UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
Date of reporting period: | February 29, 2024 |
Item 1.
Reports to Stockholders
![](https://capedge.com/proxy/N-CSRS/0000795422-24-000031/img96181_1.jpg)
![](https://capedge.com/proxy/N-CSRS/0000795422-24-000031/img96181_2.jpg)
Contents
Coupon Distribution (% of Fund's Investments) | ||
Zero coupon bonds | 0.0 | |
0.01 - 0.99% | 0.3 | |
1 - 1.99% | 4.7 | |
2 - 2.99% | 32.1 | |
3 - 3.99% | 17.0 | |
4 - 4.99% | 7.4 | |
5 - 5.99% | 7.3 | |
6 - 6.99% | 9.3 | |
7 - 7.99% | 0.5 | |
8 - 8.99% | 0.0 | |
9 - 9.99% | 0.0 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (54.5)% |
Written options - (6.6)% |
Futures and Swaps - (12.1)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
U.S. Government and Government Agency Obligations - 0.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Treasury Obligations - 0.7% | |||
U.S. Treasury Bonds 4.125% 8/15/53 | 990 | 948 | |
U.S. Treasury Notes: | |||
4% 2/15/27 | 1,080 | 1,071 | |
4.625% 11/15/26 | 1,190 | 1,194 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,211) | 3,213 | ||
U.S. Government Agency - Mortgage Securities - 133.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 39.3% | |||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 3.945% 4/1/37 (b)(c) | 7 | 7 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (b)(c) | 2 | 2 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.484% 3/1/36 (b)(c) | 8 | 8 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (b)(c) | 1 | 1 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.422% 11/1/36 (b)(c) | 2 | 2 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.710% 5.857% 8/1/35 (b)(c) | 17 | 17 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.842% 3/1/40 (b)(c) | 6 | 6 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.519% 5/1/36 (b)(c) | 2 | 2 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.649% 7/1/35 (b)(c) | 2 | 2 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (b)(c) | 8 | 8 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (b)(c) | 179 | 183 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (b)(c) | 13 | 13 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.519% 2/1/42 (b)(c) | 8 | 8 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (b)(c) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (b)(c) | 12 | 12 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (b)(c) | 3 | 3 | |
1.5% 11/1/35 to 7/1/51 | 21,286 | 16,733 | |
2% 2/1/28 to 3/1/52 | 40,332 | 34,173 | |
2.5% 1/1/28 to 1/1/52 | 61,813 | 52,948 | |
3% 2/1/31 to 2/1/52 | 35,471 | 31,325 | |
3.5% 9/1/33 to 3/1/52 | 9,260 | 8,456 | |
3.5% 12/1/46 | 1,538 | 1,414 | |
4% 3/1/39 to 8/1/52 | 8,302 | 7,765 | |
4.5% 5/1/25 to 11/1/52 | 6,138 | 5,919 | |
5% 3/1/33 to 11/1/53 | 11,986 | 11,727 | |
5.29% 8/1/41 (b) | 91 | 90 | |
5.5% 10/1/52 to 8/1/53 | 6,878 | 6,851 | |
6% 11/1/52 to 9/1/53 | 2,610 | 2,648 | |
6% 11/1/53 | 1,200 | 1,209 | |
6.5% 2/1/27 to 1/1/54 | 3,271 | 3,376 | |
6.705% 2/1/39 (b) | 33 | 34 | |
7% to 7% 7/1/26 to 5/1/30 | 45 | 46 | |
7.5% to 7.5% 8/1/25 to 9/1/32 | 64 | 67 | |
8% 12/1/29 to 3/1/37 | 5 | 5 | |
9% 10/1/30 | 16 | 17 | |
TOTAL FANNIE MAE | 185,079 | ||
Freddie Mac - 25.2% | |||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (b)(c) | 21 | 21 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (b)(c) | 63 | 64 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (b)(c) | 21 | 22 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 6.008% 10/1/42 (b)(c) | 10 | 10 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.711% 6/1/33 (b)(c) | 16 | 17 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (b)(c) | 55 | 56 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (b)(c) | 11 | 11 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (b)(c) | 16 | 16 | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.249% 10/1/35 (b)(c) | 1 | 1 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.356% 5/1/34 (b)(c) | 0 | 0 | |
1.5% 7/1/35 to 6/1/51 | 12,023 | 9,408 | |
2% 3/1/36 to 12/1/51 | 10,850 | 9,108 | |
2.5% 1/1/28 to 12/1/51 (d) | 32,232 | 27,857 | |
3% 12/1/30 to 5/1/52 | 11,900 | 10,557 | |
3.5% 3/1/32 to 4/1/52 (e)(f) | 22,347 | 20,338 | |
3.5% 7/1/42 | 404 | 372 | |
3.5% 7/1/42 | 179 | 165 | |
3.5% 9/1/42 | 525 | 483 | |
3.5% 11/1/42 | 159 | 146 | |
4% 1/1/36 to 10/1/52 | 14,482 | 13,615 | |
4% 4/1/48 | 5 | 4 | |
4.5% 7/1/25 to 12/1/48 | 2,745 | 2,671 | |
5% 7/1/33 to 1/1/53 | 6,714 | 6,590 | |
5.5% 10/1/52 to 3/1/54 (d) | 10,053 | 10,054 | |
5.5% 1/1/54 | 214 | 212 | |
5.5% 2/1/54 | 86 | 85 | |
5.5% 3/1/54 | 297 | 294 | |
6% 11/1/28 to 11/1/53 | 3,657 | 3,711 | |
6.5% 4/1/24 to 1/1/54 (d) | 2,247 | 2,322 | |
7% 3/1/26 to 9/1/36 | 77 | 80 | |
7.5% 1/1/27 to 7/1/34 | 146 | 152 | |
TOTAL FREDDIE MAC | 118,442 | ||
Ginnie Mae - 34.8% | |||
3% 6/15/42 to 4/15/45 | 836 | 750 | |
3.5% 9/20/40 to 7/20/46 | 2,528 | 2,324 | |
4% 7/20/33 to 5/20/49 | 7,396 | 7,024 | |
4.5% 8/15/33 to 4/20/53 | 4,703 | 4,542 | |
5% 5/15/39 to 4/20/48 | 708 | 706 | |
5.5% 12/15/38 to 9/15/39 | 63 | 64 | |
6.5% 10/15/34 to 7/15/36 | 24 | 25 | |
7% to 7% 1/15/26 to 4/20/32 | 64 | 66 | |
7.5% to 7.5% 12/15/26 to 12/15/29 | 14 | 15 | |
8% 4/15/24 to 10/15/25 | 2 | 2 | |
8.5% 11/15/27 to 10/15/28 | 4 | 4 | |
2% 11/20/50 to 5/20/52 | 9,903 | 8,062 | |
2% 3/1/54 (g) | 2,550 | 2,075 | |
2% 3/1/54 (g) | 2,750 | 2,238 | |
2% 3/1/54 (g) | 1,950 | 1,587 | |
2% 3/1/54 (g) | 2,700 | 2,197 | |
2% 3/1/54 (g) | 1,550 | 1,261 | |
2% 3/1/54 (g) | 2,350 | 1,912 | |
2% 3/1/54 (g) | 2,050 | 1,668 | |
2% 3/1/54 (g) | 5,700 | 4,639 | |
2% 3/1/54 (g) | 3,900 | 3,174 | |
2% 3/1/54 (g) | 2,900 | 2,360 | |
2% 3/1/54 (g) | 950 | 773 | |
2% 3/1/54 (g) | 3,650 | 2,970 | |
2% 4/1/54 (g) | 10,050 | 8,184 | |
2% 4/1/54 (g) | 375 | 305 | |
2% 4/1/54 (g) | 10,650 | 8,673 | |
2% 4/1/54 (g) | 8,250 | 6,718 | |
2% 4/1/54 (g) | 825 | 672 | |
2% 4/1/54 (g) | 375 | 305 | |
2% 4/1/54 (g) | 4,250 | 3,461 | |
2% 4/1/54 (g) | 5,025 | 4,092 | |
2.5% 8/20/51 to 1/20/52 | 12,515 | 10,469 | |
2.5% 3/1/54 (g) | 3,500 | 2,962 | |
2.5% 3/1/54 (g) | 5,300 | 4,485 | |
2.5% 3/1/54 (g) | 3,025 | 2,560 | |
2.5% 4/1/54 (g) | 175 | 148 | |
3% 3/1/54 (g) | 1,950 | 1,710 | |
3% 3/1/54 (g) | 7,925 | 6,950 | |
3% 3/1/54 (g) | 2,350 | 2,061 | |
3% 3/1/54 (g) | 4,275 | 3,749 | |
3% 4/1/54 (g) | 1,925 | 1,689 | |
3% 4/1/54 (g) | 7,850 | 6,889 | |
3.5% 3/1/54 (g) | 1,850 | 1,673 | |
3.5% 3/1/54 (g) | 3,400 | 3,075 | |
5% 3/1/54 (g) | 6,700 | 6,544 | |
5.5% 3/1/54 (g) | 4,600 | 4,571 | |
5.5% 3/1/54 (g) | 2,900 | 2,881 | |
6% 3/1/54 (g) | 1,150 | 1,156 | |
6% 3/1/54 (g) | 650 | 653 | |
6% 3/1/54 (g) | 800 | 804 | |
6% 3/1/54 (g) | 1,600 | 1,608 | |
6% 3/1/54 (g) | 2,900 | 2,915 | |
6.5% 3/1/54 (g) | 3,150 | 3,193 | |
6.5% 3/1/54 (g) | 1,750 | 1,774 | |
6.5% 3/1/54 (g) | 2,450 | 2,483 | |
6.5% 4/1/54 (g) | 2,500 | 2,532 | |
6.5% 4/1/54 (g) | 1,100 | 1,114 | |
TOTAL GINNIE MAE | 163,496 | ||
Uniform Mortgage Backed Securities - 34.4% | |||
2% 3/1/54 (g) | 1,100 | 865 | |
2% 3/1/54 (g) | 1,100 | 865 | |
2% 3/1/54 (g) | 16,600 | 13,048 | |
2% 3/1/54 (g) | 11,350 | 8,922 | |
2% 3/1/54 (g) | 17,050 | 13,402 | |
2% 3/1/54 (g) | 8,525 | 6,701 | |
2% 3/1/54 (g) | 6,600 | 5,188 | |
2% 3/1/54 (g) | 900 | 707 | |
2% 3/1/54 (g) | 3,200 | 2,515 | |
2% 3/1/54 (g) | 3,400 | 2,673 | |
2% 4/1/54 (g) | 12,200 | 9,602 | |
2% 4/1/54 (g) | 2,700 | 2,125 | |
2% 4/1/54 (g) | 22,550 | 17,748 | |
2% 4/1/54 (g) | 5,300 | 4,171 | |
2% 4/1/54 (g) | 6,650 | 5,234 | |
2% 4/1/54 (g) | 3,300 | 2,597 | |
2.5% 3/1/54 (g) | 100 | 82 | |
2.5% 3/1/54 (g) | 25 | 21 | |
2.5% 3/1/54 (g) | 150 | 123 | |
2.5% 3/1/54 (g) | 50 | 41 | |
2.5% 3/1/54 (g) | 200 | 164 | |
2.5% 3/1/54 (g) | 100 | 82 | |
2.5% 3/1/54 (g) | 75 | 62 | |
2.5% 4/1/54 (g) | 250 | 206 | |
3% 3/1/54 (g) | 700 | 599 | |
3% 3/1/54 (g) | 2,500 | 2,139 | |
3% 3/1/54 (g) | 700 | 599 | |
3% 3/1/54 (g) | 750 | 642 | |
3% 3/1/54 (g) | 1,150 | 984 | |
3% 3/1/54 (g) | 600 | 513 | |
3% 3/1/54 (g) | 500 | 428 | |
3% 3/1/54 (g) | 450 | 385 | |
3% 3/1/54 (g) | 8,500 | 7,272 | |
3% 3/1/54 (g) | 4,700 | 4,021 | |
3% 4/1/54 (g) | 3,250 | 2,784 | |
5% 3/1/54 (g) | 1,400 | 1,358 | |
5.5% 3/1/54 (g) | 500 | 495 | |
5.5% 3/1/54 (g) | 2,800 | 2,770 | |
5.5% 3/1/54 (g) | 1,400 | 1,385 | |
6% 3/1/54 (g) | 500 | 502 | |
6% 3/1/54 (g) | 500 | 502 | |
6% 3/1/54 (g) | 5,550 | 5,574 | |
6% 3/1/54 (g) | 2,300 | 2,310 | |
6% 3/1/54 (g) | 2,650 | 2,662 | |
6% 3/1/54 (g) | 950 | 954 | |
6% 3/1/54 (g) | 1,000 | 1,004 | |
6% 3/1/54 (g) | 950 | 954 | |
6% 3/1/54 (g) | 2,700 | 2,712 | |
6% 3/1/54 (g) | 2,600 | 2,611 | |
6.5% 3/1/54 (g) | 1,300 | 1,323 | |
6.5% 3/1/54 (g) | 1,900 | 1,933 | |
6.5% 3/1/54 (g) | 300 | 305 | |
6.5% 3/1/54 (g) | 5,000 | 5,088 | |
6.5% 3/1/54 (g) | 6,200 | 6,309 | |
6.5% 3/1/54 (g) | 1,625 | 1,653 | |
6.5% 3/1/54 (g) | 1,675 | 1,704 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 161,618 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $660,604) | 628,635 | ||
Asset-Backed Securities - 3.2% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 1,141 | 1,139 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 537 | 535 | |
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | 2,132 | 2,130 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 211 | 215 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (h) | 162 | 158 | |
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (h) | 149 | 150 | |
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 (i) | 1,100 | 1,085 | |
Dllaa 2023-1A Series 2023-1A: | |||
Class A2, 5.93% 7/20/26 (h) | 138 | 138 | |
Class A3, 5.64% 2/22/28 (h) | 106 | 107 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (h) | 332 | 337 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (h) | 760 | 757 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 109 | 108 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 224 | 225 | |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | 103 | 103 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 11 | 8 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 249 | 248 | |
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | 600 | 603 | |
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (h) | 158 | 159 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (h) | 999 | 841 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (h) | 257 | 258 | |
Toyota Lease Owner Trust: | |||
Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (h) | 221 | 221 | |
Class A3, 4.93% 4/20/26 (h) | 279 | 278 | |
Series 2024-A Class A3, 5.25% 4/20/27 (h) | 230 | 230 | |
Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 1.8677% 8/25/51 (b)(h) | 378 | 368 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 962 | 951 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 810 | 806 | |
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29 | 1,191 | 1,191 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (h) | 1,003 | 1,012 | |
World Omni Auto Receivables Trust: | |||
Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 117 | 116 | |
Class A3, 4.66% 5/15/28 | 295 | 292 | |
Series 2023-C Class A3, 5.15% 11/15/28 | 127 | 127 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 219 | 219 | |
TOTAL ASSET-BACKED SECURITIES (Cost $15,218) | 15,115 | ||
Collateralized Mortgage Obligations - 6.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Private Sponsor - 1.1% | |||
Ajax Mortgage Loan Trust sequential payer: | |||
Series 2021-C Class A, 2.115% 1/25/61 (h) | 220 | 209 | |
Series 2021-E Class A1, 1.74% 12/25/60 (h) | 1,820 | 1,545 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(h) | 103 | 100 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(h) | 18 | 18 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, CME Term SOFR 1 Month Index + 0.390% 4.1948% 5/27/37 (b)(c)(h) | 113 | 110 | |
Series 2014-3R Class 2A1, CME Term SOFR 1 Month Index + 0.810% 0% 5/27/37 (b)(c)(h)(j) | 72 | 0 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (h) | 974 | 895 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (h) | 335 | 312 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (h) | 959 | 861 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (h) | 61 | 59 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (h) | 137 | 122 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (h) | 167 | 162 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (h) | 334 | 313 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0754% 9/25/43 (b)(c) | 267 | 253 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.1678% 9/25/33 (b) | 32 | 31 | |
TOTAL PRIVATE SPONSOR | 4,990 | ||
U.S. Government Agency - 5.6% | |||
Fannie Mae: | |||
floater Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 12/25/33 (b)(i)(k) | 29 | 4 | |
planned amortization class: | |||
Series 1999-17 Class PG, 6% 4/25/29 | 26 | 26 | |
Series 1999-32 Class PL, 6% 7/25/29 | 34 | 34 | |
Series 1999-33 Class PK, 6% 7/25/29 | 25 | 25 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 4 | 4 | |
Series 2005-39 Class TE, 5% 5/25/35 | 63 | 63 | |
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4161% 8/25/35 (b)(c)(k) | 2 | 2 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 29 | 27 | |
Class GA, 1.75% 6/25/42 | 33 | 30 | |
Series 2021-69 Class JK, 1.5% 10/25/51 | 257 | 209 | |
sequential payer: | |||
Series 2001-20 Class Z, 6% 5/25/31 | 31 | 31 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 12 | 12 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 7 | 7 | |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1139% 11/25/32 (b)(i)(k) | 6 | 0 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (i) | 6 | 0 | |
Series 2020-101 Class BA, 1.5% 9/25/45 | 455 | 385 | |
Series 2020-43 Class MA, 2% 1/25/45 | 298 | 266 | |
Series 2020-49 Class JA, 2% 8/25/44 | 163 | 147 | |
Series 2020-51 Class BA, 2% 6/25/46 | 470 | 400 | |
Series 2020-75 Class HA, 1.5% 12/25/44 | 1,458 | 1,237 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 607 | 518 | |
Series 2021-68 Class A, 2% 7/25/49 | 336 | 262 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 184 | 159 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 294 | 252 | |
Series 2022-1 Class KA, 3% 5/25/48 | 306 | 274 | |
Series 2022-13 Class JA, 3% 5/25/48 | 290 | 260 | |
Series 2022-3 Class N, 2% 10/25/47 | 2,487 | 2,118 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 877 | 848 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 216 | 186 | |
Series 2022-49 Class TC, 4% 12/25/48 | 283 | 267 | |
Series 2022-5: | |||
Class 0, 2.5% 6/25/48 | 297 | 258 | |
Class BA, 2.5% 12/25/49 | 248 | 210 | |
Series 2022-7 Class A, 3% 5/25/48 | 437 | 390 | |
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2039% 12/25/36 (b)(i)(k) | 19 | 2 | |
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0039% 5/25/37 (b)(i)(k) | 10 | 1 | |
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6639% 3/25/33 (b)(i)(k) | 7 | 1 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 61 | 61 | |
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 8.0032% 6/25/37 (b)(c)(k) | 33 | 39 | |
Series 2007-66 Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9832% 7/25/37 (b)(c)(k) | 7 | 7 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 23 | 22 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (i) | 2 | 0 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 241 | 235 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 506 | 500 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 82 | 78 | |
Series 2011-67 Class AI, 4% 7/25/26 (i) | 2 | 0 | |
Series 2012-100 Class WI, 3% 9/25/27 (i) | 72 | 2 | |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1139% 6/25/41 (b)(i)(k) | 6 | 0 | |
Series 2013-133 Class IB, 3% 4/25/32 (i) | 21 | 0 | |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6139% 1/25/44 (b)(i)(k) | 32 | 3 | |
Series 2013-51 Class GI, 3% 10/25/32 (i) | 35 | 2 | |
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2839% 6/25/35 (b)(i)(k) | 54 | 4 | |
Series 2015-42 Class IL, 6% 6/25/45 (i) | 195 | 32 | |
Series 2015-70 Class JC, 3% 10/25/45 | 251 | 233 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 119 | 20 | |
Series 2020-45 Class JL, 3% 7/25/40 | 20 | 18 | |
Series 2021-59 Class H, 2% 6/25/48 | 189 | 151 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 205 | 165 | |
Class DM, 2% 1/25/48 | 218 | 175 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 348 Class 14, 6.5% 8/25/34 (b)(i) | 15 | 3 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(i) | 9 | 1 | |
Class 13, 6% 3/25/34 (i) | 14 | 2 | |
Series 359 Class 19, 6% 7/25/35 (b)(i) | 8 | 1 | |
Series 384 Class 6, 5% 7/25/37 (i) | 27 | 4 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2017-4676 Class VD, 4% 8/15/37 | 30 | 30 | |
Series 2017-4746 Class PA, 4% 2/15/47 | 104 | 99 | |
Series 2021-5141 Class JM, 1.5% 4/25/51 | 190 | 155 | |
Series 2021-5148: | |||
Class AD, 1.5% 10/25/51 | 256 | 209 | |
Class PC, 1.5% 10/25/51 | 254 | 206 | |
Series 2095 Class PE, 6% 11/15/28 | 33 | 34 | |
Series 2104 Class PG, 6% 12/15/28 | 11 | 11 | |
Series 2121 Class MG, 6% 2/15/29 | 14 | 14 | |
Series 2154 Class PT, 6% 5/15/29 | 26 | 26 | |
Series 2162 Class PH, 6% 6/15/29 | 3 | 3 | |
Series 2520 Class BE, 6% 11/15/32 | 30 | 30 | |
Series 2693 Class MD, 5.5% 10/15/33 | 421 | 420 | |
Series 2802 Class OB, 6% 5/15/34 | 47 | 47 | |
Series 3002 Class NE, 5% 7/15/35 | 40 | 39 | |
Series 3189 Class PD, 6% 7/15/36 | 38 | 39 | |
Series 3415 Class PC, 5% 12/15/37 | 13 | 13 | |
Series 3806 Class UP, 4.5% 2/15/41 | 83 | 81 | |
Series 3832 Class PE, 5% 3/15/41 | 166 | 165 | |
Series 4135 Class AB, 1.75% 6/15/42 | 25 | 23 | |
sequential payer: | |||
Series 2015-4492 Class LB, 4% 3/15/44 | 21 | 21 | |
Series 2015-4506 Class LB, 4% 4/15/44 | 42 | 41 | |
Series 2015-4522 Class LB, 4% 6/15/44 | 30 | 30 | |
Series 2015-4535 Class LB, 4% 8/15/44 | 29 | 29 | |
Series 2016-4636 Class AE, 4% 7/15/42 | 50 | 49 | |
Series 2017-4646 Class LA, 4% 9/15/45 | 78 | 76 | |
Series 2017-4661 Class AC, 4% 4/15/43 | 39 | 38 | |
Series 2020-4993 Class LA, 2% 8/25/44 | 285 | 256 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 133 | 119 | |
Class LY, 3% 10/25/40 | 101 | 90 | |
Series 2020-5058 Class BE, 3% 11/25/50 | 559 | 481 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 1,059 | 909 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 214 | 187 | |
Series 2022-5189: | |||
Class DA, 2.5% 5/25/49 | 238 | 203 | |
Class TP, 2.5% 5/25/49 | 232 | 197 | |
Series 2022-5190: | |||
Class BA, 2.5% 11/25/47 | 225 | 196 | |
Class CA, 2.5% 5/25/49 | 194 | 165 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 253 | 215 | |
Series 2022-5197: | |||
Class A, 2.5% 6/25/49 | 194 | 165 | |
Class DA, 2.5% 11/25/47 | 171 | 149 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 823 | 730 | |
Series 2022-5202: | |||
Class AG, 3% 1/25/49 | 145 | 130 | |
Class LB, 2.5% 10/25/47 | 182 | 159 | |
Series 2022-5248 Class A, 4% 4/15/48 | 779 | 745 | |
Series 2114 Class ZM, 6% 1/15/29 | 5 | 5 | |
Series 2135 Class JE, 6% 3/15/29 | 14 | 14 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 11 | 11 | |
Series 2281 Class ZB, 6% 3/15/30 | 7 | 7 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 24 | 24 | |
Series 2502 Class ZC, 6% 9/15/32 | 22 | 23 | |
Series 3871 Class KB, 5.5% 6/15/41 | 156 | 159 | |
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1608% 2/15/36 (b)(i)(k) | 14 | 1 | |
Series 2013-4281 Class AI, 4% 12/15/28 (i) | 5 | 0 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 229 | 214 | |
Series 2020-5041: | |||
Class LA, 1.5% 11/25/40 | 881 | 716 | |
Class LB, 3% 11/25/40 | 226 | 203 | |
Series 2020-5046 Class PT, 1.5% 11/25/40 | 668 | 542 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 974 | 908 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 796 | 679 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 1,390 | 1,210 | |
Series 2380 Class SY, 8.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.7608% 11/15/31 (b)(i)(k) | 26 | 1 | |
Series 2587 Class IM, 6.5% 3/15/33 (i) | 11 | 2 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 142 | 145 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 147 | 149 | |
Series 2947 Class XZ, 6% 3/15/35 | 73 | 75 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 92 | 93 | |
Series 3237 Class C, 5.5% 11/15/36 | 122 | 122 | |
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2208% 11/15/36 (b)(i)(k) | 45 | 4 | |
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1408% 6/15/37 (b)(i)(k) | 35 | 4 | |
Series 3949 Class MK, 4.5% 10/15/34 | 27 | 26 | |
Series 4055 Class BI, 3.5% 5/15/31 (i) | 13 | 0 | |
Series 4149 Class IO, 3% 1/15/33 (i) | 19 | 1 | |
Series 4314 Class AI, 5% 3/15/34 (i) | 4 | 0 | |
Series 4427 Class LI, 3.5% 2/15/34 (i) | 88 | 4 | |
Series 4471 Class PA 4% 12/15/40 | 113 | 110 | |
target amortization class Series 2017-4692 Class KB, 4% 10/15/46 | 215 | 205 | |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 13 | 13 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51 | 326 | 267 | |
sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 171 | 144 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 355 | 340 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2542% 6/16/37 (b)(i)(k) | 21 | 2 | |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7811% 7/20/60 (b)(c)(l) | 49 | 48 | |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7629% 9/20/60 (b)(c)(l) | 46 | 45 | |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7629% 8/20/60 (b)(c)(l) | 41 | 41 | |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 4/20/61 (b)(c)(l) | 13 | 13 | |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.1129% 5/20/61 (b)(c)(l) | 2 | 2 | |
Series 2019-11 Class F, CME Term SOFR 1 Month Index + 0.510% 5.8343% 1/20/49 (b)(c) | 81 | 80 | |
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9343% 10/20/49 (b)(c) | 131 | 127 | |
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8843% 2/20/49 (b)(c) | 260 | 254 | |
planned amortization class: | |||
Series 2011-136 Class WI, 4.5% 5/20/40 (i) | 7 | 0 | |
Series 2016-69 Class WA, 3% 2/20/46 | 106 | 96 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 39 | 35 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 61 | 60 | |
Series 2010-160 Class DY, 4% 12/20/40 | 349 | 335 | |
Series 2010-170 Class B, 4% 12/20/40 | 77 | 74 | |
Series 2017-139 Class BA, 3% 9/20/47 | 425 | 376 | |
