Quarterly Holdings Report
for
Fidelity Advisor® Limited Term Bond Fund
November 30, 2021
LTB-NPRT1-0122
1.813046.117
Nonconvertible Bonds - 57.7% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 2.7% | |||
Diversified Telecommunication Services - 1.4% | |||
AT&T, Inc.: | |||
0.9% 3/25/24 | 5,000,000 | 4,967,767 | |
1.65% 2/1/28 | 12,588,000 | 12,247,286 | |
NTT Finance Corp.: | |||
0.583% 3/1/24 (b) | 4,260,000 | 4,219,676 | |
1.162% 4/3/26 (b) | 8,933,000 | 8,774,098 | |
1.591% 4/3/28 (b) | 10,000,000 | 9,847,300 | |
Verizon Communications, Inc.: | |||
2.355% 3/15/32 (b) | 12,779,000 | 12,648,608 | |
3% 3/22/27 | 626,000 | 660,985 | |
53,365,720 | |||
Media - 0.9% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 16,000,000 | 16,282,654 | |
Comcast Corp.: | |||
3.7% 4/15/24 | 4,500,000 | 4,768,969 | |
3.95% 10/15/25 | 2,610,000 | 2,845,649 | |
Discovery Communications LLC: | |||
2.95% 3/20/23 | 7,000,000 | 7,180,243 | |
3.625% 5/15/30 | 1,664,000 | 1,780,161 | |
32,857,676 | |||
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S.A., Inc.: | |||
2.625% 4/15/26 | 10,100,000 | 10,101,768 | |
3.5% 4/15/25 | 6,000,000 | 6,347,027 | |
16,448,795 | |||
TOTAL COMMUNICATION SERVICES | 102,672,191 | ||
CONSUMER DISCRETIONARY - 3.0% | |||
Automobiles - 2.4% | |||
BMW U.S. Capital LLC 3.45% 4/12/23 (b) | 7,000,000 | 7,248,153 | |
Daimler Finance North America LLC: | |||
0.75% 3/1/24 (b) | 17,889,000 | 17,744,949 | |
1.45% 3/2/26 (b) | 6,948,000 | 6,911,634 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (c)(d) | 15,000,000 | 15,206,851 | |
1.05% 3/8/24 | 2,306,000 | 2,291,189 | |
1.25% 1/8/26 | 8,359,000 | 8,151,590 | |
1.7% 8/18/23 | 10,000,000 | 10,106,630 | |
3.25% 1/5/23 | 5,000,000 | 5,120,538 | |
4.15% 6/19/23 | 5,231,000 | 5,463,804 | |
Volkswagen Group of America Finance LLC 1.25% 11/24/25 (b) | 15,040,000 | 14,797,274 | |
93,042,612 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
McDonald's Corp. 3.3% 7/1/25 | 1,040,000 | 1,107,308 | |
Starbucks Corp. 3.8% 8/15/25 | 2,340,000 | 2,528,502 | |
3,635,810 | |||
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 6,465,074 | |
Specialty Retail - 0.3% | |||
AutoZone, Inc.: | |||
3.125% 7/15/23 | 3,247,000 | 3,349,888 | |
3.625% 4/15/25 | 545,000 | 581,311 | |
Ross Stores, Inc. 0.875% 4/15/26 | 7,357,000 | 7,134,011 | |
11,065,210 | |||
TOTAL CONSUMER DISCRETIONARY | 114,208,706 | ||
CONSUMER STAPLES - 4.6% | |||
Beverages - 0.7% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 15,000,000 | 14,844,603 | |
Molson Coors Beverage Co. 3% 7/15/26 | 10,575,000 | 11,070,055 | |
25,914,658 | |||
Food & Staples Retailing - 0.7% | |||
7-Eleven, Inc.: | |||
0.8% 2/10/24 (b) | 7,321,000 | 7,242,402 | |
0.95% 2/10/26 (b) | 7,891,000 | 7,612,579 | |
1.3% 2/10/28 (b) | 3,614,000 | 3,439,233 | |
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b) | 9,342,000 | 9,225,788 | |
27,520,002 | |||
Food Products - 1.4% | |||
Conagra Brands, Inc. 0.5% 8/11/23 | 6,707,000 | 6,662,030 | |
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b) | 5,030,000 | 4,987,748 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (b) | 10,730,000 | 11,572,305 | |
JDE Peet's BV: | |||
0.8% 9/24/24 (b) | 8,000,000 | 7,840,691 | |
1.375% 1/15/27 (b) | 10,440,000 | 10,158,256 | |
McCormick & Co., Inc. 0.9% 2/15/26 | 15,000,000 | 14,526,345 | |
55,747,375 | |||
Tobacco - 1.8% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,003,000 | 1,030,770 | |
BAT Capital Corp. 3.222% 8/15/24 | 7,000,000 | 7,290,556 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 15,000,000 | 14,776,280 | |
3.95% 6/15/25 (b) | 5,000,000 | 5,363,457 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 8,250,000 | 8,553,152 | |
4.25% 7/21/25 (b) | 13,000,000 | 14,002,884 | |
Philip Morris International, Inc.: | |||
0.875% 5/1/26 | 4,502,000 | 4,351,855 | |
1.125% 5/1/23 | 4,000,000 | 4,023,991 | |
1.5% 5/1/25 | 3,501,000 | 3,521,914 | |
2.875% 5/1/24 | 4,910,000 | 5,129,600 | |
68,044,459 | |||
TOTAL CONSUMER STAPLES | 177,226,494 | ||
ENERGY - 4.7% | |||
Oil, Gas & Consumable Fuels - 4.7% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 3,668,000 | 3,706,671 | |
Cenovus Energy, Inc. 3.8% 9/15/23 | 4,723,000 | 4,907,596 | |
Enbridge, Inc. 1.6% 10/4/26 | 10,000,000 | 9,860,070 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 7,150,000 | 7,379,350 | |
3.6% 2/1/23 | 2,824,000 | 2,889,740 | |
4.2% 9/15/23 | 1,441,000 | 1,510,022 | |
4.25% 3/15/23 | 6,314,000 | 6,519,387 | |
4.5% 4/15/24 | 570,000 | 607,011 | |
Equinor ASA: | |||
1.75% 1/22/26 | 1,120,000 | 1,130,038 | |
2.875% 4/6/25 | 7,000,000 | 7,336,629 | |
Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 5,738,000 | 5,946,266 | |
Marathon Petroleum Corp. 4.5% 5/1/23 | 5,640,000 | 5,892,617 | |
MPLX LP: | |||
1.75% 3/1/26 | 15,044,000 | 14,889,211 | |
3.375% 3/15/23 | 6,618,000 | 6,795,224 | |
4.5% 7/15/23 | 856,000 | 895,085 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 6,061,000 | 6,078,910 | |
3.2% 8/15/26 | 277,000 | 272,153 | |
Ovintiv Exploration, Inc. 5.625% 7/1/24 | 1,967,000 | 2,140,459 | |
Petroleos Mexicanos: | |||
6.49% 1/23/27 | 6,035,000 | 6,170,486 | |
6.5% 3/13/27 | 12,000,000 | 12,261,000 | |
Phillips 66 Co.: | |||
1.3% 2/15/26 | 6,892,000 | 6,757,750 | |
3.7% 4/6/23 | 4,430,000 | 4,592,937 | |
3.85% 4/9/25 | 7,000,000 | 7,496,299 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 7,781,000 | 7,744,148 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 4,768,000 | 4,801,236 | |
Shell International Finance BV 3.5% 11/13/23 | 1,470,000 | 1,545,464 | |
The Williams Companies, Inc. 3.6% 3/15/22 | 12,000,000 | 12,043,487 | |
TransCanada PipeLines Ltd. 2.5% 8/1/22 | 5,142,000 | 5,206,146 | |
Valero Energy Corp.: | |||
1.2% 3/15/24 | 10,000,000 | 9,953,733 | |
2.85% 4/15/25 | 9,963,000 | 10,340,046 | |
Western Gas Partners LP 3 month U.S. LIBOR + 2.100% 2.2218% 1/13/23 (c)(d) | 2,040,000 | 2,029,392 | |
