Quarterly Holdings Report
for
Fidelity Flex® Funds
Fidelity Flex® Core Bond Fund
November 30, 2021
ZCD-NPRT1-0122
1.9881605.104
Nonconvertible Bonds - 22.8% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.6% | |||
Diversified Telecommunication Services - 0.6% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | 18,000 | 17,399 | |
3.8% 12/1/57 | 175,000 | 182,756 | |
4.45% 4/1/24 | 3,000 | 3,207 | |
5.15% 11/15/46 | 50,000 | 64,238 | |
6.2% 3/15/40 | 40,000 | 53,552 | |
6.3% 1/15/38 | 50,000 | 67,991 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 54,000 | 53,859 | |
2.55% 3/21/31 | 50,000 | 50,536 | |
3% 3/22/27 | 13,000 | 13,727 | |
4.862% 8/21/46 | 57,000 | 75,017 | |
5.012% 4/15/49 | 4,000 | 5,437 | |
587,719 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 3.8% 3/22/30 | 100,000 | 112,278 | |
Media - 0.7% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.908% 7/23/25 | 45,000 | 49,646 | |
5.375% 5/1/47 | 55,000 | 66,005 | |
5.75% 4/1/48 | 100,000 | 125,917 | |
Comcast Corp. 6.45% 3/15/37 | 15,000 | 21,928 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 30,000 | 32,094 | |
4.65% 5/15/50 | 81,000 | 96,034 | |
Fox Corp.: | |||
3.666% 1/25/22 | 4,000 | 4,019 | |
4.03% 1/25/24 | 6,000 | 6,350 | |
4.709% 1/25/29 | 9,000 | 10,285 | |
5.476% 1/25/39 | 9,000 | 11,631 | |
Time Warner Cable LLC: | |||
5.875% 11/15/40 | 100,000 | 126,710 | |
7.3% 7/1/38 | 120,000 | 172,160 | |
722,779 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 60,000 | 64,506 | |
3.875% 4/15/30 | 100,000 | 108,684 | |
4.375% 4/15/40 | 13,000 | 14,762 | |
4.5% 4/15/50 | 26,000 | 30,408 | |
218,360 | |||
TOTAL COMMUNICATION SERVICES | 1,641,136 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.4% | |||
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (b) | 200,000 | 202,047 | |
3.125% 5/12/23 (b) | 200,000 | 206,256 | |
408,303 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp.: | |||
3.5% 7/1/27 | 17,000 | 18,408 | |
3.6% 7/1/30 | 20,000 | 22,186 | |
40,594 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 34,000 | 35,527 | |
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 7,000 | 8,097 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 12,000 | 12,800 | |
4% 4/15/30 | 55,000 | 61,495 | |
Lowe's Companies, Inc. 4.5% 4/15/30 | 39,000 | 45,257 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 12,000 | 13,629 | |
141,278 | |||
TOTAL CONSUMER DISCRETIONARY | 625,702 | ||
CONSUMER STAPLES - 1.8% | |||
Beverages - 0.9% | |||
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 | 125,000 | 149,885 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 100,000 | 109,360 | |
4.35% 6/1/40 | 35,000 | 41,113 | |
4.5% 6/1/50 | 100,000 | 123,753 | |
4.75% 4/15/58 | 27,000 | 34,245 | |
5.45% 1/23/39 | 20,000 | 26,212 | |
5.55% 1/23/49 | 204,000 | 281,380 | |
5.8% 1/23/59 (Reg. S) | 34,000 | 49,857 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 63,000 | 68,282 | |
3.45% 3/25/30 | 35,000 | 38,977 | |
923,064 | |||
Food & Staples Retailing - 0.1% | |||
Sysco Corp.: | |||
5.65% 4/1/25 | 28,000 | 31,550 | |
5.95% 4/1/30 | 20,000 | 25,078 | |
6.6% 4/1/50 | 30,000 | 47,126 | |
103,754 | |||
Food Products - 0.4% | |||
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b) | 200,000 | 198,320 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (b)(c) | 90,000 | 89,020 | |
6.5% 4/15/29 (b) | 70,000 | 76,650 | |
363,990 | |||
Tobacco - 0.4% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 30,000 | 29,334 | |
4.25% 8/9/42 | 27,000 | 27,403 | |
4.5% 5/2/43 | 80,000 | 84,988 | |
4.8% 2/14/29 | 40,000 | 45,288 | |
BAT Capital Corp. 4.906% 4/2/30 | 100,000 | 112,766 | |
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 101,472 | |
401,251 | |||
TOTAL CONSUMER STAPLES | 1,792,059 | ||
ENERGY - 3.5% | |||
Oil, Gas & Consumable Fuels - 3.5% | |||
Canadian Natural Resources Ltd.: | |||
3.9% 2/1/25 | 25,000 | 26,569 | |
5.85% 2/1/35 | 25,000 | 31,461 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 24,000 | 26,153 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 27,377 | |
5.8% 6/1/45 | 10,000 | 13,620 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 20,000 | 20,350 | |
