Quarterly Holdings Report
for
Fidelity® Series Investment Grade Securitized Fund
November 30, 2022
IGS-NPRT1-0123
1.9891239.104
| U.S. Treasury Obligations - 2.0% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Treasury Bonds: | |||
| 2% 11/15/41 (b)(c) | 300,000 | 218,496 | |
| 3.25% 5/15/42 (b)(c) | 1,200,000 | 1,077,938 | |
| U.S. Treasury Notes: | |||
| 2.625% 7/31/29 (b)(c) | 1,913,000 | 1,784,769 | |
| 2.75% 8/15/32 (b)(c)(d) | 4,136,000 | 3,830,970 | |
| 4.375% 10/31/24 | 1,900,000 | 1,899,555 | |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,393,280) | 8,811,728 | ||
| U.S. Government Agency - Mortgage Securities - 134.7% | |||
Principal Amount (a) | Value ($) | ||
| Fannie Mae - 33.4% | |||
| 1.5% 1/1/36 to 6/1/51 | 5,238,381 | 4,389,984 | |
| 2% 10/1/35 to 3/1/52 | 33,549,880 | 27,885,679 | |
| 2.5% 5/1/31 to 2/1/52 (d) | 43,243,081 | 38,324,036 | |
| 3% 8/1/32 to 2/1/52 | 33,803,043 | 30,386,907 | |
| 3.5% 7/1/34 to 4/1/52 | 19,502,027 | 18,177,560 | |
| 4% 3/1/46 to 5/1/52 | 7,359,753 | 7,046,489 | |
| 4.5% 10/1/39 to 7/1/52 | 8,446,563 | 8,370,005 | |
| 5% 7/1/52 to 11/1/52 | 7,128,823 | 7,148,135 | |
| 5.5% 10/1/52 to 11/1/52 | 3,037,698 | 3,078,153 | |
| 6% 11/1/52 | 1,500,277 | 1,530,986 | |
TOTAL FANNIE MAE | 146,337,934 | ||
| Freddie Mac - 19.9% | |||
| 1.5% 7/1/35 to 6/1/51 | 2,361,958 | 1,891,183 | |
| 2% 4/1/41 to 4/1/52 | 27,222,770 | 22,557,703 | |
| 2.5% 6/1/31 to 1/1/52 | 25,954,053 | 22,500,843 | |
| 3% 11/1/32 to 3/1/52 | 12,554,711 | 11,386,127 | |
| 3.5% 11/1/33 to 5/1/52 | 12,353,168 | 11,502,363 | |
| 4% 5/1/38 to 8/1/52 (c) | 10,154,218 | 9,724,880 | |
| 4.5% 10/1/39 to 7/1/49 | 4,808,558 | 4,777,569 | |
| 5% 9/1/52 to 12/1/52 | 2,593,690 | 2,615,462 | |
TOTAL FREDDIE MAC | 86,956,130 | ||
| Ginnie Mae - 31.5% | |||
| 2% 1/20/51 to 4/20/51 | 2,865,104 | 2,447,584 | |
| 2% 12/1/52 (e) | 3,550,000 | 3,014,332 | |
| 2% 12/1/52 (e) | 3,550,000 | 3,014,332 | |
| 2% 12/1/52 (e) | 50,000 | 42,455 | |
| 2% 12/1/52 (e) | 3,475,000 | 2,950,649 | |
| 2% 12/1/52 (e) | 4,400,000 | 3,736,074 | |
| 2% 12/1/52 (e) | 8,800,000 | 7,472,148 | |
| 2% 12/1/52 (e) | 3,000,000 | 2,547,323 | |
| 2% 12/1/52 (e) | 2,100,000 | 1,783,126 | |
| 2% 1/1/53 (e) | 4,500,000 | 3,824,500 | |
| 2% 1/1/53 (e) | 2,950,000 | 2,507,172 | |
| 2% 1/1/53 (e) | 2,550,000 | 2,167,217 | |
| 2% 1/1/53 (e) | 6,000,000 | 5,099,333 | |
| 2% 1/1/53 (e) | 2,000,000 | 1,699,778 | |
| 2% 1/1/53 (e) | 1,975,000 | 1,678,531 | |
| 2% 1/1/53 (e) | 2,900,000 | 2,464,678 | |
| 2.5% 8/20/47 | 16,386 | 14,512 | |
| 2.5% 12/1/52 (e) | 2,300,000 | 2,017,966 | |
| 2.5% 12/1/52 (e) | 4,700,000 | 4,123,670 | |
| 2.5% 12/1/52 (e) | 4,600,000 | 4,035,932 | |
| 2.5% 12/1/52 (e) | 9,250,000 | 8,115,734 | |
| 2.5% 12/1/52 (e) | 1,950,000 | 1,710,884 | |
| 2.5% 12/1/52 (e) | 2,300,000 | 2,017,966 | |