179,698,563 | |||
FINANCIALS - 28.7% | |||
Banks - 16.6% | |||
ABN AMRO Bank NV 1.542% 6/16/27 (b)(c) | 8,114,000 | 7,970,601 | |
Banco Santander SA 1.722% 9/14/27 (c) | 5,000,000 | 4,906,658 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(d) | 11,000,000 | 11,144,662 | |
1.197% 10/24/26 (c) | 13,673,000 | 13,387,585 | |
1.319% 6/19/26 (c) | 16,000,000 | 15,847,361 | |
1.734% 7/22/27 (c) | 7,174,000 | 7,109,192 | |
3.004% 12/20/23 (c) | 6,462,000 | 6,607,588 | |
4.2% 8/26/24 | 15,750,000 | 16,924,834 | |
Barclays PLC: | |||
1.007% 12/10/24 (c) | 5,000,000 | 4,966,624 | |
2.279% 11/24/27 (c) | 5,000,000 | 5,006,010 | |
2.852% 5/7/26 (c) | 18,848,000 | 19,452,412 | |
3.932% 5/7/25 (c) | 4,000,000 | 4,224,050 | |
4.338% 5/16/24 (c) | 5,045,000 | 5,282,338 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (b)(c)(d) | 7,417,000 | 7,225,887 | |
2.219% 6/9/26 (b)(c) | 8,627,000 | 8,758,252 | |
3.5% 3/1/23 (b) | 17,000,000 | 17,568,883 | |
BPCE SA: | |||
1.652% 10/6/26 (b)(c) | 20,000,000 | 19,767,124 | |
2.045% 10/19/27 (b)(c) | 6,865,000 | 6,812,428 | |
4% 9/12/23 (b) | 5,000,000 | 5,262,563 | |
Capital One Bank NA 2.28% 1/28/26 (c) | 7,000,000 | 7,144,096 | |
CIT Group, Inc.: | |||
3.929% 6/19/24 (c) | 815,000 | 839,380 | |
4.75% 2/16/24 | 5,000,000 | 5,275,000 | |
5% 8/1/23 | 5,000,000 | 5,275,000 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (c) | 5,320,000 | 5,284,621 | |
3.106% 4/8/26 (c) | 10,000,000 | 10,482,891 | |
4.4% 6/10/25 | 3,018,000 | 3,277,695 | |
Danske Bank A/S 3.875% 9/12/23 (b) | 6,000,000 | 6,275,450 | |
DNB Bank ASA: | |||
1.535% 5/25/27 (b)(c) | 4,643,000 | 4,582,898 | |
1.605% 3/30/28 (b)(c) | 9,570,000 | 9,400,018 | |
HSBC Holdings PLC: | |||
1.589% 5/24/27 (c) | 10,000,000 | 9,770,019 | |
1.645% 4/18/26 (c) | 6,567,000 | 6,536,756 | |
3.803% 3/11/25 (c) | 5,000,000 | 5,264,385 | |
3.95% 5/18/24 (c) | 3,000,000 | 3,120,291 | |
Huntington Bancshares, Inc. 2.625% 8/6/24 | 4,610,000 | 4,768,741 | |
ING Groep NV 1.726% 4/1/27 (c) | 4,192,000 | 4,174,538 | |
Intesa Sanpaolo SpA: | |||
3.25% 9/23/24 (b) | 14,000,000 | 14,617,244 | |
3.375% 1/12/23 (b) | 5,775,000 | 5,922,335 | |
5.71% 1/15/26 (b) | 3,242,000 | 3,593,616 | |
JPMorgan Chase & Co.: | |||
0.824% 6/1/25 (c) | 7,855,000 | 7,761,190 | |
1.045% 11/19/26 (c) | 15,000,000 | 14,584,906 | |
1.47% 9/22/27 (c) | 10,000,000 | 9,808,587 | |
1.514% 6/1/24 (c) | 5,770,000 | 5,816,100 | |
2.083% 4/22/26 (c) | 25,219,000 | 25,649,312 | |
2.956% 5/13/31 (c) | 12,053,000 | 12,449,149 | |
3.559% 4/23/24 (c) | 10,000,000 | 10,368,120 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (c) | 5,000,000 | 4,982,125 | |
2.438% 2/5/26 (c) | 2,636,000 | 2,707,691 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
0.848% 9/15/24 (c) | 7,000,000 | 6,981,528 | |
1.412% 7/17/25 | 8,000,000 | 7,965,084 | |
1.538% 7/20/27 (c) | 10,000,000 | 9,854,973 | |
1.64% 10/13/27 (c) | 5,000,000 | 4,944,147 | |
2.193% 2/25/25 | 7,200,000 | 7,382,780 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (c) | 17,495,000 | 17,441,937 | |
1.234% 5/22/27 (c) | 10,000,000 | 9,708,890 | |
National Bank of Canada 0.9% 8/15/23 (c) | 10,100,000 | 10,114,755 | |
NatWest Group PLC: | |||
2.359% 5/22/24 (c) | 4,223,000 | 4,303,049 | |
3.875% 9/12/23 | 12,600,000 | 13,171,348 | |
4.519% 6/25/24 (c) | 10,962,000 | 11,536,009 | |
NatWest Markets PLC 0.8% 8/12/24 (b) | 5,141,000 | 5,071,426 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,135,000 | 3,220,064 | |
Royal Bank of Canada 1.15% 6/10/25 | 15,000,000 | 14,868,917 | |
Santander Holdings U.S.A., Inc.: | |||
3.4% 1/18/23 | 5,500,000 | 5,637,556 | |
3.45% 6/2/25 | 5,700,000 | 6,013,707 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(c) | 7,870,000 | 7,691,216 | |
1.792% 6/9/27 (b)(c) | 6,750,000 | 6,626,619 | |
2.625% 10/16/24 (b) | 1,530,000 | 1,575,922 | |
3.875% 3/28/24 (b) | 6,015,000 | 6,363,371 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
0.508% 1/12/24 | 989,000 | 978,432 | |
1.402% 9/17/26 | 10,000,000 | 9,791,807 | |
1.474% 7/8/25 | 10,000,000 | 9,978,760 | |
SVB Financial Group 3.125% 6/5/30 | 3,077,000 | 3,231,577 | |
Synovus Bank 2.289% 2/10/23 (c) | 1,640,000 | 1,643,164 | |
Synovus Financial Corp. 3.125% 11/1/22 | 7,118,000 | 7,233,031 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (c) | 5,500,000 | 5,557,689 | |
2.164% 2/11/26 (c) | 10,000,000 | 10,203,851 | |
2.188% 4/30/26 (c) | 5,000,000 | 5,105,501 | |
2.406% 10/30/25 (c) | 14,000,000 | 14,374,415 | |
3.75% 1/24/24 | 5,000,000 | 5,269,496 | |
4.3% 7/22/27 | 7,000,000 | 7,783,100 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 1,710,000 | 1,854,371 | |
641,435,698 | |||
Capital Markets - 5.9% | |||
Ares Capital Corp. 3.25% 7/15/25 | 10,000,000 | 10,295,985 | |
Credit Suisse AG 0.52% 8/9/23 | 8,000,000 | 7,960,331 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (b)(c) | 10,000,000 | 9,679,373 | |
2.593% 9/11/25 (b)(c) | 4,805,000 | 4,913,193 | |
Deutsche Bank AG 4.5% 4/1/25 | 2,904,000 | 3,098,606 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 2,899,000 | 2,879,333 | |
1.447% 4/1/25 (c) | 6,811,000 | 6,786,533 | |
2.129% 11/24/26 (c) | 14,479,000 | 14,514,892 | |
2.222% 9/18/24 (c) | 22,621,000 | 22,942,515 | |
2.311% 11/16/27 (c) | 7,028,000 | 7,016,097 | |
Goldman Sachs Group, Inc.: | |||
0.627% 11/17/23 (c) | 8,000,000 | 7,979,263 | |
0.657% 9/10/24 (c) | 4,500,000 | 4,465,186 | |
2.905% 7/24/23 (c) | 12,500,000 | 12,662,270 | |
3.2% 2/23/23 | 12,500,000 | 12,841,223 | |
3.272% 9/29/25 (c) | 5,000,000 | 5,244,756 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 6,859,000 | 6,840,810 | |
Moody's Corp. 4.875% 2/15/24 | 4,000,000 | 4,296,733 | |
Morgan Stanley: | |||
0.529% 1/25/24 (c) | 9,045,000 | 9,009,444 | |
0.56% 11/10/23 (c) | 5,000,000 | 4,984,737 | |
0.79% 5/30/25 (c) | 10,000,000 | 9,847,084 | |
0.791% 1/22/25 (c) | 11,500,000 | 11,373,987 | |
