Quarterly Holdings Report
for
Fidelity® Total Bond K6 Fund
May 31, 2023
TBDK6-NPRT3-0723
1.9884012.106
Nonconvertible Bonds - 24.0% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | 339,000 | 266,395 | |
3.8% 12/1/57 | 4,105,000 | 2,920,719 | |
4.3% 2/15/30 | 559,000 | 534,982 | |
5.15% 11/15/46 | 1,000,000 | 926,072 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 1,151,000 | 1,015,839 | |
2.55% 3/21/31 | 1,065,000 | 891,858 | |
3% 3/22/27 | 263,000 | 247,768 | |
4.862% 8/21/46 | 1,250,000 | 1,141,113 | |
5.012% 4/15/49 | 16,000 | 14,823 | |
7,959,569 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 3.8% 3/22/30 | 2,050,000 | 1,941,713 | |
Media - 1.0% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.4% 4/1/33 | 1,526,000 | 1,326,392 | |
4.908% 7/23/25 | 945,000 | 929,277 | |
5.25% 4/1/53 | 2,499,000 | 1,948,419 | |
5.375% 5/1/47 | 2,000,000 | 1,595,389 | |
5.5% 4/1/63 | 2,499,000 | 1,932,248 | |
5.75% 4/1/48 | 861,000 | 712,631 | |
Comcast Corp. 6.45% 3/15/37 | 365,000 | 407,281 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 708,000 | 614,541 | |
4.65% 5/15/50 | 1,913,000 | 1,400,044 | |
Fox Corp.: | |||
4.03% 1/25/24 | 216,000 | 213,618 | |
4.709% 1/25/29 | 312,000 | 304,125 | |
5.476% 1/25/39 | 308,000 | 285,277 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 | 909,000 | 889,822 | |
3.638% 3/15/25 | 498,000 | 481,955 | |
3.755% 3/15/27 | 973,000 | 911,829 | |
4.054% 3/15/29 | 337,000 | 307,886 | |
4.279% 3/15/32 | 3,816,000 | 3,333,816 | |
5.05% 3/15/42 | 738,000 | 597,095 | |
5.141% 3/15/52 | 1,091,000 | 851,459 | |
Time Warner Cable LLC: | |||
6.75% 6/15/39 | 545,000 | 515,967 | |
7.3% 7/1/38 | 2,420,000 | 2,471,717 | |
22,030,788 | |||
Wireless Telecommunication Services - 0.3% | |||
Millicom International Cellular SA 6.25% 3/25/29 (b) | 1,440,000 | 1,261,267 | |
Rogers Communications, Inc.: | |||
3.2% 3/15/27 (b) | 1,051,000 | 978,415 | |
3.8% 3/15/32 (b) | 917,000 | 810,375 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 1,250,000 | 1,187,498 | |
3.875% 4/15/30 | 2,100,000 | 1,948,376 | |
4.375% 4/15/40 | 269,000 | 236,187 | |
4.5% 4/15/50 | 528,000 | 450,089 | |
6,872,207 | |||
TOTAL COMMUNICATION SERVICES | 38,804,277 | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp.: | |||
3.5% 7/1/27 | 353,000 | 339,038 | |
3.6% 7/1/30 | 419,000 | 391,464 | |
730,502 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 890,000 | 855,893 | |
Specialty Retail - 0.3% | |||
AutoNation, Inc. 4.75% 6/1/30 | 156,000 | 145,121 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 239,000 | 232,059 | |
4% 4/15/30 | 1,110,000 | 1,035,067 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 149,000 | 141,997 | |
3.75% 4/1/32 | 459,000 | 416,430 | |
4.25% 4/1/52 | 1,870,000 | 1,496,009 | |
4.45% 4/1/62 | 2,116,000 | 1,660,815 | |
4.5% 4/15/30 | 798,000 | 779,921 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 246,000 | 233,941 | |
6,141,360 | |||
TOTAL CONSUMER DISCRETIONARY | 7,727,755 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.8% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 2,133,000 | 2,089,424 | |
4.9% 2/1/46 | 4,500,000 | 4,273,627 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 900,000 | 844,596 | |
4.35% 6/1/40 | 720,000 | 660,371 | |
4.5% 6/1/50 | 1,000,000 | 906,216 | |
4.75% 4/15/58 | 613,000 | 564,994 | |
5.45% 1/23/39 | 800,000 | 830,732 | |
5.55% 1/23/49 | 1,824,000 | 1,907,444 | |
5.8% 1/23/59 (Reg. S) | 1,933,000 | 2,086,607 | |
Molson Coors Beverage Co. 5% 5/1/42 | 2,945,000 | 2,726,378 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 1,279,000 | 1,246,365 | |
3.45% 3/25/30 | 713,000 | 678,572 | |
18,815,326 | |||
Consumer Staples Distribution & Retail - 0.1% | |||
Sysco Corp.: | |||
5.95% 4/1/30 | 471,000 | 496,861 | |
6.6% 4/1/50 | 710,000 | 791,787 | |
1,288,648 | |||
Food Products - 0.3% | |||
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 (b) | 1,945,000 | 1,699,444 | |
3% 5/15/32 (b) | 1,955,000 | 1,495,471 | |
3.625% 1/15/32 (b) | 353,000 | 285,615 | |
5.125% 2/1/28 (b) | 735,000 | 708,261 | |
5.5% 1/15/30 (b) | 342,000 | 324,927 | |
5.75% 4/1/33 (b) | 1,515,000 | 1,412,813 | |
5,926,531 | |||
Tobacco - 0.4% | |||
Altria Group, Inc.: | |||
3.875% 9/16/46 | 1,521,000 | 1,054,375 | |
4.25% 8/9/42 | 932,000 | 720,674 | |
4.5% 5/2/43 | 632,000 | 495,691 | |
4.8% 2/14/29 | 173,000 | 169,187 | |
5.375% 1/31/44 | 1,137,000 | 1,052,518 | |
5.95% 2/14/49 | 600,000 | 555,886 | |
BAT Capital Corp.: | |||
4.7% 4/2/27 | 1,252,000 | 1,221,443 | |
4.906% 4/2/30 | 1,500,000 | 1,424,673 | |
5.282% 4/2/50 | 1,500,000 | 1,213,646 | |
Imperial Tobacco Finance PLC: | |||
4.25% 7/21/25 (b) | 1,564,000 | 1,506,807 | |
6.125% 7/27/27 (b) | 764,000 | 777,049 | |
Reynolds American, Inc. 7.25% 6/15/37 | 75,000 | 78,875 | |
10,270,824 | |||
TOTAL CONSUMER STAPLES | 36,301,329 | ||
ENERGY - 2.9% | |||
Oil, Gas & Consumable Fuels - 2.9% | |||
Canadian Natural Resources Ltd.: | |||
2.05% 7/15/25 | 5,400,000 | 5,070,657 | |
3.85% 6/1/27 | 2,700,000 | 2,566,973 | |
3.9% 2/1/25 | 525,000 | 510,542 | |
5.85% 2/1/35 | 525,000 | 513,092 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 210,000 | 144,988 | |
5.25% 6/15/37 | 1,911,000 | 1,776,880 | |
5.4% 6/15/47 | 244,000 | 218,680 | |
6.75% 11/15/39 | 200,000 | 209,007 | |
Columbia Pipeline Group, Inc.: | |||
4.5% 6/1/25 | 25,000 | 24,580 | |
5.8% 6/1/45 | 10,000 | 9,863 | |
DCP Midstream Operating LP 5.125% 5/15/29 | 659,000 | 640,342 | |
Enbridge, Inc. 4.25% 12/1/26 | 525,000 | 510,514 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 481,000 | 435,648 | |
4.2% 9/15/23 | 145,000 | 144,250 | |
4.5% 4/15/24 | 215,000 | 212,874 | |
4.95% 6/15/28 | 494,000 | 482,623 | |
5% 5/15/50 | 2,089,000 | 1,708,826 | |
5.25% 4/15/29 | 350,000 | 345,551 | |
5.4% 10/1/47 | 1,023,000 | 879,463 | |
5.8% 6/15/38 | 275,000 | 262,174 | |
6% 6/15/48 | 1,279,000 | 1,177,350 | |
6.125% 12/15/45 | 100,000 | 93,187 | |
6.25% 4/15/49 | 241,000 | 229,358 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 3,150,000 | 2,971,200 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,146,000 | 1,110,044 | |
5.6% 2/15/41 | 549,000 | 517,175 | |
5.8% 4/1/47 | 874,000 | 837,517 | |
7.125% 3/15/33 | 201,000 | 219,255 | |
7.3% 8/15/31 | 2,102,000 | 2,306,513 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 1,365,000 | 1,384,206 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 415,000 | 376,393 | |
MPLX LP: | |||
4.8% 2/15/29 | 175,000 | 170,324 | |
4.875% 12/1/24 | 272,000 | 268,840 | |
4.95% 9/1/32 | 1,463,000 | 1,402,342 | |
5.5% 2/15/49 | 525,000 | 468,032 | |
Occidental Petroleum Corp.: | |||
5.55% 3/15/26 | 831,000 | 828,923 | |
6.2% 3/15/40 | 700,000 | 683,375 | |
6.45% 9/15/36 | 600,000 | 610,500 | |
6.6% 3/15/46 | 807,000 | 827,336 | |
7.5% 5/1/31 | 927,000 | 1,006,815 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 1,916,000 | 1,611,671 | |
6.625% 8/15/37 | 350,000 | 348,609 | |
7.375% 11/1/31 | 435,000 | 464,220 | |
8.125% 9/15/30 | 1,083,000 | 1,186,038 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 3,510,000 | 2,506,667 | |
6.35% 2/12/48 | 3,548,000 | 2,048,083 | |
6.49% 1/23/27 | 570,000 | 490,841 | |
6.5% 3/13/27 | 20,000 | 17,253 | |
6.75% 9/21/47 | 5,720,000 | 3,439,951 | |
6.84% 1/23/30 | 6,742,000 | 5,233,478 | |
6.95% 1/28/60 | 989,000 | 585,636 | |
7.69% 1/23/50 | 2,090,000 | 1,347,528 | |
Phillips 66 Co. 3.85% 4/9/25 | 125,000 | 122,037 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 4,767,000 | 4,217,347 | |
3.6% 11/1/24 | 266,000 | 258,042 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 1,622,000 | 1,533,649 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 1,727,000 | 1,548,041 | |
4.3% 3/4/24 | 2,000,000 | 1,978,387 | |
4.55% 6/24/24 | 70,000 | 69,145 | |
4.65% 8/15/32 | 1,526,000 | 1,443,669 | |
5.3% 8/15/52 | 346,000 | 312,249 | |
5.4% 3/2/26 | 823,000 | 829,708 | |
5.75% 6/24/44 | 35,000 | 33,506 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 207,000 | 184,445 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 174,000 | 167,339 | |
4.5% 3/1/28 | 200,000 | 187,777 | |
4.65% 7/1/26 | 138,000 | 133,106 | |
4.75% 8/15/28 | 168,000 | 158,641 | |
66,613,275 | |||
FINANCIALS - 11.9% | |||
Banks - 5.3% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (c) | 1,880,000 | 1,498,104 | |
3.5% 4/19/26 | 2,630,000 | 2,533,712 | |
3.705% 4/24/28 (c) | 528,000 | 496,313 | |
4.376% 4/27/28 (c) | 10,000,000 | 9,668,708 | |
4.45% 3/3/26 | 245,000 | 239,579 | |
5.015% 7/22/33 (c) | 13,317,000 | 13,016,851 | |
Barclays PLC: | |||
2.852% 5/7/26 (c) | 1,652,000 | 1,552,351 | |
4.375% 1/12/26 | 900,000 | 869,225 | |
5.088% 6/20/30 (c) | 1,421,000 | 1,319,425 | |
5.2% 5/12/26 | 1,318,000 | 1,278,935 | |
5.829% 5/9/27 (c) | 2,370,000 | 2,364,753 | |
6.224% 5/9/34 (c) | 1,576,000 | 1,591,122 | |
BNP Paribas SA 2.219% 6/9/26 (b)(c) | 1,520,000 | 1,410,750 | |
Citigroup, Inc.: | |||
3.352% 4/24/25 (c) | 953,000 | 931,429 | |
4.3% 11/20/26 | 6,314,000 | 6,092,680 | |
4.4% 6/10/25 | 2,266,000 | 2,212,908 | |
4.412% 3/31/31 (c) | 2,221,000 | 2,100,668 | |
4.45% 9/29/27 | 4,372,000 | 4,200,909 | |
4.91% 5/24/33 (c) | 3,224,000 | 3,134,381 | |
5.5% 9/13/25 | 566,000 | 565,873 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 517,000 | 439,558 | |
First Citizens Bank & Trust Co.: | |||
3.929% 6/19/24 (c) | 270,000 | 266,819 | |
6.125% 3/9/28 | 210,000 | 208,466 | |
HSBC Holdings PLC 4.95% 3/31/30 | 298,000 | 291,231 | |
Intesa Sanpaolo SpA: | |||
4.198% 6/1/32 (b)(c) | 242,000 | 183,100 | |
5.017% 6/26/24 (b) | 200,000 | 194,542 | |
5.71% 1/15/26 (b) | 3,773,000 | 3,591,548 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 880,000 | 751,793 | |
3.797% 7/23/24 (c) | 35,000 | 34,899 | |
3.882% 7/24/38 (c) | 1,000,000 | 858,678 | |
4.323% 4/26/28 (c) | 5,000,000 | 4,866,815 | |
4.452% 12/5/29 (c) | 5,500,000 | 5,307,639 | |
4.493% 3/24/31 (c) | 3,000,000 | 2,895,478 | |
4.586% 4/26/33 (c) | 2,682,000 | 2,572,008 | |
4.912% 7/25/33 (c) | 9,234,000 | 9,080,647 | |
5.717% 9/14/33 (c) | 2,700,000 | 2,732,308 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 951,000 | 864,244 | |
5.847% 3/2/27 (c) | 3,394,000 | 3,403,238 | |
Rabobank Nederland 4.375% 8/4/25 | 500,000 | 486,885 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 3,800,000 | 3,578,616 | |
1.488% 12/14/26 (b)(c) | 1,953,000 | 1,721,021 | |
Synchrony Bank: | |||
5.4% 8/22/25 | 1,384,000 | 1,318,809 | |
5.625% 8/23/27 | 1,253,000 | 1,169,840 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (c) | 927,000 | 885,696 | |
3.526% 3/24/28 (c) | 2,047,000 | 1,918,589 | |
4.478% 4/4/31 (c) | 3,026,000 | 2,879,842 | |
4.897% 7/25/33 (c) | 4,711,000 | 4,544,432 | |
5.013% 4/4/51 (c) | 2,880,000 | 2,635,162 | |