| 2.5% 1/1/53 (e) | 2,250,000 | 1,975,767 | |
| 2.5% 1/1/53 (e) | 2,300,000 | 2,019,673 | |
| 2.5% 1/1/53 (e) | 4,650,000 | 4,083,252 | |
| 2.5% 1/1/53 (e) | 2,850,000 | 2,502,639 | |
| 2.5% 1/1/53 (e) | 2,900,000 | 2,546,545 | |
| 2.5% 1/1/53 (e) | 4,650,000 | 4,083,252 | |
| 3% 2/20/50 to 7/20/51 | 5,201,062 | 4,728,102 | |
| 3% 12/1/52 (e) | 2,700,000 | 2,435,226 | |
| 3% 12/1/52 (e) | 2,600,000 | 2,345,033 | |
| 3% 12/1/52 (e) | 3,650,000 | 3,292,065 | |
| 3% 12/1/52 (e) | 3,925,000 | 3,540,097 | |
| 3% 1/1/53 (e) | 5,250,000 | 4,738,443 | |
| 3% 1/1/53 (e) | 3,150,000 | 2,843,066 | |
| 3.5% 9/20/40 to 6/20/50 | 12,671,032 | 11,895,460 | |
| 3.5% 12/1/52 (e) | 3,100,000 | 2,875,916 | |
| 3.5% 12/1/52 (e) | 1,500,000 | 1,391,572 | |
| 3.5% 1/1/53 (e) | 2,950,000 | 2,738,141 | |
| 4% 10/20/40 to 5/20/49 | 4,252,527 | 4,125,947 | |
| 4% 12/1/52 (e) | 2,000,000 | 1,908,870 | |
| 4.5% 12/1/52 (e) | 2,700,000 | 2,644,840 | |
| 5% 4/20/48 to 6/20/48 | 539,049 | 550,218 | |
TOTAL GINNIE MAE | 137,750,020 | ||
| Uniform Mortgage Backed Securities - 49.9% | |||
| 1.5% 12/1/37 (e) | 1,000,000 | 873,988 | |
| 1.5% 12/1/37 (e) | 750,000 | 655,491 | |
| 1.5% 12/1/37 (e) | 650,000 | 568,092 | |
| 1.5% 12/1/37 (e) | 2,550,000 | 2,228,669 | |
| 1.5% 12/1/37 (e) | 2,100,000 | 1,835,374 | |
| 1.5% 1/1/38 (e) | 1,000,000 | 875,355 | |
| 1.5% 1/1/38 (e) | 4,100,000 | 3,588,955 | |
| 1.5% 12/1/52 (e) | 1,900,000 | 1,475,922 | |
| 1.5% 12/1/52 (e) | 1,900,000 | 1,475,922 | |
| 1.5% 12/1/52 (e) | 7,250,000 | 5,631,809 | |
| 1.5% 12/1/52 (e) | 3,650,000 | 2,835,324 | |
| 1.5% 1/1/53 (e) | 8,000,000 | 6,180,312 | |
| 2% 12/1/37 (e) | 950,000 | 853,397 | |
| 2% 12/1/37 (e) | 4,100,000 | 3,683,082 | |
| 2% 12/1/37 (e) | 8,900,000 | 7,994,982 | |
| 2% 12/1/37 (e) | 2,950,000 | 2,650,022 | |
| 2% 12/1/37 (e) | 1,200,000 | 1,077,975 | |
| 2% 1/1/38 (e) | 3,650,000 | 3,282,976 | |
| 2% 1/1/38 (e) | 6,050,000 | 5,441,645 | |
| 2% 1/1/38 (e) | 1,800,000 | 1,619,002 | |
| 2% 12/1/52 (e) | 1,525,000 | 1,254,217 | |
| 2% 12/1/52 (e) | 7,550,000 | 6,209,403 | |
| 2% 12/1/52 (e) | 6,025,000 | 4,955,186 | |
| 2% 12/1/52 (e) | 700,000 | 575,706 | |
| 2% 12/1/52 (e) | 2,275,000 | 1,871,045 | |
| 2% 12/1/52 (e) | 700,000 | 575,706 | |
| 2% 12/1/52 (e) | 7,150,000 | 5,880,428 | |
| 2% 12/1/52 (e) | 7,150,000 | 5,880,428 | |
| 2% 12/1/52 (e) | 3,700,000 | 3,043,019 | |
| 2% 12/1/52 (e) | 3,650,000 | 3,001,897 | |
| 2% 12/1/52 (e) | 3,650,000 | 3,001,897 | |
| 2% 12/1/52 (e) | 4,175,000 | 3,433,677 | |
| 2% 12/1/52 (e) | 2,100,000 | 1,727,119 | |
| 2% 12/1/52 (e) | 2,100,000 | 1,727,119 | |
| 2% 1/1/53 (e) | 3,750,000 | 3,087,363 | |
| 2% 1/1/53 (e) | 7,550,000 | 6,215,892 | |
| 2% 1/1/53 (e) | 1,900,000 | 1,564,264 | |
| 2% 1/1/53 (e) | 1,900,000 | 1,564,264 | |
| 2% 1/1/53 (e) | 400,000 | 329,319 | |
| 2% 1/1/53 (e) | 1,900,000 | 1,564,264 | |