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0642% 5/16/34 (b)(i)(k) | 38 | 2 | |
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7642% 8/17/34 (b)(i)(k) | 13 | 1 | |
Series 2011-52 Class HI, 7% 4/16/41 (i) | 138 | 20 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 220 | 211 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 3 | 3 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.16% 8/20/66 (b)(c)(l) | 333 | 332 | |
TOTAL U.S. GOVERNMENT AGENCY | 26,275 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $32,502) | 31,265 | ||
Commercial Mortgage Securities - 10.2% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (h) | 266 | 246 | |
Series 2019-BPR Class BNM, 3.465% 11/5/32 (h) | 118 | 99 | |
BANK: | |||
sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 1,013 | 951 | |
Series 2020-BN26 Class ASB, 2.313% 3/15/63 | 700 | 646 | |
Series 2020-BN25 Class XB, 0.4392% 1/15/63 (b)(i) | 7,140 | 155 | |
Series 2021-BN33 Class XA, 1.0526% 5/15/64 (b)(i) | 4,951 | 251 | |
BANK Trust sequential payer Series 2017-BNK5: | |||
Class A4, 3.131% 6/15/60 | 2,000 | 1,875 | |
Class A5, 3.39% 6/15/60 | 1,519 | 1,429 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2021-C9 Class ASB, 1.96% 2/15/54 | 300 | 269 | |
Series 2023-C21 Class A3, 6.2963% 9/15/56 (b) | 232 | 243 | |
Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5 Class A3, 5.8053% 1/10/57 | 500 | 513 | |
Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7701% 12/15/62 (b)(i) | 13,122 | 332 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (b)(c)(h) | 772 | 745 | |
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(c)(h) | 200 | 200 | |
BMO Mortgage Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | 500 | 523 | |
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(c)(h) | 1,066 | 1,070 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0684% 10/15/26 (b)(c)(h) | 938 | 927 | |
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(c)(h) | 100 | 99 | |
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(c)(h) | 466 | 466 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(c)(h) | 197 | 195 | |
Class B, CME Term SOFR 1 Month Index + 1.360% 6.6825% 11/15/36 (b)(c)(h) | 253 | 244 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-P4 Class A4, 2.902% 7/10/49 | 3,644 | 3,407 | |
Series 2015-GC33 Class XA, 0.8676% 9/10/58 (b)(i) | 7,762 | 80 | |
Series 2016-P6 Class XA, 0.555% 12/10/49 (b)(i) | 6,288 | 77 | |
Series 2019-GC41 Class XA, 1.0393% 8/10/56 (b)(i) | 5,135 | 186 | |
COMM Mortgage Trust: | |||
Series 2014-CR20 Class XA, 0.9224% 11/10/47 (b)(i) | 1,768 | 3 | |
Series 2014-LC17 Class XA, 0.645% 10/10/47 (b)(i) | 5,184 | 7 | |
Series 2014-UBS6 Class XA, 0.8226% 12/10/47 (b)(i) | 4,118 | 11 | |
Credit Suisse Mortgage Trust floater Series 2019-ICE4 Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (b)(c)(h) | 3,840 | 3,840 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(c)(h) | 429 | 429 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 54 | 53 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 900 | 735 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 962 | 815 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 600 | 552 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 400 | 393 | |
Series 2023-K752 Class A2, 4.284% 7/25/30 | 1,000 | 973 | |
Series 2023-K754 Class A2, 4.94% 11/25/30 | 1,900 | 1,915 | |
Series K069 Class A2, 3.187% 9/25/27 | 200 | 190 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 1,704 | 1,521 | |
Series K086 Class A2, 3.859% 11/25/28 | 1,105 | 1,064 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3825% 9/15/31 (b)(c)(h) | 1,745 | 1,737 | |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (b)(c)(h) | 28 | 27 | |
Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(c)(h) | 526 | 518 | |
sequential payer: | |||
Series 2015-GC30 Class A4, 3.382% 5/10/50 | 5,000 | 4,841 | |
Series 2018-GS10: | |||
Class A4, 3.89% 7/10/51 | 2,200 | 2,078 | |
Class A5, 4.155% 7/10/51 | 200 | 186 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 1,063 | 988 | |
Series 2020-GC45 Class AAB, 2.8428% 2/13/53 | 300 | 280 | |
Series 2014-GC20 Class XA, 0.8435% 4/10/47 (b)(i) | 424 | 0 | |
Series 2015-GC34 Class XA, 1.1931% 10/10/48 (b)(i) | 3,744 | 54 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8066% 8/15/39 (b)(c)(h) | 838 | 842 | |
JPMBB Commercial Mortgage Securities Trust Series 2014-C19 Class XA, 5.9231% 4/15/47 (b)(i) | 409 | 0 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (h) | 455 | 411 | |
Class XAFX, 1.116% 7/5/33 (b)(h)(i) | 3,909 | 97 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(c)(h) | 341 | 338 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0274% 10/15/48 (b)(i) | 4,428 | 43 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.215% 8/15/33 (b)(c)(h) | 723 | 597 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (h) | 577 | 542 | |
Series 2019-MEAD Class B, 3.1771% 11/10/36 (b)(h) | 84 | 76 | |
Series 2021-L6 Class XA, 1.2063% 6/15/54 (b)(i) | 1,093 | 58 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(c)(h) | 647 | 644 | |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5119% 11/15/38 (b)(c)(h) | 316 | 313 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2017-C1 Class ASB, 3.462% 11/15/50 | 891 | 864 | |
Series 2017-C7 Class XA, 0.9871% 12/15/50 (b)(i) | 5,372 | 161 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6325% 5/15/31 (b)(c)(h) | 468 | 459 | |
sequential payer Series 2015-C29 Class A4, 3.637% 6/15/48 | 4,000 | 3,888 | |
Series 2015-C31 Class XA, 0.9486% 11/15/48 (b)(i) | 3,903 | 45 | |
Series 2017-C42 Class XA, 0.8595% 12/15/50 (b)(i) | 7,524 | 198 | |
Series 2018-C46 Class XA, 0.9198% 8/15/51 (b)(i) | 3,836 | 85 | |
WF-RBS Commercial Mortgage Trust Series 2014-C24 Class XA, 0.8328% 11/15/47 (b)(i) | 2,906 | 5 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $48,602) | 48,104 | ||
Money Market Funds - 9.0% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.39% (m) (Cost $42,127) | 42,118,347 | 42,127 | |
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (a) (000s) | Value ($) (000s) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | 3,100 | 109 | |
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 1,600 | 54 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 4,100 | 131 | |
TOTAL PUT OPTIONS | 294 | |||
Call Options - 0.1% | ||||
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | 3,100 | 113 | |
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 1,600 | 61 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 4,100 | 164 | |
TOTAL CALL OPTIONS | 338 | |||
TOTAL PURCHASED SWAPTIONS (Cost $640) | 632 |
TOTAL INVESTMENT IN SECURITIES - 163.6% (Cost $802,904) | 769,091 |
NET OTHER ASSETS (LIABILITIES) - (63.6)% | (298,965) |
NET ASSETS - 100.0% | 470,126 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 3/1/54 | (5,025) | (4,089) |
2% 3/1/54 | (10,050) | (8,179) |
2% 3/1/54 | (375) | (305) |
2% 3/1/54 | (10,650) | (8,667) |
2% 3/1/54 | (8,250) | (6,714) |
2% 3/1/54 | (825) | (671) |
2% 3/1/54 | (375) | (305) |
2% 3/1/54 | (4,250) | (3,459) |
2.5% 3/1/54 | (175) | (148) |
2.5% 3/1/54 | (1,900) | (1,608) |
3% 3/1/54 | (1,925) | (1,688) |
3% 3/1/54 | (7,850) | (6,884) |
6.5% 3/1/54 | (2,500) | (2,534) |
6.5% 3/1/54 | (1,100) | (1,115) |
TOTAL GINNIE MAE | (46,366) | |
Uniform Mortgage Backed Securities | ||
2% 3/1/54 | (1,950) | (1,533) |
2% 3/1/54 | (500) | (393) |
2% 3/1/54 | (12,200) | (9,590) |
2% 3/1/54 | (2,700) | (2,122) |
2% 3/1/54 | (22,550) | (17,725) |
2% 3/1/54 | (1,200) | (943) |
2% 3/1/54 | (5,300) | (4,166) |
2% 3/1/54 | (6,650) | (5,227) |
2% 3/1/54 | (3,300) | (2,594) |
2% 3/1/54 | (2,800) | (2,201) |
2.5% 3/1/54 | (250) | (205) |
2.5% 3/1/54 | (700) | (575) |
3% 3/1/54 | (2,300) | (1,968) |
3% 3/1/54 | (3,250) | (2,781) |
3% 3/1/54 | (1,200) | (1,027) |
3.5% 3/1/54 | (3,200) | (2,847) |
4.5% 3/1/54 | (2,450) | (2,319) |
5% 3/1/54 | (1,950) | (1,891) |
5% 3/1/54 | (4,750) | (4,607) |
5.5% 3/1/54 | (600) | (594) |
5.5% 3/1/54 | (775) | (767) |
5.5% 3/1/54 | (875) | (866) |
6% 3/1/54 | (50) | (50) |
6% 3/1/54 | (500) | (502) |
6% 3/1/54 | (1,200) | (1,205) |
6% 3/1/54 | (900) | (904) |
6% 3/1/54 | (500) | (502) |
6% 3/1/54 | (500) | (502) |
6% 3/1/54 | (2,200) | (2,210) |
6.5% 3/1/54 | (1,550) | (1,577) |
6.5% 3/1/54 | (1,050) | (1,068) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (75,461) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $121,960) | (121,827) |
Written Swaptions | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Swaptions | ||||
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 4.04% and pay a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring November 2033. | 11/16/28 | 4,000 | (142) | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675%, expiring September 2033. | 9/20/28 | 3,300 | (128) | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.502% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034. | 1/04/29 | 7,600 | (336) | |
TOTAL PUT SWAPTIONS | (606) | |||
Call Swaptions | ||||
Option on an interest rate swap with Bank of America N.A. to receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and pay a fixed rate of 4.04%, expiring November 2033. | 11/16/28 | 4,000 | (194) | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033. | 9/20/28 | 3,300 | (138) | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.502% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034. | 1/04/29 | 7,600 | (279) | |
TOTAL CALL SWAPTIONS | (611) | |||
TOTAL WRITTEN SWAPTIONS | (1,217) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 123 | Jun 2024 | 25,184 | 13 | 13 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 72 | Jun 2024 | 7,697 | 14 | 14 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 15 | Jun 2024 | 1,789 | 18 | 18 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 9 | Jun 2024 | 1,151 | 17 | 17 |
TOTAL PURCHASED | 62 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 282 | Jun 2024 | 31,143 | (108) | (108) |
TOTAL FUTURES CONTRACTS | (46) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 7.6% | |||||
The notional amount of futures sold as a percentage of Net Assets is 6.6% |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (000s)(2)(3) | Value ($) (000s)(1) | Upfront Premium Received/ (Paid) ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Buy Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,620 | 13 | (17) | (4) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Merrill Lynch Capital Services, Inc. | (0.5%) | Monthly | 720 | 6 | (12) | (6) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 760 | 6 | (12) | (6) | ||
CMBX N.A. BBB- Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (3%) | Monthly | 660 | 147 | (172) | (25) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 660 | 105 | (162) | (57) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 550 | 88 | (146) | (58) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 130 | 21 | (38) | (17) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 70 | 11 | (16) | (5) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 130 | 21 | (36) | (15) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 350 | 56 | (86) | (30) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 80 | 13 | (21) | (8) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 550 | 88 | (160) | (72) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 140 | 22 | (36) | (14) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 470 | 75 | (120) | (45) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 90 | 14 | (21) | (7) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100 | 16 | (17) | (1) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Citigroup Global Markets Ltd. | (3%) | Monthly | 100 | 14 | (17) | (3) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | 300 | 41 | (43) | (2) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100 | 14 | (15) | (1) | ||
TOTAL BUY PROTECTION | 771 | (1,147) | (376) | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3,100 | (25) | 73 | 48 | |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 90 | (2) | 4 | 2 | |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 2,130 | (39) | 64 | 25 | |
TOTAL SELL PROTECTION | (66) | 141 | 75 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 705 | (1,006) | (301) |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2026 | 30,443 | 143 | 0 | 143 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.5% | Annual | LCH | Mar 2027 | 16,299 | 89 | 0 | 89 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2029 | 680 | 5 | 0 | 5 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2031 | 12,218 | 82 | 0 | 82 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2044 | 270 | 1 | 0 | 1 | |
4% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Mar 2054 | 303 | (2) | 0 | (2) | |
TOTAL INTEREST RATE SWAPS | 318 | 0 | 318 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(d) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $1,889,000. |
(e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $543,000. |
(f) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,608,000. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | 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 $24,889,000 or 5.3% of net assets. |
(i) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(j) | Level 3 security |
(k) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(l) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 9,169 | 129,807 | 96,849 | 483 | - | - | 42,127 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.39% | - | 4,213 | 4,213 | - | - | - | - | 0.0% |
Total | 9,169 | 134,020 | 101,062 | 483 | - | - | 42,127 | |
Valuation Inputs at Reporting Date: | ||||
Description (Amounts in thousands) | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 3,213 | - | 3,213 | - |
U.S. Government Agency - Mortgage Securities | 628,635 | - | 628,635 | - |
Asset-Backed Securities | 15,115 | - | 15,115 | - |
Collateralized Mortgage Obligations | 31,265 | - | 31,265 | - |
Commercial Mortgage Securities | 48,104 | - | 48,104 | - |
Money Market Funds | 42,127 | 42,127 | - | - |
Purchased Swaptions | 632 | - | 632 | - |
Total Investments in Securities: | 769,091 | 42,127 | 726,964 | - |
Derivative Instruments: Assets | ||||
Futures Contracts | 62 | 62 | - | - |
Swaps | 1,091 | - | 1,091 | - |
Total Assets | 1,153 | 62 | 1,091 | - |
Liabilities | ||||
Futures Contracts | (108) | (108) | - | - |
Swaps | (68) | - | (68) | - |
Written Swaptions | (1,217) | - | (1,217) | - |
Total Liabilities | (1,393) | (108) | (1,285) | - |
Total Derivative Instruments: | (240) | (46) | (194) | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (121,827) | - | (121,827) | - |
Total Other Financial Instruments: | (121,827) | - | (121,827) | - |
Primary Risk Exposure / Derivative Type | Value | |
(Amounts in thousands) | Asset ($) | Liability ($) |
Credit Risk | ||
Swaps (a) | 771 | (66) |
Total Credit Risk | 771 | (66) |
Interest Rate Risk | ||
Futures Contracts (b) | 62 | (108) |
Purchased Swaptions (c) | 632 | 0 |
Swaps (d) | 320 | (2) |
Written Swaptions (e) | 0 | (1,217) |
Total Interest Rate Risk | 1,014 | (1,327) |
Total Value of Derivatives | 1,785 | (1,393) |
Statement of Assets and Liabilities | ||||
Amounts in thousands (except per-share amounts) | February 29, 2024 (Unaudited) | |||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $760,777) | $ | 726,964 | ||
Fidelity Central Funds (cost $42,127) | 42,127 | |||
Total Investment in Securities (cost $802,904) | $ | 769,091 | ||
Receivable for investments sold | 573 | |||
Receivable for premium on written options | 1,246 | |||
Receivable for TBA sale commitments | 121,960 | |||
Receivable for fund shares sold | 413 | |||
Interest receivable | 1,283 | |||
Distributions receivable from Fidelity Central Funds | 169 | |||
Bi-lateral OTC swaps, at value | 771 | |||
Receivable from investment adviser for expense reductions | 5 | |||
Total assets | 895,511 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 8,405 | ||
Delayed delivery | 292,784 | |||
TBA sale commitments, at value | 121,827 | |||
Payable for fund shares redeemed | 490 | |||
Distributions payable | 354 | |||
Bi-lateral OTC swaps, at value | 66 | |||
Accrued management fee | 115 | |||
Distribution and service plan fees payable | 7 | |||
Payable for daily variation margin on futures contracts | 12 | |||
Payable for daily variation margin on centrally cleared swaps | 46 | |||
Written options, at value (premium receivable $1,246) | 1,217 | |||
Other affiliated payables | 60 | |||
Other payables and accrued expenses | 2 | |||
Total Liabilities | 425,385 | |||
Net Assets | $ | 470,126 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 588,185 | ||
Total accumulated earnings (loss) | (118,059) | |||
Net Assets | $ | 470,126 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($18,602 ÷ 1,931 shares)(a) | $ | 9.63 | ||
Maximum offering price per share (100/96.00 of $9.63) | $ | 10.03 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($7,364 ÷ 763 shares)(a) | $ | 9.65 | ||
Maximum offering price per share (100/96.00 of $9.65) | $ | 10.05 | ||
Class C : | ||||
Net Asset Value and offering price per share ($1,619 ÷ 170 shares)(a)(b) | $ | 9.55 | ||
Fidelity Mortgage Securities Fund : | ||||
Net Asset Value, offering price and redemption price per share ($326,812 ÷ 33,778 shares) | $ | 9.68 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($20,203 ÷ 2,096 shares) | $ | 9.64 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($95,526 ÷ 9,899 shares) | $ | 9.65 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. | ||||
(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or shares. |
Statement of Operations | ||||
Amounts in thousands | Six months ended February 29, 2024 (Unaudited) | |||
Investment Income | ||||
Interest | $ | 8,747 | ||
Income from Fidelity Central Funds | 483 | |||
Total Income | 9,230 | |||
Expenses | ||||
Management fee | $ | 675 | ||
Transfer agent fees | 228 | |||
Distribution and service plan fees | 42 | |||
Fund wide operations fee | 122 | |||
Independent trustees' fees and expenses | 1 | |||
Total expenses before reductions | 1,068 | |||
Expense reductions | (23) | |||
Total expenses after reductions | 1,045 | |||
Net Investment income (loss) | 8,185 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (16,789) | |||
Futures contracts | (451) | |||
Swaps | (1,236) | |||
Total net realized gain (loss) | (18,476) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 15,422 | |||
Futures contracts | 531 | |||
Swaps | 304 | |||
Written options | 29 | |||
TBA Sale commitments | 577 | |||
Total change in net unrealized appreciation (depreciation) | 16,863 | |||
Net gain (loss) | (1,613) | |||
Net increase (decrease) in net assets resulting from operations | $ | 6,572 |
Statement of Changes in Net Assets | ||||
Amount in thousands | Six months ended February 29, 2024 (Unaudited) | Year ended August 31, 2023 | ||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 8,185 | $ | 29,132 |
Net realized gain (loss) | (18,476) | (85,572) | ||
Change in net unrealized appreciation (depreciation) | 16,863 | 31,375 | ||
Net increase (decrease) in net assets resulting from operations | 6,572 | (25,065) | ||
Distributions to shareholders | (8,980) | (28,042) | ||
Share transactions - net increase (decrease) | (21,656) | (453,695) | ||
Total increase (decrease) in net assets | (24,064) | (506,802) | ||
Net Assets | ||||
Beginning of period | 494,190 | 1,000,992 | ||
End of period | $ | 470,126 | $ | 494,190 |
Fidelity Advisor® Mortgage Securities Fund Class A |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 10.17 | $ | 11.49 | $ | 11.66 | $ | 11.37 | $ | 10.89 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .154 | .268 | .083 | (.002) | .174 | .257 | ||||||
Net realized and unrealized gain (loss) | .028 | (.559) | (1.272) | (.029) | .330 | .465 | ||||||
Total from investment operations | .182 | (.291) | (1.189) | (.031) | .504 | .722 | ||||||
Distributions from net investment income | (.172) | (.259) | (.094) | (.028) C | (.214) | (.242) | ||||||
Distributions from net realized gain | - | - | (.037) | (.111) C | - | - | ||||||
Total distributions | (.172) | (.259) | (.131) | (.139) | (.214) | (.242) | ||||||
Net asset value, end of period | $ | 9.63 | $ | 9.62 | $ | 10.17 | $ | 11.49 | $ | 11.66 | $ | 11.37 |
Total Return D,E,F | 1.91% | (2.88)% | (10.42)% | (.27)% | 4.49% | 6.73% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .81% I | .80% | .79% | .78% | .79% | .80% | ||||||
Expenses net of fee waivers, if any | .81% I | .80% | .79% | .78% | .79% | .80% | ||||||
Expenses net of all reductions | .81% I | .80% | .79% | .78% | .79% | .80% | ||||||
Net investment income (loss) | 3.25% I | 2.73% | .76% | (.01)% | 1.51% | 2.33% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 19 | $ | 20 | $ | 27 | $ | 33 | $ | 29 | $ | 29 |
Portfolio turnover rate J | 721% I | 865% K | 662% | 1032% | 741% K | 680% K |
Fidelity Advisor® Mortgage Securities Fund Class M |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.19 | $ | 11.52 | $ | 11.68 | $ | 11.40 | $ | 10.91 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .155 | .270 | .082 | (.003) | .173 | .257 | ||||||
Net realized and unrealized gain (loss) | .027 | (.559) | (1.281) | (.018) | .321 | .475 | ||||||
Total from investment operations | .182 | (.289) | (1.199) | (.021) | .494 | .732 | ||||||
Distributions from net investment income | (.172) | (.261) | (.094) | (.028) C | (.214) | (.242) | ||||||
Distributions from net realized gain | - | - | (.037) | (.111) C | - | - | ||||||
Total distributions | (.172) | (.261) | (.131) | (.139) | (.214) | (.242) | ||||||
Net asset value, end of period | $ | 9.65 | $ | 9.64 | $ | 10.19 | $ | 11.52 | $ | 11.68 | $ | 11.40 |
Total Return D,E,F | 1.91% | (2.85)% | (10.48)% | (.18)% | 4.38% | 6.80% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .81% I | .79% | .79% | .79% | .80% | .81% | ||||||
Expenses net of fee waivers, if any | .81% I | .79% | .79% | .79% | .80% | .81% | ||||||
Expenses net of all reductions | .81% I | .79% | .79% | .79% | .80% | .81% | ||||||