5.389% 4/24/34 (c) | 2,133,000 | 2,135,812 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 744,000 | 657,968 | |
119,554,359 | |||
Capital Markets - 2.9% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 390,000 | 385,339 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 2,603,000 | 2,416,012 | |
4.2% 6/10/24 | 1,716,000 | 1,673,361 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (b)(c) | 2,086,000 | 1,963,260 | |
3.75% 3/26/25 | 1,200,000 | 1,126,800 | |
3.8% 6/9/23 | 1,250,000 | 1,247,500 | |
3.869% 1/12/29 (b)(c) | 1,570,000 | 1,401,653 | |
4.194% 4/1/31 (b)(c) | 2,010,000 | 1,766,569 | |
4.207% 6/12/24 (b)(c) | 500,000 | 493,425 | |
4.55% 4/17/26 | 388,000 | 364,720 | |
6.537% 8/12/33 (b)(c) | 5,000,000 | 5,102,850 | |
Deutsche Bank AG 4.5% 4/1/25 | 3,804,000 | 3,551,020 | |
Deutsche Bank AG New York Branch: | |||
4.1% 1/13/26 | 1,100,000 | 1,025,201 | |
5.882% 7/8/31 (c) | 5,000,000 | 4,322,808 | |
6.72% 1/18/29 (c) | 980,000 | 983,917 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 1,922,000 | 1,547,539 | |
3.102% 2/24/33 (c) | 4,272,000 | 3,622,599 | |
3.691% 6/5/28 (c) | 4,660,000 | 4,390,071 | |
3.75% 5/22/25 | 525,000 | 508,483 | |
3.8% 3/15/30 | 3,630,000 | 3,364,907 | |
3.814% 4/23/29 (c) | 1,025,000 | 955,404 | |
4.017% 10/31/38 (c) | 1,000,000 | 843,018 | |
4.223% 5/1/29 (c) | 2,500,000 | 2,369,521 | |
6.75% 10/1/37 | 278,000 | 296,696 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 10,000 | 9,412 | |
3.75% 3/24/25 | 1,044,000 | 1,015,040 | |
4.875% 2/15/24 | 9,000 | 8,942 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 2,621,000 | 2,471,992 | |
3.622% 4/1/31 (c) | 2,099,000 | 1,897,201 | |
4.431% 1/23/30 (c) | 2,242,000 | 2,152,119 | |
4.889% 7/20/33 (c) | 5,947,000 | 5,740,558 | |
5% 11/24/25 | 5,722,000 | 5,708,438 | |
UBS Group AG: | |||
1.494% 8/10/27 (b)(c) | 1,190,000 | 1,025,924 | |
4.125% 9/24/25 (b) | 500,000 | 480,154 | |
66,232,453 | |||
Consumer Finance - 2.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 2,378,000 | 2,232,543 | |
2.45% 10/29/26 | 868,000 | 774,001 | |
2.875% 8/14/24 | 1,196,000 | 1,148,891 | |
3% 10/29/28 | 909,000 | 788,133 | |
3.3% 1/30/32 | 2,872,000 | 2,334,127 | |
4.45% 4/3/26 | 561,000 | 537,730 | |
4.875% 1/16/24 | 843,000 | 835,688 | |
5.75% 6/6/28 | 2,000,000 | 1,983,099 | |
6.5% 7/15/25 | 731,000 | 736,379 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 462,000 | 454,609 | |
3.05% 6/5/23 | 1,940,000 | 1,938,816 | |
4.75% 6/9/27 | 2,500,000 | 2,333,632 | |
5.125% 9/30/24 | 465,000 | 454,116 | |
5.75% 11/20/25 | 1,560,000 | 1,515,020 | |
5.8% 5/1/25 | 1,072,000 | 1,059,516 | |
7.1% 11/15/27 | 2,060,000 | 2,104,571 | |
8% 11/1/31 | 549,000 | 572,430 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26 (c) | 1,062,000 | 994,618 | |
3.273% 3/1/30 (c) | 1,358,000 | 1,163,704 | |
3.65% 5/11/27 | 2,746,000 | 2,574,820 | |
3.8% 1/31/28 | 877,000 | 812,298 | |
4.927% 5/10/28 (c) | 2,786,000 | 2,675,377 | |
4.985% 7/24/26 (c) | 1,448,000 | 1,416,593 | |
5.247% 7/26/30 (c) | 2,210,000 | 2,093,518 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 4,380,000 | 4,231,527 | |
4.1% 2/9/27 | 284,000 | 264,675 | |
4.5% 1/30/26 | 803,000 | 778,247 | |
6.7% 11/29/32 | 361,000 | 373,967 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 4,206,000 | 4,065,051 | |
5.584% 3/18/24 | 1,113,000 | 1,106,103 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 3,042,000 | 2,626,830 | |
4.375% 3/19/24 | 1,056,000 | 1,022,852 | |
5.15% 3/19/29 | 1,958,000 | 1,734,024 | |
49,737,505 | |||
Financial Services - 1.1% | |||
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 | 3,937,000 | 3,799,188 | |
7.05% 9/29/25 | 1,775,000 | 1,769,704 | |
Brixmor Operating Partnership LP: | |||
3.85% 2/1/25 | 2,100,000 | 2,017,828 | |
4.05% 7/1/30 | 1,055,000 | 951,300 | |
4.125% 5/15/29 | 1,000,000 | 906,138 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 445,000 | 424,799 | |
3.65% 4/5/27 | 1,551,000 | 1,451,213 | |
3.85% 4/5/29 | 623,000 | 561,684 | |
3.9% 4/5/32 | 4,241,000 | 3,678,222 | |
4.35% 4/5/42 | 169,000 | 135,152 | |
4.4% 4/5/52 | 498,000 | 379,014 | |
Jackson Financial, Inc.: | |||
5.17% 6/8/27 | 682,000 | 652,143 | |
5.67% 6/8/32 | 861,000 | 820,999 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 5,175,000 | 5,118,946 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 1,030,000 | 960,948 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 1,000,000 | 866,867 | |
24,494,145 | |||
Insurance - 0.4% | |||
AIA Group Ltd. 3.375% 4/7/30 (b) | 1,502,000 | 1,380,796 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 1,934,000 | 1,833,081 | |
5.125% 3/27/33 | 1,500,000 | 1,469,782 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 2,287,000 | 1,952,153 | |
Marsh & McLennan Companies, Inc. 4.375% 3/15/29 | 678,000 | 661,793 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 950,000 | 877,729 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 1,045,000 | 995,154 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 400,000 | 382,000 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 80,000 | 77,886 | |
Unum Group: | |||
3.875% 11/5/25 | 50,000 | 47,418 | |
4% 6/15/29 | 852,000 | 800,047 | |
10,477,839 | |||
TOTAL FINANCIALS | 270,496,301 | ||
HEALTH CARE - 1.3% | |||
Biotechnology - 0.2% | |||
Amgen, Inc.: | |||
5.15% 3/2/28 | 907,000 | 914,502 | |
5.25% 3/2/30 | 828,000 | 834,427 | |
5.25% 3/2/33 | 934,000 | 937,299 | |
5.6% 3/2/43 | 888,000 | 879,530 | |
5.65% 3/2/53 | 441,000 | 441,165 | |
5.75% 3/2/63 | 804,000 | 799,088 | |
4,806,011 | |||
Health Care Providers & Services - 0.8% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 1,670,000 | 1,434,964 | |
2.625% 8/1/31 | 800,000 | 639,752 | |
3.375% 2/15/30 | 815,000 | 702,701 | |
4.25% 12/15/27 | 880,000 | 827,006 | |
4.625% 12/15/29 | 3,670,000 | 3,403,558 | |
Cigna Group: | |||
3.05% 10/15/27 | 500,000 | 466,345 | |
4.375% 10/15/28 | 884,000 | 861,682 | |
4.8% 8/15/38 | 550,000 | 516,700 | |
CVS Health Corp.: | |||
3% 8/15/26 | 125,000 | 117,825 | |
3.625% 4/1/27 | 375,000 | 358,611 | |
4.78% 3/25/38 | 2,092,000 | 1,934,873 | |
5% 1/30/29 | 801,000 | 801,508 | |
5.25% 1/30/31 | 329,000 | 330,248 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 709,000 | 626,875 | |
3.625% 3/15/32 (b) | 195,000 | 169,957 | |
5.625% 9/1/28 | 1,054,000 | 1,061,913 | |
5.875% 2/1/29 | 981,000 | 996,901 | |
Humana, Inc. 3.7% 3/23/29 | 585,000 | 542,434 | |
Sabra Health Care LP 3.2% 12/1/31 | 1,971,000 | 1,456,954 | |
Toledo Hospital 5.325% 11/15/28 | 319,000 | 264,917 | |
17,515,724 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 3,209,000 | 3,115,650 | |
Elanco Animal Health, Inc.: | |||
6.022% 8/28/23 | 459,000 | 455,558 | |
6.65% 8/28/28 (c) | 194,000 | 185,641 | |
Mylan NV 4.55% 4/15/28 | 450,000 | 425,361 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,370,000 | 1,302,519 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 197,000 | 181,341 | |
2.7% 6/22/30 | 1,003,000 | 806,034 | |
3.85% 6/22/40 | 437,000 | 293,867 | |
6,765,971 | |||
TOTAL HEALTH CARE | 29,087,706 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 1,040,000 | 1,017,149 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 723,000 | 717,781 | |
5.15% 5/1/30 | 723,000 | 717,069 | |
5.705% 5/1/40 | 720,000 | 709,322 | |
5.805% 5/1/50 | 700,000 | 685,300 | |
5.93% 5/1/60 | 720,000 | 701,798 | |
4,548,419 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
3.375% 7/1/25 | 1,294,000 | 1,227,274 | |
3.875% 7/3/23 | 877,000 | 875,539 | |
4.25% 2/1/24 | 977,000 | 965,251 | |
3,068,064 | |||
Transportation Infrastructure - 0.2% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (b) | 380,000 | 367,553 | |
4.25% 4/15/26 (b) | 290,000 | 268,508 | |
4.375% 5/1/26 (b) | 880,000 | 812,675 | |
5.25% 5/15/24 (b) | 730,000 | 718,643 | |
6.375% 5/4/28 (b) | 1,704,000 | 1,664,395 | |
3,831,774 | |||
TOTAL INDUSTRIALS | 11,448,257 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.85% 7/15/25 | 263,000 | 266,451 | |
6.02% 6/15/26 | 258,000 | 264,077 | |
6.1% 7/15/27 | 483,000 | 502,566 | |
6.2% 7/15/30 | 418,000 | 435,105 | |
1,468,199 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 351,000 | 305,118 | |
2.45% 2/15/31 (b) | 3,421,000 | 2,762,323 | |
2.6% 2/15/33 (b) | 3,032,000 | 2,357,842 | |
3.5% 2/15/41 (b) | 2,410,000 | 1,783,677 | |
3.75% 2/15/51 (b) | 1,131,000 | 816,067 | |
8,025,027 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 1,241,000 | 1,133,442 | |
2.3% 3/25/28 | 1,961,000 | 1,735,014 | |
2.8% 4/1/27 | 1,423,000 | 1,313,945 | |
2.875% 3/25/31 | 2,460,000 | 2,091,496 | |
6,273,897 | |||
TOTAL INFORMATION TECHNOLOGY | 15,767,123 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (b) | 1,206,000 | 1,206,127 | |
REAL ESTATE - 1.7% | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 857,000 | 829,071 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 153,000 | 121,419 | |
3.625% 4/15/32 | 681,000 | 588,694 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 792,000 | 633,827 | |
4.5% 12/1/28 | 605,000 | 541,186 | |
6.75% 12/1/27 | 1,120,000 | 1,121,103 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 348,000 | 307,907 | |
2.75% 4/15/31 | 235,000 | 175,214 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 260,000 | 222,215 | |
3.5% 8/1/26 | 270,000 | 249,843 | |
Healthpeak Op LLC: | |||
3.25% 7/15/26 | 113,000 | 106,074 | |
3.5% 7/15/29 | 129,000 | 117,215 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 1,473,000 | 1,049,812 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 1,026,000 | 920,888 | |
Kite Realty Group Trust 4.75% 9/15/30 | 79,000 | 71,016 | |
LXP Industrial Trust (REIT) 2.7% 9/15/30 | 387,000 | 310,313 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 4,742,000 | 3,506,301 | |
3.375% 2/1/31 | 701,000 | 553,156 | |
3.625% 10/1/29 | 1,155,000 | 944,933 | |
4.375% 8/1/23 | 343,000 | 340,791 | |
4.75% 1/15/28 | 3,349,000 | 3,070,229 | |
4.95% 4/1/24 | 2,400,000 | 2,362,416 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 297,000 | 202,747 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 172,000 | 150,372 | |
2.85% 12/15/32 | 211,000 | 172,957 | |
3.25% 1/15/31 | 213,000 | 186,373 | |
3.4% 1/15/28 | 320,000 | 297,918 | |
Simon Property Group LP 2.45% 9/13/29 | 333,000 | 283,622 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 424,000 | 307,266 | |
4.625% 3/15/29 | 315,000 | 271,447 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 341,000 | 288,798 | |
2.7% 7/15/31 | 880,000 | 694,319 | |
Ventas Realty LP: | |||
3% 1/15/30 | 1,531,000 | 1,317,371 | |
3.5% 2/1/25 | 1,265,000 | 1,213,519 | |
4% 3/1/28 | 218,000 | 203,415 | |
4.75% 11/15/30 | 2,100,000 | 1,993,024 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 176,000 | 169,869 | |