2.188% 4/28/26 (c) | 5,000,000 | 5,101,414 | |
2.72% 7/22/25 (c) | 3,953,000 | 4,079,396 | |
3.737% 4/24/24 (c) | 12,000,000 | 12,450,613 | |
Nomura Holdings, Inc. 1.653% 7/14/26 | 12,500,000 | 12,298,163 | |
State Street Corp. 2.901% 3/30/26 (c) | 305,000 | 320,788 | |
UBS AG London Branch 1.25% 6/1/26 (b) | 8,000,000 | 7,867,851 | |
UBS Group AG 1.008% 7/30/24 (b)(c) | 7,594,000 | 7,589,344 | |
229,339,920 | |||
Consumer Finance - 2.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 5,760,000 | 5,749,611 | |
1.75% 1/30/26 | 7,095,000 | 6,955,339 | |
2.45% 10/29/26 | 2,102,000 | 2,107,288 | |
3.3% 1/23/23 | 7,000,000 | 7,166,282 | |
3.5% 5/26/22 | 915,000 | 925,618 | |
4.125% 7/3/23 | 1,826,000 | 1,904,137 | |
4.875% 1/16/24 | 1,481,000 | 1,582,490 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 1,220,000 | 1,225,395 | |
3.05% 6/5/23 | 8,326,000 | 8,548,423 | |
5.125% 9/30/24 | 9,760,000 | 10,693,933 | |
Capital One Financial Corp.: | |||
1.878% 11/2/27 (c) | 7,000,000 | 6,961,055 | |
3.9% 1/29/24 | 3,000,000 | 3,166,086 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 12,000,000 | 12,151,560 | |
3.339% 3/28/22 | 2,246,000 | 2,253,749 | |
4.14% 2/15/23 | 5,000,000 | 5,106,300 | |
Hyundai Capital America 1% 9/17/24 (b) | 9,737,000 | 9,608,401 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 2,551,000 | 2,715,782 | |
4.375% 3/19/24 | 4,922,000 | 5,218,380 | |
Toyota Motor Credit Corp. 0.5% 8/14/23 | 4,167,000 | 4,153,313 | |
98,193,142 | |||
Diversified Financial Services - 1.2% | |||
AIG Global Funding: | |||
0.8% 7/7/23 (b) | 2,197,000 | 2,198,049 | |
0.9% 9/22/25 (b) | 7,000,000 | 6,838,635 | |
Athene Global Funding: | |||
0.95% 1/8/24 (b) | 8,877,000 | 8,847,802 | |
1% 4/16/24 (b) | 8,000,000 | 7,964,759 | |
1.73% 10/2/26 (b) | 5,000,000 | 4,905,560 | |
Brixmor Operating Partnership LP 2.25% 4/1/28 | 4,348,000 | 4,355,287 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 303,000 | 315,101 | |
Jackson Financial, Inc. 1.125% 11/22/23 (b) | 10,000,000 | 9,994,403 | |
45,419,596 | |||
Insurance - 2.5% | |||
American International Group, Inc.: | |||
2.5% 6/30/25 | 5,000,000 | 5,173,565 | |
4.2% 4/1/28 | 4,000,000 | 4,502,328 | |
Empower Finance 2020 LP 1.357% 9/17/27 (b) | 5,321,000 | 5,163,428 | |
Equitable Financial Life Global Funding: | |||
0.5% 11/17/23 (b) | 10,075,000 | 9,995,510 | |
1.4% 8/27/27 (b) | 15,000,000 | 14,640,397 | |
1.7% 11/12/26 (b) | 5,000,000 | 4,954,045 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 3,381,000 | 3,295,503 | |
Guardian Life Global Funding: | |||
1.1% 6/23/25 (b) | 7,850,000 | 7,799,315 | |
1.4% 7/6/27 (b) | 8,010,000 | 7,850,819 | |
Marsh & McLennan Companies, Inc.: | |||
3.3% 3/14/23 | 1,731,000 | 1,787,661 | |
3.875% 3/15/24 | 6,123,000 | 6,501,711 | |
Metropolitan Life Global Funding I 0.9% 6/8/23 (b) | 4,581,000 | 4,597,313 | |
Pacific Life Global Funding II 1.2% 6/24/25 (b) | 4,494,000 | 4,467,962 | |
Pricoa Global Funding I 2.4% 9/23/24 (b) | 6,476,000 | 6,717,049 | |
RGA Global Funding 2% 11/30/26 (b) | 3,680,000 | 3,700,478 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 5,657,319 | |
96,804,403 | |||
TOTAL FINANCIALS | 1,111,192,759 | ||
HEALTH CARE - 3.1% | |||
Biotechnology - 0.2% | |||
AbbVie, Inc. 2.3% 11/21/22 | 6,780,000 | 6,882,226 | |
Health Care Equipment & Supplies - 0.2% | |||
Alcon Finance Corp. 2.75% 9/23/26 (b) | 4,038,000 | 4,175,358 | |
Boston Scientific Corp. 1.9% 6/1/25 | 5,000,000 | 5,061,613 | |
9,236,971 | |||
Health Care Providers & Services - 0.7% | |||
Anthem, Inc. 0.45% 3/15/23 | 10,171,000 | 10,127,709 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 2,410,000 | 2,380,988 | |
3.75% 7/15/23 | 2,547,000 | 2,657,531 | |
CVS Health Corp. 3.7% 3/9/23 | 2,249,000 | 2,325,865 | |
Humana, Inc. 0.65% 8/3/23 | 10,000,000 | 9,946,185 | |
27,438,278 | |||
Life Sciences Tools & Services - 0.7% | |||
PerkinElmer, Inc. 0.85% 9/15/24 | 10,160,000 | 9,997,172 | |
Thermo Fisher Scientific, Inc.: | |||
1.215% 10/18/24 | 10,000,000 | 10,001,273 | |
2.95% 9/19/26 | 6,566,000 | 6,934,891 | |
26,933,336 | |||
Pharmaceuticals - 1.3% | |||
AstraZeneca Finance LLC 0.7% 5/28/24 | 7,493,000 | 7,417,202 | |
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24 (b) | 5,000,000 | 5,212,074 | |
4.25% 12/15/25 (b) | 10,500,000 | 11,429,888 | |
Bayer U.S. Finance LLC 3.375% 10/8/24 (b) | 7,000,000 | 7,338,649 | |
Bristol-Myers Squibb Co.: | |||
2.9% 7/26/24 | 6,000,000 | 6,276,259 | |
3.2% 6/15/26 | 5,000,000 | 5,374,682 | |
Elanco Animal Health, Inc. 5.272% 8/28/23 (c) | 552,000 | 583,149 | |
Mylan NV 3.125% 1/15/23 (b) | 5,791,000 | 5,933,115 | |
Viatris, Inc. 1.65% 6/22/25 | 480,000 | 479,042 | |
50,044,060 | |||
TOTAL HEALTH CARE | 120,534,871 | ||
INDUSTRIALS - 3.1% | |||
Aerospace & Defense - 0.5% | |||
The Boeing Co.: | |||
1.167% 2/4/23 | 7,169,000 | 7,171,681 | |
1.95% 2/1/24 | 10,390,000 | 10,533,814 | |
4.875% 5/1/25 | 3,000,000 | 3,287,986 | |
20,993,481 | |||
Airlines - 0.3% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 4,796,066 | 4,590,298 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 5,500,000 | 5,542,860 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 3,429,247 | 3,377,808 | |
13,510,966 | |||
Building Products - 0.1% | |||
Carrier Global Corp. 2.242% 2/15/25 | 3,940,000 | 4,028,288 | |
Commercial Services & Supplies - 0.4% | |||
Republic Services, Inc. 0.875% 11/15/25 | 15,000,000 | 14,580,793 | |
Industrial Conglomerates - 0.4% | |||
Roper Technologies, Inc. 3.65% 9/15/23 | 3,078,000 | 3,215,741 | |
Siemens Financieringsmaatschappij NV: | |||
0.65% 3/11/24 (b) | 6,309,000 | 6,270,721 | |
1.2% 3/11/26 (b) | 6,674,000 | 6,559,616 | |
16,046,078 | |||
Machinery - 0.5% | |||
Otis Worldwide Corp.: | |||
3 month U.S. LIBOR + 0.450% 0.5831% 4/5/23 (c)(d) | 4,000,000 | 4,000,203 | |
2.056% 4/5/25 | 7,000,000 | 7,127,670 | |
Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 5,900,000 | 6,280,068 | |