Net investment income (loss) | 3.26% I | 2.75% | .76% | (.02)% | 1.51% | 2.33% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 7 | $ | 8 | $ | 10 | $ | 12 | $ | 14 | $ | 15 |
Portfolio turnover rate J | 721% I | 865% K | 662% | 1032% | 741% K | 680% K |
Fidelity Advisor® Mortgage Securities Fund Class C |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.54 | $ | 10.08 | $ | 11.42 | $ | 11.64 | $ | 11.36 | $ | 10.87 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .116 | .188 | (.005) | (.092) | .084 | .177 | ||||||
Net realized and unrealized gain (loss) | .027 | (.549) | (1.270) | (.018) | .320 | .473 | ||||||
Total from investment operations | .143 | (.361) | (1.275) | (.110) | .404 | .650 | ||||||
Distributions from net investment income | (.133) | (.179) | (.028) | (.007) C | (.124) | (.160) | ||||||
Distributions from net realized gain | - | - | (.037) | (.103) C | - | - | ||||||
Total distributions | (.133) | (.179) | (.065) | (.110) | (.124) | (.160) | ||||||
Net asset value, end of period | $ | 9.55 | $ | 9.54 | $ | 10.08 | $ | 11.42 | $ | 11.64 | $ | 11.36 |
Total Return D,E,F | 1.51% | (3.60)% | (11.21)% | (.95)% | 3.59% | 6.04% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | 1.61% I | 1.60% | 1.60% | 1.56% | 1.58% | 1.54% | ||||||
Expenses net of fee waivers, if any | 1.61% I | 1.60% | 1.60% | 1.56% | 1.58% | 1.54% | ||||||
Expenses net of all reductions | 1.61% I | 1.60% | 1.60% | 1.56% | 1.58% | 1.54% | ||||||
Net investment income (loss) | 2.46% I | 1.93% | (.05)% | (.80)% | .73% | 1.61% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 2 | $ | 2 | $ | 3 | $ | 4 | $ | 6 | $ | 5 |
Portfolio turnover rate J | 721% I | 865% K | 662% | 1032% | 741% K | 680% K |
Fidelity® Mortgage Securities Fund |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.66 | $ | 10.22 | $ | 11.54 | $ | 11.69 | $ | 11.40 | $ | 10.91 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .172 | .306 | .120 | .037 | .214 | .298 | ||||||
Net realized and unrealized gain (loss) | .037 | (.572) | (1.275) | (.025) | .331 | .474 | ||||||
Total from investment operations | .209 | (.266) | (1.155) | .012 | .545 | .772 | ||||||
Distributions from net investment income | (.189) | (.294) | (.128) | (.042) C | (.255) | (.282) | ||||||
Distributions from net realized gain | - | - | (.037) | (.120) C | - | - | ||||||
Total distributions | (.189) | (.294) | (.165) | (.162) | (.255) | (.282) | ||||||
Net asset value, end of period | $ | 9.68 | $ | 9.66 | $ | 10.22 | $ | 11.54 | $ | 11.69 | $ | 11.40 |
Total Return D,E | 2.20% | (2.61)% | (10.09)% | .10% | 4.84% | 7.19% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .45% H | .45% | .45% | .45% | .45% | .45% | ||||||
Expenses net of fee waivers, if any | .45% H | .45% | .45% | .45% | .45% | .45% | ||||||
Expenses net of all reductions | .45% H | .45% | .45% | .45% | .45% | .45% | ||||||
Net investment income (loss) | 3.61% H | 3.08% | 1.10% | .32% | 1.86% | 2.69% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 327 | $ | 358 | $ | 837 | $ | 1,003 | $ | 819 | $ | 696 |
Portfolio turnover rate I | 721% H | 865% J | 662% | 1032% | 741% J | 680% J |
Fidelity Advisor® Mortgage Securities Fund Class I |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 10.18 | $ | 11.50 | $ | 11.64 | $ | 11.36 | $ | 10.87 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .169 | .297 | .113 | .030 | .211 | .292 | ||||||
Net realized and unrealized gain (loss) | .037 | (.570) | (1.274) | (.012) | .319 | .475 | ||||||
Total from investment operations | .206 | (.273) | (1.161) | .018 | .530 | .767 | ||||||
Distributions from net investment income | (.186) | (.287) | (.122) | (.040) C | (.250) | (.277) | ||||||
Distributions from net realized gain | - | - | (.037) | (.118) C | - | - | ||||||
Total distributions | (.186) | (.287) | (.159) | (.158) | (.250) | (.277) | ||||||
Net asset value, end of period | $ | 9.64 | $ | 9.62 | $ | 10.18 | $ | 11.50 | $ | 11.64 | $ | 11.36 |
Total Return D,E | 2.18% | (2.70)% | (10.17)% | .16% | 4.72% | 7.17% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .50% H | .52% | .51% | .51% | .49% | .49% | ||||||
Expenses net of fee waivers, if any | .50% H | .52% | .51% | .51% | .49% | .49% | ||||||
Expenses net of all reductions | .50% H | .52% | .51% | .51% | .48% | .49% | ||||||
Net investment income (loss) | 3.56% H | 3.01% | 1.04% | .26% | 1.82% | 2.65% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 20 | $ | 20 | $ | 38 | $ | 51 | $ | 23 | $ | 47 |
Portfolio turnover rate I | 721% H | 865% J | 662% | 1032% | 741% J | 680% J |
Fidelity Advisor® Mortgage Securities Fund Class Z |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 A | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.19 | $ | 11.51 | $ | 11.65 | $ | 11.37 | $ | 10.80 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .176 | .315 | .130 | .047 | .225 | .245 | ||||||
Net realized and unrealized gain (loss) | .027 | (.563) | (1.275) | (.018) | .319 | .589 | ||||||
Total from investment operations | .203 | (.248) | (1.145) | .029 | .544 | .834 | ||||||
Distributions from net investment income | (.193) | (.302) | (.138) | (.046) D | (.264) | (.264) | ||||||
Distributions from net realized gain | - | - | (.037) | (.123) D | - | - | ||||||
Total distributions | (.193) | (.302) | (.175) | (.169) | (.264) | (.264) | ||||||
Net asset value, end of period | $ | 9.65 | $ | 9.64 | $ | 10.19 | $ | 11.51 | $ | 11.65 | $ | 11.37 |
Total Return E,F | 2.14% | (2.44)% | (10.03)% | .25% | 4.85% | 7.82% | ||||||
Ratios to Average Net Assets C,G,H | ||||||||||||
Expenses before reductions | .40% I | .40% | .40% | .40% | .40% | .39% I | ||||||
Expenses net of fee waivers, if any | .36% I | .36% | .36% | .36% | .36% | .36% I | ||||||
Expenses net of all reductions | .36% I | .36% | .36% | .36% | .36% | .36% I | ||||||
Net investment income (loss) | 3.71% I | 3.17% | 1.19% | .41% | 1.95% | 2.76% I | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 96 | $ | 86 | $ | 86 | $ | 127 | $ | 52 | $ | 105 |
Portfolio turnover rate J | 721% I | 865% K | 662% | 1032% | 741% K | 680% K |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $2,616 |
Gross unrealized depreciation | (36,323) |
Net unrealized appreciation (depreciation) | $(33,707) |
Tax cost | $802,932 |
Short-term | $(53,154) |
Long-term | (9,608) |
Total capital loss carryforward | $(62,762) |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Advisor Mortgage Securities Fund | ||
Credit Risk | ||
Swaps | (35) | (260) |
Total Credit Risk | (35) | (260) |
Interest Rate Risk | ||
Futures Contracts | (451) | 531 |
Purchased Options | - | (8) |
Written Options | - | 29 |
Swaps | (1,201) | 564 |
Total Interest Rate Risk | (1,652) | 1,116 |
Totals | (1,687) | 856 |
Purchases ($) | Sales ($) | |
Fidelity Advisor Mortgage Securities Fund | 1,156,797 | 1,099,821 |
Shares | Total net realized gain or loss($) | Total Proceeds($) | Participating classes | |
Fidelity Advisor Mortgage Securities Fund | 55,765 | (48,662) | 543,713 | Fidelity Mortgage Securities Fund |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $25 | $-A |
Class M | -% | .25% | 9 | -A |
Class C | .75% | .25% | 8 | 1 |
$42 | $1 |
Retained by FDC | |
Class A | $1 |
Class M | -B |
Class C A | -B |
$1 |
Amount | % of Class-Level Average Net AssetsA | |
Class A | $20 | .21 |
Class M | 8 | .21 |
Class C | 2 | .25 |
Fidelity Mortgage Securities Fund | 161 | .10 |
Class I | 16 | .15 |
Class Z | 21 | .05 |
$228 |
Fidelity Advisor Mortgage Securities Fund | .05% |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Advisor Mortgage Securities Fund | $-A | $- | $- |
Expense Limitations | Reimbursement | |
Class Z | .36% | 18 |
Transfer Agent Credits | |
Class M | $-A |
Six months ended February 29, 2024 | Year ended August 31, 2023 | |
Fidelity Advisor Mortgage Securities Fund | ||
Distributions to shareholders | ||
Class A | $342 | $596 |
Class M | 135 | 234 |
Class C | 24 | 41 |
Fidelity Mortgage Securities Fund | 6,346 | 22,200 |
Class I | 417 | 977 |
Class Z | 1,716 | 3,994 |
Total | $8,980 | $28,042 |
Shares | Shares | Dollars | Dollars | |
Six months ended February 29, 2024 | Year ended August 31, 2023 | Six months ended February 29, 2024 | Year ended August 31, 2023 | |
Fidelity Advisor Mortgage Securities Fund | ||||
Class A | ||||
Shares sold | 69 | 145 | $651 | $1,430 |
Reinvestment of distributions | 33 | 57 | 318 | 556 |
Shares redeemed | (300) | (745) | (2,829) | (7,333) |
Net increase (decrease) | (198) | (543) | $(1,860) | $(5,347) |
Class M | ||||
Shares sold | 15 | 55 | $145 | $527 |
Reinvestment of distributions | 14 | 23 | 132 | 228 |
Shares redeemed | (76) | (255) | (723) | (2,476) |
Net increase (decrease) | (47) | (177) | $(446) | $(1,721) |
Class C | ||||
Shares sold | 11 | 24 | $94 | $234 |
Reinvestment of distributions | 2 | 4 | 24 | 40 |
Shares redeemed | (35) | (102) | (330) | (995) |
Net increase (decrease) | (22) | (74) | $(212) | $(721) |
Fidelity Mortgage Securities Fund | ||||
Shares sold | 9,922 | 62,353 | $93,613 | $605,892 |
Reinvestment of distributions | 437 | 1,836 | 4,196 | 18,073 |
Shares redeemed | (13,636) | (109,036) | (126,776) | (1,058,431) |
Net increase (decrease) | (3,277) | (44,847) | $(28,967) | $(434,466) |
Class I | ||||
Shares sold | 755 | 2,608 | $7,098 | $25,870 |
Reinvestment of distributions | 42 | 97 | 406 | 948 |
Shares redeemed | (782) | (4,383) | (7,570) | (43,404) |
Net increase (decrease) | 15 | (1,678) | $(66) | $(16,586) |
Class Z | ||||
Shares sold | 2,275 | 14,073 | $22,098 | $140,015 |
Reinvestment of distributions | 167 | 382 | 1,606 | 3,758 |
Shares redeemed | (1,472) | (13,966) | (13,809) | (138,627) |
Net increase (decrease) | 970 | 489 | $9,895 | $5,146 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024). |
Annualized Expense Ratio- A | Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 | |||||||
Fidelity Advisor® Mortgage Securities Fund | ||||||||||
Class A | .81% | |||||||||
Actual | $ 1,000 | $ 1,019.10 | $ 4.07 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.84 | $ 4.07 | |||||||
Class M | .81% | |||||||||
Actual | $ 1,000 | $ 1,019.10 | $ 4.07 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.84 | $ 4.07 | |||||||
Class C | 1.61% | |||||||||
Actual | $ 1,000 | $ 1,015.10 | $ 8.07 | |||||||
Hypothetical-B | $ 1,000 | $ 1,016.86 | $ 8.07 | |||||||
Fidelity® Mortgage Securities Fund | .45% | |||||||||
Actual | $ 1,000 | $ 1,022.00 | $ 2.26 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.63 | $ 2.26 | |||||||
Class I | .50% | |||||||||
Actual | $ 1,000 | $ 1,021.80 | $ 2.51 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.38 | $ 2.51 | |||||||
Class Z | .36% | |||||||||
Actual | $ 1,000 | $ 1,021.40 | $ 1.81 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.07 | $ 1.81 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. | ||
Proposal 1 | ||
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Abigail P. Johnson | ||
Affirmative | 11,814,004,433.55 | 97.25 |
Withheld | 334,633,605.07 | 2.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Jennifer Toolin McAuliffe | ||
Affirmative | 11,801,437,777.69 | 97.14 |
Withheld | 347,200,260.93 | 2.86 |
TOTAL | 12,148,638,038.62 | 100.00 |
Christine J. Thompson | ||
Affirmative | 11,799,735,265.07 | 97.13 |
Withheld | 348,902,773.55 | 2.87 |
TOTAL | 12,148,638,038.62 | 100.00 |
Elizabeth S. Acton | ||
Affirmative | 11,763,944,249.67 | 96.83 |
Withheld | 384,693,788.95 | 3.17 |
TOTAL | 12,148,638,038.62 | 100.00 |
Laura M. Bishop | ||
Affirmative | 11,816,418,545.71 | 97.27 |
Withheld | 332,219,492.91 | 2.73 |
TOTAL | 12,148,638,038.62 | 100.00 |
Ann E. Dunwoody | ||
Affirmative | 11,766,162,744.64 | 96.85 |
Withheld | 382,475,293.98 | 3.15 |
TOTAL | 12,148,638,038.62 | 100.00 |
John Engler | ||
Affirmative | 11,692,629,526.64 | 96.25 |
Withheld | 456,008,511.98 | 3.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert F. Gartland | ||
Affirmative | 11,762,176,459.70 | 96.82 |
Withheld | 386,461,578.92 | 3.18 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert W. Helm | ||
Affirmative | 11,797,887,400.14 | 97.11 |
Withheld | 350,750,638.48 | 2.89 |
TOTAL | 12,148,638,038.62 | 100.00 |
Arthur E. Johnson | ||
Affirmative | 11,722,693,701.64 | 96.49 |
Withheld | 425,944,336.98 | 3.51 |
TOTAL | 12,148,638,038.62 | 100.00 |
Michael E. Kenneally | ||
Affirmative | 11,755,380,864.02 | 96.76 |
Withheld | 393,257,174.60 | 3.24 |
TOTAL | 12,148,638,038.62 | 100.00 |
Mark A. Murray | ||
Affirmative | 11,768,949,175.31 | 96.87 |
Withheld | 379,688,863.31 | 3.13 |
TOTAL | 12,148,638,038.62 | 100.00 |
Carol J. Zierhoffer | ||
Affirmative | 11,806,868,951.90 | 97.19 |
Withheld | 341,769,086.72 | 2.81 |
TOTAL | 12,148,638,038.62 | 100.00 |
Proposal 1 reflects trust wide proposal and voting results. |
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Contents
Quality Diversification (% of Fund's net assets) |
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We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
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Futures - 15.5% |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Geographic Diversification (% of Fund's net assets) |
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* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Nonconvertible Bonds - 69.9% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 3.8% | |||
Diversified Telecommunication Services - 1.8% | |||
Altice France SA 8.125% 2/1/27 (b) | 400,000 | 367,628 | |
AT&T, Inc. 1.65% 2/1/28 | 12,588,000 | 11,076,204 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 2,400,000 | 2,262,000 | |
Cogent Communications Group, Inc. 7% 6/15/27 (b) | 650,000 | 649,103 | |
Consolidated Communications, Inc. 5% 10/1/28 (b) | 400,000 | 330,404 | |
NTT Finance Corp.: | |||
1.162% 4/3/26 (b) | 8,933,000 | 8,229,067 | |
1.591% 4/3/28 (b) | 10,000,000 | 8,770,548 | |
Verizon Communications, Inc.: | |||
2.355% 3/15/32 | 6,779,000 | 5,496,335 | |
3% 3/22/27 | 626,000 | 589,228 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | 450,000 | 374,625 | |
38,145,142 | |||
Entertainment - 0.1% | |||
Live Nation Entertainment, Inc. 4.75% 10/15/27 (b) | 1,450,000 | 1,388,252 | |
Media - 1.2% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 400,000 | 372,300 | |
Altice Financing SA 5% 1/15/28 (b) | 1,400,000 | 1,238,638 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 5.125% 5/1/27 (b) | 2,400,000 | 2,268,396 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26 | 8,070,000 | 8,140,536 | |
Clear Channel Outdoor Holdings, Inc. 9% 9/15/28 (b) | 1,000,000 | 1,043,000 | |
Discovery Communications LLC 3.625% 5/15/30 | 1,664,000 | 1,462,596 | |
iHeartCommunications, Inc. 4.75% 1/15/28 (b) | 500,000 | 360,000 | |
Sirius XM Radio, Inc. 3.125% 9/1/26 (b) | 2,000,000 | 1,864,860 | |
Univision Communications, Inc. 8% 8/15/28 (b) | 350,000 | 351,869 | |
Warnermedia Holdings, Inc.: | |||
3.638% 3/15/25 | 1,048,000 | 1,025,885 | |
3.755% 3/15/27 | 7,549,000 | 7,143,157 | |
25,271,237 | |||
Wireless Telecommunication Services - 0.7% | |||
Rogers Communications, Inc. 2.95% 3/15/25 | 5,568,000 | 5,419,682 | |
T-Mobile U.S.A., Inc. 2.625% 4/15/26 | 10,100,000 | 9,558,143 | |
14,977,825 | |||
TOTAL COMMUNICATION SERVICES | 79,782,456 | ||
CONSUMER DISCRETIONARY - 5.7% | |||
Automobile Components - 0.1% | |||
Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | 1,210,000 | 1,224,647 | |
Macquarie AirFinance Holdings 8.125% 3/30/29 (b) | 1,050,000 | 1,091,738 | |
The Goodyear Tire & Rubber Co. 4.875% 3/15/27 | 560,000 | 537,469 | |
2,853,854 | |||
Automobiles - 2.8% | |||
Daimler Finance North America LLC 1.45% 3/2/26 (b) | 6,948,000 | 6,457,375 | |
General Motors Financial Co., Inc.: | |||
1.05% 3/8/24 | 2,306,000 | 2,304,798 | |
1.25% 1/8/26 | 8,359,000 | 7,745,864 | |
2.35% 2/26/27 | 7,500,000 | 6,875,199 | |
5.8% 6/23/28 | 7,500,000 | 7,616,954 | |
6% 1/9/28 | 5,000,000 | 5,104,665 | |
Hyundai Capital America 5.8% 6/26/25 (b) | 6,250,000 | 6,273,466 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 11/24/25 (b) | 15,040,000 | 14,005,010 | |
3.95% 6/6/25 (b) | 3,270,000 | 3,202,407 | |
59,585,738 | |||
Diversified Consumer Services - 0.1% | |||
Sotheby's 7.375% 10/15/27 (b) | 560,000 | 537,894 | |
TKC Holdings, Inc. 10.5% 5/15/29 (b) | 1,050,000 | 953,129 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | 1,250,000 | 1,212,500 | |
2,703,523 | |||
Hotels, Restaurants & Leisure - 1.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28 (b) | 650,000 | 606,307 | |
5.75% 4/15/25 (b) | 350,000 | 348,706 | |
Affinity Interactive 6.875% 12/15/27 (b) | 1,000,000 | 922,410 | |
Aramark Services, Inc. 5% 4/1/25 (b) | 1,000,000 | 993,620 | |
Boyd Gaming Corp. 4.75% 12/1/27 | 450,000 | 432,267 | |
Caesars Entertainment, Inc.: | |||
6.5% 2/15/32 (b) | 650,000 | 654,864 | |
8.125% 7/1/27 (b) | 900,000 | 924,107 | |
Carnival Corp.: | |||
7.625% 3/1/26 (b) | 2,400,000 | 2,431,225 | |
10.5% 6/1/30 (b) | 250,000 | 272,758 | |
Churchill Downs, Inc.: | |||
4.75% 1/15/28 (b) | 300,000 | 283,780 | |
6.75% 5/1/31 (b) | 500,000 | 500,298 | |
Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | 250,000 | 249,999 | |
International Game Technology PLC 4.125% 4/15/26 (b) | 800,000 | 772,117 | |
Las Vegas Sands Corp. 3.5% 8/18/26 | 400,000 | 376,109 | |
Life Time, Inc. 5.75% 1/15/26 (b) | 400,000 | 396,643 | |
Light & Wonder International, Inc. 7% 5/15/28 (b) | 1,000,000 | 1,004,723 | |
Melco Resorts Finance Ltd. 5.25% 4/26/26 (b) | 200,000 | 191,976 | |
MGM Resorts International 4.625% 9/1/26 | 930,000 | 901,634 | |
NCL Corp. Ltd. 5.875% 3/15/26 (b) | 900,000 | 879,075 | |
Ontario Gaming GTA LP 8% 8/1/30 (b) | 250,000 | 254,977 | |
Royal Caribbean Cruises Ltd.: | |||
5.5% 8/31/26 (b) | 2,550,000 | 2,520,824 | |
5.5% 4/1/28 (b) | 1,050,000 | 1,030,805 | |
7.25% 1/15/30 (b) | 800,000 | 831,740 | |
Six Flags Entertainment Corp. 5.5% 4/15/27 (b) | 550,000 | 538,313 | |
Starbucks Corp. 3.8% 8/15/25 | 2,340,000 | 2,291,308 | |
Studio City Finance Ltd. 5% 1/15/29 (b) | 200,000 | 174,500 | |
Viking Cruises Ltd. 9.125% 7/15/31 (b) | 1,000,000 | 1,082,579 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | 300,000 | 293,571 | |
22,161,235 | |||
Household Durables - 0.1% | |||
Newell Brands, Inc. 5.2% 4/1/26 (c) | 650,000 | 631,190 | |
Tempur Sealy International, Inc. 4% 4/15/29 (b) | 850,000 | 761,892 | |
1,393,082 | |||
Leisure Products - 0.0% | |||
Mattel, Inc. 5.875% 12/15/27 (b) | 450,000 | 450,286 | |
Specialty Retail - 1.2% | |||
Advance Auto Parts, Inc. 5.95% 3/9/28 | 6,525,000 | 6,518,582 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 545,000 | 535,000 | |
5.05% 7/15/26 | 4,000,000 | 3,991,470 | |
6.25% 11/1/28 | 3,398,000 | 3,533,587 | |
Lowe's Companies, Inc. 4.8% 4/1/26 | 985,000 | 978,982 | |
O'Reilly Automotive, Inc. 5.75% 11/20/26 | 1,697,000 | 1,721,007 | |
Ross Stores, Inc. 0.875% 4/15/26 | 7,357,000 | 6,728,430 | |
Staples, Inc. 7.5% 4/15/26 (b) | 700,000 | 672,990 | |
Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | 300,000 | 308,250 | |
24,988,298 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Hanesbrands, Inc. 4.875% 5/15/26 (b) | 900,000 | 868,521 | |
Tapestry, Inc.: | |||
7% 11/27/26 | 891,000 | 915,104 | |
7.35% 11/27/28 | 3,425,000 | 3,582,558 | |
5,366,183 | |||
TOTAL CONSUMER DISCRETIONARY | 119,502,199 | ||
CONSUMER STAPLES - 5.7% | |||
Beverages - 0.5% | |||
Molson Coors Beverage Co. 3% 7/15/26 | 10,575,000 | 10,071,952 | |
Consumer Staples Distribution & Retail - 1.1% | |||
7-Eleven, Inc.: | |||
0.95% 2/10/26 (b) | 7,891,000 | 7,272,040 | |
1.3% 2/10/28 (b) | 3,614,000 | 3,135,839 | |
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.25% 3/15/26 (b) | 1,100,000 | 1,045,215 | |
6.5% 2/15/28 (b) | 1,000,000 | 1,006,209 | |
Dollar General Corp. 4.625% 11/1/27 | 4,000,000 | 3,923,468 | |
Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 5,892,607 | |
KeHE Distributor / Nextwave 9% 2/15/29 (b) | 350,000 | 351,027 | |
Performance Food Group, Inc. 5.5% 10/15/27 (b) | 400,000 | 391,733 | |
23,018,138 | |||
Food Products - 1.8% | |||
Chobani LLC/Finance Corp., Inc. 7.625% 7/1/29 (b) | 250,000 | 251,297 | |
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc. 2.5% 1/15/27 | 5,515,000 | 5,059,694 | |
JDE Peet's BV: | |||
0.8% 9/24/24 (b) | 8,000,000 | 7,764,336 | |
1.375% 1/15/27 (b) | 10,440,000 | 9,335,778 | |
McCormick & Co., Inc. 0.9% 2/15/26 | 15,000,000 | 13,792,768 | |
Post Holdings, Inc.: | |||
5.625% 1/15/28 (b) | 200,000 | 196,330 | |
6.25% 2/15/32 (b) | 1,150,000 | 1,155,945 | |
37,556,148 | |||
Personal Care Products - 0.0% | |||
Coty, Inc. 5% 4/15/26 (b) | 1,100,000 | 1,078,000 | |
Tobacco - 2.3% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,003,000 | 968,537 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 15,000,000 | 13,897,112 | |
3.95% 6/15/25 (b) | 5,000,000 | 4,886,937 | |
5.931% 2/2/29 | 5,000,000 | 5,106,157 | |
Imperial Tobacco Finance PLC 4.25% 7/21/25 (b) | 13,000,000 | 12,740,783 | |
Philip Morris International, Inc.: | |||
0.875% 5/1/26 | 4,502,000 | 4,113,931 | |
4.875% 2/13/29 | 6,400,000 | 6,290,544 | |
48,004,001 | |||
TOTAL CONSUMER STAPLES | 119,728,239 | ||
ENERGY - 5.5% | |||
Energy Equipment & Services - 0.2% | |||
Baker Hughes Co. 2.061% 12/15/26 | 1,781,000 | 1,642,596 | |
Kodiak Gas Services LLC 7.25% 2/15/29 (b) | 350,000 | 356,327 | |
Seadrill Finance Ltd. 8.375% 8/1/30 (b) | 450,000 | 462,450 | |
Transocean Aquila Ltd. 8% 9/30/28 (b) | 1,100,000 | 1,120,625 | |
U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 6.875% 4/1/26 | 550,000 | 549,251 | |
Valaris Ltd. 8.375% 4/30/30 (b) | 300,000 | 307,616 | |
4,438,865 | |||
Oil, Gas & Consumable Fuels - 5.3% | |||
Altus Midstream LP 6.625% 12/15/28 (b) | 450,000 | 455,537 | |
Buckeye Partners LP: | |||
4.125% 3/1/25 (b) | 500,000 | 488,948 | |
4.125% 12/1/27 | 1,400,000 | 1,302,980 | |
California Resources Corp. 7.125% 2/1/26 (b) | 250,000 | 251,318 | |
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | 300,000 | 297,179 | |
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 3,668,000 | 3,500,220 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 600,000 | 575,928 | |
Chesapeake Energy Corp. 5.5% 2/1/26 (b) | 200,000 | 198,250 | |
Citgo Petroleum Corp. 6.375% 6/15/26 (b) | 500,000 | 503,116 | |
CrownRock LP/CrownRock Finance, Inc. 5.625% 10/15/25 (b) | 850,000 | 845,793 | |