5.85% 5/21/43 (b)(d) | 105,000 | 100,365 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 20,000 | 20,943 | |
4.25% 12/1/26 | 25,000 | 27,427 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 22,000 | 23,160 | |
4.2% 9/15/23 | 6,000 | 6,287 | |
4.25% 3/15/23 | 7,000 | 7,228 | |
4.95% 6/15/28 | 172,000 | 194,451 | |
5% 5/15/50 | 49,000 | 56,305 | |
5.4% 10/1/47 | 51,000 | 60,710 | |
5.8% 6/15/38 | 12,000 | 14,563 | |
6% 6/15/48 | 8,000 | 10,042 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 160,000 | 175,568 | |
Hess Corp.: | |||
4.3% 4/1/27 | 57,000 | 61,903 | |
7.125% 3/15/33 | 100,000 | 133,653 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 10,000 | 10,241 | |
6.55% 9/15/40 | 65,000 | 88,800 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 12,000 | 15,199 | |
MPLX LP: | |||
4.5% 7/15/23 | 10,000 | 10,457 | |
4.8% 2/15/29 | 6,000 | 6,806 | |
4.875% 12/1/24 | 14,000 | 15,220 | |
5.5% 2/15/49 | 17,000 | 21,471 | |
Occidental Petroleum Corp.: | |||
3.2% 8/15/26 | 5,000 | 4,913 | |
3.5% 8/15/29 | 104,000 | 101,848 | |
4.3% 8/15/39 | 2,000 | 1,950 | |
4.4% 8/15/49 | 92,000 | 90,390 | |
5.55% 3/15/26 | 50,000 | 53,452 | |
6.2% 3/15/40 | 10,000 | 11,850 | |
6.6% 3/15/46 | 36,000 | 45,823 | |
7.5% 5/1/31 | 40,000 | 50,417 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 148,000 | 163,326 | |
6.625% 8/15/37 | 15,000 | 19,079 | |
7.375% 11/1/31 | 28,000 | 35,773 | |
8.125% 9/15/30 | 26,000 | 34,198 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 130,000 | 121,771 | |
6.35% 2/12/48 | 246,000 | 193,172 | |
6.49% 1/23/27 | 20,000 | 20,449 | |
6.5% 3/13/27 | 20,000 | 20,435 | |
6.75% 9/21/47 | 210,000 | 171,707 | |
6.84% 1/23/30 | 378,000 | 377,433 | |
6.95% 1/28/60 | 88,000 | 71,940 | |
7.69% 1/23/50 | 15,000 | 13,460 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 4,000 | 4,147 | |
3.85% 4/9/25 | 5,000 | 5,355 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 200,000 | 207,248 | |
3.6% 11/1/24 | 10,000 | 10,468 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 10,000 | 10,000 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 68,000 | 76,924 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 74,000 | 78,503 | |
4.3% 3/4/24 | 100,000 | 106,162 | |
4.55% 6/24/24 | 70,000 | 75,213 | |
5.75% 6/24/44 | 35,000 | 45,624 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 10,000 | 10,541 | |
Valero Energy Corp. 2.85% 4/15/25 | 9,000 | 9,341 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 35,000 | 37,363 | |
4.75% 8/15/28 | 6,000 | 6,533 | |
3,493,137 | |||
FINANCIALS - 10.7% | |||
Banks - 4.2% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (d) | 90,000 | 88,318 | |
3.5% 4/19/26 | 160,000 | 172,300 | |
3.705% 4/24/28 (d) | 29,000 | 31,313 | |
3.974% 2/7/30 (d) | 325,000 | 359,282 | |
Barclays PLC: | |||
2.852% 5/7/26 (d) | 200,000 | 206,414 | |
4.375% 1/12/26 | 200,000 | 218,738 | |
BNP Paribas SA 2.219% 6/9/26 (b)(d) | 200,000 | 203,043 | |
CIT Group, Inc. 3.929% 6/19/24 (d) | 10,000 | 10,299 | |
Citigroup, Inc.: | |||
3.142% 1/24/23 (d) | 23,000 | 23,082 | |
3.352% 4/24/25 (d) | 36,000 | 37,692 | |
4.3% 11/20/26 | 9,000 | 9,926 | |
4.4% 6/10/25 | 81,000 | 87,970 | |
4.412% 3/31/31 (d) | 108,000 | 123,195 | |
4.45% 9/29/27 | 393,000 | 437,053 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 200,000 | 221,691 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (d) | 37,000 | 38,216 | |
3.797% 7/23/24 (d) | 35,000 | 36,581 | |
4.452% 12/5/29 (d) | 300,000 | 340,902 | |
4.493% 3/24/31 (d) | 100,000 | 115,418 | |
NatWest Group PLC: | |||
5.125% 5/28/24 | 165,000 | 178,590 | |
6% 12/19/23 | 175,000 | 190,826 | |
6.1% 6/10/23 | 150,000 | 160,704 | |
6.125% 12/15/22 | 80,000 | 84,169 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 200,000 | 204,444 | |
Societe Generale 1.038% 6/18/25 (b)(d) | 200,000 | 197,267 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (d) | 46,000 | 47,230 | |
4.478% 4/4/31 (d) | 149,000 | 172,180 | |
5.013% 4/4/51 (d) | 144,000 | 199,188 | |
Westpac Banking Corp. 4.11% 7/24/34 (d) | 27,000 | 29,280 | |
4,225,311 | |||
Capital Markets - 2.8% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 22,000 | 23,484 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 112,000 | 117,895 | |