17,407,941 | |||
Road & Rail - 0.1% | |||
Canadian Pacific Railway Co. 1.75% 12/2/26 (e) | 2,099,000 | 2,100,180 | |
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 3,555,000 | 3,504,839 | |
0.8% 8/18/24 | 4,323,000 | 4,242,691 | |
2.625% 7/1/22 | 5,000,000 | 5,047,558 | |
4.25% 2/1/24 | 2,597,000 | 2,749,102 | |
International Lease Finance Corp. 5.875% 8/15/22 | 4,375,000 | 4,531,554 | |
20,075,744 | |||
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (b) | 7,180,000 | 7,333,747 | |
3.625% 5/1/22 (b) | 719,000 | 726,021 | |
3.95% 7/1/24 (b) | 955,000 | 1,000,933 | |
5.5% 1/15/26 (b) | 2,089,000 | 2,318,662 | |
11,379,363 | |||
TOTAL INDUSTRIALS | 120,122,834 | ||
INFORMATION TECHNOLOGY - 2.3% | |||
Electronic Equipment & Components - 0.3% | |||
Amphenol Corp. 3.2% 4/1/24 | 896,000 | 934,857 | |
Dell International LLC/EMC Corp. 5.45% 6/15/23 | 10,555,000 | 11,195,293 | |
12,130,150 | |||
IT Services - 0.3% | |||
PayPal Holdings, Inc.: | |||
1.35% 6/1/23 | 2,668,000 | 2,695,804 | |
1.65% 6/1/25 | 2,097,000 | 2,117,445 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 1,242,000 | 1,291,498 | |
4.25% 6/9/23 | 5,000,000 | 5,235,322 | |
11,340,069 | |||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Broadcom, Inc. 1.95% 2/15/28 (b) | 15,000,000 | 14,635,110 | |
Microchip Technology, Inc. 0.983% 9/1/24 (b) | 5,060,000 | 4,986,904 | |
Micron Technology, Inc. 4.185% 2/15/27 | 6,000,000 | 6,569,880 | |
26,191,894 | |||
Software - 0.6% | |||
Microsoft Corp. 2.4% 8/8/26 | 10,000,000 | 10,432,010 | |
Oracle Corp. 1.65% 3/25/26 | 3,618,000 | 3,600,262 | |
VMware, Inc.: | |||
1% 8/15/24 | 6,564,000 | 6,517,275 | |
1.4% 8/15/26 | 2,882,000 | 2,816,254 | |
23,365,801 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Apple, Inc. 2.45% 8/4/26 | 15,000,000 | 15,625,573 | |
TOTAL INFORMATION TECHNOLOGY | 88,653,487 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.7% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (b) | 3,089,000 | 3,194,083 | |
International Flavors & Fragrances, Inc.: | |||
0.697% 9/15/22 (b) | 1,352,000 | 1,352,773 | |
1.23% 10/1/25 (b) | 7,000,000 | 6,877,898 | |
LYB International Finance III LLC 1.25% 10/1/25 | 6,305,000 | 6,224,905 | |
The Mosaic Co. 3.25% 11/15/22 | 7,000,000 | 7,155,477 | |
Westlake Chemical Corp. 0.875% 8/15/24 | 2,986,000 | 2,955,995 | |
27,761,131 | |||
REAL ESTATE - 1.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,372,364 | |
Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 3,149,265 | |
Crown Castle International Corp. 1.35% 7/15/25 | 566,000 | 560,267 | |
ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 3,194,897 | |
Healthcare Trust of America Holdings LP 3.5% 8/1/26 | 621,000 | 666,785 | |
Kimco Realty Corp. 3.3% 2/1/25 | 5,500,000 | 5,812,327 | |
Kite Realty Group Trust 4% 3/15/25 | 2,778,000 | 2,919,228 | |
Omega Healthcare Investors, Inc. 4.375% 8/1/23 | 1,211,000 | 1,268,524 | |
Realty Income Corp. 2.2% 6/15/28 | 456,000 | 460,186 | |
Simon Property Group LP 2.75% 6/1/23 | 3,463,000 | 3,548,318 | |
SITE Centers Corp. 4.25% 2/1/26 | 1,865,000 | 1,995,450 | |
Spirit Realty LP 2.1% 3/15/28 | 5,695,000 | 5,584,288 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 3,710,000 | 3,848,295 | |
3% 1/15/30 | 4,013,000 | 4,148,738 | |
3.5% 4/15/24 | 2,140,000 | 2,252,148 | |
Vornado Realty LP 2.15% 6/1/26 | 1,017,000 | 1,020,922 | |
Welltower, Inc. 3.625% 3/15/24 | 4,035,000 | 4,250,527 | |
47,052,529 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 3,334,000 | 3,427,087 | |
4.1% 10/1/24 | 372,000 | 396,118 | |
3,823,205 | |||
TOTAL REAL ESTATE | 50,875,734 | ||
UTILITIES - 3.5% | |||
Electric Utilities - 1.7% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 3,084,702 | |
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.6158% 6/15/23 (b)(c)(d) | 8,354,000 | 8,351,557 | |
Edison International 2.95% 3/15/23 | 730,000 | 742,902 | |
Exelon Corp. 3.497% 6/1/22 (c) | 10,287,000 | 10,392,976 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 606,000 | 594,710 | |
2.05% 3/1/25 | 3,271,000 | 3,254,645 | |
4.75% 3/15/23 | 600,000 | 616,818 | |
Florida Power & Light Co. 2.85% 4/1/25 | 1,508,000 | 1,578,297 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,115,000 | 1,172,343 | |
ITC Holdings Corp. 2.7% 11/15/22 | 3,503,000 | 3,564,525 | |
NextEra Energy Capital Holdings, Inc.: | |||
0.65% 3/1/23 | 8,000,000 | 7,989,779 | |
2.75% 5/1/25 | 12,257,000 | 12,761,856 | |
Southern Co. 0.6% 2/26/24 | 3,789,000 | 3,739,731 | |
Vistra Operations Co. LLC 5% 7/31/27 (b) | 10,000,000 | 10,105,600 | |
67,950,441 | |||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.496% 3/9/23 (c)(d) | 6,511,000 | 6,511,446 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6196% 3/2/23 (c)(d) | 8,693,000 | 8,679,240 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 1,156,000 | 1,197,153 | |
ONE Gas, Inc. 0.85% 3/11/23 | 10,000,000 | 9,984,246 | |
26,372,085 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Emera U.S. Finance LP 0.833% 6/15/24 (b) | 4,654,000 | 4,589,407 | |
The AES Corp. 3.3% 7/15/25 (b) | 4,133,000 | 4,323,449 | |
8,912,856 | |||
Multi-Utilities - 0.9% | |||
Berkshire Hathaway Energy Co. 2.8% 1/15/23 | 5,944,000 | 6,072,788 | |
CenterPoint Energy, Inc. 2.5% 9/1/22 | 1,229,000 | 1,245,400 | |
Dominion Energy, Inc.: | |||
1.45% 4/15/26 | 8,000,000 | 7,907,503 | |
3.071% 8/15/24 (c) | 5,000,000 | 5,205,268 | |
DTE Energy Co. 2.25% 11/1/22 | 5,500,000 | 5,579,808 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,873,000 | 2,802,151 | |
2.95% 9/1/29 | 3,000,000 | 3,108,858 | |
Sempra Energy 2.9% 2/1/23 | 1,017,000 | 1,039,549 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2685% 5/15/67 (c)(d) | 454,000 | 422,220 | |
33,383,545 | |||
TOTAL UTILITIES | 136,618,927 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $2,218,967,374) | 2,229,565,697 | ||