CVR Energy, Inc. 8.5% 1/15/29 (b) | 600,000 | 603,750 | |
Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b)(d) | 600,000 | 600,639 | |
EG Global Finance PLC 12% 11/30/28 (b) | 1,600,000 | 1,689,200 | |
Enbridge, Inc.: | |||
1.6% 10/4/26 | 10,000,000 | 9,141,424 | |
2.5% 2/14/25 | 1,440,000 | 1,399,618 | |
5.9% 11/15/26 | 2,300,000 | 2,342,994 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 7,150,000 | 6,923,122 | |
4.5% 4/15/24 | 570,000 | 568,992 | |
EnLink Midstream Partners LP 4.85% 7/15/26 | 500,000 | 487,507 | |
EQM Midstream Partners LP 7.5% 6/1/27 (b) | 1,000,000 | 1,023,102 | |
Equinor ASA: | |||
1.75% 1/22/26 | 1,120,000 | 1,054,687 | |
2.875% 4/6/25 | 7,000,000 | 6,832,572 | |
Genesis Energy LP/Genesis Energy Finance Corp. 8% 1/15/27 | 1,150,000 | 1,157,956 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 2,150,000 | 2,150,688 | |
Hess Corp. 4.3% 4/1/27 | 4,500,000 | 4,390,138 | |
Hess Midstream Operations LP 5.625% 2/15/26 (b) | 900,000 | 887,265 | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. 6% 8/1/26 (b) | 450,000 | 441,128 | |
MPLX LP 1.75% 3/1/26 | 15,044,000 | 14,034,679 | |
New Fortress Energy, Inc. 6.5% 9/30/26 (b) | 1,950,000 | 1,882,800 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 8.125% 2/15/29 (b) | 350,000 | 353,299 | |
Northern Oil & Gas, Inc. 8.75% 6/15/31 (b) | 300,000 | 313,500 | |
Occidental Petroleum Corp.: | |||
5.875% 9/1/25 | 1,900,000 | 1,904,560 | |
8.5% 7/15/27 | 850,000 | 922,012 | |
PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | 550,000 | 563,574 | |
PDC Energy, Inc. 5.75% 5/15/26 | 650,000 | 649,086 | |
Petroleos Mexicanos: | |||
6.49% 1/23/27 | 6,035,000 | 5,640,854 | |
6.5% 3/13/27 | 12,000,000 | 11,191,800 | |
Phillips 66 Co.: | |||
1.3% 2/15/26 | 6,892,000 | 6,377,504 | |
3.85% 4/9/25 | 7,000,000 | 6,880,591 | |
Range Resources Corp. 4.875% 5/15/25 | 450,000 | 443,780 | |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | 1,000,000 | 1,022,100 | |
SM Energy Co. 6.625% 1/15/27 | 450,000 | 448,182 | |
Southwestern Energy Co. 5.7% 1/23/25 (c) | 400,000 | 397,834 | |
Sunoco LP/Sunoco Finance Corp. 6% 4/15/27 | 1,000,000 | 996,315 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b) | 950,000 | 937,650 | |
The Williams Companies, Inc. 5.4% 3/2/26 | 1,334,000 | 1,337,102 | |
Valero Energy Corp. 2.85% 4/15/25 | 2,437,000 | 2,366,773 | |
Venture Global Calcasieu Pass LLC 6.25% 1/15/30 (b) | 250,000 | 249,604 | |
Western Gas Partners LP 6.35% 1/15/29 | 846,000 | 873,266 | |
109,900,916 | |||
TOTAL ENERGY | 114,339,781 | ||
FINANCIALS - 29.7% | |||
Banks - 17.6% | |||
ABN AMRO Bank NV 1.542% 6/16/27 (b)(e) | 8,114,000 | 7,353,706 | |
Banco Santander SA 1.722% 9/14/27 (e) | 5,000,000 | 4,523,857 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (e)(f) | 7,000,000 | 6,955,697 | |
1.197% 10/24/26 (e) | 13,673,000 | 12,738,736 | |
1.319% 6/19/26 (e) | 16,000,000 | 15,144,177 | |
1.734% 7/22/27 (e) | 7,174,000 | 6,578,424 | |
2.015% 2/13/26 (e) | 11,000,000 | 10,627,149 | |
5.819% 9/15/29 (e) | 3,400,000 | 3,464,865 | |
Bank of America NA 5.526% 8/18/26 | 4,900,000 | 4,948,458 | |
Barclays PLC: | |||
2.279% 11/24/27 (e) | 5,000,000 | 4,569,767 | |
2.852% 5/7/26 (e) | 18,848,000 | 18,221,646 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(e)(f) | 7,417,000 | 6,859,734 | |
2.219% 6/9/26 (b)(e) | 8,627,000 | 8,258,576 | |
BPCE SA: | |||
1.652% 10/6/26 (b)(e) | 20,000,000 | 18,696,945 | |
2.045% 10/19/27 (b)(e) | 6,865,000 | 6,230,240 | |
Capital One NA 2.28% 1/28/26 (e) | 7,000,000 | 6,770,884 | |
Citigroup, Inc.: | |||
2.014% 1/25/26 (e) | 7,350,000 | 7,101,298 | |
3.106% 4/8/26 (e) | 10,000,000 | 9,733,114 | |
4.075% 4/23/29 (e) | 3,600,000 | 3,435,845 | |
5.61% 9/29/26 (e) | 4,000,000 | 4,005,075 | |
Danske Bank A/S 6.259% 9/22/26 (b)(e) | 5,262,000 | 5,316,249 | |
DNB Bank ASA: | |||
1.535% 5/25/27 (b)(e) | 4,643,000 | 4,259,471 | |
1.605% 3/30/28 (b)(e) | 9,570,000 | 8,519,279 | |
HAT Holdings I LLC/HAT Holdings II LLC 8% 6/15/27 (b) | 300,000 | 311,494 | |
HSBC Holdings PLC: | |||
1.589% 5/24/27 (e) | 10,000,000 | 9,155,381 | |
1.645% 4/18/26 (e) | 6,567,000 | 6,267,624 | |
3.803% 3/11/25 (e) | 5,000,000 | 4,997,487 | |
5.21% 8/11/28 (e) | 4,327,000 | 4,285,038 | |
ING Groep NV 1.726% 4/1/27 (e) | 4,192,000 | 3,880,571 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 5,031,000 | 4,985,066 | |
JPMorgan Chase & Co.: | |||
1.045% 11/19/26 (e) | 15,000,000 | 13,946,761 | |
1.47% 9/22/27 (e) | 10,000,000 | 9,086,331 | |
2.956% 5/13/31 (e) | 12,053,000 | 10,468,911 | |
Lloyds Banking Group PLC 2.438% 2/5/26 (e) | 2,636,000 | 2,553,542 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.412% 7/17/25 | 8,000,000 | 7,577,029 | |
1.538% 7/20/27 (e) | 10,000,000 | 9,148,975 | |
1.64% 10/13/27 (e) | 5,000,000 | 4,558,489 | |
Mizuho Financial Group, Inc. 1.234% 5/22/27 (e) | 10,000,000 | 9,138,354 | |
Morgan Stanley Bank, West Valley City Utah 5.882% 10/30/26 | 5,500,000 | 5,601,104 | |
Rabobank Nederland 1.98% 12/15/27 (b)(e) | 7,500,000 | 6,803,861 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,135,000 | 3,001,950 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (e) | 2,768,000 | 2,503,126 | |
3.45% 6/2/25 | 5,700,000 | 5,526,505 | |
5.807% 9/9/26 (e) | 3,000,000 | 2,996,071 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(e) | 7,870,000 | 7,258,367 | |
1.792% 6/9/27 (b)(e) | 6,750,000 | 6,148,128 | |
2.625% 10/16/24 (b) | 1,530,000 | 1,500,073 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.402% 9/17/26 | 10,000,000 | 9,111,399 | |
1.474% 7/8/25 | 5,000,000 | 4,751,775 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (e) | 10,000,000 | 9,672,387 | |
2.188% 4/30/26 (e) | 5,000,000 | 4,797,658 | |
4.3% 7/22/27 | 7,000,000 | 6,795,217 | |
6.303% 10/23/29 (e) | 5,800,000 | 6,011,598 | |
Western Alliance Bancorp. 3% 6/15/31 (e) | 500,000 | 438,500 | |
Westpac Banking Corp. 4.11% 7/24/34 (e) | 1,710,000 | 1,561,994 | |
369,153,958 | |||
Capital Markets - 5.4% | |||
Ares Capital Corp. 3.25% 7/15/25 | 10,000,000 | 9,605,159 | |
Athene Global Funding: | |||
1% 4/16/24 (b) | 8,000,000 | 7,951,937 | |
1.73% 10/2/26 (b) | 5,000,000 | 4,498,360 | |
Blackstone Private Credit Fund 4.7% 3/24/25 | 8,250,000 | 8,121,948 | |
Deutsche Bank AG 4.5% 4/1/25 | 2,904,000 | 2,848,330 | |
Deutsche Bank AG New York Branch: | |||
2.129% 11/24/26 (e) | 14,479,000 | 13,569,540 | |
2.311% 11/16/27 (e) | 7,028,000 | 6,384,547 | |
Goldman Sachs Group, Inc.: | |||
2.64% 2/24/28 (e) | 10,000,000 | 9,261,344 | |
6.484% 10/24/29 (e) | 3,900,000 | 4,086,234 | |
Morgan Stanley: | |||
2.188% 4/28/26 (e) | 5,000,000 | 4,811,784 | |
6.407% 11/1/29 (e) | 3,900,000 | 4,071,016 | |
Nomura Holdings, Inc. 1.653% 7/14/26 | 12,500,000 | 11,441,271 | |
State Street Corp. 2.901% 3/30/26 (e) | 305,000 | 296,879 | |
UBS AG London Branch 1.25% 6/1/26 | 8,000,000 | 7,334,887 | |
UBS Group AG: | |||
1.305% 2/2/27 (b)(e) | 10,000,000 | 9,193,831 | |
2.593% 9/11/25 (b)(e) | 4,805,000 | 4,722,486 | |
6.373% 7/15/26 (b)(e) | 4,500,000 | 4,530,875 | |
112,730,428 | |||
Consumer Finance - 3.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 1,507,000 | 1,466,258 | |
1.75% 1/30/26 | 7,095,000 | 6,591,591 | |
2.45% 10/29/26 | 2,102,000 | 1,938,865 | |
6.1% 1/15/27 | 5,500,000 | 5,568,724 | |
6.45% 4/15/27 (b) | 3,836,000 | 3,926,377 | |
Ally Financial, Inc.: | |||
5.125% 9/30/24 | 4,760,000 | 4,739,077 | |
6.848% 1/3/30 (e) | 5,700,000 | 5,825,550 | |
Capital One Financial Corp.: | |||
1.878% 11/2/27 (e) | 7,000,000 | 6,353,491 | |
5.468% 2/1/29 (e) | 1,983,000 | 1,972,035 | |
7.149% 10/29/27 (e) | 5,000,000 | 5,182,763 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 5,000,000 | 4,836,437 | |
3.375% 11/13/25 | 8,000,000 | 7,675,389 | |
6.95% 6/10/26 | 6,500,000 | 6,629,337 | |
Navient Corp. 6.75% 6/15/26 | 715,000 | 718,018 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 250,000 | 230,118 | |
6.875% 3/15/25 | 1,100,000 | 1,111,000 | |
Synchrony Financial 4.25% 8/15/24 | 2,551,000 | 2,527,567 | |
67,292,597 | |||
Financial Services - 1.3% | |||
AIG Global Funding 0.9% 9/22/25 (b) | 7,000,000 | 6,526,162 | |
Brixmor Operating Partnership LP 2.25% 4/1/28 | 4,348,000 | 3,846,932 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 943,000 | 921,007 | |
3.65% 4/5/27 | 1,345,000 | 1,276,239 | |
Enact Holdings, Inc. 6.5% 8/15/25 (b) | 200,000 | 200,008 | |
Freedom Mortgage Corp. 7.625% 5/1/26 (b) | 560,000 | 555,870 | |
GGAM Finance Ltd. 7.75% 5/15/26 (b) | 1,250,000 | 1,270,313 | |
Gn Bondco LLC 9.5% 10/15/31 (b) | 400,000 | 396,000 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.25% 5/15/27 | 1,750,000 | 1,607,813 | |
6.25% 5/15/26 | 1,000,000 | 974,441 | |
Jackson Financial, Inc. 5.17% 6/8/27 | 1,397,000 | 1,387,940 | |
Nationwide Building Society 6.557% 10/18/27 (b)(e) | 5,800,000 | 5,937,150 | |
PayPal Holdings, Inc. 1.65% 6/1/25 | 2,097,000 | 2,007,009 | |
The Western Union Co. 2.85% 1/10/25 | 1,242,000 | 1,211,700 | |
28,118,584 | |||
Insurance - 2.1% | |||
Acrisure LLC / Acrisure Finance, Inc. 8.25% 2/1/29 (b) | 500,000 | 494,017 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer 7% 1/15/31 (b) | 200,000 | 199,218 | |
Empower Finance 2020 LP 1.357% 9/17/27 (b) | 5,321,000 | 4,688,289 | |
Equitable Financial Life Global Funding: | |||
1.4% 8/27/27 (b) | 15,000,000 | 12,980,482 | |
1.7% 11/12/26 (b) | 5,000,000 | 4,520,138 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 3,381,000 | 3,173,582 | |
Guardian Life Global Funding 1.4% 7/6/27 (b) | 8,010,000 | 7,108,610 | |
Protective Life Global Funding 3.218% 3/28/25 (b) | 1,979,000 | 1,937,165 | |
RGA Global Funding 2% 11/30/26 (b) | 3,680,000 | 3,348,818 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 4,826,316 | |
43,276,635 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 1,500,000 | 1,480,080 | |
TOTAL FINANCIALS | 622,052,282 | ||
HEALTH CARE - 3.3% | |||
Biotechnology - 0.3% | |||
Amgen, Inc. 5.15% 3/2/28 | 6,578,000 | 6,590,698 | |
Health Care Equipment & Supplies - 0.4% | |||
Alcon Finance Corp. 2.75% 9/23/26 (b) | 4,038,000 | 3,790,469 | |
Boston Scientific Corp. 1.9% 6/1/25 | 5,000,000 | 4,794,230 | |
8,584,699 | |||
Health Care Providers & Services - 1.3% | |||
Community Health Systems, Inc. 5.625% 3/15/27 (b) | 1,950,000 | 1,784,105 | |
CVS Health Corp. 5% 2/20/26 | 8,000,000 | 7,963,693 | |
HCA Holdings, Inc.: | |||
3.125% 3/15/27 | 7,100,000 | 6,671,285 | |
5.875% 2/15/26 | 650,000 | 652,694 | |
Humana, Inc. 5.75% 12/1/28 | 6,000,000 | 6,127,799 | |
Modivcare, Inc. 5.875% 11/15/25 (b) | 250,000 | 244,101 | |
RegionalCare Hospital Partners Holdings, Inc. 11% 10/15/30 (b) | 300,000 | 317,341 | |
Tenet Healthcare Corp. 5.125% 11/1/27 | 2,300,000 | 2,251,392 | |
26,012,410 | |||
Health Care Technology - 0.1% | |||
IQVIA, Inc. 5% 5/15/27 (b) | 1,650,000 | 1,606,338 | |
Pharmaceuticals - 1.2% | |||
1375209 BC Ltd. 9% 1/30/28 (b) | 550,000 | 537,658 | |
Bausch Health Companies, Inc.: | |||
5.5% 11/1/25 (b) | 1,150,000 | 1,070,202 | |
11% 9/30/28 (b) | 900,000 | 605,250 | |
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24 (b) | 5,000,000 | 4,948,973 | |
4.25% 12/15/25 (b) | 10,500,000 | 10,209,201 | |
Bayer U.S. Finance LLC 3.375% 10/8/24 (b) | 7,000,000 | 6,883,438 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 465,000 | 428,397 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b) | 550,000 | 503,173 | |
Viatris, Inc. 1.65% 6/22/25 | 480,000 | 455,552 | |
25,641,844 | |||
TOTAL HEALTH CARE | 68,435,989 | ||
INDUSTRIALS - 5.6% | |||
Aerospace & Defense - 1.6% | |||
Bombardier, Inc. 7.125% 6/15/26 (b) | 2,500,000 | 2,520,935 | |
Howmet Aerospace, Inc. 6.875% 5/1/25 | 1,750,000 | 1,768,337 | |
L3Harris Technologies, Inc. 5.4% 1/15/27 | 6,000,000 | 6,037,332 | |
Rolls-Royce PLC 5.75% 10/15/27 (b) | 450,000 | 447,793 | |
RTX Corp.: | |||
5% 2/27/26 | 3,801,000 | 3,791,791 | |
5.75% 11/8/26 | 2,559,000 | 2,595,597 | |
5.75% 1/15/29 | 1,205,000 | 1,240,729 | |
The Boeing Co.: | |||
3.2% 3/1/29 | 7,200,000 | 6,513,848 | |
4.875% 5/1/25 | 3,000,000 | 2,972,225 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 | 3,250,000 | 3,136,250 | |
6.375% 3/1/29 (b) | 3,050,000 | 3,063,787 | |
34,088,624 | |||
Building Products - 0.2% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 250,000 | 241,523 | |
AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | 350,000 | 366,625 | |
Carrier Global Corp.: | |||
2.242% 2/15/25 | 548,000 | 530,979 | |
5.8% 11/30/25 | 3,934,000 | 3,961,720 | |
5,100,847 | |||
Commercial Services & Supplies - 1.0% | |||
Allied Universal Holdco LLC 7.875% 2/15/31 (b) | 350,000 | 347,578 | |
APX Group, Inc. 6.75% 2/15/27 (b) | 1,500,000 | 1,502,055 | |
Artera Services LLC 8.5% 2/15/31 (b) | 700,000 | 715,087 | |
Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | 750,000 | 797,570 | |
CoreCivic, Inc. 8.25% 4/15/26 | 550,000 | 562,056 | |
GFL Environmental, Inc. 4% 8/1/28 (b) | 930,000 | 852,691 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 700,000 | 637,671 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | 350,000 | 328,125 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 (b) | 850,000 | 843,572 | |
Republic Services, Inc. 0.875% 11/15/25 | 15,000,000 | 13,918,858 | |
20,505,263 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 900,000 | 881,601 | |
Pike Corp. 8.625% 1/31/31 (b) | 250,000 | 264,013 | |
1,145,614 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 5% 10/1/25 (b) | 2,300,000 | 2,278,553 | |
Ground Transportation - 0.2% | |||
Canadian Pacific Railway Co. 1.75% 12/2/26 | 2,099,000 | 1,924,896 | |
Uber Technologies, Inc. 7.5% 9/15/27 (b) | 900,000 | 920,698 | |
XPO, Inc. 6.25% 6/1/28 (b) | 450,000 | 451,012 | |
3,296,606 | |||
Machinery - 1.0% | |||
Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | 5,000,000 | 4,586,565 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 7,000,000 | 6,745,556 | |
Parker Hannifin Corp. 4.25% 9/15/27 | 3,086,000 | 3,020,198 | |
TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | 1,300,000 | 1,248,710 | |
Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 5,900,000 | 5,896,799 | |
21,497,828 | |||
Marine Transportation - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 650,000 | 554,145 | |
Passenger Airlines - 0.7% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 3,456,539 | 3,181,424 | |
American Airlines, Inc. 7.25% 2/15/28 (b) | 400,000 | 403,329 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | 1,575,000 | 1,560,562 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 5,500,000 | 5,388,654 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 2,441,003 | 2,260,991 | |
United Airlines, Inc. 4.375% 4/15/26 (b) | 1,300,000 | 1,251,204 | |
14,046,164 | |||
Professional Services - 0.0% | |||
CoreLogic, Inc. 4.5% 5/1/28 (b) | 650,000 | 575,660 | |
TriNet Group, Inc. 7.125% 8/15/31 (b) | 500,000 | 509,319 | |
1,084,979 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. 2.2% 1/15/27 | 3,565,000 | 3,268,343 | |
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | 400,000 | 419,401 | |
United Rentals North America, Inc. 3.875% 11/15/27 | 550,000 | 517,903 | |
4,205,647 | |||
Transportation Infrastructure - 0.5% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (b) | 7,180,000 | 6,968,517 | |
3.95% 7/1/24 (b) | 955,000 | 947,863 | |
5.5% 1/15/26 (b) | 2,089,000 | 2,067,393 | |
9,983,773 | |||
TOTAL INDUSTRIALS | 117,788,043 | ||
INFORMATION TECHNOLOGY - 2.4% | |||
Communications Equipment - 0.1% | |||
HTA Group Ltd. 7% 12/18/25 (b) | 1,700,000 | 1,684,496 | |
Hughes Satellite Systems Corp. 5.25% 8/1/26 | 500,000 | 427,185 | |
ViaSat, Inc. 5.625% 9/15/25 (b) | 550,000 | 533,814 | |
2,645,495 | |||
Electronic Equipment, Instruments & Components - 0.4% | |||
Dell International LLC/EMC Corp. 5.25% 2/1/28 | 8,564,000 | 8,628,119 | |
IT Services - 0.1% | |||
Camelot Finance SA 4.5% 11/1/26 (b) | 950,000 | 907,565 | |
Semiconductors & Semiconductor Equipment - 0.9% | |||
Broadcom, Inc. 1.95% 2/15/28 (b) | 15,000,000 | 13,317,238 | |
Micron Technology, Inc. 4.185% 2/15/27 | 6,000,000 | 5,832,696 | |
19,149,934 | |||
Software - 0.9% | |||
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | 1,000,000 | 1,024,941 | |
Open Text Corp. 3.875% 2/15/28 (b) | 1,700,000 | 1,562,096 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 3,618,000 | 3,360,249 | |
5.8% 11/10/25 | 7,000,000 | 7,057,707 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 2,000,000 | 1,947,600 | |
UKG, Inc. 6.875% 2/1/31 (b) | 300,000 | 303,120 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | 600,000 | 550,163 | |
VMware, Inc. 1.4% 8/15/26 | 2,882,000 | 2,619,822 | |
18,425,698 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Western Digital Corp. 4.75% 2/15/26 | 745,000 | 728,099 | |
TOTAL INFORMATION TECHNOLOGY | 50,484,910 | ||
MATERIALS - 2.0% | |||
Chemicals - 1.6% | |||
Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b) | 600,000 | 622,470 | |
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | 7,000,000 | 6,523,533 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 750,000 | 711,203 | |
LYB International Finance III LLC 1.25% 10/1/25 | 6,185,000 | 5,779,450 | |
Methanex Corp. 5.125% 10/15/27 | 900,000 | 864,702 | |
NOVA Chemicals Corp.: | |||
5% 5/1/25 (b) | 1,100,000 | 1,074,222 | |
5.25% 6/1/27 (b) | 450,000 | 416,796 | |
Nutrien Ltd. 4.9% 3/27/28 | 8,000,000 | 7,934,379 | |
SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b) | 850,000 | 772,870 | |
SPCM SA 3.125% 3/15/27 (b) | 400,000 | 370,959 | |
The Chemours Co. LLC 5.375% 5/15/27 | 1,050,000 | 959,164 | |
The Mosaic Co. 5.375% 11/15/28 | 5,750,000 | 5,792,607 | |
Tronox, Inc. 4.625% 3/15/29 (b) | 500,000 | 442,566 | |
W.R. Grace Holding LLC 7.375% 3/1/31 (b) | 200,000 | 202,788 | |
32,467,709 | |||
Construction Materials - 0.0% | |||
VM Consolidated, Inc. 5.5% 4/15/29 (b) | 850,000 | 801,085 | |
Containers & Packaging - 0.3% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (b) | 600,000 | 553,524 | |
5.25% 8/15/27 (b) | 500,000 | 362,561 | |
Berry Global, Inc. 4.875% 7/15/26 (b) | 400,000 | 390,571 | |
BWAY Holding Co.: | |||
7.875% 8/15/26 (b) | 500,000 | 506,659 | |
9.25% 4/15/27 (b) | 550,000 | 534,838 | |
Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | 750,000 | 760,118 | |
Sealed Air Corp. 5% 4/15/29 (b) | 2,000,000 | 1,894,576 | |
Trivium Packaging Finance BV 8.5% 8/15/27 (b) | 450,000 | 438,681 | |
5,441,528 | |||
Metals & Mining - 0.1% | |||
ERO Copper Corp. 6.5% 2/15/30 (b) | 350,000 | 328,300 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 850,000 | 819,096 | |
Mineral Resources Ltd. 9.25% 10/1/28 (b) | 930,000 | 975,338 | |
Novelis Corp. 3.25% 11/15/26 (b) | 950,000 | 880,983 | |
3,003,717 | |||
TOTAL MATERIALS | 41,714,039 | ||
REAL ESTATE - 2.0% | |||
Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,262,104 | |
Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 2,932,698 | |
Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 5.75% 5/15/26 (b) | 1,050,000 | 1,012,714 | |
Crown Castle, Inc. 1.35% 7/15/25 | 566,000 | 535,563 | |
ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 2,925,874 | |
Healthcare Realty Holdings LP 3.5% 8/1/26 | 621,000 | 590,665 | |
Iron Mountain, Inc. 4.875% 9/15/27 (b) | 450,000 | 431,592 | |
Kite Realty Group Trust 4% 3/15/25 | 2,778,000 | 2,718,159 | |
MPT Operating Partnership LP/MPT Finance Corp. 5.25% 8/1/26 | 1,250,000 | 1,113,026 | |
Realty Income Corp.: | |||
2.1% 3/15/28 | 5,695,000 | 5,054,682 | |
2.2% 6/15/28 | 456,000 | 404,746 | |
SBA Communications Corp. 3.875% 2/15/27 | 1,550,000 | 1,462,561 | |
Service Properties Trust 7.5% 9/15/25 | 800,000 | 810,494 | |
SITE Centers Corp. 4.25% 2/1/26 | 1,865,000 | 1,820,112 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.5% 2/15/29 (b) | 1,950,000 | 1,501,361 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 3,710,000 | 3,607,265 | |
3% 1/15/30 | 4,013,000 | 3,503,059 | |
3.5% 4/15/24 | 2,140,000 | 2,133,613 | |
Vornado Realty LP 2.15% 6/1/26 | 1,017,000 | 912,638 | |
Welltower OP LLC 3.625% 3/15/24 | 4,035,000 | 4,031,449 | |
39,764,375 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP 4.1% 10/1/24 | 372,000 | 367,793 | |
Greystar Real Estate Partners 7.75% 9/1/30 (b) | 250,000 | 259,361 | |
627,154 | |||
TOTAL REAL ESTATE | 40,391,529 | ||
UTILITIES - 4.2% | |||
Electric Utilities - 2.3% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 2,779,320 | |
Duke Energy Corp. 4.3% 3/15/28 | 9,784,000 | 9,505,517 | |
Eversource Energy 5.45% 3/1/28 | 9,000,000 | 9,046,712 | |
Exelon Corp. 2.75% 3/15/27 | 681,000 | 633,485 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 606,000 | 560,580 | |
2.05% 3/1/25 | 3,271,000 | 3,150,366 | |
Georgia Power Co. 4.65% 5/16/28 | 3,465,000 | 3,414,886 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,115,000 | 1,101,692 | |
NextEra Energy Partners LP 7.25% 1/15/29 (b) | 1,000,000 | 1,016,491 | |
Pennsylvania Electric Co. 5.15% 3/30/26 (b) | 2,524,000 | 2,500,736 | |
PG&E Corp. 5% 7/1/28 | 450,000 | 429,201 | |
Southern Co. 5.5% 3/15/29 | 3,052,000 | 3,095,406 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (b) | 11,450,000 | 10,974,997 | |
7.75% 10/15/31 (b) | 450,000 | 465,479 | |
48,674,868 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
Calpine Corp. 5.125% 3/15/28 (b) | 750,000 | 712,981 | |
Emera U.S. Finance LP 0.833% 6/15/24 | 4,654,000 | 4,579,035 | |
Sunnova Energy Corp. 5.875% 9/1/26 (b) | 800,000 | 650,280 | |
The AES Corp. 3.3% 7/15/25 (b) | 4,133,000 | 3,985,087 | |
9,927,383 | |||
Multi-Utilities - 1.4% | |||
Dominion Energy, Inc.: | |||
1.45% 4/15/26 | 8,000,000 | 7,390,177 | |
3.071% 8/15/24 (e) | 5,000,000 | 4,941,436 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,873,000 | 2,695,280 | |
2.95% 9/1/29 | 3,000,000 | 2,695,950 | |
5.25% 3/30/28 | 6,140,000 | 6,167,040 | |
Sempra 3.4% 2/1/28 | 2,613,000 | 2,457,246 | |
WEC Energy Group, Inc.: | |||
CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (e)(f) | 454,000 | 432,424 | |
5% 9/27/25 | 2,810,000 | 2,794,427 | |
29,573,980 | |||
TOTAL UTILITIES | 88,176,231 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,532,470,284) | 1,462,395,698 | ||
U.S. Treasury Obligations - 8.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Notes: | |||
4.375% 12/15/26 | 12,423,200 | 12,397,965 | |