4.2% 6/10/24 | 63,000 | 66,375 | |
Credit Suisse Group AG: | |||
2.193% 6/5/26 (b)(d) | 250,000 | 252,343 | |
3.8% 6/9/23 | 250,000 | 260,422 | |
Deutsche Bank AG New York Branch: | |||
4.1% 1/13/26 | 100,000 | 107,531 | |
5% 2/14/22 | 48,000 | 48,422 | |
5.882% 7/8/31 (d) | 250,000 | 292,752 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (d) | 90,000 | 88,307 | |
3.2% 2/23/23 | 35,000 | 35,955 | |
3.691% 6/5/28 (d) | 170,000 | 183,190 | |
3.75% 5/22/25 | 50,000 | 53,468 | |
3.8% 3/15/30 | 180,000 | 197,340 | |
3.814% 4/23/29 (d) | 75,000 | 81,681 | |
6.75% 10/1/37 | 113,000 | 159,588 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,000 | 10,832 | |
3.75% 3/24/25 | 52,000 | 55,679 | |
4.875% 2/15/24 | 9,000 | 9,668 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 271,000 | 287,134 | |
3.622% 4/1/31 (d) | 102,000 | 111,362 | |
3.737% 4/24/24 (d) | 115,000 | 119,318 | |
4.431% 1/23/30 (d) | 197,000 | 224,621 | |
5% 11/24/25 | 35,000 | 39,128 | |
State Street Corp. 2.825% 3/30/23 (d) | 7,000 | 7,051 | |
2,833,546 | |||
Consumer Finance - 2.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 150,000 | 149,729 | |
4.45% 4/3/26 | 150,000 | 162,728 | |
6.5% 7/15/25 | 150,000 | 171,589 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 21,000 | 21,093 | |
3.05% 6/5/23 | 80,000 | 82,137 | |
5.125% 9/30/24 | 21,000 | 23,009 | |
5.75% 11/20/25 | 80,000 | 90,598 | |
5.8% 5/1/25 | 49,000 | 55,377 | |
8% 11/1/31 | 23,000 | 32,537 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 64,000 | 65,596 | |
3.65% 5/11/27 | 116,000 | 125,438 | |
3.8% 1/31/28 | 39,000 | 42,693 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 80,000 | 85,459 | |
4.1% 2/9/27 | 59,000 | 64,276 | |
4.5% 1/30/26 | 74,000 | 81,176 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 200,000 | 208,600 | |
5.584% 3/18/24 | 200,000 | 213,360 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 11,000 | 11,147 | |
3.95% 12/1/27 | 217,000 | 234,277 | |
4.375% 3/19/24 | 13,000 | 13,783 | |
5.15% 3/19/29 | 50,000 | 58,123 | |
Toyota Motor Credit Corp. 2.9% 3/30/23 | 79,000 | 81,392 | |
2,074,117 | |||
Diversified Financial Services - 0.6% | |||
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 85,000 | 90,491 | |
4.05% 7/1/30 | 44,000 | 48,342 | |
4.125% 5/15/29 | 37,000 | 41,188 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 4,000 | 4,160 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 145,000 | 156,213 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 100,000 | 114,071 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 100,000 | 134,769 | |
589,234 | |||
Insurance - 1.0% | |||
AIA Group Ltd. 3.375% 4/7/30 (b) | 200,000 | 216,571 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 100,000 | 103,471 | |
3.4% 6/30/30 | 100,000 | 107,898 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 100,000 | 103,566 | |
Marsh & McLennan Companies, Inc. 4.375% 3/15/29 | 20,000 | 22,797 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 50,000 | 64,445 | |
Pricoa Global Funding I 5.375% 5/15/45 (d) | 45,000 | 48,167 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 80,000 | 86,501 | |
Unum Group: | |||
3.875% 11/5/25 | 175,000 | 186,690 | |
4% 6/15/29 | 31,000 | 34,326 | |
974,432 | |||
TOTAL FINANCIALS | 10,696,640 | ||
HEALTH CARE - 0.8% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 3.45% 3/15/22 | 40,000 | 40,139 | |
Health Care Providers & Services - 0.6% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 85,000 | 83,406 | |
2.625% 8/1/31 | 40,000 | 38,700 | |
3.375% 2/15/30 | 35,000 | 35,250 | |
4.25% 12/15/27 | 35,000 | 36,313 | |
4.625% 12/15/29 | 55,000 | 58,850 | |
Cigna Corp.: | |||
4.375% 10/15/28 | 133,000 | 150,691 | |
4.8% 8/15/38 | 21,000 | 25,735 | |
CVS Health Corp.: | |||
3% 8/15/26 | 5,000 | 5,271 | |
3.625% 4/1/27 | 18,000 | 19,460 | |
4.78% 3/25/38 | 29,000 | 35,335 | |
Sabra Health Care LP 3.2% 12/1/31 | 96,000 | 94,194 | |
Toledo Hospital 5.325% 11/15/28 | 12,000 | 13,390 | |
596,595 | |||
Pharmaceuticals - 0.2% | |||
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (d) | 18,000 | 19,016 | |
5.9% 8/28/28 (d) | 7,000 | 8,007 | |
Mylan NV 4.55% 4/15/28 | 20,000 | 22,494 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 20,000 | 21,505 | |