| 2% 1/1/53 (e) | 7,550,000 | 6,215,892 | |
| 2% 1/1/53 (e) | 3,750,000 | 3,087,363 | |
| 2.5% 12/1/37 (e) | 350,000 | 323,258 | |
| 2.5% 12/1/37 (e) | 550,000 | 507,977 | |
| 2.5% 12/1/37 (e) | 550,000 | 507,977 | |
| 2.5% 12/1/37 (e) | 350,000 | 323,258 | |
| 2.5% 12/1/52 (e) | 1,800,000 | 1,538,156 | |
| 2.5% 12/1/52 (e) | 2,400,000 | 2,050,875 | |
| 2.5% 12/1/52 (e) | 1,100,000 | 939,984 | |
| 2.5% 12/1/52 (e) | 1,475,000 | 1,260,434 | |
| 2.5% 12/1/52 (e) | 1,850,000 | 1,580,883 | |
| 2.5% 12/1/52 (e) | 1,800,000 | 1,538,156 | |
| 2.5% 12/1/52 (e) | 1,400,000 | 1,196,344 | |
| 2.5% 12/1/52 (e) | 6,950,000 | 5,938,992 | |
| 2.5% 12/1/52 (e) | 3,450,000 | 2,948,133 | |
| 2.5% 12/1/52 (e) | 3,600,000 | 3,076,312 | |
| 2.5% 1/1/53 (e) | 5,300,000 | 4,533,363 | |
| 2.5% 1/1/53 (e) | 1,800,000 | 1,539,633 | |
| 3% 12/1/52 (e) | 2,250,000 | 1,991,777 | |
| 3% 12/1/52 (e) | 2,100,000 | 1,858,992 | |
| 3% 12/1/52 (e) | 2,750,000 | 2,434,395 | |
| 3% 12/1/52 (e) | 4,400,000 | 3,895,031 | |
| 3% 12/1/52 (e) | 4,500,000 | 3,983,555 | |
| 3% 1/1/53 (e) | 750,000 | 664,365 | |
| 3% 1/1/53 (e) | 1,550,000 | 1,373,021 | |
| 3.5% 12/1/52 (e) | 2,800,000 | 2,565,500 | |
| 3.5% 12/1/52 (e) | 1,100,000 | 1,007,875 | |
| 3.5% 12/1/52 (e) | 2,300,000 | 2,107,375 | |
| 3.5% 12/1/52 (e) | 4,600,000 | 4,214,750 | |
| 3.5% 1/1/53 (e) | 1,250,000 | 1,145,899 | |
| 4% 12/1/52 (e) | 2,000,000 | 1,892,500 | |
| 4% 12/1/52 (e) | 700,000 | 662,375 | |
| 4% 12/1/52 (e) | 6,100,000 | 5,772,125 | |
| 4% 12/1/52 (e) | 4,250,000 | 4,021,563 | |
| 4.5% 12/1/52 (e) | 2,800,000 | 2,725,626 | |
| 4.5% 12/1/52 (e) | 3,600,000 | 3,504,377 | |
| 4.5% 1/1/53 (e) | 2,850,000 | 2,774,298 | |
| 5% 12/1/52 (e) | 2,650,000 | 2,638,405 | |
| 5% 12/1/52 (e) | 200,000 | 199,125 | |
| 5% 12/1/52 (e) | 300,000 | 298,687 | |
| 5% 12/1/52 (e) | 900,000 | 896,062 | |
| 5% 12/1/52 (e) | 300,000 | 298,687 | |
| 5% 12/1/52 (e) | 1,800,000 | 1,792,124 | |
| 5% 12/1/52 (e) | 2,750,000 | 2,737,967 | |
| 5.5% 12/1/52 (e) | 2,500,000 | 2,528,516 | |
| 5.5% 12/1/52 (e) | 2,400,000 | 2,427,375 | |
| 5.5% 12/1/52 (e) | 900,000 | 910,266 | |
| 6% 12/1/52 (e) | 1,800,000 | 1,841,344 | |
| 6% 12/1/52 (e) | 1,800,000 | 1,841,344 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 218,402,798 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $615,943,557) | 589,446,882 | ||
| Asset-Backed Securities - 0.7% | |||
Principal Amount (a) | Value ($) | ||
| Marlette Funding Trust: | |||
| Series 2021-3A Class A, 0.65% 12/15/31 (f) | 137,176 | 135,092 | |
| Series 2022-1A Class A, 1.36% 4/15/32 (f) | 378,047 | 369,634 | |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (f) | 794,333 | 650,636 | |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (f)(g) | 40,996 | 37,937 | |
| Upstart Securitization Trust: | |||
| Series 2021-1 Class A, 0.87% 3/20/31 (f) | 8,960 | 8,913 | |