4.375% 11/30/28 | 32,184,100 | 32,319,877 | |
4.625% 3/15/26 | 110,000,000 | 110,004,280 | |
4.625% 9/30/28 (g) | 21,177,600 | 21,464,656 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $176,363,055) | 176,186,778 | ||
U.S. Government Agency - Mortgage Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.2% | |||
4.5% to 4.5% 3/1/35 to 9/1/49 | 4,176,562 | 4,036,772 | |
6.5% 7/1/32 to 8/1/36 | 86,180 | 89,099 | |
7% 8/1/28 to 6/1/33 | 62,879 | 65,449 | |
7.5% to 7.5% 5/1/27 to 2/1/28 | 11,077 | 11,296 | |
8.5% 9/1/25 | 190 | 191 | |
TOTAL FANNIE MAE | 4,202,807 | ||
Freddie Mac - 0.0% | |||
8.5% 2/1/27 to 8/1/27 | 5,954 | 6,080 | |
Ginnie Mae - 0.0% | |||
7% to 7% 7/15/28 to 11/15/28 | 11,220 | 11,405 | |
7.5% 10/15/28 | 1,532 | 1,568 | |
8% 6/15/24 | 2 | 2 | |
TOTAL GINNIE MAE | 12,975 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,639,910) | 4,221,862 | ||
Asset-Backed Securities - 8.6% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 1,734,610 | 1,565,566 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 2,453,737 | 2,215,144 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 4,717,445 | 4,104,555 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4865% 1/17/32 (b)(e)(f) | 5,000,000 | 5,003,800 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 578,407 | 516,751 | |
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b) | 4,117,000 | 4,146,378 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5604% 2/25/35 (e)(f) | 81,499 | 80,678 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 3,657,477 | 3,218,689 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 1,075,000 | 1,094,385 | |
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26 | 1,798,725 | 1,778,571 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 2,140,538 | 2,012,082 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(e)(f) | 2,685,000 | 2,686,321 | |
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6756% 7/15/33 (b)(e)(f) | 11,007,000 | 11,015,365 | |
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5512% 7/27/30 (b)(e)(f) | 4,598,819 | 4,601,450 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 738,623 | 721,608 | |
Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27 | 7,135,000 | 7,010,597 | |
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b) | 720,799 | 725,064 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 11,730,000 | 10,679,824 | |
Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b) | 2,760,000 | 2,794,114 | |
Dominos Pizza Master Issuer LLC Series 2016-1A Class A2II, 4.474% 10/25/45 (b) | 1,855,000 | 1,815,686 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b) | 503,640 | 500,236 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(e)(f) | 9,586,000 | 9,589,767 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | 1,726,000 | 1,752,189 | |
Enterprise Fleet Financing LLC: | |||
Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 234,448 | 232,814 | |
Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 898,081 | 888,271 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 901,493 | 806,454 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5794% 1/22/31 (b)(e)(f) | 8,045,000 | 8,052,289 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 275,575 | 266,517 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 140,191 | 139,979 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5781% 7/17/32 (b)(e)(f) | 10,020,000 | 10,043,026 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3807% 5/20/29 (b)(e)(f) | 3,485,156 | 3,486,330 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3665% 4/15/30 (b)(e)(f) | 6,363,265 | 6,363,271 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6804% 1/25/36 (e)(f) | 20,744 | 20,397 | |
Porsche Financial Auto Securitizati Series 2023-2A Class A3, 5.79% 1/22/29 (b) | 2,386,000 | 2,414,462 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(e) | 4,657,736 | 4,494,565 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 4,724,102 | 4,178,704 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 2,797,000 | 2,733,941 | |
1.884% 7/15/50 (b) | 1,204,000 | 1,122,097 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | 11,560,371 | 10,032,234 | |
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | 914,245 | 913,609 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(e)(f) | 7,582,000 | 7,587,019 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5407% 11/18/30 (b)(e)(f) | 6,429,656 | 6,441,383 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (e)(f) | 1,693 | 1,687 | |
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b) | 2,614,000 | 2,627,602 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1509% 4/6/42 (b)(e)(f) | 304,000 | 215,123 | |
Upstart Securitization Trust Series 2021-5 Class A, 1.31% 11/20/31 (b) | 347,973 | 346,740 | |
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b) | 3,381,808 | 3,399,779 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b) | 671,807 | 667,294 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 3,675,761 | 3,631,674 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(e) | 5,376,326 | 5,171,401 | |
Verizon Master Trust Series 2021-1 Class B, 0.69% 5/20/27 | 8,000,000 | 7,911,875 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | 5,260,000 | 5,306,905 | |
TOTAL ASSET-BACKED SECURITIES (Cost $184,102,276) | 179,126,262 | ||
Collateralized Mortgage Obligations - 3.4% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 2.6% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(e) | 2,634,021 | 2,566,319 | |
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 5,164,702 | 4,364,856 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(e) | 572,223 | 557,311 | |
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 3,267,084 | 2,944,398 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(e) | 1,110,209 | 1,034,005 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1,103,505 | 1,088,914 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 1,553,838 | 1,504,932 | |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 209,922 | 208,445 | |
Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 7,494,980 | 7,185,915 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 917,032 | 797,717 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(e) | 2,420,876 | 2,353,867 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 2,679,031 | 2,327,400 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(e) | 6,212,083 | 5,918,709 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,050,315 | 969,704 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 2,190,409 | 2,037,077 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 2,066,969 | 1,858,654 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 279,912 | 267,251 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(e) | 5,398,248 | 5,235,639 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 3,775,927 | 3,696,290 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 893,048 | 797,155 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(e) | 1,206,273 | 1,077,824 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 3,840,731 | 3,719,757 | |
RMF Buyout Issuance Trust sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 1,171,324 | 1,134,811 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 620,111 | 605,981 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (e)(f) | 428 | 386 | |
TOTAL PRIVATE SPONSOR | 54,253,317 | ||
U.S. Government Agency - 0.8% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2015-28 Class P, 2.5% 5/25/45 | 1,408,966 | 1,285,878 | |
Series 2019-33 Class N, 3% 3/25/48 | 5,105,398 | 4,715,975 | |
Series 2015-28 Class JE, 3% 5/25/45 | 963,466 | 899,602 | |
Series 2018-3 Class LP, 3% 2/25/47 | 3,830,251 | 3,515,389 | |
Series 2019-59 Class AB, 2.5% 10/25/39 | 1,725,308 | 1,553,273 | |
Freddie Mac: | |||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 2,507,067 | 2,280,742 | |
sequential payer Series 4873 Class CA, 4% 7/15/47 | 1,518,228 | 1,466,174 | |
Series 3949 Class MK, 4.5% 10/15/34 | 38,042 | 37,121 | |
Series 4472 Class WL, 3% 5/15/45 | 467,675 | 435,513 | |
TOTAL U.S. GOVERNMENT AGENCY | 16,189,667 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $75,794,663) | 70,442,984 | ||
Commercial Mortgage Securities - 5.5% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(e)(f) | 2,178,000 | 2,149,414 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,767,000 | 1,632,533 | |
BANK Series 2021-BN33 Class XA, 1.0526% 5/15/64 (e)(h) | 20,521,254 | 1,039,252 | |
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | 3,916,551 | 3,850,295 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 1,071,812 | 1,037,863 | |
Series 2019-B14 Class XA, 0.7701% 12/15/62 (e)(h) | 24,454,460 | 619,485 | |
Series 2020-B17 Class XA, 1.4137% 3/15/53 (e)(h) | 49,263,027 | 2,375,099 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (b)(e)(f) | 5,047,000 | 4,871,700 | |
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(e)(f) | 7,152,000 | 7,174,107 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2825% 11/15/38 (b)(e)(f) | 4,294,341 | 4,266,159 | |
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (b)(e)(f) | 4,501,000 | 4,454,583 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0848% 5/1/38 (b)(e)(f) | 3,023,314 | 2,993,199 | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3305% 2/15/39 (b)(e)(f) | 4,440,833 | 4,408,915 | |
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(e)(f) | 1,520,000 | 1,530,450 | |
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (b)(e)(f) | 614,000 | 612,362 | |
BX Trust: | |||
floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(e)(f) | 1,611,510 | 1,615,551 | |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 1/15/34 (b)(e)(f) | 1,609,150 | 1,597,081 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 6,624,464 | 6,159,588 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 5,329,541 | 4,781,886 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(e)(f) | 1,313,000 | 1,298,195 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 903,556 | 885,224 | |
COMM Mortgage Trust sequential payer Series 2020-SBX Class A, 1.67% 1/10/38 (b) | 8,241,000 | 7,365,042 | |
Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,106,016 | 1,950,296 | |
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52 | 36,817 | 36,698 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(e)(f) | 6,065,939 | 6,005,280 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(e)(f) | 1,915,792 | 1,913,400 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(e)(f) | 2,682,000 | 2,643,508 | |
Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(e) | 3,205,043 | 3,106,351 | |
Series 2013-GC13 Class A/S, 3.8369% 7/10/46 (b)(e) | 5,189,488 | 4,935,224 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C22 Class A4, 3.8012% 9/15/47 | 2,537,000 | 2,504,979 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 240,098 | 231,822 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9325% 9/15/29 (b)(e)(f) | 1,683,960 | 1,583,153 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2,708,000 | 2,447,355 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(e)(f) | 3,997,740 | 3,954,014 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(e)(f) | 2,266,000 | 2,246,173 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,470,759 | 1,414,925 | |
Series 2014-C17 Class ASB, 3.477% 8/15/47 | 33,966 | 33,884 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 3,837,000 | 3,602,912 | |
Series 2021-L6 Class XA, 1.2063% 6/15/54 (e)(h) | 7,001,193 | 374,455 | |
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(e)(f) | 1,385,536 | 1,390,732 | |
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(e)(f) | 3,881,036 | 3,863,470 | |
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | 354,162 | 346,774 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 515,586 | 509,043 | |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 1,756,649 | 1,724,592 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 1,957,699 | 1,904,544 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $121,162,770) | 115,441,567 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
United Mexican States 3.25% 4/16/30 (Cost $3,513,042) | 3,525,000 | 3,124,948 | |
Bank Loan Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
Consolidated Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 10/2/27 (e)(f)(i) | 290,000 | 271,875 | |
Windstream Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6763% 9/21/27 (e)(f)(i) | 350,000 | 336,658 | |
608,533 | |||
Media - 0.1% | |||
Univision Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 1/31/29 (e)(f)(i) | 2,510,000 | 2,499,031 | |
TOTAL COMMUNICATION SERVICES | 3,107,564 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.0% | |||
CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9351% 6/3/28 (e)(f)(i) | 465,000 | 453,519 | |
Broadline Retail - 0.1% | |||
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/5/28 (e)(f)(i) | 1,225,000 | 1,224,780 | |
Diversified Consumer Services - 0.0% | |||
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6246% 3/4/28 (e)(f)(i) | 935,000 | 847,512 | |
Leisure Products - 0.0% | |||
Hayward Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1907% 5/28/28 (e)(f)(i) | 410,000 | 409,266 | |
Specialty Retail - 0.1% | |||
Empire Today LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.5743% 4/1/28 (e)(f)(i) | 525,000 | 418,908 | |
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 12/18/27 (e)(f)(i) | 525,000 | 523,100 | |
Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6907% 4/16/28 (e)(f)(i) | 640,000 | 632,179 | |
1,574,187 | |||
TOTAL CONSUMER DISCRETIONARY | 4,509,264 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Del Monte Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6763% 5/16/29 (e)(f)(i) | 410,000 | 369,439 | |
FINANCIALS - 0.1% | |||
Capital Markets - 0.1% | |||
AssuredPartners, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 2/13/27 (e)(f)(i) | 525,000 | 525,147 | |
Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5857% 4/21/28 (e)(f)(i) | 875,000 | 873,906 | |
1,399,053 | |||
Insurance - 0.0% | |||
Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8214% 11/6/30 (e)(f)(i) | 410,000 | 410,078 | |
Asurion LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4263% 8/19/28 (e)(f)(i) | 410,000 | 406,413 | |
USI, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3481% 11/22/29 (e)(f)(i) | 410,000 | 409,488 | |
1,225,979 | |||
TOTAL FINANCIALS | 2,625,032 | ||
HEALTH CARE - 0.2% | |||
Health Care Equipment & Supplies - 0.0% | |||
Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 10/23/28 (e)(f)(i) | 465,000 | 465,023 | |
Health Care Providers & Services - 0.0% | |||
MED ParentCo LP 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 8/31/26 (e)(f)(i) | 465,000 | 460,294 | |
RadNet Management, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.5743% 4/23/28 (e)(f)(i) | 350,000 | 349,871 | |
810,165 | |||
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5763% 2/15/29 (e)(f)(i) | 935,000 | 926,089 | |
Pharmaceuticals - 0.1% | |||
Organon & Co. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.4325% 6/2/28 (e)(f)(i) | 1,165,000 | 1,165,734 | |
TOTAL HEALTH CARE | 3,367,011 | ||
INDUSTRIALS - 0.3% | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 5/17/28 (e)(f)(i) | 640,000 | 572,582 | |
Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9481% 4/29/29 (e)(f)(i) | 525,000 | 523,105 | |
1,095,687 | |||
Commercial Services & Supplies - 0.2% | |||
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 12/21/28 (e)(f)(i) | 585,000 | 586,100 | |
Allied Universal Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 5/14/28 (e)(f)(i) | 1,575,000 | 1,567,708 | |
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8064% 8/1/30 (e)(f)(i) | 15,000 | 15,024 | |
LRS Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.6907% 6/28/28 (e)(f)(i) | 760,000 | 752,400 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4234% 4/11/29 (e)(f)(i) | 465,000 | 426,396 | |
3,347,628 | |||
Construction & Engineering - 0.0% | |||
SRS Distribution, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 6/4/28 (e)(f)(i) | 990,000 | 988,060 | |
Ground Transportation - 0.0% | |||
Genesee & Wyoming, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.4481% 12/30/26 (e)(f)(i) | 350,000 | 349,958 | |
TOTAL INDUSTRIALS | 5,781,333 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
IT Services - 0.0% | |||
Park Place Technologies LLC 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4263% 11/10/27 (e)(f)(i) | 350,000 | 349,563 | |
Software - 0.1% | |||
Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 12/10/28 (e)(f)(i) | 935,000 | 918,114 | |
Maverick Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2127% 5/18/28 (e)(f)(i) | 290,000 | 287,703 | |
1,205,817 | |||
TOTAL INFORMATION TECHNOLOGY | 1,555,380 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.2% | |||
ARC Falcon I, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9263% 9/30/28 (e)(f)(i) | 410,000 | 406,355 | |
Aruba Investment Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4263% 11/24/27 (e)(f)(i) | 410,000 | 406,925 | |
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8214% 11/15/30 (e)(f)(i) | 410,000 | 397,188 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.7052% 10/4/29 (e)(f)(i) | 410,000 | 407,565 | |
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9757% 3/15/29 (e)(f)(i) | 410,000 | 393,215 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.3598% 11/9/28 (e)(f)(i) | 760,000 | 758,624 | |
SCIH Salt Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4407% 3/16/27 (e)(f)(i) | 235,000 | 234,706 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.3598% 9/22/28 (e)(f)(i) | 585,000 | 584,123 | |
3,588,701 | |||
Containers & Packaging - 0.0% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 9.1013% 4/13/29 (e)(f)(i) | 75,000 | 74,891 | |
TOTAL MATERIALS | 3,663,592 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 1/20/31 (e)(f)(i) | 640,000 | 637,498 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $25,736,853) | 25,616,113 | ||
Bank Notes - 0.5% | |||
Principal Amount (a) | Value ($) | ||
Citizens Bank NA 2.25% 4/28/25 | 4,046,000 | 3,882,107 | |
First Citizens Bank & Trust Co. 2.969% 9/27/25 (e) | 6,655,000 | 6,524,588 | |
TOTAL BANK NOTES (Cost $10,758,160) | 10,406,695 | ||
Preferred Securities - 0.0% | |||
Principal Amount (a) | Value ($) | ||
FINANCIALS - 0.0% | |||
Banks - 0.0% | |||
Wells Fargo & Co. 7.625% (e)(j) | 300,000 | 322,268 | |
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (e)(j) | 750,000 | 590,317 | |
TOTAL PREFERRED SECURITIES (Cost $917,398) | 912,585 | ||
Money Market Funds - 10.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (k) (Cost $221,099,950) | 221,055,739 | 221,099,950 | |
TOTAL INVESTMENT IN SECURITIES - 108.4% (Cost $2,356,558,361) | 2,268,975,442 |
NET OTHER ASSETS (LIABILITIES) - (8.4)% | (175,780,114) |
NET ASSETS - 100.0% | 2,093,195,328 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 193 | Jun 2024 | 39,516,750 | 20,720 | 20,720 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2,664 | Jun 2024 | 284,798,250 | 527,232 | 527,232 |
TOTAL FUTURES CONTRACTS | 547,952 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 15.5% |
(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 $781,537,915 or 37.3% of net assets. |
(c) | 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. |
(d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,244,653. |
(h) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(j) | Security is perpetual in nature with no stated maturity date. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 24,907,372 | 649,194,118 | 453,001,540 | 490,153 | - | - | 221,099,950 | 0.4% |
Total | 24,907,372 | 649,194,118 | 453,001,540 | 490,153 | - | - | 221,099,950 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 1,462,395,698 | - | 1,462,395,698 | - |
U.S. Government and Government Agency Obligations | 176,186,778 | - | 176,186,778 | - |
U.S. Government Agency - Mortgage Securities | 4,221,862 | - | 4,221,862 | - |
Asset-Backed Securities | 179,126,262 | - | 179,126,262 | - |
Collateralized Mortgage Obligations | 70,442,984 | - | 70,442,984 | - |
Commercial Mortgage Securities | 115,441,567 | - | 115,441,567 | - |
Foreign Government and Government Agency Obligations | 3,124,948 | - | 3,124,948 | - |
Bank Loan Obligations | 25,616,113 | - | 25,616,113 | - |
Bank Notes | 10,406,695 | - | 10,406,695 | - |
Preferred Securities | 912,585 | - | 912,585 | - |
Money Market Funds | 221,099,950 | 221,099,950 | - | - |
Total Investments in Securities: | 2,268,975,442 | 221,099,950 | 2,047,875,492 | - |
Derivative Instruments: Assets | ||||
Futures Contracts | 547,952 | 547,952 | - | - |
Total Assets | 547,952 | 547,952 | - | - |
Total Derivative Instruments: | 547,952 | 547,952 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Interest Rate Risk | ||
Futures Contracts (a) | 547,952 | 0 |
Total Interest Rate Risk | 547,952 | 0 |
Total Value of Derivatives | 547,952 | 0 |
Statement of Assets and Liabilities | ||||
February 29, 2024 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,135,458,411) | $ | 2,047,875,492 | ||
Fidelity Central Funds (cost $221,099,950) | 221,099,950 | |||
Total Investment in Securities (cost $2,356,558,361) | $ | 2,268,975,442 | ||
Cash | 550 | |||
Receivable for fund shares sold | 1,261,220 | |||
Interest receivable | 15,609,895 | |||
Distributions receivable from Fidelity Central Funds | 189,947 | |||
Receivable for daily variation margin on futures contracts | 40,117 | |||
Receivable from investment adviser for expense reductions | 26,140 | |||
Other receivables | 93 | |||
Total assets | 2,286,103,404 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 188,212,585 | ||
Delayed delivery | 600,000 | |||
Payable for fund shares redeemed | 2,815,818 | |||
Distributions payable | 612,211 | |||
Accrued management fee | 352,405 | |||
Distribution and service plan fees payable | 101,560 | |||
Other affiliated payables | 209,999 | |||
Other payables and accrued expenses | 3,498 | |||
Total Liabilities | 192,908,076 | |||