Viatris, Inc.: | |||
1.125% 6/22/22 | 27,000 | 27,040 | |
1.65% 6/22/25 | 9,000 | 8,982 | |
2.7% 6/22/30 | 44,000 | 43,934 | |
3.85% 6/22/40 | 19,000 | 20,237 | |
171,215 | |||
TOTAL HEALTH CARE | 807,949 | ||
INDUSTRIALS - 0.4% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 40,000 | 42,630 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 31,000 | 34,904 | |
5.15% 5/1/30 | 31,000 | 35,960 | |
5.705% 5/1/40 | 30,000 | 38,316 | |
5.93% 5/1/60 | 30,000 | 41,467 | |
193,277 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 10,000 | 10,155 | |
3.375% 7/1/25 | 56,000 | 58,702 | |
3.875% 7/3/23 | 38,000 | 39,642 | |
4.25% 2/1/24 | 29,000 | 30,698 | |
139,197 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (b) | 30,000 | 30,642 | |
3.95% 7/1/24 (b) | 13,000 | 13,625 | |
4.25% 4/15/26 (b) | 10,000 | 10,676 | |
4.375% 5/1/26 (b) | 10,000 | 10,716 | |
65,659 | |||
TOTAL INDUSTRIALS | 398,133 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Electronic Equipment & Components - 0.2% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 60,000 | 63,640 | |
5.85% 7/15/25 | 13,000 | 14,872 | |
6.02% 6/15/26 | 25,000 | 29,100 | |
6.1% 7/15/27 | 23,000 | 27,700 | |
6.2% 7/15/30 | 20,000 | 25,424 | |
160,736 | |||
Semiconductors & Semiconductor Equipment - 0.4% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 15,000 | 14,635 | |
2.45% 2/15/31 (b) | 151,000 | 145,325 | |
2.6% 2/15/33 (b) | 134,000 | 128,194 | |
3.5% 2/15/41 (b) | 106,000 | 105,726 | |
3.75% 2/15/51 (b) | 50,000 | 52,010 | |
445,890 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 58,000 | 57,716 | |
2.3% 3/25/28 | 92,000 | 92,511 | |
2.8% 4/1/27 | 69,000 | 71,489 | |
2.875% 3/25/31 | 120,000 | 122,814 | |
344,530 | |||
TOTAL INFORMATION TECHNOLOGY | 951,156 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (b) | 59,000 | 66,055 | |
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 42,000 | 50,641 | |
American Homes 4 Rent LP 2.375% 7/15/31 | 7,000 | 6,924 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 34,000 | 35,525 | |
4.5% 12/1/28 | 19,000 | 21,611 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 15,000 | 15,179 | |
2.75% 4/15/31 | 11,000 | 11,030 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 10,000 | 10,380 | |
3.5% 8/1/26 | 10,000 | 10,737 | |
Healthpeak Properties, Inc.: | |||
3.25% 7/15/26 | 4,000 | 4,273 | |
3.5% 7/15/29 | 5,000 | 5,447 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 54,000 | 61,537 | |
Kite Realty Group Trust 4.75% 9/15/30 | 3,000 | 3,324 | |
Lexington Corporate Properties Trust 2.7% 9/15/30 | 7,000 | 7,042 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 51,000 | 49,620 | |
3.375% 2/1/31 | 32,000 | 32,223 | |
3.625% 10/1/29 | 154,000 | 161,112 | |
4.375% 8/1/23 | 34,000 | 35,615 | |
4.5% 1/15/25 | 6,000 | 6,444 | |
4.75% 1/15/28 | 59,000 | 65,406 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 14,000 | 13,812 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 8,000 | 8,073 | |
2.85% 12/15/32 | 9,000 | 9,388 | |
3.25% 1/15/31 | 9,000 | 9,671 | |
3.4% 1/15/28 | 14,000 | 15,050 | |
Simon Property Group LP 2.45% 9/13/29 | 14,000 | 14,203 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 19,000 | 19,102 | |
4.625% 3/15/29 | 9,000 | 10,171 | |
Ventas Realty LP: | |||
3% 1/15/30 | 59,000 | 60,996 | |
3.5% 2/1/25 | 65,000 | 68,841 | |
4% 3/1/28 | 11,000 | 12,141 | |
4.75% 11/15/30 | 100,000 | 117,153 | |
Vornado Realty LP 2.15% 6/1/26 | 17,000 | 17,066 | |
WP Carey, Inc.: | |||
4% 2/1/25 | 28,000 | 29,991 | |
4.6% 4/1/24 | 50,000 | 53,364 | |
1,053,092 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 103,000 | 105,876 | |
3.95% 11/15/27 | 24,000 | 25,891 | |
4.1% 10/1/24 | 6,000 | 6,389 | |
4.55% 10/1/29 | 10,000 | 11,121 | |
CBRE Group, Inc. 2.5% 4/1/31 | 50,000 | 50,150 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 16,000 | 15,968 | |
2.7% 7/15/31 | 42,000 | 42,065 | |
Tanger Properties LP 2.75% 9/1/31 | 43,000 | 41,240 | |
298,700 | |||
TOTAL REAL ESTATE | 1,351,792 | ||
UTILITIES - 1.0% | |||
Electric Utilities - 0.6% | |||
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 226,000 | 229,566 | |
