual | $ 1,000 | $ 1,006.00 | $-E | |||||||
Hypothetical-B | $ 1,000 | $ 1,025.21 | $-E | |||||||
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Life of Fund A |
Class A (incl. 4.00% sales charge) | -5.25% | -7.81% |
Class M (incl. 4.00% sales charge) | -5.23% | -7.80% |
Class C (incl. contingent deferred sales charge) | -2.97% | -6.79% |
Fidelity® Environmental Bond Fund | -1.05% | -5.87% |
Class I | -1.18% | -5.91% |
Class Z | -0.96% | -5.78% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® Environmental Bond Fund, a class of the fund, on June 15, 2021, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period. |
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Quality Diversification (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (0.4)%* |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (0.4)% |
Futures - 6.8% |
Forward foreign currency contracts - (8.7)% |
Geographic Diversification (% of Fund's net assets) |
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* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Nonconvertible Bonds - 41.8% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 3.5% | |||
Diversified Telecommunication Services - 2.7% | |||
NBN Co. Ltd. 4.125% 3/15/29 (Reg. S) | EUR | 100,000 | 108,844 |
NTT Finance Corp. 4.372% 7/27/27 (b) | 100,000 | 97,440 | |
TELUS Corp. 3.4% 5/13/32 | 200,000 | 168,405 | |
Verizon Communications, Inc.: | |||
3.875% 2/8/29 | 450,000 | 420,477 | |
5.05% 5/9/33 | 100,000 | 97,032 | |
892,198 | |||
Media - 0.8% | |||
Comcast Corp. 4.65% 2/15/33 | 250,000 | 243,854 | |
TOTAL COMMUNICATION SERVICES | 1,136,052 | ||
CONSUMER DISCRETIONARY - 1.7% | |||
Automobile Components - 0.3% | |||
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 100,000 | 96,101 |
Automobiles - 0.8% | |||
Ford Motor Co. 3.25% 2/12/32 | 100,000 | 78,055 | |
General Motors Co. 5.4% 10/15/29 | 200,000 | 193,355 | |
271,410 | |||
Household Durables - 0.3% | |||
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 100,000 | 84,970 |
Textiles, Apparel & Luxury Goods - 0.3% | |||
AXA Logistics Europe Master SCA 0.375% 11/15/26 (Reg. S) | EUR | 100,000 | 94,991 |
TOTAL CONSUMER DISCRETIONARY | 547,472 | ||
CONSUMER STAPLES - 2.2% | |||
Beverages - 0.3% | |||
PepsiCo, Inc. 3.9% 7/18/32 | 100,000 | 94,836 | |
Consumer Staples Distribution & Retail - 0.8% | |||
Walmart, Inc. 1.8% 9/22/31 | 300,000 | 245,537 | |
Food Products - 1.1% | |||
General Mills, Inc. 2.25% 10/14/31 | 450,000 | 363,578 | |
TOTAL CONSUMER STAPLES | 703,951 | ||
FINANCIALS - 16.2% | |||
Banks - 9.7% | |||
ABN AMRO Bank NV 2.47% 12/13/29 (b)(c) | 200,000 | 168,657 | |
AIB Group PLC 2.875% 5/30/31 (Reg. S) (c) | EUR | 125,000 | 125,461 |
Bank of America Corp.: | |||
2.456% 10/22/25 (c) | 200,000 | 192,241 | |
6.204% 11/10/28 (c) | 290,000 | 296,667 | |
Bank of Ireland Group PLC 5% 7/4/31 (Reg. S) (c) | EUR | 100,000 | 110,226 |
Bank of Nova Scotia 0.65% 7/31/24 | 250,000 | 238,710 | |
BNP Paribas SA: | |||
0.5% 5/30/28 (Reg. S) (c) | EUR | 100,000 | 94,403 |
1.675% 6/30/27 (b)(c) | 200,000 | 178,513 | |
BPCE SA 0.5% 1/14/28 (Reg. S) (c) | EUR | 100,000 | 94,957 |
CaixaBank SA 1.25% 6/18/31 (Reg. S) (c) | EUR | 100,000 | 96,549 |
Canadian Imperial Bank of Commerce 0.95% 10/23/25 | 325,000 | 296,077 | |
Danske Bank A/S 4.75% 6/21/30 (Reg. S) (c) | EUR | 100,000 | 109,498 |
DNB Bank ASA 4% 3/14/29 (Reg. S) (c) | EUR | 100,000 | 109,002 |
Fifth Third Bancorp 1.707% 11/1/27 (c) | 300,000 | 260,934 | |
ING Groep NV 0.875% 6/9/32 (Reg. S) (c) | EUR | 100,000 | 92,665 |
JPMorgan Chase & Co. 0.768% 8/9/25 (c) | 200,000 | 190,006 | |
Mizuho Financial Group, Inc. 5.778% 7/6/29 (c) | 200,000 | 200,325 | |
PNC Financial Services Group, Inc. 4.758% 1/26/27 (c) | 200,000 | 196,339 | |
Santander Holdings U.S.A., Inc. 5.807% 9/9/26 (c) | 43,000 | 42,599 | |
Wells Fargo & Co. 4.54% 8/15/26 (c) | 100,000 | 97,647 | |
3,191,476 | |||
Capital Markets - 1.7% | |||
Deutsche Bank AG 3.25% 5/24/28 (Reg. S) (c) | EUR | 100,000 | 101,548 |
S&P Global, Inc. 2.7% 3/1/29 | 400,000 | 357,531 | |
State Street Corp. 5.751% 11/4/26 (c) | 100,000 | 100,207 | |
559,286 | |||
Financial Services - 1.9% | |||
ACEF Holding SCA 1.25% 4/26/30 (Reg. S) | EUR | 100,000 | 82,500 |
CBRE Global Investors Pan European Core Fund 0.9% 10/12/29 (Reg. S) | EUR | 100,000 | 83,156 |
KfW 2.75% 2/14/33 (Reg. S) | EUR | 50,000 | 53,257 |
Rexford Industrial Realty LP 2.15% 9/1/31 | 414,000 | 319,602 | |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (b) | 100,000 | 83,591 | |
622,106 | |||
Insurance - 2.9% | |||
Metropolitan Life Global Funding I 0.95% 7/2/25 (b) | 250,000 | 229,814 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 5.875% 5/23/42 (b)(c) | 200,000 | 196,356 | |
Pacific Life Global Funding II 1.375% 4/14/26 (b) | 250,000 | 225,067 | |
Prudential Financial, Inc. 1.5% 3/10/26 | 325,000 | 297,620 | |
948,857 | |||
TOTAL FINANCIALS | 5,321,725 | ||
HEALTH CARE - 0.9% | |||
Health Care Providers & Services - 0.1% | |||
Kaiser Foundation Hospitals 3.15% 5/1/27 | 50,000 | 47,176 | |
Pharmaceuticals - 0.8% | |||
Merck & Co., Inc. 1.9% 12/10/28 | 300,000 | 260,702 | |
TOTAL HEALTH CARE | 307,878 | ||
INDUSTRIALS - 0.3% | |||
Transportation Infrastructure - 0.3% | |||
Holding d'Infrastructures et des Metiers de l'Environnement 0.125% 9/16/25 (Reg. S) | EUR | 100,000 | 99,410 |
INFORMATION TECHNOLOGY - 2.8% | |||
Semiconductors & Semiconductor Equipment - 2.1% | |||
Analog Devices, Inc. 1.7% 10/1/28 | 300,000 | 257,287 | |
Micron Technology, Inc. 2.703% 4/15/32 | 200,000 | 157,835 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.5% 5/11/31 | 100,000 | 80,484 | |
5% 1/15/33 | 200,000 | 189,258 | |
684,864 | |||
Software - 0.7% | |||
Autodesk, Inc. 2.4% 12/15/31 | 300,000 | 243,531 | |
TOTAL INFORMATION TECHNOLOGY | 928,395 | ||
MATERIALS - 0.9% | |||
Chemicals - 0.9% | |||
Air Products & Chemicals, Inc. 4.8% 3/3/33 | 100,000 | 99,372 | |
Evonik Industries AG 1.375% 9/2/81 (Reg. S) (c) | EUR | 100,000 | 89,558 |
LYB International Finance III LLC 5.625% 5/15/33 | 100,000 | 99,040 | |
287,970 | |||
REAL ESTATE - 2.6% | |||
Equity Real Estate Investment Trusts (REITs) - 2.0% | |||
Boston Properties, Inc. 6.75% 12/1/27 | 22,000 | 22,469 | |
Healthpeak OP, LLC 2.125% 12/1/28 | 150,000 | 128,164 | |
Hudson Pacific Properties LP 5.95% 2/15/28 | 151,000 | 127,688 | |
UDR, Inc. 1.9% 3/15/33 | 375,000 | 273,592 | |
WP Carey, Inc. 2.45% 2/1/32 | 150,000 | 116,806 | |
668,719 | |||
Real Estate Management & Development - 0.6% | |||
Blackstone Property Partners Europe LP 1.625% 4/20/30 (Reg. S) | EUR | 100,000 | 80,462 |