Net Assets | $ | 2,093,195,328 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,279,465,264 | ||
Total accumulated earnings (loss) | (186,269,936) | |||
Net Assets | $ | 2,093,195,328 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($300,091,653 ÷ 26,987,772 shares)(a) | $ | 11.12 | ||
Maximum offering price per share (100/97.25 of $11.12) | $ | 11.43 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($106,348,870 ÷ 9,558,406 shares)(a) | $ | 11.13 | ||
Maximum offering price per share (100/97.25 of $11.13) | $ | 11.44 | ||
Class C : | ||||
Net Asset Value and offering price per share ($19,144,874 ÷ 1,725,736 shares)(a) | $ | 11.09 | ||
Fidelity Limited Term Bond Fund : | ||||
Net Asset Value, offering price and redemption price per share ($1,046,911,393 ÷ 93,908,592 shares) | $ | 11.15 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($484,133,312 ÷ 43,418,823 shares) | $ | 11.15 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($136,565,226 ÷ 12,250,308 shares) | $ | 11.15 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Six months ended February 29, 2024 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 33,041,405 | ||
Income from Fidelity Central Funds | 490,153 | |||
Total Income | 33,531,558 | |||
Expenses | ||||
Management fee | $ | 2,245,986 | ||
Transfer agent fees | 1,320,576 | |||
Distribution and service plan fees | 623,539 | |||
Independent trustees' fees and expenses | 3,787 | |||
Total expenses before reductions | 4,193,888 | |||
Expense reductions | (121,000) | |||
Total expenses after reductions | 4,072,888 | |||
Net Investment income (loss) | 29,458,670 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (12,324,450) | |||
Futures contracts | (867,549) | |||
Total net realized gain (loss) | (13,191,999) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 58,369,934 | |||
Futures contracts | (1,427,255) | |||
Total change in net unrealized appreciation (depreciation) | 56,942,679 | |||
Net gain (loss) | 43,750,680 | |||
Net increase (decrease) in net assets resulting from operations | $ | 73,209,350 |
Statement of Changes in Net Assets | ||||
Six months ended February 29, 2024 (Unaudited) | Year ended August 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 29,458,670 | $ | 59,310,189 |
Net realized gain (loss) | (13,191,999) | (62,828,107) | ||
Change in net unrealized appreciation (depreciation) | 56,942,679 | 58,762,796 | ||
Net increase (decrease) in net assets resulting from operations | 73,209,350 | 55,244,878 | ||
Distributions to shareholders | (29,520,381) | (57,642,540) | ||
Share transactions - net increase (decrease) | (326,525,917) | (601,859,644) | ||
Total increase (decrease) in net assets | (282,836,948) | (604,257,306) | ||
Net Assets | ||||
Beginning of period | 2,376,032,276 | 2,980,289,582 | ||
End of period | $ | 2,093,195,328 | $ | 2,376,032,276 |
Fidelity Advisor® Limited Term Bond Fund Class A |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.91 | $ | 10.90 | $ | 11.83 | $ | 11.97 | $ | 11.67 | $ | 11.28 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .131 | .217 | .116 | .132 | .227 | .252 | ||||||
Net realized and unrealized gain (loss) | .211 | .004 C | (.910) | (.085) | .299 | .386 | ||||||
Total from investment operations | .342 | .221 | (.794) | .047 | .526 | .638 | ||||||
Distributions from net investment income | (.132) | (.211) | (.112) | (.129) | (.226) | (.248) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.132) | (.211) | (.136) | (.187) | (.226) | (.248) | ||||||
Net asset value, end of period | $ | 11.12 | $ | 10.91 | $ | 10.90 | $ | 11.83 | $ | 11.97 | $ | 11.67 |
Total Return D,E,F | 3.15% | 2.06% | (6.75)% | .40% | 4.56% | 5.73% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .61% I | .69% | .75% | .75% | .75% | .75% | ||||||
Expenses net of fee waivers, if any | .61% I | .69% | .75% | .75% | .75% | .75% | ||||||
Expenses net of all reductions | .61% I | .69% | .75% | .75% | .75% | .75% | ||||||
Net investment income (loss) | 2.39% I | 2.00% | 1.02% | 1.11% | 1.94% | 2.21% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 300,092 | $ | 313,202 | $ | 365,178 | $ | 445,468 | $ | 368,675 | $ | 277,002 |
Portfolio turnover rate J | 64% I | 26% | 29% | 81% | 54% | 29% |
Fidelity Advisor® Limited Term Bond Fund Class M |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.92 | $ | 10.90 | $ | 11.83 | $ | 11.97 | $ | 11.68 | $ | 11.28 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .131 | .217 | .115 | .132 | .227 | .251 | ||||||
Net realized and unrealized gain (loss) | .211 | .015 C | (.909) | (.085) | .288 | .396 | ||||||
Total from investment operations | .342 | .232 | (.794) | .047 | .515 | .647 | ||||||
Distributions from net investment income | (.132) | (.212) | (.112) | (.129) | (.225) | (.247) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.132) | (.212) | (.136) | (.187) | (.225) | (.247) | ||||||
Net asset value, end of period | $ | 11.13 | $ | 10.92 | $ | 10.90 | $ | 11.83 | $ | 11.97 | $ | 11.68 |
Total Return D,E,F | 3.15% | 2.15% | (6.75)% | .40% | 4.47% | 5.81% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .60% I | .69% | .75% | .75% | .76% | .76% | ||||||
Expenses net of fee waivers, if any | .60% I | .69% | .75% | .75% | .76% | .76% | ||||||
Expenses net of all reductions | .60% I | .69% | .75% | .75% | .76% | .76% | ||||||
Net investment income (loss) | 2.40% I | 2.00% | 1.01% | 1.11% | 1.93% | 2.21% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 106,349 | $ | 111,487 | $ | 118,756 | $ | 161,105 | $ | 167,201 | $ | 167,670 |
Portfolio turnover rate J | 64% I | 26% | 29% | 81% | 54% | 29% |
Fidelity Advisor® Limited Term Bond Fund Class C |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.88 | $ | 10.87 | $ | 11.80 | $ | 11.94 | $ | 11.65 | $ | 11.25 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .088 | .132 | .027 | .039 | .134 | .162 | ||||||
Net realized and unrealized gain (loss) | .211 | .005 C | (.908) | (.084) | .289 | .396 | ||||||
Total from investment operations | .299 | .137 | (.881) | (.045) | .423 | .558 | ||||||
Distributions from net investment income | (.089) | (.127) | (.025) | (.037) | (.133) | (.158) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.089) | (.127) | (.049) | (.095) | (.133) | (.158) | ||||||
Net asset value, end of period | $ | 11.09 | $ | 10.88 | $ | 10.87 | $ | 11.80 | $ | 11.94 | $ | 11.65 |
Total Return D,E,F | 2.76% | 1.27% | (7.49)% | (.38)% | 3.66% | 5.01% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | 1.38% I | 1.48% | 1.53% | 1.53% | 1.54% | 1.54% | ||||||
Expenses net of fee waivers, if any | 1.38% I | 1.48% | 1.53% | 1.53% | 1.54% | 1.54% | ||||||
Expenses net of all reductions | 1.38% I | 1.48% | 1.53% | 1.53% | 1.54% | 1.54% | ||||||
Net investment income (loss) | 1.62% I | 1.22% | .24% | .33% | 1.15% | 1.42% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 19,145 | $ | 22,420 | $ | 31,080 | $ | 45,658 | $ | 54,337 | $ | 47,710 |
Portfolio turnover rate J | 64% I | 26% | 29% | 81% | 54% | 29% |
Fidelity® Limited Term Bond Fund |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 | $ | 11.31 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .148 | .251 | .150 | .168 | .263 | .287 | ||||||
Net realized and unrealized gain (loss) | .211 | .004 C | (.909) | (.085) | .299 | .386 | ||||||
Total from investment operations | .359 | .255 | (.759) | .083 | .562 | .673 | ||||||
Distributions from net investment income | (.149) | (.245) | (.147) | (.165) | (.262) | (.283) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.149) | (.245) | (.171) | (.223) | (.262) | (.283) | ||||||
Net asset value, end of period | $ | 11.15 | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 |
Total Return D,E | 3.30% | 2.37% | (6.45)% | .70% | 4.87% | 6.04% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .30% H | .39% | .45% | .45% | .45% | .45% | ||||||
Expenses net of fee waivers, if any | .30% H | .39% | .45% | .45% | .45% | .45% | ||||||
Expenses net of all reductions | .30% H | .39% | .45% | .45% | .45% | .45% | ||||||
Net investment income (loss) | 2.70% H | 2.30% | 1.32% | 1.41% | 2.24% | 2.52% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,046,911 | $ | 1,277,525 | $ | 1,593,604 | $ | 2,245,757 | $ | 2,078,737 | $ | 1,563,504 |
Portfolio turnover rate I | 64% H | 26% | 29% | 81% | 54% | 29% |
Fidelity Advisor® Limited Term Bond Fund Class I |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 | $ | 11.31 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .148 | .247 | .145 | .162 | .257 | .282 | ||||||
Net realized and unrealized gain (loss) | .211 | .005 C | (.910) | (.084) | .299 | .386 | ||||||
Total from investment operations | .359 | .252 | (.765) | .078 | .556 | .668 | ||||||
Distributions from net investment income | (.149) | (.242) | (.141) | (.160) | (.256) | (.278) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.149) | (.242) | (.165) | (.218) | (.256) | (.278) | ||||||
Net asset value, end of period | $ | 11.15 | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 |
Total Return D,E | 3.30% | 2.34% | (6.49)% | .66% | 4.82% | 5.99% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .35% H | .44% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .30% H | .42% | .50% | .50% | .50% | .50% | ||||||
Expenses net of all reductions | .30% H | .42% | .50% | .50% | .50% | .50% | ||||||
Net investment income (loss) | 2.70% H | 2.27% | 1.27% | 1.36% | 2.20% | 2.47% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 484,133 | $ | 494,305 | $ | 656,342 | $ | 871,438 | $ | 765,760 | $ | 524,068 |
Portfolio turnover rate I | 64% H | 26% | 29% | 81% | 54% | 29% |
Fidelity Advisor® Limited Term Bond Fund Class Z |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 A | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 | $ | 11.28 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .151 | .259 | .160 | .179 | .273 | .273 | ||||||
Net realized and unrealized gain (loss) | .210 | .004 D | (.909) | (.085) | .299 | .415 | ||||||
Total from investment operations | .361 | .263 | (.749) | .094 | .572 | .688 | ||||||
Distributions from net investment income | (.151) | (.253) | (.157) | (.176) | (.272) | (.268) | ||||||
Distributions from net realized gain | - | - | (.024) | (.058) | - | - | ||||||
Total distributions | (.151) | (.253) | (.181) | (.234) | (.272) | (.268) | ||||||
Net asset value, end of period | $ | 11.15 | $ | 10.94 | $ | 10.93 | $ | 11.86 | $ | 12.00 | $ | 11.70 |
Total Return E,F | 3.32% | 2.45% | (6.36)% | .79% | 4.97% | 6.18% | ||||||
Ratios to Average Net Assets C,G,H | ||||||||||||
Expenses before reductions | .25% I | .34% | .40% | .40% | .40% | .40% I | ||||||
Expenses net of fee waivers, if any | .25% I | .32% | .36% | .36% | .36% | .36% I | ||||||
Expenses net of all reductions | .25% I | .32% | .36% | .36% | .36% | .36% I | ||||||
Net investment income (loss) | 2.75% I | 2.38% | 1.41% | 1.50% | 2.33% | 2.62% I | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 136,565 | $ | 157,093 | $ | 215,329 | $ | 301,008 | $ | 217,972 | $ | 64,672 |
Portfolio turnover rate J | 64% I | 26% | 29% | 81% | 54% | 29% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $5,127,505 |
Gross unrealized depreciation | (90,835,631) |
Net unrealized appreciation (depreciation) | $(85,708,126) |
Tax cost | $2,355,231,520 |
Short-term | $(26,460,661) |
Long-term | (58,873,927) |
Total capital loss carryforward | $(85,334,588) |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Purchases ($) | Sales ($) | |
Fidelity Advisor Limited Term Bond Fund | 332,934,563 | 665,183,354 |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $384,237 | $23,919 |
Class M | -% | .25% | 135,918 | 967 |
Class C | .75% | .25% | 103,384 | 4,599 |
$623,539 | $29,485 |
Retained by FDC | |
Class A | $13,463 |
Class M | 929 |
Class C A | 113 |
$14,505 |
Amount | % of Class-Level Average Net AssetsA | |
Class A | $235,230 | .15 |
Class M | 82,265 | .15 |
Class C | 18,147 | .18 |
Fidelity Limited Term Bond Fund | 589,541 | .10 |
Class I | 359,476 | .15 |
Class Z | 35,917 | .05 |
$1,320,576 |
Expense Limitations | Reimbursement | |
Class I | .30% | 120,135 |
Six months ended February 29, 2024 | Year ended August 31, 2023 | |
Fidelity Advisor Limited Term Bond Fund | ||
Distributions to shareholders | ||
Class A | $ 3,672,593 | $6,440,434 |
Class M | 1,301,210 | 2,195,885 |
Class C | 167,408 | 305,237 |
Fidelity Limited Term Bond Fund | 15,844,619 | 31,605,105 |
Class I | 6,563,436 | 12,949,496 |
Class Z | 1,971,115 | 4,146,383 |
Total | $29,520,381 | $57,642,540 |
Shares | Shares | Dollars | Dollars | |
Six months ended February 29, 2024 | Year ended August 31, 2023 | Six months ended February 29, 2024 | Year ended August 31, 2023 | |
Fidelity Advisor Limited Term Bond Fund | ||||
Class A | ||||
Shares sold | 7,705,311 | 12,476,809 | $84,867,918 | $135,307,742 |
Reinvestment of distributions | 318,857 | 570,072 | 3,517,132 | 6,180,752 |
Shares redeemed | (9,746,985) | (17,846,330) | (107,372,206) | (193,397,463) |
Net increase (decrease) | (1,722,817) | (4,799,449) | $(18,987,156) | $(51,908,969) |
Class M | ||||
Shares sold | 926,420 | 2,434,698 | $10,200,620 | $26,403,092 |
Reinvestment of distributions | 114,178 | 194,867 | 1,260,190 | 2,114,773 |
Shares redeemed | (1,695,905) | (3,306,910) | (18,684,461) | (35,804,127) |
Net increase (decrease) | (655,307) | (677,345) | $(7,223,651) | $(7,286,262) |
Class C | ||||
Shares sold | 164,396 | 340,134 | $1,794,023 | $3,665,612 |
Reinvestment of distributions | 14,466 | 27,067 | 159,164 | 292,923 |
Shares redeemed | (513,071) | (1,165,878) | (5,619,086) | (12,588,331) |
Net increase (decrease) | (334,209) | (798,677) | $(3,665,899) | $(8,629,796) |
Fidelity Limited Term Bond Fund | ||||
Shares sold | 4,672,974 | 12,998,512 | $51,451,161 | $140,430,844 |
Reinvestment of distributions | 1,213,507 | 2,299,237 | 13,419,611 | 24,985,880 |
Shares redeemed | (28,785,319) | (44,350,042) | (319,032,379) | (480,847,906) |
Net increase (decrease) | (22,898,838) | (29,052,293) | $(254,161,607) | $(315,431,182) |
Class I | ||||
Shares sold | 5,914,476 | 15,881,555 | $65,479,986 | $172,467,301 |
Reinvestment of distributions | 446,171 | 1,063,942 | 4,934,766 | 11,563,285 |
Shares redeemed | (8,128,729) | (31,820,863) | (89,684,683) | (345,211,280) |
Net increase (decrease) | (1,768,082) | (14,875,366) | $(19,269,931) | $(161,180,694) |
Class Z | ||||
Shares sold | 2,181,295 | 6,826,373 | $23,960,758 | $74,027,476 |
Reinvestment of distributions | 136,828 | 295,698 | 1,513,446 | 3,212,873 |
Shares redeemed | (4,431,552) | (12,467,552) | (48,691,877) | (134,663,090) |
Net increase (decrease) | (2,113,429) | (5,345,481) | $(23,217,673) | $(57,422,741) |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024). |
Annualized Expense Ratio- A | Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 | |||||||
Fidelity Advisor® Limited Term Bond Fund | ||||||||||
Class A | .61% | |||||||||
Actual | $ 1,000 | $ 1,031.50 | $ 3.08 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.83 | $ 3.07 | |||||||
Class M | .60% | |||||||||
Actual | $ 1,000 | $ 1,031.50 | $ 3.03 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.88 | $ 3.02 | |||||||
Class C | 1.38% | |||||||||
Actual | $ 1,000 | $ 1,027.60 | $ 6.96 | |||||||
Hypothetical-B | $ 1,000 | $ 1,018.00 | $ 6.92 | |||||||
Fidelity® Limited Term Bond Fund | .30% | |||||||||
Actual | $ 1,000 | $ 1,033.00 | $ 1.52 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.37 | $ 1.51 | |||||||
Class I | .30% | |||||||||
Actual | $ 1,000 | $ 1,033.00 | $ 1.52 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.37 | $ 1.51 | |||||||
Class Z | .25% | |||||||||
Actual | $ 1,000 | $ 1,033.20 | $ 1.26 | |||||||
Hypothetical-B | $ 1,000 | $ 1,023.62 | $ 1.26 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. | ||
Proposal 1 | ||
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Abigail P. Johnson | ||
Affirmative | 11,814,004,433.55 | 97.25 |
Withheld | 334,633,605.07 | 2.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Jennifer Toolin McAuliffe | ||
Affirmative | 11,801,437,777.69 | 97.14 |
Withheld | 347,200,260.93 | 2.86 |
TOTAL | 12,148,638,038.62 | 100.00 |
Christine J. Thompson | ||
Affirmative | 11,799,735,265.07 | 97.13 |
Withheld | 348,902,773.55 | 2.87 |
TOTAL | 12,148,638,038.62 | 100.00 |
Elizabeth S. Acton | ||
Affirmative | 11,763,944,249.67 | 96.83 |
Withheld | 384,693,788.95 | 3.17 |
TOTAL | 12,148,638,038.62 | 100.00 |
Laura M. Bishop | ||
Affirmative | 11,816,418,545.71 | 97.27 |
Withheld | 332,219,492.91 | 2.73 |
TOTAL | 12,148,638,038.62 | 100.00 |
Ann E. Dunwoody | ||
Affirmative | 11,766,162,744.64 | 96.85 |
Withheld | 382,475,293.98 | 3.15 |
TOTAL | 12,148,638,038.62 | 100.00 |
John Engler | ||
Affirmative | 11,692,629,526.64 | 96.25 |
Withheld | 456,008,511.98 | 3.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert F. Gartland | ||
Affirmative | 11,762,176,459.70 | 96.82 |
Withheld | 386,461,578.92 | 3.18 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert W. Helm | ||
Affirmative | 11,797,887,400.14 | 97.11 |
Withheld | 350,750,638.48 | 2.89 |
TOTAL | 12,148,638,038.62 | 100.00 |
Arthur E. Johnson | ||
Affirmative | 11,722,693,701.64 | 96.49 |
Withheld | 425,944,336.98 | 3.51 |
TOTAL | 12,148,638,038.62 | 100.00 |
Michael E. Kenneally | ||
Affirmative | 11,755,380,864.02 | 96.76 |
Withheld | 393,257,174.60 | 3.24 |
TOTAL | 12,148,638,038.62 | 100.00 |
Mark A. Murray | ||
Affirmative | 11,768,949,175.31 | 96.87 |
Withheld | 379,688,863.31 | 3.13 |
TOTAL | 12,148,638,038.62 | 100.00 |
Carol J. Zierhoffer | ||
Affirmative | 11,806,868,951.90 | 97.19 |
Withheld | 341,769,086.72 | 2.81 |
TOTAL | 12,148,638,038.62 | 100.00 |
Proposal 1 reflects trust wide proposal and voting results. |
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Contents
Quality Diversification (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (30.8)% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
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Short-Term Investments and Net Other Assets (Liabilities) - (30.8)% |
Written options - (0.9)% |
Futures and Swaps - (9.3)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
U.S. Treasury Obligations - 3.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
4.125% 8/15/53 | 3,890,000 | 3,724,067 | |
4.375% 8/15/43 | 1,450,000 | 1,419,641 | |
U.S. Treasury Notes: | |||
4% 1/15/27 | 3,710,000 | 3,666,523 | |
4% 2/15/27 | 5,940,000 | 5,891,273 | |
4.625% 11/15/26 | 1,600,000 | 1,606,000 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,184,992) | 16,307,504 | ||
U.S. Government Agency - Mortgage Securities - 122.7% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 37.2% | |||
1.5% 11/1/35 to 6/1/51 (b) | 10,039,692 | 8,269,925 | |
2% 2/1/28 to 3/1/52 | 53,931,329 | 45,005,823 | |
2.5% 1/1/28 to 1/1/52 | 61,338,790 | 52,508,865 | |
3% 2/1/31 to 6/1/52 | 35,259,311 | 30,746,860 | |
3.5% 7/1/34 to 4/1/52 (c) | 13,481,341 | 12,213,274 | |
3.5% 12/1/46 | 1,757,732 | 1,616,124 | |
4% 3/1/46 to 12/1/53 | 11,709,923 | 10,886,345 | |
4.5% 5/1/39 to 11/1/52 (d) | 10,834,528 | 10,389,260 | |
5% 9/1/52 to 11/1/53 | 9,128,050 | 8,918,292 | |
5.5% 9/1/52 to 8/1/53 | 7,129,134 | 7,100,370 | |
6% 11/1/52 to 9/1/53 | 4,909,736 | 4,964,316 | |
6% 11/1/53 | 1,700,569 | 1,712,752 | |
6.5% 9/1/53 to 1/1/54 | 5,077,532 | 5,233,089 | |
TOTAL FANNIE MAE | 199,565,295 | ||
Freddie Mac - 22.9% | |||
1.5% 7/1/35 to 6/1/51 | 20,996,947 | 16,074,747 | |
2% 5/1/36 to 4/1/52 | 37,948,508 | 31,018,808 | |
2.5% 1/1/28 to 12/1/51 (b) | 29,336,961 | 25,013,691 | |
3% 12/1/30 to 6/1/53 | 13,110,214 | 11,508,593 | |
3.5% 11/1/33 to 5/1/52 | 7,923,273 | 7,169,174 | |
3.5% 7/1/42 | 461,970 | 425,480 | |
3.5% 7/1/42 | 204,780 | 188,758 | |
3.5% 9/1/42 | 599,941 | 552,170 | |
3.5% 11/1/42 | 181,769 | 167,133 | |
4% 5/1/38 to 10/1/52 | 7,427,491 | 6,935,859 | |
4.5% 10/1/39 to 7/1/49 | 4,421,961 | 4,281,902 | |
5% 10/1/52 to 8/1/53 | 5,503,697 | 5,399,466 | |
5.5% 10/1/52 to 3/1/54 (b) | 6,338,979 | 6,340,417 | |
5.5% 1/1/54 | 321,623 | 318,461 | |
5.5% 2/1/54 | 129,064 | 127,795 | |
5.5% 3/1/54 | 445,554 | 441,173 | |
6% 3/1/53 to 11/1/53 | 3,878,487 | 3,934,878 | |
6.5% 9/1/53 to 1/1/54 (b) | 2,695,540 | 2,784,625 | |
TOTAL FREDDIE MAC | 122,683,130 | ||
Ginnie Mae - 32.4% | |||
2% 11/20/50 to 5/20/52 | 10,651,810 | 8,669,574 | |
2% 3/1/54 (e) | 3,400,000 | 2,766,940 | |
2% 3/1/54 (e) | 2,450,000 | 1,993,825 | |
2% 3/1/54 (e) | 3,350,000 | 2,726,250 | |
2% 3/1/54 (e) | 1,900,000 | 1,546,231 | |
2% 3/1/54 (e) | 2,900,000 | 2,360,037 | |
2% 3/1/54 (e) | 2,550,000 | 2,075,205 | |
2% 3/1/54 (e) | 7,050,000 | 5,737,332 | |
2% 3/1/54 (e) | 4,800,000 | 3,906,269 | |
2% 3/1/54 (e) | 3,600,000 | 2,929,702 | |
2% 3/1/54 (e) | 1,150,000 | 935,877 | |
2% 3/1/54 (e) | 2,750,000 | 2,237,967 | |
2% 3/1/54 (e) | 1,950,000 | 1,586,922 | |
2% 4/1/54 (e) | 12,550,000 | 10,220,128 | |
2% 4/1/54 (e) | 9,750,000 | 7,939,940 | |
2% 4/1/54 (e) | 975,000 | 793,994 | |
2% 4/1/54 (e) | 425,000 | 346,100 | |
2% 4/1/54 (e) | 5,025,000 | 4,092,123 | |
2% 4/1/54 (e) | 5,075,000 | 4,132,840 | |
2% 4/1/54 (e) | 10,125,000 | 8,245,322 | |
2% 4/1/54 (e) | 375,000 | 305,382 | |
2.5% 8/20/47 to 1/20/52 | 12,722,792 | 10,662,991 | |
2.5% 3/1/54 (e) | 4,350,000 | 3,680,804 | |
2.5% 3/1/54 (e) | 6,450,000 | 5,457,744 | |
2.5% 3/1/54 (e) | 3,750,000 | 3,173,107 | |
2.5% 4/1/54 (e) | 225,000 | 190,545 | |
3% 2/20/50 | 224,616 | 196,173 | |
3% 3/1/54 (e) | 2,300,000 | 2,016,984 | |
3% 3/1/54 (e) | 9,150,000 | 8,024,089 | |
3% 3/1/54 (e) | 2,725,000 | 2,389,688 | |
3% 3/1/54 (e) | 5,000,000 | 4,384,748 | |
3% 4/1/54 (e) | 2,225,000 | 1,952,603 | |
3% 4/1/54 (e) | 9,150,000 | 8,029,808 | |
3.5% 9/20/40 to 12/20/49 | 338,635 | 313,349 | |
3.5% 3/1/54 (e) | 3,450,000 | 3,120,302 | |
3.5% 3/1/54 (e) | 6,300,000 | 5,697,942 | |
4% 10/20/40 to 10/20/52 | 6,807,818 | 6,376,648 | |
4.5% 4/20/53 | 1,394,416 | 1,332,348 | |
5% 4/20/48 to 6/20/48 | 458,156 | 455,776 | |
5% 3/1/54 (e) | 5,200,000 | 5,079,020 | |
5.5% 3/1/54 (e) | 3,800,000 | 3,775,683 | |
5.5% 3/1/54 (e) | 2,400,000 | 2,384,642 | |
6% 3/1/54 (e) | 1,300,000 | 1,306,682 | |
6% 3/1/54 (e) | 800,000 | 804,112 | |
6% 3/1/54 (e) | 3,800,000 | 3,819,533 | |
6% 3/1/54 (e) | 400,000 | 402,056 | |
6% 3/1/54 (e) | 6,900,000 | 6,935,467 | |