Duke Energy Corp. 2.45% 6/1/30 | 24,000 | 23,812 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 13,000 | 12,802 | |
2.775% 1/7/32 (b) | 44,000 | 43,977 | |
Edison International 5.75% 6/15/27 | 100,000 | 113,914 | |
Entergy Corp. 2.8% 6/15/30 | 25,000 | 25,566 | |
Exelon Corp. 4.05% 4/15/30 | 18,000 | 20,175 | |
FirstEnergy Corp.: | |||
4.75% 3/15/23 | 45,000 | 46,261 | |
7.375% 11/15/31 | 77,000 | 102,981 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 10,000 | 10,514 | |
629,568 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp.: | |||
3.3% 7/15/25 (b) | 75,000 | 78,456 | |
3.95% 7/15/30 (b) | 66,000 | 71,154 | |
149,610 | |||
Multi-Utilities - 0.2% | |||
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 126,000 | 137,102 | |
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 8,000 | 8,625 | |
NiSource, Inc. 2.95% 9/1/29 | 65,000 | 67,359 | |
Puget Energy, Inc. 4.1% 6/15/30 | 29,000 | 31,495 | |
244,581 | |||
TOTAL UTILITIES | 1,023,759 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $21,393,586) | 22,847,518 | ||
U.S. Government and Government Agency Obligations - 39.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Inflation-Protected Obligations - 0.1% | |||
U.S. Treasury Inflation-Indexed Bonds 0.125% 2/15/51 | 60,000 | 76,042 | |
U.S. Treasury Obligations - 39.3% | |||
U.S. Treasury Bonds: | |||
1.75% 8/15/41 | 607,000 | 595,903 | |
1.875% 11/15/51 | 770,000 | 785,159 | |
2% 8/15/51 | 4,588,000 | 4,804,487 | |
2.375% 5/15/51 | 659,000 | 747,450 | |
2.875% 5/15/49 | 894,000 | 1,105,068 | |
3% 2/15/47 | 703,000 | 870,457 | |
U.S. Treasury Notes: | |||
0.125% 1/31/23 | 2,100,000 | 2,095,242 | |
0.25% 5/15/24 | 19,000 | 18,788 | |
0.25% 7/31/25 | 1,357,000 | 1,320,372 | |
0.25% 9/30/25 | 1,100,000 | 1,068,246 | |
0.25% 10/31/25 | 500,000 | 484,746 | |
0.375% 12/31/25 | 3,217,000 | 3,127,150 | |
0.75% 3/31/26 | 1,585,000 | 1,561,287 | |
0.75% 4/30/26 | 3,140,000 | 3,090,692 | |
0.875% 9/30/26 | 1,000,000 | 987,109 | |
1.125% 10/31/26 | 3,000,000 | 2,995,781 | |
1.125% 8/31/28 | 1,710,000 | 1,684,216 | |
1.125% 2/15/31 | 655,000 | 639,418 | |
1.25% 5/31/28 | 4,452,000 | 4,430,610 | |
1.25% 9/30/28 | 370,000 | 367,283 | |
1.375% 11/15/31 | 3,637,000 | 3,614,837 | |
1.75% 12/31/24 | 880,000 | 903,925 | |
2.375% 4/30/26 | 608,000 | 641,179 | |
2.5% 2/28/26 | 731,000 | 773,661 | |
2.75% 2/28/25 | 582,000 | 616,488 | |
TOTAL U.S. TREASURY OBLIGATIONS | 39,329,554 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $39,232,638) | 39,405,596 | ||
U.S. Government Agency - Mortgage Securities - 2.2% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.2% | |||
2% 4/1/51 (e) | 50,215 | 50,325 | |
3% 10/1/51 (c) | 150,025 | 158,223 | |
4.5% 1/1/49 (e) | 4,279 | 4,598 | |
TOTAL FANNIE MAE | 213,146 | ||
Freddie Mac - 0.0% | |||
2% 3/1/51 | 49,316 | 49,425 | |
Ginnie Mae - 0.2% | |||
2% 12/1/51 (c) | 50,000 | 50,639 | |
2% 12/1/51 (c) | 50,000 | 50,639 | |
2.5% 12/1/51 (c) | 50,000 | 51,368 | |
3% 1/20/50 (f) | 21,548 | 22,332 | |
TOTAL GINNIE MAE | 174,978 | ||
Uniform Mortgage Backed Securities - 1.8% | |||
1.5% 12/1/51 (c) | 50,000 | 48,350 | |
1.5% 12/1/51 (c) | 50,000 | 48,350 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 12/1/51 (c) | 50,000 | 50,045 | |
2% 1/1/52 (c) | 50,000 | 49,948 | |
2% 1/1/52 (c) | 50,000 | 49,948 | |
2.5% 12/1/51 (c) | 100,000 | 102,500 | |
2.5% 12/1/51 (c) | 100,000 | 102,500 | |
2.5% 12/1/51 (c) | 50,000 | 51,250 | |
2.5% 12/1/51 (c) | 100,000 | 102,500 | |
2.5% 12/1/51 (c) | 50,000 | 51,250 | |
2.5% 12/1/51 (c) | 75,000 | 76,875 | |
2.5% 1/1/52 (c) | 50,000 | 51,125 | |
3% 12/1/51 (c) | 50,000 | 51,910 | |
3% 12/1/51 (c) | 150,000 | 155,730 | |
3% 12/1/51 (c) | 100,000 | 103,820 | |
3% 12/1/51 (c) | 100,000 | 103,820 | |
3% 12/1/51 (c) | 50,000 | 51,910 | |
3.5% 12/1/51 (c) | 250,000 | 262,822 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,764,878 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,202,483) | 2,202,427 | ||
Asset-Backed Securities - 6.0% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 22,556 | 21,421 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 250,000 | 249,576 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.14% 10/17/34 (b)(d)(g) | 250,000 | 250,000 | |