Lend Lease Finance Ltd. 3.4% 10/27/27 (Reg. S) | AUD | 30,000 | 17,305 |
P3 Group SARL 0.875% 1/26/26 (Reg. S) | EUR | 100,000 | 96,183 |
193,950 | |||
TOTAL REAL ESTATE | 862,669 | ||
UTILITIES - 10.7% | |||
Electric Utilities - 7.6% | |||
Amprion GmbH 3.875% 9/7/28 (Reg. S) | EUR | 100,000 | 108,953 |
CenterPoint Energy Houston Electric LLC 5.3% 4/1/53 | 100,000 | 99,330 | |
Clearway Energy Operating LLC 3.75% 1/15/32 (b) | 50,000 | 40,935 | |
EnBW Energie Baden-Wuerttemberg AG 1.875% 6/29/80 (Reg. S) (c) | EUR | 100,000 | 97,407 |
ENEL Finance International NV 1.375% 7/12/26 (b) | 600,000 | 532,124 | |
Energias de Portugal SA 1.7% 7/20/80 (Reg. S) (c) | EUR | 100,000 | 99,792 |
Northern States Power Co. 2.25% 4/1/31 | 500,000 | 413,718 | |
NSTAR Electric Co. 4.95% 9/15/52 | 400,000 | 371,924 | |
Oncor Electric Delivery Co. LLC 4.15% 6/1/32 | 100,000 | 93,159 | |
Public Service Electric & Gas Co. 4.65% 3/15/33 | 100,000 | 96,916 | |
Puget Sound Energy, Inc. 5.448% 6/1/53 | 100,000 | 97,701 | |
Wisconsin Electric Power Co. 4.75% 9/30/32 | 400,000 | 390,783 | |
Wisconsin Power & Light Co. 4.95% 4/1/33 | 50,000 | 48,442 | |
2,491,184 | |||
Independent Power and Renewable Electricity Producers - 1.9% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | 100,000 | 89,170 | |
RWE AG 2.125% 5/24/26 (Reg. S) | EUR | 100,000 | 103,941 |
The AES Corp.: | |||
2.45% 1/15/31 | 400,000 | 317,612 | |
5.45% 6/1/28 | 100,000 | 98,133 | |
608,856 | |||
Multi-Utilities - 1.2% | |||
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 325,000 | 293,057 | |
San Diego Gas & Electric Co. 4.95% 8/15/28 | 100,000 | 98,986 | |
392,043 | |||
TOTAL UTILITIES | 3,492,083 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $14,897,580) | 13,687,605 | ||
U.S. Government and Government Agency Obligations - 35.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 0.5% | |||
Tennessee Valley Authority 1.5% 9/15/31 | 200,000 | 159,755 | |
U.S. Treasury Obligations - 35.0% | |||
U.S. Treasury Bonds: | |||
1.875% 11/15/51 | 400,000 | 245,781 | |
2% 11/15/41 (d) | 1,870,000 | 1,308,489 | |
2.25% 2/15/52 | 120,000 | 80,953 | |
2.875% 5/15/52 | 955,000 | 741,356 | |
3% 8/15/52 | 235,000 | 187,275 | |
3.625% 2/15/53 | 100,000 | 90,094 | |
3.625% 5/15/53 | 405,000 | 365,259 | |
U.S. Treasury Notes: | |||
0.25% 6/15/24 (d) | 150,000 | 144,094 | |
2.875% 5/15/32 | 65,000 | 59,071 | |
3.25% 6/30/27 | 170,000 | 163,200 | |
3.5% 1/31/28 | 23,000 | 22,241 | |
3.5% 2/15/33 | 1,030,000 | 980,914 | |
3.875% 8/15/33 | 1,200,000 | 1,178,625 | |
4% 2/15/26 | 400,000 | 393,688 | |
4% 6/30/28 | 1,300,000 | 1,284,461 | |
4% 7/31/30 | 2,400,000 | 2,371,499 | |
4.125% 7/31/28 | 1,850,000 | 1,839,160 | |
TOTAL U.S. TREASURY OBLIGATIONS | 11,456,160 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $12,568,846) | 11,615,915 | ||
U.S. Government Agency - Mortgage Securities - 17.2% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 6.2% | |||
2% 8/1/35 to 11/1/41 | 565,617 | 486,338 | |
2.5% 12/1/51 | 199,237 | 165,190 | |
3% 1/1/52 | 957,510 | 826,414 | |
4.5% 12/1/52 | 588,686 | 558,734 | |
TOTAL FANNIE MAE | 2,036,676 | ||
Freddie Mac - 8.4% | |||
2% 4/1/51 to 3/1/52 | 787,439 | 627,875 | |
2.5% 2/1/52 to 3/1/52 | 1,515,222 | 1,256,527 | |
3.5% 6/1/52 | 98,616 | 88,166 | |
4% 12/1/52 | 397,441 | 366,995 | |
5% 6/1/53 | 197,609 | 191,649 | |
1.5% 12/1/31 | 246,126 | 221,041 | |
TOTAL FREDDIE MAC | 2,752,253 | ||
Uniform Mortgage Backed Securities - 2.6% | |||
3.5% 9/1/53 (e) | 200,000 | 178,711 | |
4% 9/1/53 (e) | 200,000 | 184,625 | |
5% 9/1/53 (e) | 300,000 | 290,895 | |
5.5% 9/1/53 (e) | 200,000 | 197,563 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 851,794 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $6,094,258) | 5,640,723 | ||
Asset-Backed Securities - 2.2% | |||
Principal Amount (a) | Value ($) | ||
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS Class A, 2.31% 10/20/48 (b) | 323,141 | 249,084 | |
Hertz Vehicle Financing III LLC Series 2023-1A Class A, 5.49% 6/25/27 (b) | 100,000 | 98,844 | |
Sunnova Helios Viii Issuer LLC Series 2022-A Class A, 2.79% 2/22/49 (b) | 224,681 | 191,597 | |
Sunrun Callisto Issuer, LLC Series 2021-2A Class A, 2.27% 1/30/57 (b) | 182,016 | 145,455 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | 51,000 | 50,868 | |
TOTAL ASSET-BACKED SECURITIES (Cost $877,791) | 735,848 | ||
Commercial Mortgage Securities - 2.1% | |||
Principal Amount (a) | Value ($) | ||
District of Columbia Commercial Mtg Trust 2023-District of Columbia sequential payer Series 2023-DC Class A, 6.3143% 9/10/40 (b) | 100,000 | 101,112 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-KG03 Class A2, 1.297% 6/25/30 | 160,000 | 127,887 | |
Series 2022-KG07 Class A2, 3.123% 8/25/32 | 200,000 | 175,412 | |
Series 2022-KSG4 Class A2, 3.4% 8/25/32 (c) | 200,000 | 179,071 | |
Series 2023-KG08 Class A2, 4.134% 5/25/33 | 100,000 | 94,493 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $738,149) | 677,975 | ||
Foreign Government and Government Agency Obligations - 0.7% | |||
Principal Amount (a) | Value ($) | ||
German Federal Republic 0% 8/15/31(Reg. S) (d) | EUR | 151,000 | 135,992 |
Uruguay Republic 5.75% 10/28/34 | 100,000 | 107,496 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $231,697) | 243,488 | ||
Preferred Securities - 0.9% | |||
Principal Amount (a) | Value ($) | ||
UTILITIES - 0.9% | |||
Electric Utilities - 0.9% | |||
Iberdrola International BV 3.25% (Reg. S) (c)(f) | EUR | 100,000 | 107,509 |
ORSTED A/S 2.25% (Reg. S) (c)(f) | EUR | 100,000 | 105,570 |
Terna - Rete Elettrica Nazionale 2.375% (Reg. S) (c)(f) | EUR | 100,000 | 94,713 |
TOTAL PREFERRED SECURITIES (Cost $369,199) | 307,792 | ||
Money Market Funds - 2.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (g) (Cost $847,713) | 847,544 | 847,713 | |
TOTAL INVESTMENT IN SECURITIES - 103.0% (Cost $36,625,233) | 33,757,059 |
NET OTHER ASSETS (LIABILITIES) - (3.0)% | (993,254) |
NET ASSETS - 100.0% | 32,763,805 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 3 | Dec 2023 | 320,766 | 2,222 | 2,222 |
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 8 | Dec 2023 | 1,019,029 | (6,005) | (6,005) |
Eurex Euro-Bund Contracts (Germany) | 2 | Dec 2023 | 287,635 | (2,326) | (2,326) |
Eurex Euro-Schatz Contracts (Germany) | 11 | Dec 2023 | 1,258,150 | (3,150) | (3,150) |
TOTAL SOLD | (11,481) | ||||
TOTAL FUTURES CONTRACTS | (9,259) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 1.0% | |||||
The notional amount of futures sold as a percentage of Net Assets is 7.8% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