6.5% 3/1/54 (e) | 4,000,000 | 4,054,688 | |
6.5% 4/1/54 (e) | 1,400,000 | 1,418,156 | |
6.5% 4/1/54 (e) | 1,050,000 | 1,063,617 | |
TOTAL GINNIE MAE | 174,047,265 | ||
Uniform Mortgage Backed Securities - 30.2% | |||
2% 3/1/54 (e) | 1,600,000 | 1,257,681 | |
2% 3/1/54 (e) | 10,600,000 | 8,332,138 | |
2% 3/1/54 (e) | 7,250,000 | 5,698,868 | |
2% 3/1/54 (e) | 10,850,000 | 8,528,651 | |
2% 3/1/54 (e) | 5,300,000 | 4,166,069 | |
2% 3/1/54 (e) | 3,550,000 | 2,790,480 | |
2% 3/1/54 (e) | 3,100,000 | 2,436,757 | |
2% 3/1/54 (e) | 1,600,000 | 1,257,681 | |
2% 4/1/54 (e) | 1,375,000 | 1,082,216 | |
2% 4/1/54 (e) | 14,100,000 | 11,097,636 | |
2% 4/1/54 (e) | 2,500,000 | 1,967,666 | |
2% 4/1/54 (e) | 3,100,000 | 2,439,906 | |
2% 4/1/54 (e) | 1,550,000 | 1,219,953 | |
2% 4/1/54 (e) | 6,150,000 | 4,840,458 | |
2.5% 3/1/54 (e) | 800,000 | 657,250 | |
2.5% 3/1/54 (e) | 175,000 | 143,773 | |
2.5% 3/1/54 (e) | 200,000 | 164,313 | |
3% 3/1/54 (e) | 7,400,000 | 6,331,047 | |
3% 3/1/54 (e) | 1,850,000 | 1,582,762 | |
3% 3/1/54 (e) | 2,200,000 | 1,882,203 | |
3% 3/1/54 (e) | 3,350,000 | 2,866,082 | |
3% 3/1/54 (e) | 1,800,000 | 1,539,984 | |
3% 3/1/54 (e) | 1,350,000 | 1,154,988 | |
3% 3/1/54 (e) | 1,300,000 | 1,112,211 | |
3% 3/1/54 (e) | 1,600,000 | 1,368,875 | |
3% 3/1/54 (e) | 2,300,000 | 1,967,758 | |
3% 3/1/54 (e) | 100,000 | 85,555 | |
3% 3/1/54 (e) | 2,600,000 | 2,224,422 | |
3% 4/1/54 (e) | 9,350,000 | 8,008,129 | |
3.5% 3/1/54 (e) | 1,000,000 | 889,570 | |
3.5% 3/1/54 (e) | 2,350,000 | 2,090,490 | |
4.5% 3/1/54 (e) | 3,600,000 | 3,406,781 | |
5% 3/1/54 (e) | 800,000 | 775,875 | |
5.5% 3/1/54 (e) | 3,900,000 | 3,858,258 | |
5.5% 3/1/54 (e) | 3,000,000 | 2,967,891 | |
5.5% 3/1/54 (e) | 2,200,000 | 2,176,453 | |
6% 3/1/54 (e) | 1,750,000 | 1,757,656 | |
6% 3/1/54 (e) | 3,300,000 | 3,314,438 | |
6% 3/1/54 (e) | 3,050,000 | 3,063,344 | |
6% 3/1/54 (e) | 3,550,000 | 3,565,531 | |
6% 3/1/54 (e) | 1,200,000 | 1,205,250 | |
6% 3/1/54 (e) | 1,200,000 | 1,205,250 | |
6% 3/1/54 (e) | 1,200,000 | 1,205,250 | |
6% 3/1/54 (e) | 3,200,000 | 3,214,000 | |
6% 3/1/54 (e) | 8,600,000 | 8,637,625 | |
6% 3/1/54 (e) | 1,750,000 | 1,757,656 | |
6.5% 3/1/54 (e) | 5,700,000 | 5,799,750 | |
6.5% 3/1/54 (e) | 7,200,000 | 7,326,000 | |
6.5% 3/1/54 (e) | 11,500,000 | 11,701,250 | |
6.5% 3/1/54 (e) | 3,600,000 | 3,663,000 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 161,786,830 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $693,827,565) | 658,082,520 | ||
Asset-Backed Securities - 4.9% | |||
Principal Amount (a) | Value ($) | ||
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 679,000 | 677,665 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 492,000 | 490,227 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2019-A3 Class A3, 2.06% 8/15/28 | 1,330,000 | 1,241,026 | |
Series 2023-A1 Class A, 4.42% 5/15/28 | 1,400,000 | 1,382,720 | |
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | 2,555,401 | 2,554,005 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 234,000 | 238,220 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (f) | 140,471 | 137,235 | |
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (f) | 157,846 | 158,780 | |
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | 485,625 | 484,873 | |
Discover Card Execution Note Trust: | |||
Series 2022-A4, Class A, 5.03% 10/15/27 | 2,100,000 | 2,097,346 | |
Series 2023 A1 Class A, 4.31% 3/15/28 | 1,200,000 | 1,184,016 | |
Dllaa 2023-1A Series 2023-1A: | |||
Class A2, 5.93% 7/20/26 (f) | 132,199 | 132,505 | |
Class A3, 5.64% 2/22/28 (f) | 102,000 | 103,058 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (f) | 371,000 | 376,629 | |
Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (f) | 2,750,000 | 2,568,725 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (f) | 789,000 | 785,478 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 95,127 | 95,047 | |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | 214,000 | 215,280 | |
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28 | 313,000 | 309,531 | |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | 106,000 | 106,209 | |
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (f) | 1,126,000 | 1,130,274 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 219,000 | 218,209 | |
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | 600,000 | 602,720 | |
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (f) | 156,860 | 157,087 | |
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (f) | 1,000,000 | 1,007,287 | |
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (f) | 574,324 | 548,857 | |
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (f) | 144,966 | 145,189 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (f) | 789,333 | 664,103 | |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (f) | 247,000 | 248,411 | |
Toyota Lease Owner Trust: | |||
Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (f) | 192,346 | 192,102 | |
Class A3, 4.93% 4/20/26 (f) | 242,000 | 240,973 | |
Series 2024-A Class A3, 5.25% 4/20/27 (f) | 262,000 | 261,933 | |
Upstart Securitization Trust: | |||
Series 2021-5 Class A, 1.31% 11/20/31 (f) | 42,728 | 42,577 | |
Series 2022-1 Class A, 3.12% 3/20/32 (f) | 213,262 | 211,425 | |
Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 1.8677% 8/25/51 (f)(g) | 378,444 | 368,186 | |
Verizon Master Trust: | |||
Series 2021-1 Class A, 0.5% 5/20/27 | 800,000 | 791,261 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 700,000 | 696,276 | |
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29 | 1,356,000 | 1,356,000 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (f) | 1,125,000 | 1,135,032 | |
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (f) | 277,506 | 288,515 | |
World Omni Auto Receivables Trust: | |||
Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 101,412 | 101,274 | |
Class A3, 4.66% 5/15/28 | 256,000 | 253,533 | |
Series 2023-C Class A3, 5.15% 11/15/28 | 130,000 | 130,083 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 192,191 | 192,046 | |
TOTAL ASSET-BACKED SECURITIES (Cost $26,286,917) | 26,321,928 | ||
Collateralized Mortgage Obligations - 7.6% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 1.8% | |||
Ajax Mortgage Loan Trust sequential payer: | |||
Series 2021-C Class A, 2.115% 1/25/61 (f) | 150,263 | 143,262 | |
Series 2021-E Class A1, 1.74% 12/25/60 (f) | 1,268,582 | 1,076,800 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (f) | 306,493 | 276,899 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (f)(g) | 52,020 | 50,665 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (f) | 980,040 | 870,302 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (f)(g) | 117,073 | 109,038 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (f) | 165,086 | 159,890 | |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (f) | 28,635 | 28,433 | |
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (f) | 1,489,344 | 1,464,472 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (f)(g) | 401,865 | 390,742 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (f) | 846,443 | 777,584 | |
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (f) | 47,473 | 43,230 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (f) | 229,131 | 213,092 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (f) | 1,308,332 | 1,175,178 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (f) | 56,238 | 53,694 | |
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (f) | 100,000 | 94,950 | |
Preston Ridge Partners Mortgage Trust: | |||
Series 2021-2 Class A1, 2.115% 3/25/26 (f) | 187,359 | 183,407 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (f) | 93,261 | 83,247 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (f)(g) | 125,894 | 112,489 | |
RMF Buyout Issuance Trust: | |||
sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (f) | 130,104 | 126,048 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (f) | 84,384 | 82,462 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (f) | 235,902 | 220,720 | |
Towd Point Mortgage Trust sequential payer: | |||
Series 2021-1 Class A1, 2.25% 11/25/61 (f)(g) | 1,955,613 | 1,765,671 | |
Series 2022-K147 Class A2, 3.75% 7/25/62 (f) | 408,745 | 376,896 | |
TOTAL PRIVATE SPONSOR | 9,879,171 | ||
U.S. Government Agency - 5.8% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2021-69 Class JK, 1.5% 10/25/51 | 282,809 | 229,588 | |
Series 2022-2 Class TH, 2.5% 2/25/52 | 163,138 | 144,365 | |
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 454,684 | 384,812 | |
Series 2020-43 Class MA, 2% 1/25/45 | 383,490 | 342,204 | |
Series 2020-49 Class JA, 2% 8/25/44 | 239,013 | 214,789 | |
Series 2020-51 Class BA, 2% 6/25/46 | 626,460 | 533,924 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 607,232 | 517,699 | |
Series 2021-68 Class A, 2% 7/25/49 | 492,141 | 383,884 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 269,970 | 233,169 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 540,287 | 467,702 | |
Class BA, 2.5% 6/25/49 | 816,783 | 704,157 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 430,922 | 369,932 | |
Series 2022-1 Class KA, 3% 5/25/48 | 266,134 | 237,967 | |
Series 2022-11 Class B, 3% 6/25/49 | 310,003 | 280,701 | |
Series 2022-13: | |||
Class HA, 3% 8/25/46 | 301,047 | 275,706 | |
Class JA, 3% 5/25/48 | 290,163 | 260,137 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 753,462 | 650,969 | |
Class N, 2% 10/25/47 | 2,131,462 | 1,815,365 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 768,835 | 743,018 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 316,560 | 273,068 | |
Series 2022-49 Class TC, 4% 12/25/48 | 245,193 | 231,649 | |
Series 2022-5: | |||
Class 0, 2.5% 6/25/48 | 296,720 | 257,814 | |
Class DA, 2.25% 11/25/47 | 880,334 | 762,524 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 379,365 | 339,227 | |
Class E, 2.5% 11/25/47 | 794,583 | 697,645 | |
Series 2022-9 Class BA, 3% 5/25/48 | 232,201 | 207,653 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 87,001 | 77,822 | |
Series 2020-45 Class JL, 3% 7/25/40 | 23,642 | 21,127 | |
Series 2021-59 Class H, 2% 6/25/48 | 276,949 | 221,821 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 300,372 | 241,653 | |
Class DM, 2% 1/25/48 | 319,209 | 256,509 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2021-5141 Class JM, 1.5% 4/25/51 | 208,621 | 170,496 | |
Series 2021-5148: | |||
Class AD, 1.5% 10/25/51 | 281,514 | 230,249 | |
Class PC, 1.5% 10/25/51 | 279,052 | 226,597 | |
sequential payer: | |||
Series 2020-4993 Class LA, 2% 8/25/44 | 365,816 | 328,964 | |
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 159,417 | 142,629 | |
Class LY, 3% 10/25/40 | 121,132 | 108,349 | |
Series 2021-5169 Class TP, 2.5% 6/25/49 | 222,090 | 188,887 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 1,550,837 | 1,331,711 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 313,808 | 273,864 | |
Series 2022-5189: | |||
Class DA, 2.5% 5/25/49 | 213,414 | 181,776 | |
Class TP, 2.5% 5/25/49 | 231,649 | 197,304 | |
Series 2022-5190: | |||
Class BA, 2.5% 11/25/47 | 195,422 | 170,440 | |
Class CA, 2.5% 5/25/49 | 194,239 | 165,404 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 369,998 | 315,443 | |
Series 2022-5197: | |||
Class A, 2.5% 6/25/49 | 194,240 | 165,404 | |
Class DA, 2.5% 11/25/47 | 148,389 | 129,527 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 722,318 | 640,364 | |
Series 2022-5200 Class LA, 3% 10/25/48 | 365,375 | 330,055 | |
Series 2022-5201 Class EB, 3% 2/25/48 | 4,103,647 | 3,724,908 | |
Series 2022-5202: | |||
Class AG, 3% 1/25/49 | 144,766 | 130,404 | |
Class LB, 2.5% 10/25/47 | 158,415 | 138,476 | |
Class UA, 3% 4/25/50 | 340,241 | 302,391 | |
Series 2020-5041: | |||
Class LA, 1.5% 11/25/40 | 1,431,028 | 1,163,182 | |
Class LB, 3% 11/25/40 | 271,449 | 243,037 | |
Series 2020-5046 Class PT, 1.5% 11/25/40 | 1,085,485 | 881,506 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 846,425 | 788,768 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 1,166,623 | 995,032 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 2,036,324 | 1,772,414 | |
Series 2022-5210 Class AB, 3% 1/25/42 | 423,766 | 385,483 | |
Series 2022-5214 Class CB, 3.25% 4/25/52 | 1,070,976 | 977,381 | |
Series 2022-5236 Class P, 5% 4/25/48 | 353,359 | 349,179 | |
Series 2022-5266 Class CD, 4.5% 10/25/44 | 210,047 | 204,757 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51 | 358,328 | 293,594 | |
sequential payer: | |||
Series 2021-5159: | |||
Class EA, 2.5% 8/25/48 | 218,458 | 186,606 | |
Class GC, 2% 11/25/47 | 251,052 | 211,227 | |
Series 2021-5164 Class M, 2.5% 7/25/48 | 222,892 | 190,430 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8843% 2/20/49 (g)(h) | 90,763 | 88,682 | |
planned amortization class Series 2016-69 Class WA, 3% 2/20/46 | 20,344 | 18,345 | |
sequential payer: | |||
Series 2017-139 Class BA, 3% 9/20/47 | 122,253 | 108,179 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (i) | 40,217 | 38,475 | |
TOTAL U.S. GOVERNMENT AGENCY | 30,868,519 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $41,759,793) | 40,747,690 | ||
Commercial Mortgage Securities - 16.5% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (f)(g)(h) | 275,000 | 271,391 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.868% 1/15/39 (f)(g)(h) | 100,000 | 98,063 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (f) | 600,000 | 573,260 | |
Class ANM, 3.112% 11/5/32 (f) | 100,000 | 92,390 | |
BANK: | |||
sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 1,159,000 | 1,088,661 | |
Series 2018-BN10: | |||
Class A4, 3.428% 2/15/61 | 233,271 | 220,463 | |
Class A5, 3.688% 2/15/61 | 1,900,000 | 1,791,767 | |
Series 2018-BN14: | |||
Class A4, 4.231% 9/15/60 | 600,000 | 574,918 | |
Class ASB, 4.185% 9/15/60 | 287,006 | 279,958 | |
Series 2019-BN23 Class ASB, 2.846% 12/15/52 | 100,000 | 93,713 | |
Series 2020-BN26 Class ASB, 2.313% 3/15/63 | 900,000 | 830,046 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 400,000 | 406,526 | |
Class A3, 6.26% 4/15/56 | 1,400,000 | 1,443,915 | |
Series 2020-BN25 Class XB, 0.4392% 1/15/63 (g)(j) | 2,000,000 | 43,544 | |
Series 2021-BN33 Class XA, 1.0526% 5/15/64 (g)(j) | 3,008,102 | 152,338 | |
Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A5, 4.217% 8/15/61 | 700,000 | 668,396 | |
BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60 | 600,000 | 564,444 | |
Bank5 2023-5Yr4 sequential payer Series 2023-5YR4 Class A3, 6.5% 12/15/56 | 1,000,000 | 1,049,096 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2021-C9 Class ASB, 1.96% 2/15/54 | 300,000 | 268,855 | |
Series 2023-C21 Class A3, 6.2963% 9/15/56 (g) | 246,000 | 257,467 | |
Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56 | 400,000 | 417,535 | |
Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5 Class A3, 5.8053% 1/10/57 | 600,000 | 615,902 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B1 Class ASB, 3.602% 1/15/51 | 314,223 | 304,088 | |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 286,366 | 279,583 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 29,000 | 26,949 | |
Series 2023-V4 Class A3, 6.8409% 11/15/56 | 267,000 | 283,695 | |
Series 2019-B12 Class XA, 1.0242% 8/15/52 (g)(j) | 926,542 | 30,820 | |
Series 2019-B14 Class XA, 0.7701% 12/15/62 (g)(j) | 9,623,678 | 243,789 | |
Series 2020-B17 Class XA, 1.4137% 3/15/53 (g)(j) | 2,088,723 | 100,703 | |
Series 2020-B18 Class XA, 1.7799% 7/15/53 (g)(j) | 1,446,674 | 89,902 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (f)(g)(h) | 531,000 | 512,557 | |
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (f)(g)(h) | 233,000 | 232,815 | |
BMO Mortgage Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | 800,000 | 836,893 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (f)(g)(h) | 1,680,000 | 1,685,193 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7646% 4/15/37 (f)(g)(h) | 54,000 | 53,916 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2019-XL Class D, CME Term SOFR 1 Month Index + 1.560% 6.8821% 10/15/36 (f)(g)(h) | 170,000 | 169,575 | |
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (f)(g)(h) | 100,000 | 99,313 | |
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (f)(g)(h) | 475,000 | 470,102 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0848% 5/1/38 (f)(g)(h) | 302,331 | 299,320 | |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8086% 4/15/37 (f)(g)(h) | 404,185 | 404,185 | |
Series 2023-XL3: | |||
Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (f)(g)(h) | 361,000 | 363,482 | |
Class B, CME Term SOFR 1 Month Index + 2.190% 7.5085% 12/9/40 (f)(g)(h) | 100,000 | 100,781 | |
floater sequential payer: | |||
Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3085% 11/15/32 (f)(g)(h) | 6,073 | 6,063 | |
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (f)(g)(h) | 119,000 | 118,683 | |
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (f)(g)(h) | 563,000 | 563,000 | |
BX Commerical Mortgage Trust floater sequential payer Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1025% 6/15/38 (f)(g)(h) | 88,274 | 87,447 | |
BX Trust: | |||
floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (f)(g)(h) | 506,078 | 507,347 | |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 1/15/34 (f)(g)(h) | 85,055 | 84,417 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.360% 6.685% 12/15/37 (f)(g)(h) | 652,000 | 651,796 | |
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 1,422,010 | 1,376,136 | |
CFCRE Commercial Mortgage Trust sequential payer: | |||
Series 2016-C7 Class A2, 3.5853% 12/10/54 | 439,884 | 415,071 | |
Series 2017-C8 Class A3, 3.3048% 6/15/50 | 694,202 | 652,288 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (f)(g)(h) | 100,000 | 98,872 | |
Class B, CME Term SOFR 1 Month Index + 1.360% 6.6825% 11/15/36 (f)(g)(h) | 100,000 | 96,415 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2015-P1 Class A5, 3.717% 9/15/48 | 1,090,000 | 1,056,637 | |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 238,225 | 232,481 | |
Series 2015-GC33 Class AAB, 3.522% 9/10/58 | 96,595 | 94,951 | |
Series 2019-GC41 Class XA, 1.0393% 8/10/56 (g)(j) | 4,510,915 | 163,835 | |
COMM Mortgage Trust sequential payer: | |||
Series 2015 LC19 Class A3, 2.922% 2/10/48 | 398,980 | 392,123 | |
Series 2015-CR24 Class A5, 3.696% 8/10/48 | 1,000,000 | 970,398 | |
Series 2015-LC21 Class A4, 3.708% 7/10/48 | 1,000,000 | 971,518 | |
Series 2016-COR1 Class ASB, 2.972% 10/10/49 | 372,972 | 360,619 | |
Credit Suisse Mortgage Trust floater Series 2019-ICE4: | |||
Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (f)(g)(h) | 2,483,821 | 2,483,841 | |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.795% 5/15/36 (f)(g)(h) | 486,789 | 486,772 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C4 Class A3, 3.5438% 11/15/48 | 1,143,055 | 1,111,713 | |
Series 2016-C7 Class ASB, 3.3143% 11/15/49 | 402,635 | 394,460 | |
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 459,263 | 444,669 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (f)(g)(h) | 948,896 | 939,407 | |
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5527% 11/15/38 (f)(g)(h) | 661,230 | 653,998 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (f)(g)(h) | 609,612 | 608,851 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 43,000 | 41,814 | |
Series 2016-K054 Class A2, 2.745% 1/25/26 | 1,151,194 | 1,106,792 | |
Series 2016-K055 Class A2, 2.673% 3/25/26 | 2,300,000 | 2,201,958 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 900,000 | 735,379 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 1,600,000 | 1,354,818 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 454,000 | 379,270 | |
Series 2022-K146 Class A2, 2.92% 6/25/32 | 969,000 | 846,758 | |
Series 2022-K147 Class A2, 3% 6/25/32 | 1,208,000 | 1,061,598 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 4,910,000 | 4,518,966 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 1,260,000 | 1,236,446 | |
Series 2023-K752 Class A2, 4.284% 7/25/30 | 1,200,000 | 1,167,724 | |
Series 2023-K754 Class A2, 4.94% 11/25/30 | 2,200,000 | 2,217,095 | |
Series K058 Class A2, 2.653% 8/25/26 | 1,700,000 | 1,615,145 | |
Series K065 Class A2, 3.243% 4/25/27 | 500,000 | 479,093 | |
Series K069 Class A2, 3.187% 9/25/27 | 300,000 | 285,328 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 655,127 | 648,659 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 1,425,000 | 1,272,270 | |
Series K047 Class A2, 3.329% 5/25/25 | 1,873,908 | 1,833,498 | |
Series K086 Class A2, 3.859% 11/25/28 | 2,277,000 | 2,192,652 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | 1,102,239 | 1,079,453 | |
Series K044 Class A2, 2.811% 1/25/25 | 1,130,825 | 1,106,638 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3825% 9/15/31 (f)(g)(h) | 652,234 | 649,219 | |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (f)(g)(h) | 138,696 | 135,228 | |
Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (f)(g)(h) | 963,000 | 949,179 | |
sequential payer: | |||
Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 24,246 | 23,753 | |
Series 2017-GS6 Class A2, 3.164% 5/10/50 | 190,518 | 178,520 | |
Series 2018-GS10: | |||
Class A4, 3.89% 7/10/51 | 3,200,000 | 3,022,191 | |
Class A5, 4.155% 7/10/51 | 200,000 | 185,753 | |
Class AAB, 4.106% 7/10/51 | 86,148 | 83,822 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 300,000 | 278,612 | |
Series 2020-GC45 Class AAB, 2.8428% 2/13/53 | 300,000 | 279,733 | |
Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (f)(g) | 671,744 | 651,059 | |
Series 2013-GC13 Class A/S, 3.8369% 7/10/46 (f)(g) | 74,600 | 70,945 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8066% 8/15/39 (f)(g)(h) | 1,857,000 | 1,866,865 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.9141% 4/15/37 (f)(g)(h) | 976,280 | 922,584 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2014-C21 Class A4, 3.4927% 8/15/47 | 120,009 | 119,721 | |
Series 2014-C22 Class ASB, 3.5036% 9/15/47 | 14,197 | 14,148 | |
JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2017-C5 Class ASB, 3.4919% 3/15/50 | 247,551 | 239,491 | |
Series 2018-C8 Class ASB, 4.145% 6/15/51 | 864,665 | 840,509 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