Allegro CLO XIV, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 1.160% 1.2374% 10/15/34 (b)(d)(g) | 250,000 | 249,853 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.2715% 7/20/34 (b)(d)(g) | 250,000 | 250,081 | |
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.3515% 1/20/32 (b)(d)(g) | 250,000 | 250,006 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.4523% 1/17/33 (b)(d)(g) | 283,000 | 283,142 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 244,792 | 243,043 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1138% 4/15/29 (b)(d)(g) | 250,000 | 249,475 | |
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 92,570 | 92,510 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.13% 10/25/34 (b)(d)(g) | 250,000 | 249,852 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.3315% 4/20/34 (b)(d)(g) | 100,000 | 99,785 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.4415% 1/20/34 (b)(d)(g) | 100,000 | 100,083 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 48,125 | 50,190 | |
Dryden Senior Loan Fund Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.13% 2/20/35 (b)(c)(d)(g) | 250,000 | 250,000 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4596% 11/20/33 (b)(d)(g) | 100,000 | 100,108 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.3338% 1/15/33 (b)(d)(g) | 250,000 | 250,078 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.2636% 4/19/34 (b)(d)(g) | 250,000 | 250,485 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.120% 1.13% 1/22/35 (b)(c)(d)(g) | 250,000 | 249,987 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.2438% 7/15/34 (b)(d)(g) | 250,000 | 249,859 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 0% 1/25/35 (b)(d)(g) | 250,000 | 250,000 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.1138% 1/15/34 (b)(d)(g) | 250,000 | 250,231 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 42,783 | 43,944 | |
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (b) | 76,408 | 76,242 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 80,510 | 82,500 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 51,090 | 52,986 | |
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (b) | 625 | 624 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 207,873 | 203,936 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 46,000 | 47,452 | |
1.884% 7/15/50 (b) | 25,000 | 25,104 | |
2.328% 7/15/52 (b) | 16,000 | 16,363 | |
Symphony CLO Ltd. Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 1.4123% 4/18/33 (b)(d)(g) | 250,000 | 250,269 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.2115% 4/20/33 (b)(d)(g) | 250,000 | 249,533 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(d) | 215,415 | 215,025 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 209,139 | 208,617 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,960,991) | 5,962,360 | ||
Collateralized Mortgage Obligations - 0.3% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.3% | |||
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 98,475 | 98,555 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(d) | 200,000 | 201,902 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $298,475) | 300,457 | ||
Commercial Mortgage Securities - 3.4% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.84% 11/15/30 (b)(d)(g) | 100,000 | 101,321 | |
sequential payer Series 2019-BPR Class AMP, 3.287% 11/5/32 (b) | 100,000 | 102,712 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.14% 11/15/28 (b)(d)(g) | 34,000 | 34,041 | |
BX Commercial Mortgage Trust: | |||
floater Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (b)(d)(g) | 100,000 | 99,719 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.0375% 10/15/36 (b)(d)(g) | 100,000 | 99,758 | |
floater sequential payer: | |||
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (b)(d)(g) | 83,504 | 83,426 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.09% 11/15/32 (b)(d)(g) | 84,280 | 84,179 | |
BX Trust floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 2.715% 9/15/37 (b)(d)(g) | 9,063 | 7,714 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.89% 11/15/35 (b)(d)(g) | 70,000 | 69,737 | |