4.75% 2/15/28 | 1,390,000 | 1,322,863 | |
4.95% 2/15/30 | 2,092,000 | 1,946,168 | |
5.125% 5/15/32 | 485,000 | 452,817 | |
Vornado Realty LP 2.15% 6/1/26 | 374,000 | 307,051 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 246,000 | 223,132 | |
4% 2/1/25 | 489,000 | 475,424 | |
4.6% 4/1/24 | 1,250,000 | 1,228,051 | |
31,852,146 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 421,000 | 310,595 | |
4.1% 10/1/24 | 995,000 | 930,155 | |
4.55% 10/1/29 | 260,000 | 181,430 | |
7.55% 3/15/28 | 1,521,000 | 1,295,102 | |
CBRE Group, Inc. 2.5% 4/1/31 | 1,070,000 | 866,279 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 897,000 | 644,583 | |
3.125% 9/1/26 | 2,775,000 | 2,463,565 | |
6,691,709 | |||
TOTAL REAL ESTATE | 38,543,855 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.8% | |||
Alabama Power Co. 3.05% 3/15/32 | 1,447,000 | 1,265,884 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 2,173,000 | 1,877,340 | |
3.743% 5/1/26 | 1,337,000 | 1,266,290 | |
Duke Energy Corp. 2.45% 6/1/30 | 565,000 | 473,744 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 276,000 | 221,049 | |
2.775% 1/7/32 (b) | 935,000 | 735,188 | |
Edison International 5.75% 6/15/27 | 2,985,000 | 3,009,196 | |
Entergy Corp. 2.8% 6/15/30 | 580,000 | 497,765 | |
Exelon Corp.: | |||
2.75% 3/15/27 | 320,000 | 295,657 | |
3.35% 3/15/32 | 389,000 | 339,164 | |
4.05% 4/15/30 | 7,865,000 | 7,376,593 | |
4.1% 3/15/52 | 288,000 | 227,598 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 172,000 | 166,337 | |
17,751,805 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp.: | |||
3.3% 7/15/25 (b) | 3,530,000 | 3,345,381 | |
3.95% 7/15/30 (b) | 2,288,000 | 2,043,741 | |
5,389,122 | |||
Multi-Utilities - 0.3% | |||
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 2,556,000 | 2,514,945 | |
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 165,000 | 150,439 | |
NiSource, Inc. 2.95% 9/1/29 | 1,708,000 | 1,504,744 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 683,000 | 629,283 | |
4.224% 3/15/32 | 1,329,000 | 1,209,168 | |
6,008,579 | |||
TOTAL UTILITIES | 29,149,506 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $593,793,355) | 545,145,511 | ||
U.S. Treasury Obligations - 35.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 8,834,000 | 5,741,065 | |
1.75% 8/15/41 | 11,769,000 | 8,301,283 | |
1.875% 11/15/51 | 34,881,000 | 22,950,608 | |
2% 11/15/41 | 11,400,000 | 8,377,219 | |
2% 8/15/51 | 74,158,000 | 50,436,131 | |
2.25% 2/15/52 | 24,090,000 | 17,374,913 | |
2.875% 5/15/52 | 20,540,000 | 17,008,083 | |
3% 2/15/47 | 24,645,000 | 20,817,323 | |
3.25% 5/15/42 | 9,100,000 | 8,173,293 | |
3.625% 2/15/53 | 14,662,000 | 14,082,393 | |
U.S. Treasury Notes: | |||
0.875% 9/30/26 | 421,700 | 381,326 | |
1.75% 1/31/29 | 29,322,000 | 26,306,187 | |
2.75% 4/30/27 | 700,000 | 670,441 | |
2.75% 8/15/32 | 51,025,000 | 47,447,270 | |
2.875% 4/30/29 | 5,411,700 | 5,155,913 | |
2.875% 5/15/32 | 31,215,400 | 29,365,644 | |
3.125% 8/31/29 | 29,510,000 | 28,481,761 | |
3.5% 1/31/30 | 25,000,000 | 24,658,203 | |
3.5% 4/30/30 | 20,000,000 | 19,746,875 | |
3.5% 2/15/33 | 92,000,000 | 90,907,500 | |
3.625% 3/31/28 | 9,900,000 | 9,824,203 | |
3.625% 5/31/28 | 85,000,000 | 84,515,235 | |
3.625% 3/31/30 | 20,000,000 | 19,896,875 | |
3.875% 1/15/26 | 100,000 | 99,301 | |
3.875% 9/30/29 | 25,000,000 | 25,164,063 | |
3.875% 11/30/29 | 29,650,000 | 29,867,742 | |
3.875% 12/31/29 | 100,000,000 | 100,777,340 | |
4% 2/15/26 | 1,500,000 | 1,495,078 | |
4% 2/29/28 | 13,900,000 | 14,022,168 | |
4% 2/28/30 | 40,000,000 | 40,639,062 | |
4.125% 11/15/32 | 15,000,000 | 15,555,469 | |
4.375% 10/31/24 | 1,400,000 | 1,391,031 | |
4.625% 2/28/25 | 1,500,000 | 1,500,879 | |
4.625% 3/15/26 | 3,130,000 | 3,174,505 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $869,018,291) | 794,306,382 | ||
U.S. Government Agency - Mortgage Securities - 20.4% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 5.4% | |||
12 month U.S. LIBOR + 1.360% 3.615% 10/1/35 (c)(d) | 2,941 | 2,967 | |
12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (c)(d) | 690 | 693 | |
12 month U.S. LIBOR + 1.460% 3.848% 1/1/35 (c)(d) | 5,061 | 5,089 | |
12 month U.S. LIBOR + 1.480% 3.796% 7/1/34 (c)(d) | 203 | 206 | |
12 month U.S. LIBOR + 1.550% 3.715% 5/1/44 (c)(d) | 692 | 705 | |
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 1,728 | 1,767 | |
12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (c)(d) | 5,510 | 5,554 | |
12 month U.S. LIBOR + 1.570% 4.157% 4/1/44 (c)(d) | 2,166 | 2,191 | |
12 month U.S. LIBOR + 1.580% 3.83% 1/1/44 (c)(d) | 1,130 | 1,143 | |
12 month U.S. LIBOR + 1.580% 4.08% 4/1/44 (c)(d) | 757 | 765 | |
12 month U.S. LIBOR + 1.620% 3.918% 5/1/35 (c)(d) | 1,393 | 1,415 | |
12 month U.S. LIBOR + 1.620% 3.95% 3/1/33 (c)(d) | 4,811 | 4,849 | |
12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (c)(d) | 379 | 385 | |
12 month U.S. LIBOR + 1.630% 4.127% 11/1/36 (c)(d) | 2,386 | 2,421 | |
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (c)(d) | 7,558 | 7,705 | |
12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (c)(d) | 224 | 229 | |
12 month U.S. LIBOR + 1.680% 3.982% 7/1/43 (c)(d) | 12,373 | 12,610 | |
12 month U.S. LIBOR + 1.700% 4.1% 6/1/42 (c)(d) | 9,220 | 9,441 | |
12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (c)(d) | 5,280 | 5,360 | |
12 month U.S. LIBOR + 1.730% 4.294% 5/1/36 (c)(d) | 2,688 | 2,750 | |
12 month U.S. LIBOR + 1.750% 4% 8/1/41 (c)(d) | 2,129 | 2,181 | |
12 month U.S. LIBOR + 1.750% 4.051% 7/1/35 (c)(d) | 3,929 | 3,972 | |
12 month U.S. LIBOR + 1.770% 3.995% 2/1/37 (c)(d) | 12,253 | 12,389 | |
12 month U.S. LIBOR + 1.800% 4.048% 12/1/40 (c)(d) | 42,710 | 43,617 | |
12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 3,744 | 3,842 | |
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (c)(d) | 26,713 | 27,116 | |
12 month U.S. LIBOR + 1.810% 4.05% 7/1/41 (c)(d) | 5,853 | 6,026 | |
12 month U.S. LIBOR + 1.810% 4.06% 12/1/39 (c)(d) | 1,192 | 1,209 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 2,997 | 3,068 | |
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (c)(d) | 15,866 | 16,105 | |
12 month U.S. LIBOR + 1.820% 4.294% 2/1/35 (c)(d) | 1,919 | 1,938 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 2,485 | 2,448 | |
12 month U.S. LIBOR + 1.850% 4.429% 4/1/36 (c)(d) | 9,567 | 9,686 | |
12 month U.S. LIBOR + 1.890% 4.392% 8/1/35 (c)(d) | 8,382 | 8,542 | |
12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(d) | 2,182 | 2,249 | |
6 month U.S. LIBOR + 1.500% 3.727% 1/1/35 (c)(d) | 1,555 | 1,563 | |
6 month U.S. LIBOR + 1.510% 5.523% 2/1/33 (c)(d) | 189 | 192 | |
6 month U.S. LIBOR + 1.530% 3.785% 12/1/34 (c)(d) | 453 | 454 | |
6 month U.S. LIBOR + 1.550% 5.926% 9/1/33 (c)(d) | 12,810 | 12,975 | |
6 month U.S. LIBOR + 1.960% 4.434% 9/1/35 (c)(d) | 305 | 309 | |
U.S. TREASURY 1 YEAR INDEX + 2.180% 4.139% 7/1/36 (c)(d) | 1,264 | 1,282 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(d) | 599 | 607 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (c)(d) | 1,004 | 1,028 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.405% 10/1/33 (c)(d) | 1,077 | 1,102 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.431% 7/1/34 (c)(d) | 1,501 | 1,539 | |
1.5% 11/1/35 to 6/1/51 | 9,503,462 | 7,706,975 | |
2% 2/1/28 to 3/1/52 | 34,026,246 | 29,111,946 | |
2.5% 1/1/28 to 2/1/52 (e)(f) | 39,579,401 | 34,489,990 | |
3% 8/1/32 to 2/1/52 (e) | 20,321,776 | 18,327,244 | |
3.5% 5/1/36 to 3/1/52 | 6,916,753 | 6,417,128 | |
4% 3/1/36 to 9/1/52 | 8,014,464 | 7,658,142 | |
4.5% to 4.5% 6/1/24 to 11/1/52 | 6,070,464 | 5,922,467 | |
5% 7/1/33 to 12/1/52 | 3,213,903 | 3,203,601 | |
5.274% 8/1/41 (c) | 30,328 | 30,589 | |
5.5% 12/1/23 to 4/1/53 | 6,623,101 | 6,625,726 | |
5.5% 5/1/53 | 773,828 | 777,455 | |
6% to 6% 9/1/29 to 12/1/52 | 1,560,345 | 1,586,121 | |
6.5% 12/1/23 to 8/1/36 | 219,586 | 228,230 | |
6.682% 2/1/39 (c) | 15,338 | 15,692 | |
7% to 7% 3/1/24 to 6/1/32 | 5,816 | 6,020 | |
7.5% 3/1/26 to 11/1/31 | 4,823 | 4,973 | |
TOTAL FANNIE MAE | 122,345,983 | ||
Freddie Mac - 3.7% | |||
12 month U.S. LIBOR + 1.320% 3.575% 1/1/36 (c)(d) | 3,048 | 3,030 | |
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (c)(d) | 2,717 | 2,716 | |
12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (c)(d) | 1,589 | 1,592 | |
12 month U.S. LIBOR + 1.660% 4.04% 7/1/36 (c)(d) | 10,163 | 10,179 | |
12 month U.S. LIBOR + 1.750% 4% 12/1/40 (c)(d) | 16,725 | 16,883 | |
12 month U.S. LIBOR + 1.750% 4% 7/1/41 (c)(d) | 4,213 | 4,303 | |
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (c)(d) | 53,378 | 54,231 | |
12 month U.S. LIBOR + 1.860% 5.239% 4/1/36 (c)(d) | 1,076 | 1,097 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 4,579 | 4,656 | |
12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (c)(d) | 35,429 | 36,021 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (c)(d) | 1,159 | 1,184 | |
12 month U.S. LIBOR + 1.900% 4.179% 10/1/42 (c)(d) | 21,143 | 21,486 | |
12 month U.S. LIBOR + 1.910% 3.95% 6/1/41 (c)(d) | 9,620 | 9,875 | |
12 month U.S. LIBOR + 1.910% 4.055% 5/1/41 (c)(d) | 9,524 | 9,769 | |
12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 2,999 | 3,080 | |
12 month U.S. LIBOR + 1.910% 4.563% 5/1/41 (c)(d) | 9,303 | 9,496 | |
12 month U.S. LIBOR + 2.020% 4.93% 4/1/38 (c)(d) | 935 | 951 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 39 | 39 | |
12 month U.S. LIBOR + 2.040% 4.256% 7/1/36 (c)(d) | 7,696 | 7,893 | |
12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (c)(d) | 1,835 | 1,871 | |
6 month U.S. LIBOR + 1.660% 4.165% 1/1/37 (c)(d) | 2,459 | 2,460 | |
6 month U.S. LIBOR + 1.660% 5.54% 7/1/35 (c)(d) | 1,789 | 1,814 | |
6 month U.S. LIBOR + 1.880% 4.369% 10/1/36 (c)(d) | 17,981 | 18,069 | |
6 month U.S. LIBOR + 1.990% 4.435% 10/1/35 (c)(d) | 9,111 | 9,178 | |
6 month U.S. LIBOR + 2.010% 6.76% 5/1/37 (c)(d) | 1,684 | 1,729 | |
6 month U.S. LIBOR + 2.020% 5.51% 6/1/37 (c)(d) | 3,713 | 3,807 | |
6 month U.S. LIBOR + 2.680% 6.988% 10/1/35 (c)(d) | 1,580 | 1,625 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 3.907% 6/1/33 (c)(d) | 13,424 | 13,585 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.066% 4/1/34 (c)(d) | 4,161 | 4,239 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 3.809% 6/1/33 (c)(d) | 3,904 | 3,968 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 4.39% 3/1/35 (c)(d) | 6,598 | 6,740 | |
U.S. TREASURY 1 YEAR INDEX + 2.540% 4.046% 7/1/35 (c)(d) | 11,743 | 12,094 | |
1.5% 8/1/35 to 4/1/51 | 12,374,812 | 9,985,831 | |
2% 12/1/35 to 6/1/52 (f) | 22,315,987 | 18,900,218 | |
2.5% 1/1/28 to 3/1/52 | 14,791,976 | 13,023,742 | |
3% 6/1/31 to 3/1/52 | 6,429,776 | 5,804,727 | |
3.5% 3/1/32 to 4/1/52 | 5,843,440 | 5,483,039 | |