USD | 130,156 | EUR | 120,000 | Citibank, N. A. | 9/05/23 | 34 |
EUR | 4,000 | USD | 4,380 | BNP Paribas S.A. | 9/15/23 | (41) |
EUR | 4,000 | USD | 4,461 | BNP Paribas S.A. | 9/15/23 | (122) |
EUR | 2,000 | USD | 2,191 | BNP Paribas S.A. | 9/15/23 | (22) |
EUR | 3,000 | USD | 3,264 | Bank of America, N.A. | 9/15/23 | (9) |
EUR | 4,000 | USD | 4,406 | Brown Brothers Harriman & Co | 9/15/23 | (67) |
EUR | 6,000 | USD | 6,549 | Brown Brothers Harriman & Co | 9/15/23 | (40) |
EUR | 56,000 | USD | 61,026 | Brown Brothers Harriman & Co | 9/15/23 | (273) |
EUR | 2,000 | USD | 2,197 | Brown Brothers Harriman & Co | 9/15/23 | (27) |
EUR | 5,000 | USD | 5,478 | Canadian Imperial Bk. of Comm. | 9/15/23 | (53) |
EUR | 10,000 | USD | 10,987 | Canadian Imperial Bk. of Comm. | 9/15/23 | (138) |
EUR | 5,000 | USD | 5,469 | Canadian Imperial Bk. of Comm. | 9/15/23 | (44) |
EUR | 2,000 | USD | 2,204 | Citibank, N. A. | 9/15/23 | (34) |
EUR | 119,000 | USD | 129,131 | Citibank, N. A. | 9/15/23 | (31) |
EUR | 3,000 | USD | 3,304 | Goldman Sachs Bank USA | 9/15/23 | (49) |
EUR | 34,000 | USD | 37,222 | JPMorgan Chase Bank, N.A. | 9/15/23 | (337) |
EUR | 2,000 | USD | 2,207 | JPMorgan Chase Bank, N.A. | 9/15/23 | (37) |
EUR | 4,000 | USD | 4,369 | State Street Bank and Trust Co | 9/15/23 | (30) |
GBP | 1,000 | USD | 1,283 | BNP Paribas S.A. | 9/15/23 | (16) |
USD | 18,614 | AUD | 27,000 | Bank of America, N.A. | 9/15/23 | 1,113 |
USD | 2,221 | EUR | 2,000 | BNP Paribas S.A. | 9/15/23 | 51 |
USD | 2,197 | EUR | 2,000 | BNP Paribas S.A. | 9/15/23 | 27 |
USD | 2,851,870 | EUR | 2,594,000 | Bank of America, N.A. | 9/15/23 | 37,711 |
USD | 10,103 | EUR | 9,000 | Bank of America, N.A. | 9/15/23 | 339 |
USD | 12,373 | EUR | 11,000 | Bank of America, N.A. | 9/15/23 | 440 |
USD | 11,222 | EUR | 10,000 | Bank of America, N.A. | 9/15/23 | 373 |
USD | 6,600 | EUR | 6,000 | Bank of America, N.A. | 9/15/23 | 91 |
USD | 4,401 | EUR | 4,000 | Brown Brothers Harriman & Co | 9/15/23 | 62 |
USD | 4,399 | EUR | 4,000 | Brown Brothers Harriman & Co | 9/15/23 | 60 |
USD | 9,847 | EUR | 9,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 83 |
USD | 3,276 | EUR | 3,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 22 |
USD | 4,429 | EUR | 4,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 90 |
USD | 3,314 | EUR | 3,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 60 |
USD | 2,190 | EUR | 2,000 | JPMorgan Chase Bank, N.A. | 9/15/23 | 20 |
USD | 4,421 | EUR | 4,000 | JPMorgan Chase Bank, N.A. | 9/15/23 | 81 |
USD | 5,409 | EUR | 5,000 | JPMorgan Chase Bank, N.A. | 9/15/23 | (15) |
USD | 100,044 | GBP | 78,000 | BNP Paribas S.A. | 9/15/23 | 1,229 |
USD | 2,571 | GBP | 2,000 | Canadian Imperial Bk. of Comm. | 9/15/23 | 37 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 40,538 | |||||
Unrealized Appreciation | 41,923 | |||||
Unrealized Depreciation | (1,385) |
AUD | - | Australian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound sterling |
USD | - | U.S. dollar |
(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 $2,678,627 or 8.2% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | 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 $82,451. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | Security is perpetual in nature with no stated maturity date. |
(g) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 1,783,992 | 18,691,793 | 19,628,072 | 55,531 | - | - | 847,713 | 0.0% |
Total | 1,783,992 | 18,691,793 | 19,628,072 | 55,531 | - | - | 847,713 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 13,687,605 | - | 13,687,605 | - |
U.S. Government and Government Agency Obligations | 11,615,915 | - | 11,615,915 | - |
U.S. Government Agency - Mortgage Securities | 5,640,723 | - | 5,640,723 | - |
Asset-Backed Securities | 735,848 | - | 735,848 | - |
Commercial Mortgage Securities | 677,975 | - | 677,975 | - |
Foreign Government and Government Agency Obligations | 243,488 | - | 243,488 | - |
Preferred Securities | 307,792 | - | 307,792 | - |
Money Market Funds | 847,713 | 847,713 | - | - |
Total Investments in Securities: | 33,757,059 | 847,713 | 32,909,346 | - |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | 41,923 | - | 41,923 | - |
Futures Contracts | 2,222 | 2,222 | - | - |
Total Assets | 44,145 | 2,222 | 41,923 | - |
Liabilities | ||||
Forward Foreign Currency Contracts | (1,385) | - | (1,385) | - |
Futures Contracts | (11,481) | (11,481) | - | - |
Total Liabilities | (12,866) | (11,481) | (1,385) | - |
Total Derivative Instruments: | 31,279 | (9,259) | 40,538 | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (a) | 41,923 | (1,385) |
Total Foreign Exchange Risk | 41,923 | (1,385) |
Interest Rate Risk | ||
Futures Contracts (b) | 2,222 | (11,481) |
Total Interest Rate Risk | 2,222 | (11,481) |
Total Value of Derivatives | 44,145 | (12,866) |
Statement of Assets and Liabilities | ||||
August 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $35,777,520) | $ | 32,909,346 | ||
Fidelity Central Funds (cost $847,713) | 847,713 | |||
Total Investment in Securities (cost $36,625,233) | $ | 33,757,059 | ||
Cash | 8,784 | |||
Foreign currency held at value (cost $33,902) | 33,778 | |||
Receivable for investments sold | 1,059,760 | |||
Unrealized appreciation on forward foreign currency contracts | 41,923 | |||
Receivable for fund shares sold | 1,155 | |||
Interest receivable | 206,525 | |||
Distributions receivable from Fidelity Central Funds | 4,397 | |||
Receivable from investment adviser for expense reductions | 524 | |||
Total assets | 35,113,905 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 1,418,460 | ||
Delayed delivery | 857,652 | |||
Unrealized depreciation on forward foreign currency contracts | 1,385 | |||
Payable for fund shares redeemed | 3,338 | |||
Distributions payable | 48,191 | |||
Accrued management fee | 9,440 | |||
Distribution and service plan fees payable | 963 | |||
Payable for daily variation margin on futures contracts | 8,036 | |||
Other affiliated payables | 1,938 | |||
Other payables and accrued expenses | 697 | |||
Total Liabilities | 2,350,100 | |||
Net Assets | $ | 32,763,805 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 45,641,831 | ||
Total accumulated earnings (loss) | (12,878,026) | |||
Net Assets | $ | 32,763,805 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($999,918 ÷ 120,614 shares)(a) | $ | 8.29 | ||
Maximum offering price per share (100/96.00 of $8.29) | $ | 8.64 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($729,221 ÷ 87,963 shares)(a) | $ | 8.29 | ||