| Series 2021-2 Class A, 0.91% 6/20/31 (f) | 125,401 | 122,718 | |
| Series 2021-3 Class A, 0.83% 7/20/31 (f) | 258,500 | 250,852 | |
| Series 2021-4 Class A, 0.84% 9/20/31 (f) | 423,838 | 409,013 | |
| Series 2021-5 Class A, 1.31% 11/20/31 (f) | 591,285 | 564,162 | |
| 3.12% 3/20/32 (f) | 788,223 | 757,560 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $3,538,430) | 3,306,517 | ||
| Collateralized Mortgage Obligations - 3.7% | |||
Principal Amount (a) | Value ($) | ||
| Private Sponsor - 3.6% | |||
| Ajax Mortgage Loan Trust sequential payer: | |||
| Series 2021-C Class A, 2.115% 1/25/61 (f) | 196,105 | 183,683 | |
| Series 2021-E Class A1, 1.74% 12/25/60 (f) | 1,413,079 | 1,179,375 | |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (f) | 368,532 | 330,073 | |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (f)(g) | 123,730 | 117,548 | |
| BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (f) | 1,088,604 | 903,873 | |
| Cascade Funding Mortgage Trust: | |||
| sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (f) | 236,414 | 230,837 | |
| Series 2021-EBO1 Class A, 0.9849% 11/25/50 (f)(g) | 199,787 | 187,324 | |
| Series 2021-HB5 Class A, 0.8006% 2/25/31 (f) | 83,492 | 80,160 | |
| Series 2021-HB6 Class A, 0.8983% 6/25/36 (f) | 194,380 | 183,080 | |
| Series 2021-HB7 Class A, 1.1512% 10/27/31 (f) | 254,730 | 238,013 | |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (f) | 2,651,056 | 2,551,641 | |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (f) | 50,640 | 48,924 | |
| CIM Trust sequential payer Series 2022-R2 Class A1, 3.75% 12/25/61 (f)(g) | 911,657 | 839,893 | |
| COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (f) | 226,348 | 198,084 | |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (f) | 55,459 | 46,852 | |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (f)(g) | 878,459 | 844,197 | |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (f) | 1,012,114 | 913,412 | |
| New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (f) | 56,670 | 51,451 | |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (f) | 269,446 | 239,357 | |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (f) | 1,184,637 | 1,047,088 | |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (f)(g) | 331,105 | 321,172 | |
| Preston Ridge Partners Mortgage Trust: | |||
| Series 2021-2 Class A1, 2.115% 3/25/26 (f) | 256,690 | 232,777 | |
| Series 2021-RPL1 Class A1, 1.319% 7/25/51 (f) | 113,272 | 100,497 | |
| Series 2021-RPL2 Class A1, 1.455% 10/25/51 (f)(g) | 149,033 | 130,424 | |
| RMF Buyout Issuance Trust: | |||
| sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (f) | 342,954 | 324,723 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (f) | 172,285 | 167,020 | |
| Series 2020-HB1 Class A1, 1.7188% 10/25/50 (f) | 477,141 | 435,338 | |