4% 1/1/36 to 2/1/53 (f) | 7,231,769 | 6,930,798 | |
4% 4/1/48 | 1,145 | 1,100 | |
4.5% 7/1/25 to 10/1/52 | 6,111,651 | 5,937,846 | |
5% 8/1/33 to 1/1/53 (f) | 10,608,639 | 10,490,978 | |
5.5% 10/1/52 to 4/1/53 | 6,263,537 | 6,292,888 | |
5.5% 5/1/53 | 700,971 | 704,257 | |
6% 1/1/24 to 12/1/37 | 28,448 | 29,255 | |
6.5% 1/1/32 to 1/1/53 | 521,404 | 536,012 | |
7% 8/1/26 to 9/1/36 | 11,286 | 11,825 | |
7.5% 1/1/27 | 17 | 18 | |
8% 7/1/24 to 8/1/30 | 173 | 183 | |
8.5% 8/1/27 | 107 | 111 | |
TOTAL FREDDIE MAC | 84,412,488 | ||
Ginnie Mae - 4.4% | |||
3.5% 11/20/41 to 12/20/49 | 1,063,584 | 1,004,972 | |
4% 8/15/39 to 5/20/49 | 2,053,026 | 1,990,292 | |
4.5% 6/20/33 to 6/20/41 | 690,924 | 686,339 | |
5.5% 10/15/35 to 9/15/39 | 20,624 | 21,249 | |
7% to 7% 4/15/28 to 8/15/32 | 5,294 | 5,506 | |
7.5% to 7.5% 10/15/23 to 1/15/31 | 1,340 | 1,378 | |
8% 12/15/23 to 7/15/27 | 120 | 122 | |
8.5% 8/15/29 to 7/15/30 | 50 | 52 | |
2% 11/20/50 to 4/20/51 | 8,163,822 | 6,942,948 | |
2% 6/1/53 (g) | 6,100,000 | 5,172,604 | |
2% 6/1/53 (g) | 6,800,000 | 5,766,181 | |
2% 6/1/53 (g) | 2,400,000 | 2,035,123 | |
2% 6/1/53 (g) | 700,000 | 593,577 | |
2% 6/1/53 (g) | 1,600,000 | 1,356,748 | |
2% 6/1/53 (g) | 2,200,000 | 1,865,529 | |
2% 7/1/53 (g) | 5,300,000 | 4,498,784 | |
2% 7/1/53 (g) | 7,050,000 | 5,984,231 | |
2% 7/1/53 (g) | 1,750,000 | 1,485,447 | |
2.5% 7/20/51 to 12/20/51 | 1,697,116 | 1,484,009 | |
2.5% 6/1/53 (g) | 5,050,000 | 4,410,125 | |
2.5% 6/1/53 (g) | 4,850,000 | 4,235,466 | |
2.5% 6/1/53 (g) | 1,550,000 | 1,353,603 | |
2.5% 6/1/53 (g) | 2,700,000 | 2,357,888 | |
2.5% 6/1/53 (g) | 1,450,000 | 1,266,273 | |
2.5% 6/1/53 (g) | 1,800,000 | 1,571,926 | |
2.5% 7/1/53 (g) | 5,300,000 | 4,632,588 | |
3% 5/15/42 to 2/20/50 | 437,011 | 398,764 | |
3% 6/1/53 (g) | 2,850,000 | 2,562,950 | |
3% 6/1/53 (g) | 4,300,000 | 3,866,907 | |
3% 6/1/53 (g) | 1,500,000 | 1,348,921 | |
3% 6/1/53 (g) | 275,000 | 247,302 | |
3% 6/1/53 (g) | 100,000 | 89,928 | |
3% 6/1/53 (g) | 1,375,000 | 1,236,511 | |
3% 6/1/53 (g) | 850,000 | 764,389 | |
3% 7/1/53 (g) | 4,350,000 | 3,914,930 | |
3.5% 6/1/53 (g) | 6,200,000 | 5,745,939 | |
3.5% 6/1/53 (g) | 4,350,000 | 4,031,425 | |
3.5% 7/1/53 (g) | 5,150,000 | 4,776,257 | |
4% 6/1/53 (g) | 500,000 | 475,128 | |
4% 6/1/53 (g) | 3,500,000 | 3,325,895 | |
4.5% 6/1/53 (g) | 2,000,000 | 1,942,242 | |
5% 9/20/33 to 4/20/48 | 383,857 | 387,539 | |
5% 6/1/53 (g) | 1,500,000 | 1,479,834 | |
5.47% 8/20/59 (c)(h) | 167 | 158 | |
5.5% 6/1/53 (g) | 750,000 | 749,174 | |
5.5% 6/1/53 (g) | 350,000 | 349,615 | |
5.5% 6/1/53 (g) | 1,100,000 | 1,098,789 | |
6% 11/20/31 to 5/15/40 | 223,889 | 232,031 | |
6.5% 3/20/31 to 9/15/34 | 709 | 738 | |
TOTAL GINNIE MAE | 99,748,326 | ||
Uniform Mortgage Backed Securities - 6.9% | |||
1.5% 6/1/38 (g) | 1,000,000 | 873,867 | |
1.5% 6/1/38 (g) | 700,000 | 611,707 | |
1.5% 6/1/38 (g) | 900,000 | 786,480 | |
1.5% 6/1/53 (g) | 2,600,000 | 2,027,334 | |
2% 6/1/38 (g) | 2,800,000 | 2,507,170 | |
2% 6/1/38 (g) | 1,250,000 | 1,119,273 | |
2% 6/1/38 (g) | 1,275,000 | 1,141,658 | |
2% 6/1/53 (g) | 300,000 | 246,668 | |
2% 6/1/53 (g) | 7,100,000 | 5,837,809 | |
2% 6/1/53 (g) | 6,700,000 | 5,508,918 | |
2% 6/1/53 (g) | 3,450,000 | 2,836,682 | |
2% 6/1/53 (g) | 1,700,000 | 1,397,785 | |
2% 6/1/53 (g) | 7,200,000 | 5,920,032 | |
2% 6/1/53 (g) | 2,600,000 | 2,137,789 | |
2% 6/1/53 (g) | 3,600,000 | 2,960,016 | |
2% 6/1/53 (g) | 5,500,000 | 4,522,246 | |
2% 6/1/53 (g) | 3,300,000 | 2,713,348 | |
2% 6/1/53 (g) | 2,600,000 | 2,137,789 | |
2% 6/1/53 (g) | 1,900,000 | 1,562,231 | |
2% 6/1/53 (g) | 2,200,000 | 1,808,899 | |
2% 7/1/53 (g) | 5,450,000 | 4,487,734 | |
2% 7/1/53 (g) | 5,350,000 | 4,405,391 | |
2% 7/1/53 (g) | 5,350,000 | 4,405,391 | |
2.5% 6/1/38 (g) | 400,000 | 367,750 | |
2.5% 6/1/53 (g) | 700,000 | 597,871 | |
2.5% 6/1/53 (g) | 9,000,000 | 7,686,914 | |
2.5% 6/1/53 (g) | 3,750,000 | 3,202,881 | |
2.5% 6/1/53 (g) | 3,800,000 | 3,245,586 | |
2.5% 6/1/53 (g) | 1,250,000 | 1,067,627 | |
2.5% 6/1/53 (g) | 2,700,000 | 2,306,074 | |
2.5% 6/1/53 (g) | 1,900,000 | 1,622,793 | |
2.5% 6/1/53 (g) | 1,000,000 | 854,102 | |
2.5% 7/1/53 (g) | 8,050,000 | 6,871,115 | |
3% 6/1/38 (g) | 4,200,000 | 3,962,766 | |
3% 6/1/53 (g) | 7,700,000 | 6,822,320 | |
3% 6/1/53 (g) | 5,350,000 | 4,740,183 | |
3% 6/1/53 (g) | 1,950,000 | 1,727,730 | |
3.5% 6/1/53 (g) | 7,600,000 | 6,972,406 | |
3.5% 6/1/53 (g) | 2,700,000 | 2,477,039 | |
4% 6/1/53 (g) | 5,150,000 | 4,865,141 | |
4% 6/1/53 (g) | 3,200,000 | 3,023,000 | |
4% 6/1/53 (g) | 2,300,000 | 2,172,781 | |
4.5% 6/1/53 (g) | 1,800,000 | 1,741,641 | |
4.5% 6/1/53 (g) | 3,500,000 | 3,386,523 | |
5% 6/1/38 (g) | 400,000 | 398,984 | |
5% 6/1/38 (g) | 400,000 | 398,984 | |
5% 6/1/38 (g) | 875,000 | 872,778 | |
5% 6/1/38 (g) | 1,700,000 | 1,695,684 | |
5% 6/1/38 (g) | 2,150,000 | 2,144,541 | |
5% 6/1/38 (g) | 1,300,000 | 1,296,699 | |
5% 6/1/38 (g) | 675,000 | 673,286 | |
5% 6/1/38 (g) | 600,000 | 598,477 | |
5% 6/1/38 (g) | 1,000,000 | 997,461 | |
5% 6/1/53 (g) | 3,800,000 | 3,742,555 | |
5% 6/1/53 (g) | 600,000 | 590,930 | |
5.5% 6/1/53 (g) | 2,850,000 | 2,848,107 | |
5.5% 6/1/53 (g) | 650,000 | 649,568 | |
5.5% 6/1/53 (g) | 850,000 | 849,436 | |
5.5% 6/1/53 (g) | 550,000 | 549,635 | |
5.5% 6/1/53 (g) | 2,200,000 | 2,198,539 | |
5.5% 6/1/53 (g) | 1,400,000 | 1,399,070 | |
5.5% 7/1/53 (g) | 2,450,000 | 2,448,086 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 156,023,280 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $472,232,633) | 462,530,077 | ||
Asset-Backed Securities - 5.0% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b)(i) | 318,936 | 202,540 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 349,315 | 251,516 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 917,180 | 724,042 | |
Class B, 4.458% 10/16/39 (b) | 220,258 | 77,549 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 1,123,829 | 1,012,626 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 2,113,259 | 1,807,893 | |
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | 1,465,557 | 1,425,255 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 1/15/32 (b)(c)(d) | 365,000 | 359,968 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 6.3903% 10/17/34 (b)(c)(d) | 869,000 | 849,467 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 6.2404% 4/20/34 (b)(c)(d) | 2,222,000 | 2,163,821 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.5485% 7/20/35 (b)(c)(d) | 1,188,000 | 1,168,178 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 6.3904% 7/20/34 (b)(c)(d) | 992,000 | 964,615 | |
American Money Management Corp. Series 2012-11A Class A1R2, 3 month U.S. LIBOR + 1.010% 6.3091% 4/30/31 (b)(c)(d) | 1,700,000 | 1,676,849 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 319,997 | 268,898 | |
Class B, 4.335% 1/16/40 (b) | 138,939 | 69,684 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 6.5803% 10/15/32 (b)(c)(d) | 1,101,000 | 1,087,081 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 6.2851% 4/25/34 (b)(c)(d) | 657,000 | 640,342 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3903% 7/15/34 (b)(c)(d) | 1,286,000 | 1,259,970 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.3163% 1/15/35 (b)(c)(d) | 1,808,000 | 1,755,304 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 6.3303% 4/15/34 (b)(c)(d) | 1,398,000 | 1,363,390 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 6.5103% 4/17/33 (b)(c)(d) | 460,000 | 452,671 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/36 (b)(c)(d) | 860,000 | 838,182 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 6.2751% 4/25/34 (b)(c)(d) | 1,437,000 | 1,402,592 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 6.4704% 1/20/32 (b)(c)(d) | 1,680,000 | 1,658,632 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.2863% 1/17/35 (b)(c)(d) | 1,857,000 | 1,818,668 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3903% 1/15/35 (b)(c)(d) | 1,299,000 | 1,266,552 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 1,888,187 | 1,656,016 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 6.2503% 4/15/29 (b)(c)(d) | 1,280,593 | 1,266,172 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 714,423 | 634,915 | |
Class B, 5.095% 4/15/39 (b) | 488,890 | 353,824 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 266,506 | 240,716 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 305,461 | 280,260 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 6.3504% 10/20/32 (b)(c)(d) | 1,037,000 | 1,017,483 | |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.3685% 4/20/35 (b)(c)(d) | 1,721,000 | 1,675,412 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 838,000 | 817,316 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 6.3004% 4/20/34 (b)(c)(d) | 1,199,000 | 1,162,065 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 6.4204% 10/20/34 (b)(c)(d) | 1,364,000 | 1,320,371 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 823,809 | 788,562 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 6.4504% 4/20/34 (b)(c)(d) | 1,620,000 | 1,573,509 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 6.7706% 7/24/34 (b)(c)(d) | 1,758,000 | 1,730,813 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 6.5604% 1/20/34 (b)(c)(d) | 2,220,000 | 2,177,618 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 452,905 | 419,033 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.3485% 4/20/35 (b)(c)(d) | 969,000 | 939,923 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 875,000 | 855,784 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 6.4817% 1/18/32 (b)(c)(d) | 1,259,000 | 1,242,746 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 6.4403% 4/17/33 (b)(c)(d) | 900,000 | 884,597 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/35 (b)(c)(d) | 1,156,000 | 1,127,107 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 6.5091% 2/20/35 (b)(c)(d) | 707,000 | 688,945 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 4/15/31 (b)(c)(d) | 610,000 | 600,629 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 1/15/35 (b)(c)(d) | 1,578,000 | 1,544,542 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 6.5103% 1/15/34 (b)(c)(d) | 350,000 | 343,852 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 6.375% 7/19/34 (b)(c)(d) | 902,000 | 883,499 | |
Class AR, 3 month U.S. LIBOR + 1.080% 6.3983% 11/16/34 (b)(c)(d) | 1,250,000 | 1,226,868 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 6.6791% 11/20/33 (b)(c)(d) | 1,956,000 | 1,929,042 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 400,000 | 397,871 | |
Gm Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 509,000 | 507,962 | |