Maximum offering price per share (100/96.00 of $8.29) | $ | 8.64 | ||
Class C : | ||||
Net Asset Value and offering price per share ($731,928 ÷ 88,374 shares)(a) | $ | 8.28 | ||
Fidelity Environmental Bond Fund : | ||||
Net Asset Value, offering price and redemption price per share ($10,240,771 ÷ 1,235,283 shares) | $ | 8.29 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($481,616 ÷ 58,144 shares) | $ | 8.28 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($19,580,351 ÷ 2,361,934 shares) | $ | 8.29 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Year ended August 31, 2023 | ||||
Investment Income | ||||
Dividends | $ | 19,296 | ||
Interest | 960,341 | |||
Income from Fidelity Central Funds | 55,531 | |||
Total Income | 1,035,168 | |||
Expenses | ||||
Management fee | $ | 107,783 | ||
Transfer agent fees | 23,119 | |||
Distribution and service plan fees | 11,360 | |||
Independent trustees' fees and expenses | 116 | |||
Miscellaneous | 697 | |||
Total expenses before reductions | 143,075 | |||
Expense reductions | (7,304) | |||
Total expenses after reductions | 135,771 | |||
Net Investment income (loss) | 899,397 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (1,708,886) | |||
Forward foreign currency contracts | (203,382) | |||
Foreign currency transactions | 3,057 | |||
Futures contracts | 172,590 | |||
Total net realized gain (loss) | (1,736,621) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 549,237 | |||
Forward foreign currency contracts | (45,277) | |||
Assets and liabilities in foreign currencies | 1,727 | |||
Futures contracts | (51,782) | |||
Total change in net unrealized appreciation (depreciation) | 453,905 | |||
Net gain (loss) | (1,282,716) | |||
Net increase (decrease) in net assets resulting from operations | $ | (383,319) |
Statement of Changes in Net Assets | ||||
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 899,397 | $ | 869,461 |
Net realized gain (loss) | (1,736,621) | (8,069,400) | ||
Change in net unrealized appreciation (depreciation) | 453,905 | (3,326,964) | ||
Net increase (decrease) in net assets resulting from operations | (383,319) | (10,526,903) | ||
Distributions to shareholders | (1,186,567) | (874,786) | ||
Share transactions - net increase (decrease) | 3,956,209 | 30,072,001 | ||
Total increase (decrease) in net assets | 2,386,323 | 18,670,312 | ||
Net Assets | ||||
Beginning of period | 30,377,482 | 11,707,170 | ||
End of period | $ | 32,763,805 | $ | 30,377,482 |
Fidelity Advisor® Environmental Bond Fund Class A |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.71 | $ | 10.10 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .223 | .101 | .010 | |||
Net realized and unrealized gain (loss) | (.337) | (1.386) | .101 | |||
Total from investment operations | (.114) | (1.285) | .111 | |||
Distributions from net investment income | (.306) | (.100) D | (.011) | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.306) | (.105) | (.011) | |||
Net asset value, end of period | $ | 8.29 | $ | 8.71 | $ | 10.10 |
Total Return E,F,G | (1.30)% | (12.79)% | 1.11% | |||
Ratios to Average Net Assets C,H,I | ||||||
Expenses before reductions | .71% | .67% | .65% J | |||
Expenses net of fee waivers, if any | .71% | .67% | .65% J | |||
Expenses net of all reductions | .70% | .67% | .65% J | |||
Net investment income (loss) | 2.66% | 1.07% | .50% J | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 1,000 | $ | 778 | $ | 809 |
Portfolio turnover rate K | 84% | 198% | 12% L |
Fidelity Advisor® Environmental Bond Fund Class M |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.71 | $ | 10.10 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .225 | .101 | .010 | |||
Net realized and unrealized gain (loss) | (.337) | (1.386) | .101 | |||
Total from investment operations | (.112) | (1.285) | .111 | |||
Distributions from net investment income | (.308) | (.100) D | (.011) | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.308) | (.105) | (.011) | |||
Net asset value, end of period | $ | 8.29 | $ | 8.71 | $ | 10.10 |
Total Return E,F,G | (1.28)% | (12.78)% | 1.11% | |||
Ratios to Average Net Assets C,H,I | ||||||
Expenses before reductions | .69% | .67% | .65% J | |||
Expenses net of fee waivers, if any | .69% | .67% | .65% J | |||
Expenses net of all reductions | .69% | .66% | .65% J | |||
Net investment income (loss) | 2.68% | 1.07% | .50% J | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 729 | $ | 736 | $ | 809 |
Portfolio turnover rate K | 84% | 198% | 12% L |
Fidelity Advisor® Environmental Bond Fund Class C |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.70 | $ | 10.09 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .162 | .030 | (.005) | |||
Net realized and unrealized gain (loss) | (.337) | (1.382) | .095 | |||
Total from investment operations | (.175) | (1.352) | .090 | |||
Distributions from net investment income | (.245) | (.033) D | - E | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.245) | (.038) | - E | |||
Net asset value, end of period | $ | 8.28 | $ | 8.70 | $ | 10.09 |
Total Return F,G,H | (2.02)% | (13.42)% | .90% | |||
Ratios to Average Net Assets C,I,J | ||||||
Expenses before reductions | 1.43% | 1.42% | 1.39% K | |||
Expenses net of fee waivers, if any | 1.43% | 1.42% | 1.39% K | |||
Expenses net of all reductions | 1.43% | 1.42% | 1.39% K | |||
Net investment income (loss) | 1.93% | .32% | (.25)% K | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 732 | $ | 741 | $ | 808 |
Portfolio turnover rate L | 84% | 198% | 12% M |
Fidelity® Environmental Bond Fund |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.71 | $ | 10.10 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .245 | .120 | .015 | |||
Net realized and unrealized gain (loss) | (.337) | (1.385) | .101 | |||
Total from investment operations | (.092) | (1.265) | .116 | |||
Distributions from net investment income | (.328) | (.120) D | (.016) | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.328) | (.125) | (.016) | |||
Net asset value, end of period | $ | 8.29 | $ | 8.71 | $ | 10.10 |
Total Return E,F | (1.05)% | (12.60)% | 1.16% | |||
Ratios to Average Net Assets C,G,H | ||||||
Expenses before reductions | .45% | .45% | .45% I | |||
Expenses net of fee waivers, if any | .45% | .45% | .45% I | |||
Expenses net of all reductions | .45% | .45% | .45% I | |||
Net investment income (loss) | 2.91% | 1.29% | .70% I | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 10,241 | $ | 10,796 | $ | 7,663 |
Portfolio turnover rate J | 84% | 198% | 12% K |