sequential payer Series 2020-NNN Class AFX, 2.8123% 1/16/37 (f) | 670,000 | 569,500 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 86,355 | 79,536 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (f) | 59,000 | 53,321 | |
Life Financial Services Trust floater Series 2022-BMR2 Class B, CME Term SOFR 1 Month Index + 1.790% 7.1116% 5/15/39 (f)(g)(h) | 400,000 | 395,500 | |
Morgan Stanley BAML Trust sequential payer: | |||
Series 2014-C19 Class ASB, 3.326% 12/15/47 | 172,745 | 171,834 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 75,875 | 72,995 | |
Series 2016-C30 Class ASB, 2.729% 9/15/49 | 417,698 | 406,471 | |
Morgan Stanley Capital I Trust: | |||
floater sequential payer Series 2019-NUGS Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 12/15/36 (f)(g)(h) | 1,000,000 | 796,653 | |
sequential payer: | |||
Series 2017-H1 Class A4, 3.259% 6/15/50 | 700,000 | 658,745 | |
Series 2017-HR2: | |||
Class A3, 3.33% 12/15/50 | 297,275 | 277,992 | |
Class A4, 3.587% 12/15/50 | 340,000 | 319,057 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 500,000 | 467,882 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (f) | 279,000 | 261,979 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 600,000 | 573,562 | |
Series 2019-MEAD Class B, 3.1771% 11/10/36 (f)(g) | 26,000 | 23,741 | |
Series 2021-L6 Class XA, 1.2063% 6/15/54 (g)(j) | 977,411 | 52,276 | |
Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (f) | 790,017 | 710,471 | |
NJ Trust 2023-GSP sequential payer Series 2023-GSP Class A, 6.4808% 1/6/29 (f)(g) | 700,000 | 722,013 | |
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (f)(g)(h) | 300,455 | 301,581 | |
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9165% 10/15/36 (f)(g)(h) | 658,353 | 648,478 | |
RLGH Trust floater Series 2021-TROT Class A, CME Term SOFR 1 Month Index + 0.910% 6.2325% 4/15/36 (f)(g)(h) | 1,900,000 | 1,877,588 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.009% 7/15/36 (f)(g)(h) | 212,000 | 209,483 | |
Series 2021-MFP: | |||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (f)(g)(h) | 1,722,353 | 1,714,557 | |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5119% 11/15/38 (f)(g)(h) | 216,251 | 214,089 | |
UBS Commercial Mortgage Trust sequential payer: | |||
Series 2017-C1 Class ASB, 3.462% 11/15/50 | 74,379 | 72,137 | |
Series 2017-C3 Class ASB, 3.215% 8/15/50 | 984,763 | 951,324 | |
Series 2018-C12 Class ASB, 4.1945% 8/15/51 | 1,616,565 | 1,582,531 | |
VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/42 (f)(g)(j) | 1,600,000 | 36,990 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6325% 5/15/31 (f)(g)(h) | 845,000 | 828,111 | |
sequential payer: | |||
Series 2014-LC16 Class A5, 3.817% 8/15/50 | 838,747 | 830,825 | |
Series 2021-C61 Class ASB, 2.525% 11/15/54 | 100,000 | 89,519 | |
Series 2018-C46 Class XA, 0.9198% 8/15/51 (g)(j) | 895,829 | 19,826 | |
Series 2019-C54 Class XA, 0.8185% 12/15/52 (g)(j) | 5,859,386 | 211,326 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $89,745,503) | 88,508,696 | ||
Money Market Funds - 3.9% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (k) (Cost $20,887,152) | 20,882,976 | 20,887,152 | |
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 1,800,000 | 91,731 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.8225% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 9,400,000 | 300,406 | |
TOTAL PUT OPTIONS | 392,137 | |||
Call Options - 0.1% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 1,800,000 | 38,550 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.8225% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | 9,400,000 | 376,625 | |
TOTAL CALL OPTIONS | 415,175 | |||
TOTAL PURCHASED SWAPTIONS (Cost $819,176) | 807,312 |
TOTAL INVESTMENT IN SECURITIES - 158.7% (Cost $889,511,098) | 851,662,802 |
NET OTHER ASSETS (LIABILITIES) - (58.7)% | (315,126,506) |
NET ASSETS - 100.0% | 536,536,296 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 3/1/54 | (12,550,000) | (10,213,265) |
2% 3/1/54 | (9,750,000) | (7,934,609) |
2% 3/1/54 | (975,000) | (793,461) |
2% 3/1/54 | (425,000) | (345,868) |
2% 3/1/54 | (5,025,000) | (4,089,375) |
2% 3/1/54 | (5,075,000) | (4,130,065) |
2% 3/1/54 | (10,125,000) | (8,239,786) |
2% 3/1/54 | (375,000) | (305,177) |
2.5% 3/1/54 | (2,200,000) | (1,861,556) |
2.5% 3/1/54 | (225,000) | (190,386) |
3% 3/1/54 | (9,150,000) | (8,024,089) |
3% 3/1/54 | (2,225,000) | (1,951,213) |
6.5% 3/1/54 | (1,400,000) | (1,419,141) |
6.5% 3/1/54 | (1,050,000) | (1,064,356) |
TOTAL GINNIE MAE | (50,562,347) | |
Uniform Mortgage Backed Securities | ||
2% 3/1/54 | (6,150,000) | (4,834,212) |
2% 3/1/54 | (1,375,000) | (1,080,820) |
2% 3/1/54 | (14,100,000) | (11,083,316) |
2% 3/1/54 | (1,300,000) | (1,021,866) |
2% 3/1/54 | (4,600,000) | (3,615,834) |
2% 3/1/54 | (2,500,000) | (1,965,127) |
2% 3/1/54 | (3,100,000) | (2,436,757) |
2% 3/1/54 | (1,550,000) | (1,218,379) |
2% 3/1/54 | (2,100,000) | (1,650,707) |
2% 3/1/54 | (1,500,000) | (1,179,076) |
2% 3/1/54 | (200,000) | (157,210) |
2.5% 3/1/54 | (1,175,000) | (965,336) |
2.5% 3/1/54 | (1,800,000) | (1,478,813) |
3% 3/1/54 | (9,350,000) | (7,999,364) |
3% 3/1/54 | (4,300,000) | (3,678,852) |
3% 3/1/54 | (7,800,000) | (6,673,266) |
3% 3/1/54 | (1,400,000) | (1,197,766) |
3% 3/1/54 | (2,600,000) | (2,224,422) |
4.5% 3/1/54 | (5,775,000) | (5,465,045) |
5% 3/1/54 | (3,750,000) | (3,636,914) |
5.5% 3/1/54 | (3,900,000) | (3,858,258) |
5.5% 3/1/54 | (500,000) | (494,648) |
5.5% 3/1/54 | (575,000) | (568,846) |
5.5% 3/1/54 | (900,000) | (890,367) |
6% 3/1/54 | (1,000,000) | (1,004,375) |
6% 3/1/54 | (600,000) | (602,625) |
6% 3/1/54 | (300,000) | (301,313) |
6% 3/1/54 | (2,400,000) | (2,410,500) |
6% 3/1/54 | (600,000) | (602,625) |
6% 3/1/54 | (75,000) | (75,328) |
6% 3/1/54 | (750,000) | (753,281) |
6% 3/1/54 | (1,700,000) | (1,707,438) |
6.5% 3/1/54 | (1,600,000) | (1,628,000) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (78,460,686) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $129,226,766) | (129,023,033) |
Written Swaptions | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Swaptions | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675%, expiring September 2033. | 9/20/28 | 2,300,000 | (89,401) | |
Call Swaptions | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033. | 9/20/28 | 2,300,000 | (96,229) | |
TOTAL WRITTEN SWAPTIONS | (185,630) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 41 | Jun 2024 | 8,394,750 | 4,402 | 4,402 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1 | Jun 2024 | 119,250 | 1,170 | 1,170 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 7 | Jun 2024 | 895,125 | 12,999 | 12,999 |
TOTAL PURCHASED | 18,571 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 109 | Jun 2024 | 12,037,688 | (40,893) | (40,893) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 68 | Jun 2024 | 7,269,625 | (13,949) | (13,949) |
TOTAL SOLD | (54,842) | ||||
TOTAL FUTURES CONTRACTS | (36,271) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 1.8% | |||||
The notional amount of futures sold as a percentage of Net Assets is 3.6% |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2)(3) | Value ($)(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 | 20,000 | 160 | (60) | 100 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 350,000 | 2,799 | (3,154) | (355) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,020,000 | 8,158 | (11,010) | (2,852) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,300,000 | 10,398 | (8,712) | 1,686 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,410,000 | 11,278 | (9,835) | 1,443 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 160,000 | 25,507 | (37,177) | (11,670) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 230,000 | 36,666 | (51,672) | (15,006) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 240,000 | 38,261 | (66,411) | (28,150) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 80,000 | 12,754 | (21,184) | (8,430) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 170,000 | 27,101 | (51,571) | (24,470) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 80,000 | 12,754 | (18,785) | (6,031) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 100,000 | 15,942 | (19,533) | (3,591) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 200,000 | 31,884 | (33,173) | (1,289) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 160,000 | 25,507 | (42,346) | (16,839) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 160,000 | 25,507 | (46,042) | (20,535) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 140,000 | 22,319 | (39,805) | (17,486) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 170,000 | 27,101 | (47,922) | (20,821) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 110,000 | 17,536 | (29,256) | (11,720) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 320,000 | 51,014 | (80,025) | (29,011) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80,000 | 12,754 | (19,044) | (6,290) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 110,000 | 17,536 | (25,483) | (7,947) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100,000 | 15,942 | (16,959) | (1,017) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 210,000 | 33,478 | (53,464) | (19,986) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | 100,000 | 13,691 | (14,496) | (805) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | 100,000 | 13,691 | (14,234) | (543) | ||
CMBX N.A. BBB- Index Series 17 | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100,000 | 13,691 | (14,144) | (453) | ||
TOTAL BUY PROTECTION | 523,429 | (775,497) | (252,068) | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2,040,000 | (16,317) | 46,470 | 30,153 | |
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2,060,000 | (16,477) | 48,259 | 31,782 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 520,000 | (7,799) | 13,456 | 5,657 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | 1,070,000 | (16,047) | 28,755 | 12,708 | |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 310,000 | (4,649) | 5,227 | 578 | |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | 490,000 | (9,024) | 21,020 | 11,996 | |
TOTAL SELL PROTECTION | (70,313) | 163,187 | 92,874 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 453,116 | (612,310) | (159,194) |
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) ($) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2026 | 33,928,000 | 160,638 | 0 | 160,638 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.5% | Annual | LCH | Mar 2027 | 6,148,000 | 33,670 | 0 | 33,670 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2029 | 1,008,000 | 6,759 | 0 | 6,759 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2031 | 15,403,000 | 103,850 | 0 | 103,850 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2044 | 2,880,000 | 14,965 | 0 | 14,965 | |
4% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Mar 2054 | 441,000 | (3,005) | 0 | (3,005) | |
TOTAL INTEREST RATE SWAPS | 316,877 | 0 | 316,877 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $2,275,378. |
(c) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,674,327. |
(d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $333,334. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | 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 $48,205,918 or 9.0% of net assets. |
(g) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(h) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(i) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(j) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 12,836,862 | 148,524,917 | 140,474,627 | 409,793 | - | - | 20,887,152 | 0.0% |
Total | 12,836,862 | 148,524,917 | 140,474,627 | 409,793 | - | - | 20,887,152 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 16,307,504 | - | 16,307,504 | - |
U.S. Government Agency - Mortgage Securities | 658,082,520 | - | 658,082,520 | - |
Asset-Backed Securities | 26,321,928 | - | 26,321,928 | - |
Collateralized Mortgage Obligations | 40,747,690 | - | 40,747,690 | - |
Commercial Mortgage Securities | 88,508,696 | - | 88,508,696 | - |
Money Market Funds | 20,887,152 | 20,887,152 | - | - |
Purchased Swaptions | 807,312 | - | 807,312 | - |
Total Investments in Securities: | 851,662,802 | 20,887,152 | 830,775,650 | - |
Derivative Instruments: Assets | ||||
Futures Contracts | 18,571 | 18,571 | - | - |
Swaps | 843,311 | - | 843,311 | - |
Total Assets | 861,882 | 18,571 | 843,311 | - |
Liabilities | ||||
Futures Contracts | (54,842) | (54,842) | - | - |
Swaps | (73,318) | - | (73,318) | - |
Written Swaptions | (185,630) | - | (185,630) | - |
Total Liabilities | (313,790) | (54,842) | (258,948) | - |
Total Derivative Instruments: | 548,092 | (36,271) | 584,363 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (129,023,033) | - | (129,023,033) | - |
Total Other Financial Instruments: | (129,023,033) | - | (129,023,033) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a) | 523,429 | (70,313) |
Total Credit Risk | 523,429 | (70,313) |
Interest Rate Risk | ||
Futures Contracts (b) | 18,571 | (54,842) |
Purchased Swaptions (c) | 807,312 | 0 |
Swaps (d) | 319,882 | (3,005) |
Written Swaptions (e) | 0 | (185,630) |
Total Interest Rate Risk | 1,145,765 | (243,477) |
Total Value of Derivatives | 1,669,194 | (313,790) |
Statement of Assets and Liabilities | ||||
February 29, 2024 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $868,623,946) | $ | 830,775,650 | ||
Fidelity Central Funds (cost $20,887,152) | 20,887,152 | |||
Total Investment in Securities (cost $889,511,098) | $ | 851,662,802 | ||
Receivable for investments sold | 830,430 | |||
Receivable for premium on written options | 192,280 | |||
Receivable for TBA sale commitments | 129,226,766 | |||
Receivable for fund shares sold | 11,819,968 | |||
Interest receivable | 1,441,502 | |||
Distributions receivable from Fidelity Central Funds | 92,514 | |||
Bi-lateral OTC swaps, at value | 523,429 | |||
Receivable from investment adviser for expense reductions | 1,564 | |||
Total assets | 995,791,255 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 10,535,546 | ||
Delayed delivery | 309,660,936 | |||
TBA sale commitments, at value | 129,023,033 | |||
Payable for swaps | 14,234 | |||
Payable for fund shares redeemed | 9,690,109 | |||
Distributions payable | 214 | |||
Bi-lateral OTC swaps, at value | 70,313 | |||
Payable for daily variation margin on futures contracts | 5,633 | |||
Payable for daily variation margin on centrally cleared swaps | 54,685 | |||
Written options, at value (premium receivable $192,280) | 185,630 | |||
Other payables and accrued expenses | 14,626 | |||
Total Liabilities | 459,254,959 | |||
Net Assets | $ | 536,536,296 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 609,645,767 | ||
Total accumulated earnings (loss) | (73,109,471) | |||
Net Assets | $ | 536,536,296 | ||
Net Asset Value, offering price and redemption price per share ($536,536,296 ÷ 60,966,270 shares) | $ | 8.80 |
Statement of Operations | ||||
Six months ended February 29, 2024 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 10,611,661 | ||
Income from Fidelity Central Funds | 409,793 | |||
Total Income | 11,021,454 | |||
Expenses | ||||
Custodian fees and expenses | $ | 17,647 | ||
Independent trustees' fees and expenses | 847 | |||
Total expenses before reductions | 18,494 | |||
Expense reductions | (14,367) | |||
Total expenses after reductions | 4,127 | |||
Net Investment income (loss) | 11,017,327 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (1,379,892) | |||
Futures contracts | (621,551) | |||
Swaps | (1,270,714) | |||
Total net realized gain (loss) | (3,272,157) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 4,311,628 | |||
Futures contracts | 526,568 | |||
Swaps | 255,707 | |||
Written options | 6,650 | |||
TBA Sale commitments | 671,363 | |||
Total change in net unrealized appreciation (depreciation) | 5,771,916 | |||
Net gain (loss) | 2,499,759 | |||
Net increase (decrease) in net assets resulting from operations | $ | 13,517,086 |
Statement of Changes in Net Assets | ||||
Six months ended February 29, 2024 (Unaudited) | Year ended August 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 11,017,327 | $ | 16,627,097 |
Net realized gain (loss) | (3,272,157) | (15,732,995) | ||
Change in net unrealized appreciation (depreciation) | 5,771,916 | (8,367,553) | ||
Net increase (decrease) in net assets resulting from operations | 13,517,086 | (7,473,451) | ||
Distributions to shareholders | (11,145,307) | (16,412,169) | ||
Share transactions | ||||
Proceeds from sales of shares | 73,613,821 | 175,006,969 | ||
Reinvestment of distributions | 11,144,980 | 16,375,010 | ||
Cost of shares redeemed | (70,569,472) | (72,830,101) | ||
Net increase (decrease) in net assets resulting from share transactions | 14,189,329 | 118,551,878 | ||
Total increase (decrease) in net assets | 16,561,108 | 94,666,258 | ||
Net Assets | ||||
Beginning of period | 519,975,188 | 425,308,930 | ||
End of period | $ | 536,536,296 | $ | 519,975,188 |
Other Information | ||||
Shares | ||||
Sold | 8,430,976 | 19,614,350 | ||
Issued in reinvestment of distributions | 1,279,839 | 1,837,995 | ||
Redeemed | (8,036,186) | (8,173,220) | ||
Net increase (decrease) | 1,674,629 | 13,279,125 | ||
Fidelity® Series Investment Grade Securitized Fund |
Six months ended (Unaudited) February 29, 2024 | Years ended August 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 8.77 | $ | 9.24 | $ | 10.41 | $ | 10.68 | $ | 10.45 | $ | 10.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .181 | .317 | .142 | .056 | .209 | .293 | ||||||
Net realized and unrealized gain (loss) | .032 | (.477) | (1.165) | (.023) | .330 | .475 | ||||||
Total from investment operations | .213 | (.160) | (1.023) | .033 | .539 | .768 | ||||||
Distributions from net investment income | (.183) | (.310) | (.147) | (.083) C | (.219) | (.318) | ||||||
Distributions from net realized gain | - | - | - | (.220) C | (.090) | - | ||||||
Total distributions | (.183) | (.310) | (.147) | (.303) | (.309) | (.318) | ||||||
Net asset value, end of period | $ | 8.80 | $ | 8.77 | $ | 9.24 | $ | 10.41 | $ | 10.68 | $ | 10.45 |
Total Return D,E | 2.47% | (1.73)% | (9.89)% | .32% | 5.28% | 7.83% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .01% H | .01% | .01% | .01% | .01% | .02% | ||||||
Expenses net of fee waivers, if any | -% H,I | -% I | -% I | -% I | .01% | .01% | ||||||
Expenses net of all reductions | -% H,I | -% I | -% I | -% I | .01% | .01% | ||||||
Net investment income (loss) | 4.18% H | 3.56% | 1.45% | .54% | 2.00% | 2.92% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 536,536 | $ | 519,975 | $ | 425,309 | $ | 426,659 | $ | 188,284 | $ | 108,442 |
Portfolio turnover rate J | 715% H | 735% | 761% | 1091% | 1014% | 1434% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $2,797,908 |
Gross unrealized depreciation | (40,360,549) |
Net unrealized appreciation (depreciation) | $(37,562,641) |
Tax cost | $889,557,238 |
Short-term | $(27,384,913) |
Long-term | (4,848,311) |
Total capital loss carryforward | $(32,233,224) |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Series Investment Grade Securitized Fund | ||
Credit Risk | ||
Swaps | (33,315) | (169,516) |
Total Credit Risk | (33,315) | (169,516) |
Interest Rate Risk | ||
Futures Contracts | (621,551) | 526,568 |
Purchased Options | 59,645 | (9,481) |
Written Options | - | 6,650 |
Swaps | (1,237,399) | 425,223 |
Total Interest Rate Risk | (1,799,305) | 948,960 |
Totals | (1,832,620) | 779,444 |
Purchases ($) | Sales ($) | |
Fidelity Series Investment Grade Securitized Fund | 1,339,332,769 | 1,312,096,252 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024). |
Annualized Expense Ratio- A | Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 | |||||||
Fidelity® Series Investment Grade Securitized Fund | -%-D | |||||||||
Actual | $ 1,000 | $ 1,024.70 | $-E | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.86 | $-E | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. | ||
Proposal 1 | ||
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Abigail P. Johnson | ||
Affirmative | 11,814,004,433.55 | 97.25 |
Withheld | 334,633,605.07 | 2.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Jennifer Toolin McAuliffe | ||
Affirmative | 11,801,437,777.69 | 97.14 |
Withheld | 347,200,260.93 | 2.86 |
TOTAL | 12,148,638,038.62 | 100.00 |
Christine J. Thompson | ||
Affirmative | 11,799,735,265.07 | 97.13 |
Withheld | 348,902,773.55 | 2.87 |
TOTAL | 12,148,638,038.62 | 100.00 |
Elizabeth S. Acton | ||
Affirmative | 11,763,944,249.67 | 96.83 |
Withheld | 384,693,788.95 | 3.17 |
TOTAL | 12,148,638,038.62 | 100.00 |
Laura M. Bishop | ||
Affirmative | 11,816,418,545.71 | 97.27 |
Withheld | 332,219,492.91 | 2.73 |
TOTAL | 12,148,638,038.62 | 100.00 |
Ann E. Dunwoody | ||
Affirmative | 11,766,162,744.64 | 96.85 |
Withheld | 382,475,293.98 | 3.15 |
TOTAL | 12,148,638,038.62 | 100.00 |
John Engler | ||
Affirmative | 11,692,629,526.64 | 96.25 |
Withheld | 456,008,511.98 | 3.75 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert F. Gartland | ||
Affirmative | 11,762,176,459.70 | 96.82 |
Withheld | 386,461,578.92 | 3.18 |
TOTAL | 12,148,638,038.62 | 100.00 |
Robert W. Helm | ||
Affirmative | 11,797,887,400.14 | 97.11 |
Withheld | 350,750,638.48 | 2.89 |
TOTAL | 12,148,638,038.62 | 100.00 |
Arthur E. Johnson | ||
Affirmative | 11,722,693,701.64 | 96.49 |
Withheld | 425,944,336.98 | 3.51 |
TOTAL | 12,148,638,038.62 | 100.00 |
Michael E. Kenneally | ||
Affirmative | 11,755,380,864.02 | 96.76 |
Withheld | 393,257,174.60 | 3.24 |
TOTAL | 12,148,638,038.62 | 100.00 |
Mark A. Murray | ||
Affirmative | 11,768,949,175.31 | 96.87 |
Withheld | 379,688,863.31 | 3.13 |
TOTAL | 12,148,638,038.62 | 100.00 |
Carol J. Zierhoffer | ||
Affirmative | 11,806,868,951.90 | 97.19 |
Withheld | 341,769,086.72 | 2.81 |
TOTAL | 12,148,638,038.62 | 100.00 |
Proposal 1 reflects trust wide proposal and voting results. |
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Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer (Principal Executive Officer) | |
Date: | April 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer (Principal Executive Officer) | |
Date: | April 22, 2024 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer (Principal Financial Officer) | |
Date: | April 22, 2024 |