GM Financial Consumer Automobile Receivables Trust Series 2022-4 Class A3, 4.82% 8/16/27 | 1,000,000 | 994,333 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 834,000 | 835,112 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 370,109 | 319,218 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 1,587,356 | 1,357,183 | |
Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (b) | 1,100,000 | 1,099,682 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 6.4027% 10/22/34 (b)(c)(d) | 960,000 | 937,777 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.3163% 4/15/35 (b)(c)(d) | 2,253,000 | 2,182,362 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 6.4703% 1/15/33 (b)(c)(d) | 820,000 | 809,780 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 6.1927% 1/22/28 (b)(c)(d) | 774,047 | 767,329 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.4295% 4/19/34 (b)(c)(d) | 1,690,000 | 1,662,821 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 6.3727% 1/22/35 (b)(c)(d) | 1,540,000 | 1,498,622 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 6.3803% 7/15/34 (b)(c)(d) | 1,325,000 | 1,301,112 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 6.4727% 1/22/31 (b)(c)(d) | 364,000 | 356,281 | |
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 0% 4/22/36 (b)(c)(d)(g) | 881,000 | 880,549 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 6.3904% 10/20/34 (b)(c)(d) | 305,000 | 298,219 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 1,565,000 | 1,529,381 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 6.2704% 4/20/34 (b)(c)(d) | 1,158,000 | 1,130,985 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 6.3851% 1/25/35 (b)(c)(d) | 1,132,000 | 1,104,534 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 6.2503% 1/15/34 (b)(c)(d) | 1,480,000 | 1,456,054 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 6.3204% 10/20/30 (b)(c)(d) | 1,335,784 | 1,320,791 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3804% 10/20/34 (b)(c)(d) | 1,254,000 | 1,228,991 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 1,908,090 | 1,831,328 | |
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 936,540 | 801,071 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 1,111,770 | 997,940 | |
Class A2II, 4.008% 12/5/51 (b) | 993,960 | 822,745 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 822,238 | 690,688 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 6.3704% 4/20/34 (b)(c)(d) | 1,717,000 | 1,684,689 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.3263% 1/15/37 (b)(c)(d) | 1,862,000 | 1,819,161 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 923,035 | 776,835 | |
Class B, 4.335% 3/15/40 (b)(i) | 233,783 | 164,234 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 1,211,000 | 1,149,708 | |
1.884% 7/15/50 (b) | 498,000 | 449,757 | |
2.328% 7/15/52 (b) | 381,000 | 328,898 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 6.7985% 7/20/30 (b)(c)(d) | 263,549 | 262,500 | |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.3906% 4/23/35 (b)(c)(d) | 1,936,000 | 1,891,865 | |
Symphony CLO Ltd. Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 6.5517% 4/18/33 (b)(c)(d) | 3,000,000 | 2,961,816 | |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 6.2203% 4/16/31 (b)(c)(d) | 777,000 | 765,852 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 6.245% 4/19/34 (b)(c)(d) | 1,453,000 | 1,415,139 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 6.3304% 4/20/33 (b)(c)(d) | 1,903,000 | 1,866,518 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 680,908 | 582,190 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 1,300,405 | 1,085,864 | |
Toyota Lease Owner Trust Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (b) | 814,000 | 809,052 | |
Class A3, 4.93% 4/20/26 (b) | 891,000 | 887,389 | |
Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME Term SOFR 3 Month Index + 2.400% 7.4485% 10/20/34 (b)(c)(d) | 1,578,000 | 1,581,102 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 600,000 | 570,410 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 500,000 | 498,222 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 6.5204% 7/20/32 (b)(c)(d) | 1,290,000 | 1,274,191 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 6.425% 7/19/34 (b)(c)(d) | 851,000 | 832,599 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 1,736,000 | 1,696,881 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 7/16/34 (b)(c)(d) | 860,000 | 841,608 | |
World Omni Auto Receivables Trust Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 514,000 | 511,471 | |
Class A3, 4.66% 5/15/28 | 944,000 | 939,852 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 980,000 | 979,662 | |
TOTAL ASSET-BACKED SECURITIES (Cost $118,186,107) | 113,696,090 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.2% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 341,943 | 326,485 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 357,923 | 344,934 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 626,026 | 590,670 | |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | 1,106,736 | 1,059,424 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 429,837 | 391,496 | |
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 436,353 | 402,496 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 246,137 | 218,611 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 355,818 | 308,236 | |
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 715,183 | 660,449 | |
TOTAL PRIVATE SPONSOR | 4,302,801 | ||
U.S. Government Agency - 1.0% | |||
Fannie Mae: | |||
floater: | |||
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.08% 4/25/24 (c)(d) | 1,492 | 1,484 | |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 6.118% 8/25/31 (c)(d) | 2,370 | 2,384 | |
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 5.938% 2/25/32 (c)(d) | 269 | 269 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 6.1113% 3/18/32 (c)(d) | 501 | 503 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 6.138% 4/25/32 (c)(d) | 1,078 | 1,084 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 6.138% 10/25/32 (c)(d) | 693 | 697 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 5.888% 1/25/32 (c)(d) | 257 | 257 | |
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 5.588% 11/25/32 (c)(d) | 12,499 | 12,479 | |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 6.138% 11/25/32 (c)(d) | 1,056 | 1,062 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 2.962% 12/25/33 (c)(j)(k) | 9,760 | 1,488 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 1.542% 11/25/36 (c)(j)(k) | 7,051 | 686 | |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 6.068% 6/25/36 (c)(d) | 203,951 | 205,025 | |
planned amortization class: | |||
Series 1993-207 Class H, 6.5% 11/25/23 | 206 | 205 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 124 | 123 | |
Series 1999-17 Class PG, 6% 4/25/29 | 2,752 | 2,774 | |
Series 1999-32 Class PL, 6% 7/25/29 | 3,291 | 3,323 | |
Series 1999-33 Class PK, 6% 7/25/29 | 2,425 | 2,449 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 436 | 450 | |
Series 2003-70 Class BJ, 5% 7/25/33 | 15,859 | 15,799 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 13,366 | 13,293 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 223,933 | 226,720 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 5,667 | 5,786 | |
Series 2006-12 Class BO 10/25/35 (l) | 7,513 | 6,472 | |
Series 2006-15 Class OP 3/25/36 (l) | 9,635 | 8,132 | |
Series 2006-45 Class OP 6/25/36 (l) | 2,996 | 2,388 | |
Series 2006-62 Class KP 4/25/36 (l) | 4,592 | 3,765 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 163,741 | 161,482 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 55,987 | 50,806 | |
Class GA, 1.75% 6/25/42 | 60,909 | 54,806 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 509 | 517 | |
Series 1999-25 Class Z, 6% 6/25/29 | 2,643 | 2,649 | |
Series 2001-20 Class Z, 6% 5/25/31 | 3,067 | 3,107 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 1,463 | 1,481 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 1,206 | 1,247 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 2.412% 11/25/32 (c)(j)(k) | 2,605 | 76 | |
Series 2003-117 Class MD, 5% 12/25/23 | 1,301 | 1,295 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 77,841 | 78,515 | |
Series 2004-91 Class Z, 5% 12/25/34 | 173,903 | 173,264 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 18,831 | 18,603 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 53,652 | 53,467 | |
Series 2006-72 Class CY, 6% 8/25/26 | 17,655 | 17,696 | |
Series 2009-59 Class HB, 5% 8/25/39 | 94,626 | 94,903 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (j) | 3,091 | 85 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 433,517 | 371,063 | |
Series 2022-1 Class KA, 3% 5/25/48 | 210,097 | 191,288 | |
Series 2022-13 Class MA, 3% 5/25/44 | 3,920,795 | 3,676,103 | |
Series 2022-3 Class N, 2% 10/25/47 | 2,499,995 | 2,164,251 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 547,918 | 528,806 | |
Series 2022-49 Class TC, 4% 12/25/48 | 174,441 | 169,544 | |
Series 2022-7 Class A, 3% 5/25/48 | 298,921 | 272,195 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 1.502% 12/25/36 (c)(j)(k) | 4,752 | 491 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 1.302% 5/25/37 (c)(j)(k) | 2,542 | 306 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 5.2667% 9/25/23 (c)(k) | 7 | 7 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 2.962% 3/25/33 (c)(j)(k) | 632 | 77 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 38,839 | 39,421 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 22,305 | 22,699 | |
Series 2007-66 Class SA, 39.600% - 1 month U.S. LIBOR 8.772% 7/25/37 (c)(k) | 3,192 | 4,066 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 1.212% 3/25/38 (c)(j)(k) | 16,341 | 1,665 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 0.912% 12/25/40 (c)(j)(k) | 16,522 | 1,115 | |
Class ZA, 4.5% 12/25/40 | 7,946 | 8,119 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (j) | 26,249 | 412 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | �� | 77,692 | 78,010 |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 6.058% 3/25/36 (c)(d) | 140,006 | 140,701 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 173,475 | 174,665 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 11,285 | 11,556 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 24,065 | 23,636 | |
Series 2011-67 Class AI, 4% 7/25/26 (j) | 8,909 | 216 | |