Fidelity Advisor® Environmental Bond Fund Class I |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.70 | $ | 10.10 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .236 | .109 | .016 | |||
Net realized and unrealized gain (loss) | (.339) | (1.372) | .100 | |||
Total from investment operations | (.103) | (1.263) | .116 | |||
Distributions from net investment income | (.317) | (.132) D | (.016) | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.317) | (.137) | (.016) | |||
Net asset value, end of period | $ | 8.28 | $ | 8.70 | $ | 10.10 |
Total Return E,F | (1.18)% | (12.58)% | 1.16% | |||
Ratios to Average Net Assets C,G,H | ||||||
Expenses before reductions | .58% | .60% | .40% I | |||
Expenses net of fee waivers, if any | .58% | .60% | .40% I | |||
Expenses net of all reductions | .57% | .59% | .40% I | |||
Net investment income (loss) | 2.79% | 1.14% | .74% I | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 482 | $ | 996 | $ | 809 |
Portfolio turnover rate J | 84% | 198% | 12% K |
Fidelity Advisor® Environmental Bond Fund Class Z |
Years ended August 31, | 2023 | 2022 | 2021 A | |||
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ | 8.71 | $ | 10.10 | $ | 10.00 |
Income from Investment Operations | ||||||
Net investment income (loss) B,C | .252 | .130 | .017 | |||
Net realized and unrealized gain (loss) | (.337) | (1.386) | .101 | |||
Total from investment operations | (.085) | (1.256) | .118 | |||
Distributions from net investment income | (.335) | (.129) D | (.018) | |||
Distributions from net realized gain | - | (.005) D | - | |||
Total distributions | (.335) | �� | (.134) | (.018) | ||
Net asset value, end of period | $ | 8.29 | $ | 8.71 | $ | 10.10 |
Total Return E,F | (.96)% | (12.52)% | 1.18% | |||
Ratios to Average Net Assets C,G,H | ||||||
Expenses before reductions | .40% | .40% | .40% I | |||
Expenses net of fee waivers, if any | .36% | .36% | .36% I | |||
Expenses net of all reductions | .36% | .36% | .36% I | |||
Net investment income (loss) | 3.00% | 1.38% | .78% I | |||
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ | 19,580 | $ | 16,331 | $ | 809 |
Portfolio turnover rate J | 84% | 198% | 12% K |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $62,191 |
Gross unrealized depreciation | (2,985,166) |
Net unrealized appreciation (depreciation) | $(2,922,975) |
Tax Cost | $36,772,424 |
Undistributed ordinary income | $2,484 |
Capital loss carryforward | $(9,957,183) |
Net unrealized appreciation (depreciation) on securities and other investments | $(2,923,329) |
Short-term | $(8,749,713) |
Long-term | (1,207,470) |
Total capital loss carryforward | $(9,957,183) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $1,186,567 | $874,786 |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Environmental Bond Fund | ||
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (203,382) | (45,277) |
Total Foreign Exchange Risk | (203,382) | (45,277) |
Interest Rate Risk | ||
Futures Contracts | 172,590 | (51,782) |
Total Interest Rate Risk | 172,590 | (51,782) |
Totals | (30,792) | (97,059) |
Purchases ($) | Sales ($) | |
Fidelity Environmental Bond Fund | 12,509,940 | 10,555,905 |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $2,234 | $1,929 |
Class M | -% | .25% | 1,819 | 1,739 |
Class C | .75% | .25% | 7,307 | 6,999 |
$11,360 | $10,667 |
Retained by FDC | |
Class A | $76 |
Class M | 27 |
$103 |
Amount | % of Class-Level Average Net Assets | |
Class A | $930 | .10 |
Class M | 617 | .08 |
Class C | 603 | .08 |
Fidelity Environmental Bond Fund | 11,170 | .10 |
Class I | 1,497 | .22 |
Class Z | 8,302 | .05 |
$23,119 |
Expense Limitations | Reimbursement | |
Class Z | .36% | $6,608 |
Expense reduction | |
Class C | $5 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Environmental Bond Fund | ||
Distributions to shareholders | ||
Class A | $31,286 | $9,091 |
Class M | 26,484 | 8,571 |
Class C | 21,134 | 3,199 |
Fidelity Environmental Bond Fund | 430,440 | 137,201 |
Class I | 25,677 | 186,400 |
Class Z | 651,546 | 530,324 |
Total | $1,186,567 | $874,786 |
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2023 | Year ended August 31, 2022 | Year ended August 31, 2023 | Year ended August 31, 2022 | |
Fidelity Environmental Bond Fund | ||||
Class A | ||||
Shares sold | 28,410 | 8,862 | $238,142 | $86,250 |
Reinvestment of distributions | 3,721 | 975 | 31,286 | 9,091 |
Shares redeemed | (805) | (635) | (6,774) | (5,913) |
Net increase (decrease) | 31,326 | 9,202 | $262,654 | $89,428 |
Class M | ||||
Shares sold | 1,293 | 3,509 | $10,953 | $31,738 |
Reinvestment of distributions | 3,149 | 919 | 26,467 | 8,571 |
Shares redeemed | (993) | - | (8,362) | - |
Net increase (decrease) | 3,449 | 4,428 | $29,058 | $40,309 |
Class C | ||||
Shares sold | 943 | 4,759 | $8,011 | $45,195 |
Reinvestment of distributions | 2,516 | 347 | 21,134 | 3,199 |
Shares redeemed | (192) | - | (1,599) | (4) |
Net increase (decrease) | 3,267 | 5,106 | $27,546 | $48,390 |
Fidelity Environmental Bond Fund | ||||
Shares sold | 368,998 | 633,009 | $3,117,905 | $6,136,270 |
Reinvestment of distributions | 44,374 | 13,467 | 372,993 | 125,175 |
Shares redeemed | (417,550) | (165,841) | (3,486,711) | (1,556,252) |
Net increase (decrease) | (4,178) | 480,635 | $4,187 | $4,705,193 |
Class I | ||||
Shares sold | 21,555 | 3,876,416 | $181,063 | $38,185,205 |
Reinvestment of distributions | 2,898 | 18,854 | 24,339 | 179,111 |
Shares redeemed | (80,804) | (3,860,903) | (675,129) | (35,321,990) |
Net increase (decrease) | (56,351) | 34,367 | $(469,727) | $3,042,326 |
Class Z | ||||
Shares sold | 700,912 | 7,890,789 | $5,884,450 | $77,233,768 |
Reinvestment of distributions | 4,754 | 38,714 | 39,895 | 366,403 |
Shares redeemed | (218,707) | (6,134,667) | (1,821,854) | (55,453,816) |
Net increase (decrease) | 486,959 | 1,794,836 | $4,102,491 | $22,146,355 |
Fund | Affiliated % |
Fidelity Environmental Bond Fund | 21% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Environmental Bond Fund | ||||||||||
Class A | .70% | |||||||||
Actual | $ 1,000 | $ 1,003.00 | $ 3.53 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.68 | $ 3.57 | |||||||
Class M | .68% | |||||||||
Actual | $ 1,000 | $ 1,003.10 | $ 3.43 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.78 | $ 3.47 | |||||||
Class C | 1.42% | |||||||||
Actual | $ 1,000 | $ 999.40 | $ 7.16 | |||||||
Hypothetical-B | $ 1,000 | $ 1,018.05 | $ 7.22 | |||||||
Fidelity® Environmental Bond Fund | .45% | |||||||||
Actual | $ 1,000 | $ 1,004.30 | $ 2.27 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.94 | $ 2.29 | |||||||