| Towd Point Mortgage Trust sequential payer: | |||
| Series 2021-1 Class A1, 2.25% 11/25/61 (f)(g) | 2,465,500 | 2,173,900 | |
| Series 2022-K147 Class A2, 3.75% 7/25/62 (f) | 1,421,229 | 1,301,791 | |
TOTAL PRIVATE SPONSOR | 15,602,507 | ||
| U.S. Government Agency - 0.1% | |||
| Fannie Mae Series 2013-44 Class DJ, 1.85% 5/25/33 | 106,988 | 97,032 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (g)(h) | 106,042 | 104,894 | |
| planned amortization class Series 2016-69 Class WA, 3% 2/20/46 | 23,490 | 21,959 | |
| sequential payer: | |||
Series 2017-139 Class BA, 3% 9/20/47 | 141,115 | 127,702 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (i) | 62,286 | 60,053 | |
TOTAL U.S. GOVERNMENT AGENCY | 411,640 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,501,996) | 16,014,147 | ||
| Commercial Mortgage Securities - 12.7% | |||
Principal Amount (a) | Value ($) | ||
| BAMLL Commercial Mortgage Securities Trust: | |||
| floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (f)(g)(h) | 275,000 | 264,897 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (f)(g)(h) | 100,000 | 95,292 | |
| sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (f) | 600,000 | 555,153 | |
Class ANM, 3.112% 11/5/32 (f) | 100,000 | 92,481 | |
| BANK: | |||
| sequential payer Series 2021-BN35 Class A5, 2.285% 6/15/64 | 13,000 | 10,440 | |
| Series 2020-BN25 Class XB, 0.5325% 1/15/63 (g)(j) | 2,000,000 | 49,820 | |
| Series 2021-BN33 Class XA, 1.1716% 5/15/64 (g)(j) | 2,021,497 | 117,039 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
Series 2018-B1 Class ASB, 3.602% 1/15/51 | 400,000 | 382,547 | |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 370,000 | 354,360 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 29,000 | 26,704 | |
| Series 2019-B12 Class XA, 1.1696% 8/15/52 (g)(j) | 939,160 | 39,744 | |
| Series 2019-B14 Class XA, 0.9039% 12/15/62 (g)(j) | 9,691,985 | 313,492 | |
| Series 2020-B17 Class XA, 1.5386% 3/15/53 (g)(j) | 2,093,485 | 129,483 | |
| Series 2020-B18 Class XA, 1.9146% 7/15/53 (g)(j) | 1,480,745 | 118,297 | |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (f)(g)(h) | 94,000 | 92,702 | |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (f)(g)(h) | 531,000 | 499,788 | |
| BPR Trust floater Series 2022-OANA: | |||
| Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (f)(g)(h) | 1,480,000 | 1,440,121 | |
| Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (f)(g)(h) | 54,000 | 50,583 | |
| BX Commercial Mortgage Trust: | |||
| floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (f)(g)(h) | 475,000 | 453,272 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (f)(g)(h) | 400,000 | 382,948 | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (f)(g)(h) | 1,288,679 | 1,236,236 | |
| floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 4.751% 11/15/32 (f)(g)(h) | 6,073 | 5,933 | |