Series 2011-83 Class DI, 6% 9/25/26 (j) | 4 | 0 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 32,316 | 1,306 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 1.512% 12/25/30 (c)(j)(k) | 2,249 | 6 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 1.412% 6/25/41 (c)(j)(k) | 3,176 | 26 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 11,076 | 290 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 0.912% 1/25/44 (c)(j)(k) | 10,810 | 1,196 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 1.582% 6/25/35 (c)(j)(k) | 13,446 | 1,085 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 68,588 | 11,725 | |
Series 2015-70 Class JC, 3% 10/25/45 | 77,179 | 72,696 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 38,189 | 6,609 | |
Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 1.062% 10/25/47 (c)(j)(k) | 314,254 | 38,408 | |
Series 2018-45 Class GI, 4% 6/25/48 (j) | 433,706 | 84,624 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (j) | 2,445 | 391 | |
Series 343 Class 16, 5.5% 5/25/34 (j) | 2,291 | 371 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(j) | 1,576 | 306 | |
Series 351 Class 13, 6% 3/25/34 (j) | 1,419 | 257 | |
Series 384 Class 6, 5% 7/25/37 (j) | 9,624 | 1,630 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 5.9074% 1/15/32 (c)(d) | 200 | 200 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 6.0074% 3/15/32 (c)(d) | 307 | 308 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 6.1074% 3/15/32 (c)(d) | 263 | 265 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 6.0074% 6/15/31 (c)(d) | 486 | 487 | |
Class FG, 1 month U.S. LIBOR + 0.900% 6.0074% 3/15/32 (c)(d) | 166 | 166 | |
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 5.5074% 11/15/32 (c)(d) | 3,382 | 3,360 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 6.0074% 2/15/33 (c)(d) | 52,464 | 52,581 | |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 5.5074% 3/15/34 (c)(d) | 78,312 | 77,402 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 5.3574% 5/15/37 (c)(d) | 12,517 | 12,333 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 3,507 | 3,547 | |
Series 2101 Class PD, 6% 11/15/28 | 1,682 | 1,700 | |
Series 2121 Class MG, 6% 2/15/29 | 1,395 | 1,411 | |
Series 2131 Class BG, 6% 3/15/29 | 9,801 | 9,916 | |
Series 2137 Class PG, 6% 3/15/29 | 1,513 | 1,531 | |
Series 2154 Class PT, 6% 5/15/29 | 2,626 | 2,657 | |
Series 2162 Class PH, 6% 6/15/29 | 512 | 516 | |
Series 2520 Class BE, 6% 11/15/32 | 4,885 | 5,023 | |
Series 2693 Class MD, 5.5% 10/15/33 | 10,596 | 10,708 | |
Series 2802 Class OB, 6% 5/15/34 | 9,849 | 9,988 | |
Series 2996 Class MK, 5.5% 6/15/35 | 3,005 | 3,040 | |
Series 3002 Class NE, 5% 7/15/35 | 11,001 | 11,009 | |
Series 3110 Class OP 9/15/35 (l) | 2,735 | 2,520 | |
Series 3119 Class PO 2/15/36 (l) | 11,457 | 9,202 | |
Series 3123 Class LO 3/15/36 (l) | 6,401 | 5,187 | |
Series 3189 Class PD, 6% 7/15/36 | 10,075 | 10,443 | |
Series 3258 Class PM, 5.5% 12/15/36 | 4,088 | 4,190 | |
Series 3415 Class PC, 5% 12/15/37 | 35,358 | 35,086 | |
Series 3806 Class UP, 4.5% 2/15/41 | 21,777 | 21,703 | |
Series 3832 Class PE, 5% 3/15/41 | 43,879 | 43,908 | |
Series 3857 Class ZP, 5% 5/15/41 | 310,241 | 314,560 | |
Series 4135 Class AB, 1.75% 6/15/42 | 45,066 | 40,791 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 2,577 | 2,606 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 1,989 | 1,983 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 135,674 | 117,695 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 151,840 | 134,353 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 115,335 | 102,061 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 492,832 | 442,070 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 123,125 | 108,646 | |
Series 2135 Class JE, 6% 3/15/29 | 698 | 707 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 9,577 | 9,714 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 993 | 1,004 | |
Series 2281 Class ZB, 6% 3/15/30 | 1,873 | 1,894 | |
Series 2303 Class ZV, 6% 4/15/31 | 5,981 | 6,062 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 16,124 | 16,550 | |
Series 2502 Class ZC, 6% 9/15/32 | 1,949 | 2,004 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 2,861 | 2,911 | |
Series 2877 Class ZD, 5% 10/15/34 | 211,607 | 211,048 | |
Series 2998 Class LY, 5.5% 7/15/25 | 2,459 | 2,450 | |
Series 3007 Class EW, 5.5% 7/15/25 | 5,960 | 5,937 | |
Series 3871 Class KB, 5.5% 6/15/41 | 57,824 | 60,041 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 1.4926% 2/15/36 (c)(j)(k) | 3,380 | 311 | |
Series 2013-4281 Class AI, 4% 12/15/28 (j) | 6,878 | 111 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 98,211 | 92,368 | |
Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 1.0926% 8/15/47 (c)(j)(k) | 159,356 | 19,132 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 699,959 | 650,607 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 51,067 | 52,847 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 40,120 | 41,138 | |
Series 2947 Class XZ, 6% 3/15/35 | 20,031 | 20,680 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 33,967 | 34,769 | |
Series 3237 Class C, 5.5% 11/15/36 | 46,251 | 46,565 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 1.5526% 11/15/36 (c)(j)(k) | 14,458 | 1,405 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 1.6426% 3/15/37 (c)(j)(k) | 21,927 | 2,313 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 1.6526% 4/15/37 (c)(j)(k) | 30,613 | 3,776 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 1.4726% 6/15/37 (c)(j)(k) | 9,460 | 1,111 | |
Series 3843 Class PZ, 5% 4/15/41 | 270,417 | 272,407 | |
Series 3949 Class MK, 4.5% 10/15/34 | 8,092 | 8,001 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 10,797 | 245 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 3,017 | 85 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 35,897 | 2,079 | |
Series 4471 Class PA 4% 12/15/40 | 38,196 | 37,199 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 1,075 | 1,077 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 5.8477% 2/15/24 (c)(d) | 44 | 44 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 1,112 | 1,122 | |
Series 2056 Class Z, 6% 5/15/28 | 2,782 | 2,813 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series 4341 Class ML, 3.5% 11/15/31 | 202,550 | 195,221 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 100,526 | 98,749 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 1.5846% 6/16/37 (c)(j)(k) | 6,136 | 660 | |
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 5.6484% 7/20/37 (c)(d) | 44,729 | 44,221 | |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 5.6284% 1/20/38 (c)(d) | 11,499 | 11,356 | |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 6.0084% 8/20/38 (c)(d) | 63,190 | 63,367 | |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 6.0484% 9/20/38 (c)(d) | 46,339 | 46,537 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 5.7054% 11/16/39 (c)(d) | 57,633 | 57,124 | |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 5.6354% 12/16/39 (c)(d) | 35,504 | 35,082 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 5.5677% 3/20/60 (c)(d)(h) | 61,957 | 61,636 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 5.3477% 7/20/60 (c)(d)(h) | 497,613 | 492,917 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 5.1577% 9/20/60 (c)(d)(h) | 560,480 | 555,257 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 5.1577% 8/20/60 (c)(d)(h) | 435,028 | 430,852 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 5.2377% 12/20/60 (c)(d)(h) | 237,528 | 235,579 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 12/20/60 (c)(d)(h) | 218,709 | 217,429 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 2/20/61 (c)(d)(h) | 191,025 | 189,695 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 5.3477% 2/20/61 (c)(d)(h) | 268,562 | 266,743 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 4/20/61 (c)(d)(h) | 195,860 | 194,564 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 5.3577% 5/20/61 (c)(d)(h) | 304,461 | 302,778 | |
Class FC, 1 month U.S. LIBOR + 0.500% 5.3577% 5/20/61 (c)(d)(h) | 227,537 | 226,167 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 5.3877% 6/20/61 (c)(d)(h) | 255,757 | 254,337 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 5.4077% 9/20/61 (c)(d)(h) | 88,120 | 87,628 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 5.4577% 10/20/61 (c)(d)(h) | 283,827 | 282,526 | |
Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 5.5484% 8/20/42 (c)(d) | 47,838 | 46,558 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 5.5577% 11/20/61 (c)(d)(h) | 272,990 | 271,959 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 5.5577% 1/20/62 (c)(d)(h) | 140,297 | 139,776 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 5.4877% 1/20/62 (c)(d)(h) | 249,250 | 248,041 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 5.4877% 3/20/62 (c)(d)(h) | 119,808 | 119,119 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 4.8719% 5/20/61 (c)(d)(h) | 2,102 | 2,075 | |
Series 2013-H19: | |||
Class FC, 1 month U.S. LIBOR + 0.600% 5.4577% 8/20/63 (c)(d)(h) | 11,342 | 11,292 | |
Class FD, 1 month U.S. LIBOR + 0.600% 5.4577% 8/20/63 (c)(d)(h) | 24,685 | 24,658 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 5.4577% 1/20/64 (c)(d)(h) | 18,130 | 18,040 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 5.4577% 12/20/63 (c)(d)(h) | 88,949 | 88,676 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 5.3577% 6/20/64 (c)(d)(h) | 67,413 | 67,008 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 4.7397% 3/20/65 (c)(d)(h) | 446 | 443 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 4.9101% 5/20/63 (c)(d)(h) | 3,597 | 3,526 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 4.9322% 4/20/63 (c)(d)(h) | 4,877 | 4,796 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 4.5948% 12/20/62 (c)(d)(h) | 1,914 | 1,870 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 0.0946% 12/20/40 (c)(k) | 62,192 | 51,707 | |
Series 2010-31 Class BP, 5% 3/20/40 | 261,302 | 260,420 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (j) | 17,478 | 1,144 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 26,225 | 25,232 | |
Series 2016-69 Class WA, 3% 2/20/46 | 50,543 | 46,639 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 67,900 | 61,278 | |
Series 2017-153 Class GA, 3% 9/20/47 | 135,136 | 122,681 | |
Series 2017-182 Class KA, 3% 10/20/47 | 105,490 | 95,870 | |
Series 2018-13 Class Q, 3% 4/20/47 | 134,248 | 123,700 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 17,062 | 16,896 | |
Series 2010-160 Class DY, 4% 12/20/40 | 127,723 | 125,055 | |
Series 2010-170 Class B, 4% 12/20/40 | 28,285 | 27,693 | |
Series 2011-69 Class GX, 4.5% 5/16/40 | 256,481 | 253,140 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (h) | 293,836 | 288,592 | |