Class I | .58% | |||||||||
Actual | $ 1,000 | $ 1,003.60 | $ 2.93 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.28 | $ 2.96 | |||||||
Class Z | .36% | |||||||||
Actual | $ 1,000 | $ 1,004.70 | $ 1.82 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.39 | $ 1.84 | |||||||
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Contents
Average Annual Total Returns | |||
Periods ended August 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Intermediate Government Income Fund | -0.72% | 0.34% | 0.70% |
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Government Income Fund on August 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Intermediate Government Bond Index performed over the same period. |
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Coupon Distribution (% of Fund's Investments) | ||
0.01 - 0.99% | 11.3 | |
1 - 1.99% | 18.6 | |
2 - 2.99% | 31.3 | |
3 - 3.99% | 13.9 | |
4 - 4.99% | 14.3 | |
5 - 5.99% | 2.5 | |
6 - 6.99% | 0.2 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
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Futures and Swaps - 19.0% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
U.S. Government and Government Agency Obligations - 79.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.5% | |||
Fannie Mae 0.625% 4/22/25 | 375 | 349 | |
Freddie Mac 4% 11/25/24 | 1,700 | 1,669 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,018 | ||
U.S. Treasury Obligations - 78.4% | |||
U.S. Treasury Bonds: | |||
3.625% 5/15/53 | 30 | 27 | |
4.125% 8/15/53 | 1,040 | 1,026 | |
U.S. Treasury Notes: | |||
0.25% 7/31/25 | 22,229 | 20,363 | |
0.25% 9/30/25 | 1,660 | 1,512 | |
0.25% 10/31/25 | 3,300 | 2,996 | |
0.375% 4/30/25 | 2,186 | 2,026 | |
0.375% 12/31/25 | 4,210 | 3,815 | |
0.75% 8/31/26 | 16,524 | 14,793 | |
1.125% 8/31/28 | 59,785 | 51,383 | |
1.25% 12/31/26 | 3,278 | 2,956 | |
1.25% 9/30/28 | 580 | 501 | |
1.5% 9/30/24 | 4,297 | 4,126 | |
1.5% 1/31/27 | 5,049 | 4,580 | |
1.75% 7/31/24 | 220 | 213 | |
1.875% 2/28/27 | 5,600 | 5,137 | |
2% 8/15/25 | 34,301 | 32,471 | |
2.125% 7/31/24 | 5,667 | 5,502 | |
2.25% 4/30/24 | 11,454 | 11,217 | |
2.25% 3/31/26 | 3,325 | 3,135 | |
2.5% 2/28/26 | 9,441 | 8,963 | |
2.625% 7/31/29 | 600 | 550 | |
2.75% 2/15/24 | 7,977 | 7,881 | |
2.75% 6/30/25 | 2,770 | 2,665 | |
2.75% 7/31/27 | 3,300 | 3,107 | |
2.75% 5/31/29 | 2,897 | 2,676 | |
2.75% 8/15/32 | 14,153 | 12,704 | |
2.875% 11/30/25 | 8,513 | 8,174 | |
2.875% 4/30/29 | 600 | 558 | |
2.875% 5/15/32 | 2,646 | 2,405 | |
3.125% 11/15/28 | 8,510 | 8,058 | |
3.375% 5/15/33 | 290 | 273 | |
3.5% 1/31/28 | 1,920 | 1,857 | |
3.5% 2/15/33 | 730 | 695 | |
3.625% 5/15/26 | 2,030 | 1,979 | |
3.625% 3/31/30 | 4,740 | 4,579 | |
3.75% 6/30/30 | 18,410 | 17,912 | |
3.875% 1/15/26 | 2,590 | 2,541 | |
3.875% 12/31/27 | 1,800 | 1,767 | |
3.875% 8/15/33 | 440 | 432 | |
4% 2/15/26 | 1,900 | 1,870 | |
4% 6/30/28 | 8,620 | 8,517 | |
4% 10/31/29 | 6,300 | 6,216 | |
4% 7/31/30 | 1,650 | 1,630 | |
4.125% 8/31/30 | 3,300 | 3,286 | |
4.125% 11/15/32 | 3,130 | 3,129 | |
4.375% 10/31/24 | 1,600 | 1,583 | |
4.375% 8/31/28 | 270 | 272 | |
4.5% 11/15/25 | 2,400 | 2,385 | |
4.625% 2/28/25 | 6,600 | 6,554 | |
4.625% 6/30/25 | 16,070 | 15,981 | |
4.625% 3/15/26 | 620 | 620 | |
TOTAL U.S. TREASURY OBLIGATIONS | 309,598 | ||
Other Government Related - 0.4% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 1,640 | 1,565 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $333,949) | 313,181 | ||
U.S. Government Agency - Mortgage Securities - 10.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 5.0% | |||
1.5% 11/1/40 to 11/1/41 | 3,065 | 2,464 | |
2% 2/1/28 to 12/1/41 | 5,585 | 4,821 | |
2.5% 1/1/28 to 12/1/51 | 4,586 | 4,073 | |
3% 2/1/31 to 2/1/52 (b)(c) | 3,707 | 3,374 | |
3.5% 3/1/52 | 488 | 437 | |
4.5% 9/1/42 | 1,015 | 976 | |
5% 10/1/52 to 12/1/52 | 1,380 | 1,348 | |
5.5% 5/1/53 to 8/1/53 | 1,794 | 1,786 | |
6% 6/1/53 | 696 | 706 | |
TOTAL FANNIE MAE | 19,985 | ||
Freddie Mac - 3.6% | |||
1.5% 12/1/40 to 4/1/41 | 840 | 677 | |
2% 5/1/36 to 7/1/41 | 2,218 | 1,905 | |
2.5% 1/1/28 to 1/1/42 | 4,448 | 3,964 | |
3% 12/1/30 to 9/1/34 | 411 | 383 | |
3.5% 1/1/34 to 3/1/52 (b) | 2,744 | 2,484 | |
4.5% 10/1/42 to 12/1/42 | 885 | 851 | |
5% 10/1/52 to 12/1/52 | 1,294 | 1,264 | |
5.5% 9/1/52 to 8/1/53 | 2,712 | 2,700 | |
TOTAL FREDDIE MAC | 14,228 | ||
Ginnie Mae - 1.0% | |||
2% 2/20/51 | 48 | 40 | |
2% 9/1/53 (d) | 900 | 743 | |
2% 9/1/53 (d) | 1,150 | 949 | |
2% 9/1/53 (d) | 200 | 165 | |
2% 9/1/53 (d) | 250 | 206 | |
2% 9/1/53 (d) | 450 | 371 | |
2% 9/1/53 (d) | 400 | 330 | |
2% 10/1/53 (d) | 100 | 83 | |
2% 10/1/53 (d) | 1,450 | 1,197 | |
TOTAL GINNIE MAE | 4,084 | ||
Uniform Mortgage Backed Securities - 0.9% | |||
2% 9/1/53 (d) | 500 | 398 | |
3% 9/1/53 (d) | 450 | 388 | |
3% 9/1/53 (d) | 900 | 775 | |
3% 9/1/53 (d) | 150 | 129 | |
5.5% 9/1/53 (d) | 650 | 642 | |
5.5% 9/1/53 (d) | 1,100 | 1,087 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 3,419 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $43,429) | 41,716 | ||
Collateralized Mortgage Obligations - 2.9% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency - 2.9% | |||
Fannie Mae: | |||
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 284 | 237 | |
Series 2020-49 Class JA, 2% 8/25/44 | 101 | 90 | |
Series 2021-68 Class A, 2% 7/25/49 | 200 | 160 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 109 | 94 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 180 | 156 | |
Series 2022-1 Class KA, 3% 5/25/48 | 186 | 166 | |
Series 2022-13 Class MA, 3% 5/25/44 | 774 | 714 | |
Series 2022-3 Class N, 2% 10/25/47 | 1,460 | 1,221 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 131 | 113 | |
Series 2022-49 Class TE, 4.5% 12/25/48 | 1,416 | 1,360 | |
Series 2022-65 Class GA, 5% 4/25/46 | 1,468 | 1,420 | |
Series 2022-7 Class A, 3% 5/25/48 | 266 | 236 | |
Series 2020-45 Class JL, 3% 7/25/40 | 33 | 30 | |
Series 2021-59 Class H, 2% 6/25/48 | 113 | 92 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 122 | 100 | |
Class DM, 2% 1/25/48 | 130 | 106 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 221 | 199 | |