Series 2019-XL Class E, 1 month U.S. LIBOR + 1.800% 1.89% 10/15/36 (b)(d)(g) | 85,000 | 84,654 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 97,646 | 96,031 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (b)(d)(g) | 99,275 | 99,089 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (b)(d)(g) | 100,000 | 99,812 | |
Class B, 1 month U.S. LIBOR + 1.900% 1.99% 8/15/36 (b)(d)(g) | 100,000 | 99,624 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.39% 8/15/36 (b)(d)(g) | 100,000 | 99,561 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.14% 8/15/36 (b)(d)(g) | 100,000 | 99,499 | |
COMM Mortgage Trust Series 2014-CR17 Class XA, 1.1207% 5/10/47 (d)(h) | 72,653 | 1,409 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class B, 1 month U.S. LIBOR + 1.230% 1.32% 5/15/36 (b)(d)(g) | 100,000 | 99,750 | |
Series 2018-SITE Class D, 4.9414% 4/15/36 (b)(d) | 100,000 | 98,615 | |
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 2.34% 12/15/30 (b)(d)(g) | 76,000 | 75,742 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (b)(d)(g) | 124,000 | 123,418 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (b)(d)(g) | 99,482 | 99,423 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.34% 7/15/38 (b)(d)(g) | 99,482 | 99,482 | |
GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (b)(d)(g) | 100,000 | 100,030 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 20,000 | 20,852 | |
Class DFX, 5.3503% 7/5/33 (b) | 10,000 | 10,344 | |
Class EFX, 5.5422% 7/5/33 (b) | 10,000 | 10,217 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (b)(d)(g) | 200,000 | 199,594 | |
Class E, 1 month U.S. LIBOR + 1.750% 1.84% 3/15/38 (b)(d)(g) | 100,000 | 99,188 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 1.34% 8/15/33 (b)(d)(g) | 22,159 | 22,114 | |
Class C, 1 month U.S. LIBOR + 1.500% 1.59% 8/15/33 (b)(d)(g) | 53,952 | 53,680 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 65,000 | 66,799 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 11,000 | 12,546 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(d) | 10,000 | 10,119 | |
Class C, 3.283% 11/10/36 (b)(d) | 10,000 | 9,991 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.8911% 12/15/37 (b)(d)(g) | 21,000 | 21,000 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5411% 12/15/37 (b)(d)(g) | 25,141 | 25,141 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 4/15/36 (b)(d)(g) | 100,000 | 100,026 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (b)(d)(g) | 100,000 | 99,427 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.1798% 11/15/38 (b)(d)(g) | 100,000 | 99,427 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.429% 11/15/38 (b)(d)(g) | 100,000 | 99,427 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.6782% 11/15/38 (b)(d)(g) | 100,000 | 99,427 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 45,000 | 44,675 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 10,000 | 9,980 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.29% 5/15/31 (b)(d)(g) | 200,000 | 199,940 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 10,000 | 11,370 | |
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XA, 1.1717% 8/15/47 (d)(h) | 723,320 | 15,785 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $3,425,599) | 3,399,815 | ||
Municipal Securities - 0.4% | |||
Principal Amount (a) | Value ($) | ||
California Gen. Oblig. Series 2009, 7.35% 11/1/39 | 90,000 | 144,501 | |
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 125,000 | 146,147 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 68,000 | 86,425 | |
TOTAL MUNICIPAL SECURITIES (Cost $321,696) | 377,073 | ||
Foreign Government and Government Agency Obligations - 1.0% | |||
Principal Amount (a) | Value ($) | ||
Argentine Republic: | |||
0.5% 7/9/30 (i) | 34,250 | 10,583 | |
1% 7/9/29 | 3,762 | 1,236 | |
1.125% 7/9/35 (i) | 62,749 | 17,476 | |
Dominican Republic 5.95% 1/25/27 (b) | 100,000 | 110,240 | |
Emirate of Abu Dhabi: | |||
3.125% 4/16/30 (b) | 215,000 | 231,394 | |
3.875% 4/16/50 (b) | 15,000 | 17,363 | |
Indonesian Republic 3.85% 10/15/30 | 200,000 | 222,163 | |
State of Qatar: | |||
3.75% 4/16/30 (b) | 250,000 | 278,000 | |
4.4% 4/16/50 (b) | 50,000 | 61,063 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $891,030) | 949,518 | ||