Series 2017-139 Class BA, 3% 9/20/47 | 236,097 | 214,060 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (h) | 531,307 | 510,967 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 82,967 | 87,762 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 1.3946% 5/16/34 (c)(j)(k) | 3,568 | 275 | |
Series 2010-116 Class QB, 4% 9/16/40 | 9,759 | 9,499 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 0.8446% 2/16/40 (c)(j)(k) | 22,963 | 1,417 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 374,316 | 349,725 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 5.3477% 5/20/60 (c)(d)(h) | 34,450 | 34,155 | |
Series 2010-H16 Class BA, 3.55% 7/20/60 (h) | 63,248 | 61,383 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(h) | 7,960 | 7,864 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 0.9516% 7/20/41 (c)(j)(k) | 11,822 | 1,185 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 1.5946% 6/16/42 (c)(j)(k) | 13,499 | 1,321 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 93,883 | 89,776 | |
Series 2013-H01 Class FA, 1.65% 1/20/63 (h) | 29 | 25 | |
Series 2013-H04 Class BA, 1.65% 2/20/63 (h) | 247 | 231 | |
Series 2013-H08 Class MA, 3% 3/20/63 (h) | 3,558 | 3,325 | |
Series 2014-2 Class BA, 3% 1/20/44 | 253,634 | 231,563 | |
Series 2014-21 Class HA, 3% 2/20/44 | 94,246 | 86,209 | |
Series 2014-25 Class HC, 3% 2/20/44 | 160,666 | 146,243 | |
Series 2014-5 Class A, 3% 1/20/44 | 138,644 | 126,561 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (h) | 1,289 | 1,210 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(h) | 15,064 | 14,397 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.08% 5/20/66 (c)(d)(h) | 588,538 | 586,569 | |
Series 2017-186 Class HK, 3% 11/16/45 | 137,558 | 125,185 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.93% 8/20/66 (c)(d)(h) | 777,762 | 773,570 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 960,975 | 967,849 | |
TOTAL U.S. GOVERNMENT AGENCY | 23,882,748 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $28,834,684) | 28,185,549 | ||
Commercial Mortgage Securities - 4.0% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.21% 1/15/39 (b)(c)(d) | 1,005,000 | 976,151 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.61% 1/15/39 (b)(c)(d) | 190,000 | 184,354 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.21% 1/15/39 (b)(c)(d) | 136,000 | 131,150 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 1,500,000 | 1,372,307 | |
Class ANM, 3.112% 11/5/32 (b) | 778,000 | 709,976 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 132,000 | 110,712 | |
Class CNM, 3.7186% 11/5/32 (b)(c) | 100,000 | 79,090 | |
BANK sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 700,000 | 650,238 | |
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 500,000 | 467,168 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 134,000 | 115,923 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 300,000 | 303,674 | |
Class A3, 6.26% 4/15/56 | 800,000 | 828,542 | |
BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60 | 1,000,000 | 927,831 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B4 Class A5, 4.121% 7/15/51 | 151,000 | 142,935 | |
Series 2019-B12 Class XA, 1.0253% 8/15/52 (c)(j) | 7,747,248 | 301,243 | |
Series 2019-B14 Class XA, 0.7749% 12/15/62 (c)(j) | 4,530,877 | 137,593 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.2235% 11/15/28 (b)(c)(d) | 760,000 | 754,951 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 6.9573% 4/15/37 (b)(c)(d) | 3,387,000 | 3,281,410 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.5063% 4/15/37 (b)(c)(d) | 900,000 | 873,906 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 5.7971% 10/15/36 (b)(c)(d) | 1,794,000 | 1,731,989 | |
Class B, 1 month U.S. LIBOR + 0.890% 6.0068% 10/15/36 (b)(c)(d) | 268,000 | 257,053 | |
Class C, 1 month U.S. LIBOR + 1.090% 6.2066% 10/15/36 (b)(c)(d) | 359,000 | 341,741 | |
Class D, 1 month U.S. LIBOR + 1.290% 6.4063% 10/15/36 (b)(c)(d) | 349,000 | 329,262 | |
Class E, 1 month U.S. LIBOR + 1.940% 7.0555% 10/15/36 (b)(c)(d) | 1,213,000 | 1,146,688 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 6.0722% 2/15/39 (b)(c)(d) | 2,370,180 | 2,302,342 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 6.3716% 2/15/39 (b)(c)(d) | 713,932 | 686,687 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 6.621% 2/15/39 (b)(c)(d) | 713,932 | 677,755 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 7.0201% 2/15/39 (b)(c)(d) | 713,932 | 674,373 | |
Bx Commercial Mortgage Trust 2: | |||
floater Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 6.407% 4/15/34 (b)(c)(d) | 614,000 | 599,972 | |
Class C, 1 month U.S. LIBOR + 1.600% 6.707% 4/15/34 (b)(c)(d) | 406,000 | 395,694 | |
Class D, 1 month U.S. LIBOR + 1.900% 7.007% 4/15/34 (b)(c)(d) | 426,000 | 414,105 | |
floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.107% 4/15/34 (b)(c)(d) | 814,000 | 803,667 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 7.733% 9/15/37 (b)(c)(d) | 201,600 | 187,393 | |
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 6.2538% 10/15/36 (b)(c)(d) | 534,650 | 528,613 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.4238% 10/15/36 (b)(c)(d) | 672,350 | 662,169 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.6238% 10/15/36 (b)(c)(d) | 1,375,300 | 1,351,005 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 6.9738% 10/15/36 (b)(c)(d) | 4,313,750 | 4,226,665 | |
Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 5.696% 9/15/34 (b)(c)(d) | 400,000 | 385,419 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.2243% 10/15/39 (b)(c)(d) | 943,000 | 942,408 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 6.5503% 4/15/37 (b)(c)(d) | 1,701,928 | 1,679,038 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 6.9993% 4/15/37 (b)(c)(d) | 867,302 | 852,925 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.3493% 4/15/37 (b)(c)(d) | 196,053 | 190,534 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 7.8983% 4/15/37 (b)(c)(d) | 164,311 | 156,832 | |
floater sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.0938% 10/15/36 (b)(c)(d) | 1,745,100 | 1,733,058 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 6.177% 12/15/37 (b)(c)(d) | 100,000 | 98,865 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 1,833,060 | 1,601,750 | |
CFCRE Commercial Mortgage Trust sequential payer Series 2017-C8 Class A3, 3.3048% 6/15/50 | 245,012 | 228,428 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 6.0574% 11/15/36 (b)(c)(d) | 580,000 | 571,218 | |
Class B, 1 month U.S. LIBOR + 1.250% 6.3574% 11/15/36 (b)(c)(d) | 200,000 | 195,962 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 6.227% 6/15/34 (b)(c)(d) | 1,556,249 | 1,536,541 | |
Class B, 1 month U.S. LIBOR + 1.500% 6.607% 6/15/34 (b)(c)(d) | 306,684 | 298,142 | |
Class C, 1 month U.S. LIBOR + 1.750% 6.857% 6/15/34 (b)(c)(d) | 346,384 | 331,475 | |
Citigroup Commercial Mortgage Trust Series 2015-GC29 Class XA, 1.0151% 4/10/48 (c)(j) | 2,701,783 | 39,139 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 257,000 | 249,082 | |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | 1,400,000 | 1,361,217 | |
Series 2014-CR17 Class XA, 0.9445% 5/10/47 (c)(j) | 1,363,374 | 6,878 | |
Series 2014-LC17 Class XA, 0.6585% 10/10/47 (c)(j) | 2,208,584 | 13,797 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 6.087% 5/15/36 (b)(c)(d) | 3,527,225 | 3,505,283 | |
Class B, 1 month U.S. LIBOR + 1.230% 6.337% 5/15/36 (b)(c)(d) | 860,858 | 852,137 | |
Class C, 1 month U.S. LIBOR + 1.430% 6.537% 5/15/36 (b)(c)(d) | 836,918 | 828,763 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 403,633 | 362,568 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 594,000 | 571,099 | |
Class B, 4.5349% 4/15/36 (b) | 107,000 | 101,851 | |
Class C, 4.782% 4/15/36 (b)(c) | 123,000 | 116,779 | |
Class D, 4.782% 4/15/36 (b)(c) | 245,000 | 229,865 | |
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 7.357% 12/15/30 (b)(c)(d) | 1,296,000 | 1,215,294 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 5.809% 11/15/38 (b)(c)(d) | 6,931,000 | 6,683,354 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 6.188% 7/15/38 (b)(c)(d) | 786,806 | 770,038 | |
Class B, 1 month U.S. LIBOR + 1.380% 6.488% 7/15/38 (b)(c)(d) | 447,934 | 435,861 | |
Class C, 1 month U.S. LIBOR + 1.700% 6.808% 7/15/38 (b)(c)(d) | 330,108 | 321,027 | |
Class D, 1 month U.S. LIBOR + 2.250% 7.358% 7/15/38 (b)(c)(d) | 664,111 | 644,077 | |
Freddie Mac sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 1,096,000 | 1,062,325 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 157,000 | 151,703 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 248,000 | 240,782 | |
Series 2017 K726 Class A2, 2.905% 4/25/24 | 2,739,903 | 2,680,228 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 400,000 | 341,031 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 7.057% 9/15/31 (b)(c)(d) | 734,656 | 718,674 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 6.2% 10/15/31 (b)(c)(d) | 428,696 | 408,883 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 6.057% 10/15/36 (b)(c)(d) | 1,036,000 | 971,610 | |
Class B, 1 month U.S. LIBOR + 1.150% 6.257% 10/15/36 (b)(c)(d) | 160,000 | 147,546 | |
Class C, 1 month U.S. LIBOR + 1.550% 6.657% 10/15/36 (b)(c)(d) | 132,000 | 119,563 | |
sequential payer Series 2018-GS9 Class A4, 3.992% 3/10/51 | 200,000 | 187,835 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.5476% 8/15/39 (b)(c)(d) | 2,256,000 | 2,255,296 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 476,000 | 427,686 | |
Class CFX, 4.9498% 7/5/33 (b) | 103,000 | 88,374 | |
Class DFX, 5.3503% 7/5/33 (b) | 159,000 | 133,242 | |
Class EFX, 5.3635% 7/5/33 (b)(c) | 218,000 | 179,414 | |
Class XAFX, 1.116% 7/5/33 (b)(c)(j) | 2,000,000 | 69 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.3545% 5/15/39 (b)(c)(d) | 2,726,000 | 2,668,508 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 6.8532% 5/15/39 (b)(c)(d) | 1,630,000 | 1,591,765 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.1524% 5/15/39 (b)(c)(d) | 913,000 | 884,395 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.6012% 5/15/39 (b)(c)(d) | 812,000 | 772,315 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 5.8735% 3/15/38 (b)(c)(d) | 1,199,224 | 1,168,326 | |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.0535% 3/15/38 (b)(c)(d) | 331,261 | 320,658 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.2735% 3/15/38 (b)(c)(d) | 208,390 | 200,281 | |
Class D, CME Term SOFR 1 Month Index + 1.510% 6.5735% 3/15/38 (b)(c)(d) | 289,976 | 277,965 | |
Class E, CME Term SOFR 1 Month Index + 1.860% 6.9235% 3/15/38 (b)(c)(d) | 253,606 | 240,874 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 6.357% 8/15/33 (b)(c)(d) | 501,600 | 400,528 | |