Class LY, 3% 10/25/40 | 168 | 151 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 643 | 551 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 130 | 114 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 133 | 114 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 136 | 117 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 153 | 131 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 103 | 89 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 477 | 418 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 110 | 95 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 376 | 339 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 1,655 | 1,529 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 488 | 416 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 841 | 722 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 104 | 89 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $11,598) | 11,369 | ||
Commercial Mortgage Securities - 2.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 1,004 | 973 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 28 | 27 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (e) | 1,148 | 1,106 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 45 | 43 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 2,995 | 2,869 | |
Series 2017-K729 Class A2, 3.136% 10/25/24 | 700 | 682 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 200 | 184 | |
Series 2022-K140 Class A2, 2.25% 1/25/32 | 213 | 176 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 973 | 883 | |
Series 2023-158 Class A2, 4.05% 7/25/33 | 160 | 151 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 1,290 | 1,262 | |
Series 2021-K134 Class A2, 2.243% 10/25/31 | 296 | 245 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 500 | 440 | |
Series K063 Class A2, 3.43% 1/25/27 | 500 | 476 | |
Series K086 Class A2, 3.859% 11/25/28 | 324 | 310 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 735 | 709 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $10,663) | 10,536 | ||
Foreign Government and Government Agency Obligations - 0.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Israeli State 5.5% 4/26/24 (Cost $1,120) | 1,100 | 1,095 | |
Money Market Funds - 6.9% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.43% (f) (Cost $27,215) | 27,209,550 | 27,215 | |
TOTAL INVESTMENT IN SECURITIES - 102.6% (Cost $427,974) | 405,112 |
NET OTHER ASSETS (LIABILITIES) - (2.6)% | (10,249) |
NET ASSETS - 100.0% | 394,863 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 9/1/53 | (100) | (83) |
2% 9/1/53 | (1,450) | (1,196) |
TOTAL GINNIE MAE | (1,279) | |
Uniform Mortgage Backed Securities | ||
2% 9/1/53 | (750) | (597) |
2.5% 9/1/53 | (700) | (580) |
3.5% 9/1/53 | (1,100) | (983) |
5.5% 9/1/53 | (1,125) | (1,111) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (3,271) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $4,551) | (4,550) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 112 | Dec 2023 | 12,436 | 97 | 97 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 268 | Dec 2023 | 54,620 | 155 | 155 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 56 | Dec 2023 | 5,987 | 41 | 41 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 17 | Dec 2023 | 2,069 | 29 | 29 |
TOTAL PURCHASED | 322 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 1 | Dec 2023 | 129 | (2) | (2) |
TOTAL FUTURES CONTRACTS | 320 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 19.0% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.0% |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
3.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2030 | 27 | (1) | 0 | (1) | |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $658,000. |
(c) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $8,000. |
(d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.43% | 17,468 | 138,414 | 128,667 | 494 | - | - | 27,215 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | 17,759 | 124,389 | 142,148 | 9 | - | - | - | 0.0% |
Total | 35,227 | 262,803 | 270,815 | 503 | - | - | 27,215 | |
Valuation Inputs at Reporting Date: | ||||
Description (Amounts in thousands) | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 313,181 | - | 313,181 | - |
U.S. Government Agency - Mortgage Securities | 41,716 | - | 41,716 | - |
Collateralized Mortgage Obligations | 11,369 | - | 11,369 | - |
Commercial Mortgage Securities | 10,536 | - | 10,536 | - |
Foreign Government and Government Agency Obligations | 1,095 | - | 1,095 | - |
Money Market Funds | 27,215 | 27,215 | - | - |
Total Investments in Securities: | 405,112 | 27,215 | 377,897 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 322 | 322 | - | - |
Total Assets | 322 | 322 | - | - |
Liabilities | ||||
Futures Contracts | (2) | (2) | - | - |
Swaps | (1) | - | (1) | - |
Total Liabilities | (3) | (2) | (1) | - |
Total Derivative Instruments: | 319 | 320 | (1) | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (4,550) | - | (4,550) | - |
Total Other Financial Instruments: | (4,550) | - | (4,550) | - |
Primary Risk Exposure / Derivative Type | Value | |
(Amounts in thousands) | Asset ($) | Liability ($) |
Interest Rate Risk | ||
Futures Contracts (a) | 322 | (2) |
Swaps (b) | 0 | (1) |
Total Interest Rate Risk | 322 | (3) |
Total Value of Derivatives | 322 | (3) |
Statement of Assets and Liabilities | ||||
Amounts in thousands (except per-share amount) | August 31, 2023 | |||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $400,759) | $ | 377,897 | ||
Fidelity Central Funds (cost $27,215) | 27,215 | |||
Total Investment in Securities (cost $427,974) | $ | 405,112 | ||
Receivable for TBA sale commitments | 4,551 | |||
Receivable for fund shares sold | 248 | |||
Interest receivable | 1,308 | |||
Distributions receivable from Fidelity Central Funds | 123 | |||
Receivable for daily variation margin on futures contracts | 45 | |||
Total assets | 411,387 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 3,895 | ||
Delayed delivery | 7,515 | |||
TBA sale commitments, at value | 4,550 | |||
Payable for fund shares redeemed | 206 | |||
Distributions payable | 211 | |||
Accrued management fee | 97 | |||
Other affiliated payables | 50 | |||
Total Liabilities | 16,524 | |||
Net Assets | $ | 394,863 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 434,222 | ||
Total accumulated earnings (loss) | (39,359) | |||
Net Assets | $ | 394,863 | ||
Net Asset Value, offering price and redemption price per share ($394,863 ÷ 41,347 shares) | $ | 9.55 |
Statement of Operations | ||||
Amounts in thousands | Year ended August 31, 2023 | |||
Investment Income | ||||
Interest | $ | 7,366 | ||
Income from Fidelity Central Funds (including $9 from security lending) | 503 | |||
Total Income | 7,869 | |||
Expenses | ||||
Management fee | $ | 1,005 | ||
Transfer agent fees | 338 | |||
Fund wide operations fee | 177 | |||
Total expenses before reductions | 1,520 | |||
Total expenses after reductions | 1,520 | |||