Supranational Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Corporacion Andina de Fomento 2.375% 5/12/23 (Cost $99,891) | 100,000 | 102,204 | |
Fixed-Income Funds - 23.1% | |||
Shares | Value ($) | ||
Fidelity Emerging Markets Debt Central Fund (j) | 240,703 | 2,147,072 | |
Fidelity Floating Rate Central Fund (j) | 50,978 | 5,115,180 | |
Fidelity International Credit Central Fund (j) | 25,000 | 2,532,750 | |
Fidelity Mortgage Backed Securities Central Fund (j) | 67,831 | 7,413,955 | |
Fidelity Specialized High Income Central Fund (j) | 62,491 | 5,938,521 | |
TOTAL FIXED-INCOME FUNDS (Cost $23,217,884) | 23,147,478 | ||
Money Market Funds - 3.5% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.06% (k) (Cost $3,516,902) | 3,516,198 | 3,516,902 | |
TOTAL INVESTMENT IN SECURITIES - 102.2% (Cost $100,561,175) | 102,211,348 |
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (2,193,318) |
NET ASSETS - 100.0% | 100,018,030 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Uniform Mortgage Backed Securities | ||
2% 12/1/51 | (50,000) | (50,045) |
2% 12/1/51 | (50,000) | (50,045) |
2% 12/1/51 | (50,000) | (50,045) |
2% 12/1/51 | (50,000) | (50,045) |
2.5% 12/1/51 | (150,000) | (153,750) |
2.5% 12/1/51 | (50,000) | (51,250) |
2.5% 12/1/51 | (50,000) | (51,250) |
3% 12/1/51 | (150,000) | (155,730) |
3% 12/1/51 | (100,000) | (103,820) |
3% 12/1/51 | (50,000) | (51,910) |
TOTAL TBA SALE COMMITMENTS (Proceeds $766,701) | (767,890) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1 | Mar 2022 | 121,398 | 412 | 412 |
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 3 | Mar 2022 | 656,203 | (420) | (420) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1 | Mar 2022 | 162,125 | (2,759) | (2,759) |
TOTAL SOLD | (3,179) | ||||
TOTAL FUTURES CONTRACTS | (2,767) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.1% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(1) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
CMBX N.A. AAA Index Series 12 | Aug 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 240,000 | (879) | (3) | (882) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 20,000 | 14 | 117 | 131 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 20,000 | 14 | 54 | 68 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 10,000 | 7 | 55 | 62 | ||
TOTAL CREDIT DEFAULT SWAPS | (844) | 223 | (621) |
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
0.5% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2023 | 358,000 | (2,865) | 0 | (2,865) | |
1.25% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2026 | 26,000 | (452) | 0 | (452) | |
2% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2051 | 10,000 | 57 | 0 | 57 | |
TOTAL INTEREST RATE SWAPS | (3,260) | 0 | (3,260) |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $13,973,787 or 14.0% of net assets. |
(c) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) | 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 $35,898. |
(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 $16,948. |
(g) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(h) | Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(j) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.06% | 3,527,731 | 10,797,450 | 10,808,279 | 543 | - | - | 3,516,902 | 0.0% |
Fidelity Emerging Markets Debt Central Fund | 2,207,757 | 22,975 | - | 22,975 | - | (83,660) | 2,147,072 | 0.1% |
Fidelity Floating Rate Central Fund | 5,070,192 | 50,247 | - | 50,247 | - | (5,259) | 5,115,180 | 0.2% |
Fidelity International Credit Central Fund | - | 2,522,500 | - | - | - | 10,250 | 2,532,750 | 0.4% |
Fidelity Mortgage Backed Securities Central Fund | 7,461,781 | 73,252 | - | 73,251 | - | (121,078) | 7,413,955 | 0.4% |
Fidelity Specialized High Income Central Fund | 6,024,646 | 268,111 | - | 268,159 | - | (354,236) | 5,938,521 | 1.7% |
Total | 24,292,107 | 13,734,535 | 10,808,279 | 415,175 | - | (553,983) | 26,664,380 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Municipal Securities, Foreign Government and Government Agency Obligations and Supranational Obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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