Class C, 1 month U.S. LIBOR + 1.500% 6.607% 8/15/33 (b)(c)(d)(i) | 1,208,000 | 867,948 | |
sequential payer: | |||
Series 2017-H1 Class A4, 3.259% 6/15/50 | 500,000 | 465,342 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 400,000 | 373,170 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 1,698,000 | 1,575,376 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 385,000 | 364,005 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(c) | 246,000 | 225,374 | |
Class C, 3.1771% 11/10/36 (b)(c) | 235,000 | 210,578 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 6.9484% 12/15/37 (b)(c)(d) | 444,000 | 432,158 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 6.5984% 12/15/37 (b)(c)(d) | 88,682 | 88,406 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 7.0593% 2/15/39 (b)(c)(d) | 457,000 | 431,628 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.7093% 2/15/39 (b)(c)(d) | 237,000 | 223,056 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 5.8382% 11/15/38 (b)(c)(d) | 1,701,000 | 1,643,422 | |
Class B, 1 month U.S. LIBOR + 1.070% 6.1872% 11/15/38 (b)(c)(d) | 974,000 | 940,335 | |
Class C, 1 month U.S. LIBOR + 1.320% 6.4364% 11/15/38 (b)(c)(d) | 605,000 | 579,528 | |
Class D, 1 month U.S. LIBOR + 1.570% 6.6856% 11/15/38 (b)(c)(d) | 398,000 | 379,493 | |
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.003% 12/15/50 (c)(j) | 1,258,274 | 42,773 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1,382,000 | 1,094,495 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 90,000 | 70,020 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 6.307% 5/15/31 (b)(c)(d) | 953,000 | 890,943 | |
Series 2017-C42 Class XA, 0.8606% 12/15/50 (c)(j) | 3,543,644 | 111,928 | |
Series 2018-C46 Class XA, 0.9268% 8/15/51 (c)(j) | 2,499,684 | 60,100 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 339,000 | 322,394 | |
Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49 | 1,000,000 | 945,861 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2014-C21 Class XA, 0.9957% 8/15/47 (c)(j) | 810,673 | 7,897 | |
Series 2014-LC14 Class XA, 1.2305% 3/15/47 (c)(j) | 1,023,037 | 3,419 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $93,787,286) | 89,766,556 | ||
Municipal Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 2,525,000 | 2,496,119 | |
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 | 1,685,673 | |
TOTAL MUNICIPAL SECURITIES (Cost $4,358,873) | 4,181,792 | ||
Foreign Government and Government Agency Obligations - 0.4% | |||
Principal Amount (a) | Value ($) | ||
Argentine Republic: | |||
0.5% 7/9/30 (m) | 685,010 | 179,301 | |
1% 7/9/29 | 75,245 | 19,131 | |
1.5% 7/9/35 (m) | 1,254,989 | 291,785 | |
Dominican Republic: | |||
4.5% 1/30/30 (b) | 1,200,000 | 1,035,000 | |
5.95% 1/25/27 (b) | 2,850,000 | 2,780,175 | |
6% 7/19/28 (b) | 550,000 | 529,650 | |
Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 915,000 | 761,909 | |
Indonesian Republic 4.2% 10/15/50 | 2,100,000 | 1,780,800 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/22/30 (b) | 595,000 | 543,421 | |
4.5% 4/22/60 (b) | 390,000 | 336,204 | |
State of Qatar 4.4% 4/16/50 (b) | 1,390,000 | 1,256,039 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $11,209,347) | 9,513,415 | ||
Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank 4.682% 8/9/28 (c) | 401,000 | 369,311 | |
Regions Bank 6.45% 6/26/37 | 250,000 | 248,751 | |
TOTAL BANK NOTES (Cost $695,794) | 618,062 | ||
Fixed-Income Funds - 15.7% | |||
Shares | Value ($) | ||
Fidelity Emerging Markets Debt Central Fund (n) | 5,476,994 | 40,858,374 | |
Fidelity Floating Rate Central Fund (n) | 1,303,725 | 124,740,396 | |
Fidelity International Credit Central Fund (n) | 649,353 | 50,233,940 | |
Fidelity Specialized High Income Central Fund (n) | 1,702,840 | 141,574,131 | |
TOTAL FIXED-INCOME FUNDS (Cost $404,905,577) | 357,406,841 | ||
Money Market Funds - 6.7% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (o) (Cost $150,928,254) | 150,898,819 | 150,928,999 | |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
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 | 193,692 | |
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 | 108,433 | |
TOTAL PUT OPTIONS | 302,125 | |||
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 | 187,061 | |
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 | 130,596 | |
TOTAL CALL OPTIONS | 317,657 | |||
TOTAL PURCHASED SWAPTIONS (Cost $625,632) | 619,782 |
TOTAL INVESTMENT IN SECURITIES - 112.6% (Cost $2,748,575,833) | 2,556,899,056 |
NET OTHER ASSETS (LIABILITIES) - (12.6)% (p) | (285,375,035) |
NET ASSETS - 100.0% | 2,271,524,021 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 6/1/53 | (5,300,000) | (4,494,229) |
2% 6/1/53 | (7,050,000) | (5,978,173) |
2% 6/1/53 | (1,750,000) | (1,483,944) |
2.5% 6/1/53 | (5,300,000) | (4,628,448) |
3% 6/1/53 | (4,350,000) | (3,911,871) |
3.5% 6/1/53 | (5,150,000) | (4,772,837) |
TOTAL GINNIE MAE | (25,269,502) | |
Uniform Mortgage Backed Securities | ||
2% 6/1/38 | (2,500,000) | (2,238,545) |
2% 6/1/38 | (600,000) | (537,251) |
2% 6/1/53 | (5,450,000) | (4,481,135) |
2% 6/1/53 | (5,350,000) | (4,398,912) |
2% 6/1/53 | (5,350,000) | (4,398,912) |
2% 6/1/53 | (800,000) | (657,781) |
2% 6/1/53 | (1,600,000) | (1,315,563) |
2% 6/1/53 | (1,600,000) | (1,315,563) |
2% 6/1/53 | (2,200,000) | (1,808,899) |
2.5% 6/1/38 | (350,000) | (321,781) |
2.5% 6/1/53 | (4,000,000) | (3,416,406) |
2.5% 6/1/53 | (8,050,000) | (6,875,518) |
2.5% 6/1/53 | (425,000) | (362,993) |
2.5% 6/1/53 | (2,700,000) | (2,306,074) |
3% 6/1/53 | (2,100,000) | (1,860,633) |
3.5% 6/1/53 | (500,000) | (458,711) |
3.5% 6/1/53 | (500,000) | (458,711) |
5% 6/1/53 | (800,000) | (787,906) |
5.5% 6/1/53 | (1,500,000) | (1,499,004) |
5.5% 6/1/53 | (550,000) | (549,635) |
5.5% 6/1/53 | (250,000) | (249,834) |
5.5% 6/1/53 | (2,450,000) | (2,448,373) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (42,748,140) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $67,796,242) | (68,017,642) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 12 | Sep 2023 | 2,469,938 | (2,675) | (2,675) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 2 | Sep 2023 | 273,750 | 4,370 | 4,370 |
TOTAL PURCHASED | 1,695 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 227 | Sep 2023 | 25,984,406 | (58,795) | (58,795) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 93 | Sep 2023 | 10,144,266 | 9,979 | 9,979 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 59 | Sep 2023 | 7,572,281 | (79,874) | (79,874) |
TOTAL SOLD | (128,690) | ||||
TOTAL FUTURES CONTRACTS | (126,995) | ||||
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 1.8% |
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 | 560,000 | 12,400 | (1,697) | 10,703 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 340,000 | 7,529 | (3,727) | 3,802 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,020,000 | 22,586 | (20,886) | 1,700 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 220,000 | 4,871 | (1,679) | 3,192 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 170,000 | 3,764 | (207) | 3,557 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 400,000 | 8,857 | (2,722) | 6,135 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 350,000 | 7,750 | (2,479) | 5,271 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 180,000 | 3,986 | (1,691) | 2,295 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 580,000 | 12,843 | (9,858) | 2,985 | ||
CMBX N.A. BBB Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (3%) | Monthly | 190,000 | 61,710 | (51,401) | 10,309 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 100,000 | 31,480 | (25,055) | 6,425 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 190,000 | 59,812 | (47,426) | 12,386 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 160,000 | 50,368 | (43,141) | 7,227 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 40,000 | 12,592 | (10,780) | 1,812 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 160,000 | 50,368 | (47,360) | 3,008 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 200,000 | 62,960 | (60,976) | 1,984 | ||
CMBX N.A. BBB Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 170,000 | 53,516 | (44,070) | 9,446 | ||
TOTAL BUY PROTECTION | 467,392 | (375,155) | 92,237 | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 40,000 | (886) | 951 | 65 | |
TOTAL CREDIT DEFAULT SWAPS | 466,506 | (374,204) | 92,302 |
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2025 | 6,360,000 | 69,511 | 0 | 69,511 | |
3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2028 | 947,000 | 18,939 | 0 | 18,939 | |
3% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2030 | 346,000 | 7,979 | 0 | 7,979 | |
TOTAL INTEREST RATE SWAPS | 96,429 | 0 | 96,429 |
(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 $265,978,122 or 11.7% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(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 $889,757. |
(f) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $2,846,726. |
(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) | Level 3 security |
(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) | 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. |
(n) | 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. |
(o) | 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. |
(p) | Includes $141,746 of cash collateral segregated to cover margin requirements for centrally cleared OTC swaps. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 87,521,297 | 864,838,130 | 801,430,428 | 3,159,506 | - | - | 150,928,999 | 0.4% |
Fidelity Emerging Markets Debt Central Fund | 39,645,062 | 1,794,455 | - | 1,794,455 | - | (581,143) | 40,858,374 | 2.0% |
Fidelity Floating Rate Central Fund | 118,573,646 | 7,647,083 | - | 7,647,083 | - | (1,480,333) | 124,740,396 | 7.8% |
Fidelity International Credit Central Fund | 52,040,145 | 2,804,408 | - | 2,804,408 | - | (4,610,613) | 50,233,940 | 17.8% |
Fidelity Securities Lending Cash Central Fund 5.14% | 47,988,270 | 520,549,820 | 568,538,090 | 24,980 | - | - | - | 0.0% |
Fidelity Specialized High Income Central Fund | 127,572,572 | 15,118,276 | - | 5,118,277 | - | (1,116,717) | 141,574,131 | 40.1% |
Total | 473,340,992 | 1,412,752,172 | 1,369,968,518 | 20,548,709 | - | (7,788,806) | 508,335,840 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Municipal Securities, Foreign Government and Government Agency Obligations and Bank Notes are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared 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.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared 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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