U.S. Treasury Obligations - 13.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Notes: | |||
0.25% 7/31/25 | 220,000,000 | 214,061,721 | |
0.375% 4/30/25 | 35,355,000 | 34,671,378 | |
0.75% 3/31/26 (f) | 115,000,000 | 113,279,492 | |
0.875% 6/30/26 | 115,000,000 | 113,697,266 | |
1.625% 9/30/26 | 40,000,000 | 40,923,438 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $522,728,697) | 516,633,295 | ||
U.S. Government Agency - Mortgage Securities - 1.4% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.9% | |||
3% 7/1/36 to 3/1/50 | 25,120,488 | 26,406,709 | |
3.5% 9/1/29 to 10/1/29 | 758,478 | 801,166 | |
4.5% to 4.5% 3/1/35 to 9/1/49 | 6,460,544 | 7,026,893 | |
6.5% 7/1/32 to 8/1/36 | 142,757 | 165,280 | |
7% 8/1/28 to 6/1/33 | 124,464 | 145,629 | |
7.5% to 7.5% 11/1/26 to 2/1/28 | 23,416 | 26,188 | |
8.5% 9/1/25 | 704 | 765 | |
TOTAL FANNIE MAE | 34,572,630 | ||
Freddie Mac - 0.5% | |||
2% 1/1/32 | 11,777,574 | 12,108,820 | |
3% 2/1/34 | 6,364,137 | 6,666,589 | |
8.5% 12/1/26 to 8/1/27 | 11,280 | 12,571 | |
TOTAL FREDDIE MAC | 18,787,980 | ||
Ginnie Mae - 0.0% | |||
7% to 7% 7/15/28 to 11/15/28 | 19,921 | 22,220 | |
7.5% 2/15/28 to 10/15/28 | 2,201 | 2,485 | |
8% 6/15/24 | 14 | 15 | |
TOTAL GINNIE MAE | 24,720 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $53,462,965) | 53,385,330 | ||
Asset-Backed Securities - 14.0% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 2,528,190 | 2,434,538 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 3,414,939 | 3,368,113 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 5,887,000 | 5,877,016 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 1,293,000 | 1,293,767 | |
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.1883% 7/22/32 (b)(c)(d) | 10,230,000 | 10,229,969 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 1/15/32 (b)(c)(d) | 10,545,000 | 10,545,685 | |
Ajax Mortgage Loan Trust Series 2021-B Class A, 2.239% 6/25/66 (b)(c) | 4,070,167 | 4,049,824 | |
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26 | 9,667,000 | 9,634,296 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 1,240,409 | 1,175,754 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.1783% 4/22/31 (b)(c)(d) | 8,959,000 | 8,969,410 | |
Bank of America Credit Card Master Trust: | |||
Series 2020-A1 Class A1, 0.34% 5/15/26 | 11,987,000 | 11,871,178 | |
Series 2021-A1 Class A1, 0.44% 9/15/26 | 10,797,000 | 10,663,618 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 1.2166% 2/25/35 (c)(d) | 126,159 | 125,901 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 4,758,750 | 4,724,764 | |
CarMax Auto Owner Trust: | |||
Series 2020-4 Class A3, 0.5% 8/15/25 | 5,979,000 | 5,969,571 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 6,074,000 | 6,045,944 | |
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26 | 8,448,000 | 8,390,913 | |
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 2,675,281 | 2,673,538 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 4,529,484 | 4,623,001 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.1% 10/20/32 (b)(c)(d) | 2,685,000 | 2,683,880 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.2238% 7/15/33 (b)(c)(d) | 11,007,000 | 11,009,730 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.1045% 7/27/30 (b)(c)(d) | 10,010,000 | 10,011,261 | |
Chesapeake Funding II LLC Series 2019-1A Class A1, 2.94% 4/15/31 (b) | 1,566,827 | 1,581,049 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 1,569,855 | 1,576,815 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 12,000,000 | 11,806,080 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (b) | 1,408,619 | 1,415,449 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (b) | 1,969,007 | 1,970,213 | |
Class A3, 0.57% 10/23/23 (b) | 4,476,000 | 4,475,829 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (b) | 3,966,000 | 3,949,045 | |
Discover Card Execution Note Trust Series 2021-A1 Class A1, 0.58% 9/15/26 | 10,000,000 | 9,871,386 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b) | 814,312 | 816,941 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b) | 6,077,000 | 6,055,465 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 4/15/31 (b)(c)(d) | 9,586,000 | 9,592,586 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-1 Class A2, 1.78% 12/22/25 (b) | 3,891,040 | 3,925,406 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 7,565,699 | 7,559,761 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 3,543,010 | 3,528,264 | |
Exeter Automobile Receivables Trust Series 2021-2A Class A3, 0.3% 10/15/24 | 3,534,000 | 3,526,819 | |
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(c) | 2,143,800 | 2,142,676 | |
Ford Credit Auto Owner Trust: | |||
Series 2019-1 Class A, 3.52% 7/15/30 (b) | 4,783,000 | 5,036,402 | |
Series 2020-2 Class A, 1.06% 4/15/33 (b) | 14,774,000 | 14,522,221 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 12,656,000 | 12,625,357 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-4 Class A3, 0.38% 8/18/25 | 6,963,000 | 6,948,961 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (b) | 3,438,000 | 3,429,605 | |
Series 2020-2 Class A, 0.69% 10/15/25 (b) | 7,860,000 | 7,823,825 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 1,166,246 | 1,156,177 | |
HPEFS Equipment Trust Series 2020-2A Class A2, 0.65% 7/22/30 (b) | 1,319,860 | 1,320,433 | |
Hyundai Auto Lease Securitization Trust Series 2021-A Class A3, 0.33% 1/16/24 (b) | 6,776,000 | 6,769,229 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 2,311,000 | 2,343,620 | |
Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 0.970% 1.1045% 7/27/31 (b)(c)(d) | 7,645,000 | 7,645,474 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1283% 1/22/31 (b)(c)(d) | 8,045,000 | 8,045,346 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (b) | 89,658 | 89,786 | |
Series 2021-2A Class A, 0.51% 9/15/31 (b) | 4,950,394 | 4,942,293 | |