Net Investment income (loss) | 6,349 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (4,976) | |||
Futures contracts | (2,582) | |||
Swaps | (1) | |||
Total net realized gain (loss) | (7,559) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (2,074) | |||
Futures contracts | 528 | |||
Swaps | (1) | |||
TBA Sale commitments | (74) | |||
Total change in net unrealized appreciation (depreciation) | (1,621) | |||
Net gain (loss) | (9,180) | |||
Net increase (decrease) in net assets resulting from operations | $ | (2,831) |
Statement of Changes in Net Assets | ||||
Amount in thousands | Year ended August 31, 2023 | Year ended August 31, 2022 | ||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 6,349 | $ | 4,376 |
Net realized gain (loss) | (7,559) | (6,245) | ||
Change in net unrealized appreciation (depreciation) | (1,621) | (31,412) | ||
Net increase (decrease) in net assets resulting from operations | (2,831) | (33,281) | ||
Distributions to shareholders | (5,994) | (4,398) | ||
Share transactions | ||||
Proceeds from sales of shares | 140,404 | 30,463 | ||
Reinvestment of distributions | 5,201 | 4,023 | ||
Cost of shares redeemed | (88,892) | (103,841) | ||
Net increase (decrease) in net assets resulting from share transactions | 56,713 | (69,355) | ||
Total increase (decrease) in net assets | 47,888 | (107,034) | ||
Net Assets | ||||
Beginning of period | 346,975 | 454,009 | ||
End of period | $ | 394,863 | $ | 346,975 |
Other Information | ||||
Shares | ||||
Sold | 14,589 | 2,983 | ||
Issued in reinvestment of distributions | 541 | 393 | ||
Redeemed | (9,243) | (10,039) | ||
Net increase (decrease) | 5,887 | (6,663) | ||
Fidelity® Intermediate Government Income Fund |
Years ended August 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.78 | $ | 11.15 | $ | 10.77 | $ | 10.23 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .180 | .115 | .102 | .166 | .214 | |||||
Net realized and unrealized gain (loss) | (.251) | (.989) | (.220) | .376 | .524 | |||||
Total from investment operations | (.071) | (.874) | (.118) | .542 | .738 | |||||
Distributions from net investment income | (.169) | (.109) | (.091) | (.162) | (.198) | |||||
Distributions from net realized gain | - | (.007) | (.161) | - | - | |||||
Total distributions | (.169) | (.116) | (.252) | (.162) | (.198) | |||||
Net asset value, end of period | $ | 9.55 | $ | 9.79 | $ | 10.78 | $ | 11.15 | $ | 10.77 |
Total Return C | (.72)% | (8.15)% | (1.07)% | 5.07% | 7.30% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% | |||||
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% | |||||
Net investment income (loss) | 1.88% | 1.11% | .94% | 1.52% | 2.06% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (in millions) | $ | 395 | $ | 347 | $ | 454 | $ | 551 | $ | 529 |
Portfolio turnover rate F | 113% | 159% | 220% | 287% | 244% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $143 |
Gross unrealized depreciation | (22,262) |
Net unrealized appreciation (depreciation) | $(22,119) |
Tax Cost | $427,231 |
Undistributed ordinary income | $49 |
Capital loss carryforward | $(17,269) |
Net unrealized appreciation (depreciation) on securities and other investments | $(22,138) |
Short-term | $(10,080) |
Long-term | (7,189) |
Total capital loss carryforward | $(17,269) |
August 31, 2023 | August 31, 2022 | |
Ordinary Income | $5,994 | $4,398 |
Total | $5,994 | $4,398 |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Intermediate Government Income Fund | ||
Interest Rate Risk | ||
Futures Contracts | (2,582) | 528 |
Swaps | (1) | (1) |
Total Interest Rate Risk | (2,583) | 527 |
Totals | (2,583) | 527 |
Purchases ($) | Sales ($) | |
Fidelity Intermediate Government Income Fund | 181,185 | 191,757 |
Fidelity Intermediate Government Income Fund | .05% |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Intermediate Government Income Fund | $1 | $- | $- |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Intermediate Government Income Fund | .45% | |||||||||
Actual | $ 1,000 | $ 1,012.90 | $ 2.28 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.94 | $ 2.29 | |||||||
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Item 2.
Code of Ethics
As of the end of the period, August 31, 2023, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Total Bond K6 Fund (the “Fund”):
Services Billed by Deloitte Entities
August 31, 2023 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Total Bond K6 Fund | $72,300 | $- | $11,300 | $1,800 |
August 31, 2022 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Total Bond K6 Fund | $71,800 | $- | $10,900 | $1,600 |
A Amounts may reflect rounding
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Environmental Bond Fund, Fidelity Government Income Fund, Fidelity Intermediate Government Income Fund, Fidelity Series Government Bond Index Fund, and Fidelity Total Bond Fund (the “Funds”):
Services Billed by PwC
August 31, 2023 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Environmental Bond Fund | $76,500 | $6,100 | $10,100 | $2,600 |
Fidelity Government Income Fund | $74,000 | $5,900 | $9,800 | $2,500 |
Fidelity Intermediate Government Income Fund | $67,600 | $5,600 | $9,800 | $2,400 |
Fidelity Series Government Bond Index Fund | $62,100 | $5,200 | $10,300 | $2,200 |
Fidelity Total Bond Fund | $122,700 | $9,700 | $11,900 | $4,100 |
August 31, 2022 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | ||
Fidelity Environmental Bond Fund | $73,000 | $5,700 | $7,600 | $2,500 | |
Fidelity Government Income Fund | $68,100 | $5,800 | $9,300 | $2,500 | |
Fidelity Intermediate Government Income Fund | $64,400 | $5,400 | $9,300 | $2,400 | |
Fidelity Series Government Bond Index Fund | $58,600 | $5,000 | $9,300 | $2,200 | |
Fidelity Total Bond Fund | $116,000 | $9,100 | $11,400 | $4,000 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
August 31, 2023A | August 31, 2022A | ||
Audit-Related Fees | $- | $- | |
Tax Fees | $- | $- | |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
August 31, 2023A | August 31, 2022A | ||
Audit-Related Fees | $8,284,200 | $7,914,600 | |
Tax Fees | $1,000 | $353,200 | |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | August 31, 2023A | August 31, 2022A |
Deloitte Entities | $255,700 | $470,100 |
PwC | $13,686,000 | $13,326,700 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Income Fund
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | October 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | October 23, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | October 23, 2023 |