Series 2021-3A Class A, 0.65% 12/15/31 (b) | 4,984,000 | 4,971,412 | |
Mercedes-Benz Auto Lease Trust Series 2020-B Class A3, 0.4% 11/15/23 | 3,679,000 | 3,678,244 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 619,076 | 635,864 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 4,116,000 | 4,163,923 | |
Mortgage Repurchase Agreement Financing Trust: | |||
Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0911% 8/10/23 (b)(c)(d) | 7,218,000 | 7,234,544 | |
Series 2021-1 Class A1, 1 month U.S. LIBOR + 0.500% 0.5911% 3/10/22 (b)(c)(d) | 8,684,000 | 8,694,699 | |
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (b) | 3,604,929 | 3,597,110 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.1223% 7/17/32 (b)(c)(d) | 10,020,000 | 10,032,084 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b) | 9,803,000 | 9,694,611 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 0.9596% 5/20/29 (b)(c)(d) | 8,959,277 | 8,960,478 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.3366% 1/25/36 (c)(d) | 69,438 | 69,502 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 1,795,047 | 1,791,040 | |
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (b) | 28,275 | 28,222 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 6,297,733 | 6,271,302 | |
Santander Drive Auto Receivables Trust Series 2021-2 Class A3, 0.34% 2/18/25 | 7,459,000 | 7,449,640 | |
Santander Retail Auto Lease Trust: | |||
Series 2020-B Class A3, 0.57% 4/22/24 (b) | 8,691,000 | 8,668,584 | |
Series 2021-A Class A3, 0.51% 7/22/24 (b) | 5,349,000 | 5,317,982 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 6,169,680 | 6,052,819 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 2,797,000 | 2,885,290 | |
1.884% 7/15/50 (b) | 1,204,000 | 1,209,006 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | 12,660,052 | 12,490,914 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 178,025 | 178,341 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1836% 7/15/32 (b)(c)(d) | 7,582,000 | 7,582,933 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 0% 1/15/34 (b)(c)(d) | 9,700,000 | 9,700,000 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.1179% 11/18/30 (b)(c)(d) | 10,490,000 | 10,489,990 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.0423% 7/15/30 (b)(c)(d) | 11,301,000 | 11,304,808 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (c)(d) | 2,132 | 1,997 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (b) | 3,588,000 | 3,593,715 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b) | 3,961,000 | 3,963,707 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.6866% 4/6/42 (b)(c)(d) | 304,000 | 221,356 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (b) | 298,902 | 298,026 | |
Series 2021-2 Class A, 0.91% 6/20/31 (b) | 4,295,290 | 4,291,407 | |
Series 2021-3 Class A, 0.83% 7/20/31 (b) | 6,772,168 | 6,756,728 | |
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 8,965,814 | 8,891,348 | |
Series 2021-5 Class A, 1.31% 11/20/31 (b) | 9,740,000 | 9,717,386 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 2,515,659 | 2,516,668 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 7,910,737 | 7,910,711 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c) | 9,523,227 | 9,520,435 | |
Verizon Master Trust Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 7,466,000 | 7,388,051 | |
Class B, 0.69% 5/20/27 | 8,000,000 | 7,911,039 | |
Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24 | 6,472,000 | 6,532,388 | |
Volvo Financial Equipment LLC: | |||
Series 2019-1A Class A3, 3% 3/15/23 (b) | 406,074 | 407,490 | |
Series 2019-2A Class A3, 2.04% 11/15/23 (b) | 2,392,276 | 2,409,972 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.0723% 4/17/30 (b)(c)(d) | 10,000,000 | 10,000,790 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24 | 4,956,000 | 4,947,790 | |
TOTAL ASSET-BACKED SECURITIES (Cost $544,451,736) | 543,298,530 | ||
Collateralized Mortgage Obligations - 3.1% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 2.3% | |||
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 2,159,860 | 2,160,005 | |
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 4,809,842 | 4,851,869 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 3,537,580 | 3,533,165 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 2,579,237 | 2,577,443 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 3,059,000 | 3,054,465 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 1,838,531 | 1,840,508 | |
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,578,001 | 1,626,919 | |
CSMC Trust sequential payer: | |||
Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 1,346,234 | 1,354,180 | |
Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 9,500,000 | 9,499,791 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.628% 8/25/60 (b)(c)(d) | 442,953 | 443,302 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(c) | 5,532,000 | 5,584,609 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.375% 7/25/67 (b)(c) | 8,623,000 | 8,619,930 | |
Mortgage Repurchase Agreement Financing Trust floater Series 2021-S1 Class A1, 1 month U.S. LIBOR + 0.500% 0.5911% 9/10/22 (b)(c)(d) | 8,000,000 | 8,001,964 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,805,553 | 1,868,935 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 2,966,475 | 2,943,302 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 4,138,264 | 4,148,952 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/25/51 (b)(c) | 8,898,000 | 8,898,000 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c) | 8,662,870 | 8,600,915 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 4,024,851 | 4,013,181 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 1,424,870 | 1,412,266 | |
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 6,050,000 | 6,057,895 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 (c)(d) | 649 | 635 | |
TOTAL PRIVATE SPONSOR | 91,092,231 | ||
U.S. Government Agency - 0.8% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2015-28 Class P, 2.5% 5/25/45 | 2,201,863 | 2,274,033 | |
Series 2019-33 Class N, 3% 3/25/48 | 8,637,963 | 8,959,997 | |
Series 2015-28 Class JE, 3% 5/25/45 | 1,583,105 | 1,659,446 | |
Series 2018-3 Class LP, 3% 2/25/47 | 6,217,815 | 6,390,369 | |
Series 2019-59 Class AB, 2.5% 10/25/39 | 2,592,717 | 2,674,091 | |
Freddie Mac: | |||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 3,942,430 | 4,086,700 | |
sequential payer Series 4873 Class CA, 4% 7/15/47 | 2,948,901 | 3,078,096 | |
Series 3949 Class MK, 4.5% 10/15/34 | 65,368 | 71,117 | |
Series 4472 Class WL, 3% 5/15/45 | 730,949 | 767,161 | |
TOTAL U.S. GOVERNMENT AGENCY | 29,961,010 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $120,677,269) | 121,053,241 | ||
Commercial Mortgage Securities - 7.9% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,767,000 | 1,810,722 | |
BANK Series 2021-BN33 Class XA, 1.1754% 5/15/64 (c)(g) | 20,638,298 | 1,602,979 | |
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | 8,485,167 | 8,863,092 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 5,621,000 | 5,747,887 | |
Series 2019-B14 Class XA, 0.9093% 12/15/62 (c)(g) | 24,744,634 | 1,102,970 | |
Series 2020-B17 Class XA, 1.5406% 3/15/53 (c)(g) | 49,460,765 | 4,120,893 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.84% 9/15/26 (b)(c)(d) | 5,047,000 | 5,038,672 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (b)(c)(d) | 4,501,000 | 4,488,341 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7423% 5/15/38 (b)(c)(d) | 4,000,000 | 3,987,822 | |
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (b)(c)(d) | 2,552,720 | 2,550,319 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 0.95% 11/15/26 (b)(c)(d) | 4,360,000 | 4,349,133 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.7259% 10/15/26 (b)(c)(d) | 4,085,000 | 4,053,253 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.7895% 1/15/34 (b)(c)(d) | 2,100,000 | 2,091,450 | |
Series 2021-SOAR Class A, 0.76% 6/15/38 (b)(c) | 4,342,000 | 4,317,637 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.089% 4/15/34 (b)(c)(d) | 614,000 | 612,654 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.01% 10/15/36 (b)(c)(d) | 5,585,553 | 5,585,552 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 6,863,542 | 6,835,005 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 5,521,885 | 5,430,542 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.0395% 11/15/36 (b)(c)(d) | 1,313,000 | 1,309,710 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b) | 10,000,000 | 10,043,450 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (b)(c)(d) | 4,628,218 | 4,619,512 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (b)(c)(d) | 2,904,000 | 2,898,526 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-GC8: | |||
Class A/S, 3.683% 9/10/45 (b) | 6,670,000 | 6,750,001 | |
Class A4, 3.024% 9/10/45 | 2,179,345 | 2,195,553 | |
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 827,419 | 853,403 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 2,111,521 | 2,197,967 | |
Series 2017-P7 Class A2, 3.212% 4/14/50 | 1,987,946 | 1,993,180 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2012-LC4 Class A4, 3.288% 12/10/44 | 680,068 | 679,781 | |
Series 2013-CR7: | |||
Class A4, 3.213% 3/10/46 | 2,666,224 | 2,732,130 | |
Class AM, 3.314% 3/10/46 (b) | 1,343,000 | 1,377,485 | |
Series 2015-CR22 Class ASB, 3.144% 3/10/48 | 1,327,612 | 1,368,420 | |
Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 1,085,579 | 1,121,896 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 2,731,000 | 2,880,686 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 1,043,523 | 1,051,223 | |
Series 2015-CR22 Class A2, 2.856% 3/10/48 | 225,243 | 225,313 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.07% 5/15/36 (b)(c)(d) | 5,000,000 | 4,999,999 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,198,000 | 2,222,797 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (b) | 1,635,000 | 1,685,627 | |
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52 | 3,096,971 | 3,208,846 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (b)(c)(d) | 6,073,000 | 6,044,490 | |
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (b)(c)(d) | 2,082,168 | 2,080,919 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (b)(c)(d) | 2,682,000 | 2,682,796 | |
sequential payer: | |||
Series 2012-GCJ7: | |||
Class A/S, 4.085% 5/10/45 | 4,762,000 | 4,791,330 | |
Class A4, 3.377% 5/10/45 | 391,253 | 391,264 | |
Series 2012-GCJ9 Class A3, 2.773% 11/10/45 | 4,628,218 | 4,677,484 | |
Series 2013-GC10 Class A5, 2.943% 2/10/46 | 5,531,000 | 5,640,984 | |
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 299,253 | 307,343 | |
Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 374,523 | 386,710 | |
Series 2014-GC26 Class AAB, 3.365% 11/10/47 | 2,014,443 | 2,079,646 | |
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,419,047 | 1,464,421 | |
Series 2015-GC30 Class A4, 3.382% 5/10/50 | 3,541,000 | 3,746,274 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 5,270,077 | 5,291,795 | |
Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 4,022,000 | 4,089,100 | |
Series 2013-GC13 Class A/S, 4.1994% 7/10/46 (b)(c) | 9,739,000 | 10,130,817 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 1,900,000 | 2,002,905 | |
Series 2015-GC32 Class A2, 3.062% 7/10/48 | 245,081 | 248,434 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2013-C17 Class ASB, 3.705% 1/15/47 | 382,955 | 393,883 | |
Series 2014-C22 Class A4, 3.8012% 9/15/47 | 4,450,000 | 4,711,497 | |
Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 1,093,672 | 1,132,059 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 6,642,000 | 6,990,667 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 414,361 | 414,236 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 2,097,000 | 2,116,763 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 5,520,000 | 5,602,401 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.09% 9/15/29 (b)(c)(d) | 2,478,000 | 2,473,283 | |
sequential payer Series 2012-C8 Class A3, 2.8291% 10/15/45 | 2,440,750 | 2,464,892 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) | 2,044,000 | 2,069,220 | |
Series 2013-C10 Class A5, 3.1425% 12/15/47 | 4,747,844 | 4,847,331 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 8,570,171 | 9,025,524 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2,708,000 | 2,823,372 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (b)(c)(d) | 4,067,000 | 4,058,752 | |
Merit floater: | |||
Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.24% 8/15/37 (b)(c)(d) | 859,104 | 857,759 | |
Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.79% 7/15/38 (b)(c)(d) | 2,266,000 | 2,256,781 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2013-C11 Class A4, 4.2963% 8/15/46 (c) | 1,443,000 | 1,497,192 | |
Series 2014-C15 Class ASB, 3.654% 4/15/47 | 851,116 | 875,649 | |
Series 2014-C19 Class ASB, 3.326% 12/15/47 | 6,817,171 | 7,037,497 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,710,734 | 1,778,994 | |
Series 2014-C17 Class ASB, 3.477% 8/15/47 | 2,127,563 | 2,194,864 | |
Series 2015-C22 Class ASB, 3.04% 4/15/48 | 827,372 | 849,547 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 3,837,000 | 3,943,187 | |
Series 2021-L6 Class XA, 1.3542% 6/15/54 (c)(g) | 7,149,078 | 606,338 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.574% 10/15/36 (b)(c)(d) | 10,140,000 | 10,059,975 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (b)(c)(d) | 4,056,000 | 4,032,752 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8795% 4/10/46 (b)(c)(d) | 3,372,343 | 3,365,410 | |
Series 2012-C2 Class ASEC, 4.179% 5/10/63 (b) | 2,974,216 | 3,016,503 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 3,319,000 | 3,387,385 | |
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | 799,706 | 835,245 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2012-LC5 Class A3, 2.918% 10/15/45 | 4,105,866 | 4,144,638 | |
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 1,971,072 | 2,038,676 | |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 4,847,957 | 5,048,783 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 3,858,000 | 4,038,059 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-C9 Class A3, 2.87% 11/15/45 | 3,789,710 | 3,830,995 | |
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 812,044 | 822,020 | |
Series 2013-C16 Class ASB, 3.963% 9/15/46 | 431,549 | 442,900 | |
Series 2014-C22 Class ASB, 3.464% 9/15/57 | 3,075,774 | 3,176,867 | |
Series 2013-C11 Class ASB, 2.63% 3/15/45 | 314,582 | 317,740 | |
Series 2013-C12 Class A4, 3.198% 3/15/48 | 1,071,747 | 1,094,775 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $307,414,237) | 305,735,551 | ||
Municipal Securities - 0.4% | |||
Principal Amount (a) | Value ($) | ||
California Gen. Oblig. Series 2019, 2.4% 10/1/25 | 4,420,000 | 4,630,446 | |
Illinois Gen. Oblig. Series 2003, 4.95% 6/1/23 | 1,346,545 | 1,408,425 | |
New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 1,320,000 | 1,379,170 | |
New York Urban Dev. Corp. Rev. Series 2017 D, 2.7% 3/15/23 | 6,100,000 | 6,271,007 | |
TOTAL MUNICIPAL SECURITIES (Cost $13,226,731) | 13,689,048 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
United Mexican States 3.25% 4/16/30 (Cost $3,509,223) | 3,525,000 | 3,592,856 | |
Bank Notes - 0.9% | |||
Principal Amount (a) | Value ($) | ||
CIT Bank NA 2.969% 9/27/25 (c) | 6,655,000 | 6,771,463 | |
Citibank NA 3.65% 1/23/24 | 5,000,000 | 5,277,680 | |
Citizens Bank NA 2.25% 4/28/25 | 4,046,000 | 4,156,866 | |
Discover Bank 3.35% 2/6/23 | 7,557,000 | 7,762,285 | |
First Republic Bank 1.912% 2/12/24 (c) | 2,692,000 | 2,725,488 | |
Truist Bank 1.5% 3/10/25 | 7,000,000 | 7,072,513 | |
TOTAL BANK NOTES (Cost $33,114,060) | 33,766,295 | ||
Commercial Paper - 0.7% | |||
Principal Amount (a) | Value ($) | ||
Enel Finance America LLC yankee: | |||
0.37% 7/11/22 | 10,000,000 | 9,975,284 | |
0.4% 9/27/22 | 10,000,000 | 9,962,291 | |
HSBC U.S.A., Inc.: | |||
yankee 0.4% 2/9/22 | 4,000,000 | 3,997,941 | |
0.33% 10/4/22 | 5,000,000 | 4,979,467 | |
TOTAL COMMERCIAL PAPER (Cost $28,926,668) | 28,914,983 | ||
Fixed-Income Funds - 0.0% | |||
Shares | Value ($) | ||
Fidelity Specialized High Income Central Fund (h) (Cost $43,099) | 434 | 41,256 | |
Money Market Funds - 0.1% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.06% (i) (Cost $5,239,621) | 5,238,573 | 5,239,621 | |
TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $3,851,761,680) | 3,854,915,703 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 11,480,432 |
NET ASSETS - 100.0% | 3,866,396,135 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 810 | Mar 2022 | 98,332,734 | 333,758 | 333,758 |
The notional amount of futures purchased as a percentage of Net Assets is 2.5% |
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,257,927,212 or 32.5% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | 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 $738,807. |
(g) | Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.06% | 36,111,829 | 308,237,888 | 339,110,096 | 2,393 | - | - | 5,239,621 | 0.0% |
Fidelity Specialized High Income Central Fund | 41,854 | 1,863 | - | 1,863 | - | (2,461) | 41,256 | 0.0% |
Total | 36,153,683 | 308,239,751 | 339,110,096 | 4,256 | - | (2,461) | 5,280,877 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Municipal Securities, Foreign Government and Government Agency Obligations, Bank Notes and Commercial Paper are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
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.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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