| BX Trust: | |||
| floater: | |||
Series 2019-XL: | |||
| Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (f)(g)(h) | 680,000 | 663,741 | |
| Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (f)(g)(h) | 170,000 | 163,784 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (f)(g)(h) | 479,000 | 459,317 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (f)(g)(h) | 437,000 | 414,602 | |
Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 4.464% 9/15/34 (f)(g)(h) | 600,000 | 571,800 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (f)(g)(h) | 232,000 | 230,982 | |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (f)(g)(h) | 501,323 | 487,029 | |
| floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 4.5753% 1/15/34 (f)(g)(h) | 111,000 | 107,186 | |
Series 2021-SOAR Class A, 4.546% 6/15/38 (f)(g) | 638,166 | 610,963 | |
| floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (f)(g)(h) | 119,000 | 115,819 | |
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (f)(g)(h) | 3,493,845 | 3,432,287 | |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (f)(g)(h) | 652,000 | 638,094 | |
| CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 1,894,999 | 1,813,769 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (f)(g)(h) | 100,000 | 97,107 | |
| Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (f)(g)(h) | 100,000 | 96,227 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (f)(g)(h) | 2,888,191 | 2,831,845 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer: | |||
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 127,858 | 125,671 | |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 344,420 | 331,409 | |
| Series 2013-GC17 Class A/S, 4.544% 11/10/46 | 500,000 | 488,209 | |
| Series 2015-GC33 Class AAB, 3.522% 9/10/58 | 171,087 | 165,377 | |
| Series 2019-GC41 Class XA, 1.1693% 8/10/56 (g)(j) | 4,530,309 | 212,831 | |
| COMM Mortgage Trust sequential payer: | |||
| Series 2015-3BP Class A, 3.178% 2/10/35 (f) | 900,000 | 830,765 | |
| Series 2016-COR1 Class ASB, 2.972% 10/10/49 | 558,826 | 529,987 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (f)(g)(h) | 2,490,000 | 2,457,851 | |
Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (f)(g)(h) | 488,000 | 474,460 | |
| Series 2018-SITE Class A, 4.284% 4/15/36 (f) | 100,000 | 94,846 | |
| CSAIL Commercial Mortgage Trust sequential payer Series 2016-C7 Class ASB, 3.3143% 11/15/49 | 642,407 | 617,340 | |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 633,652 | 602,858 | |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
| Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (f)(g)(h) | 950,000 | 906,251 | |
| Class B, 1 month U.S. LIBOR + 1.120% 4.9962% 11/15/38 (f)(g)(h) | 375,000 | 356,204 | |
| Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (f)(g)(h) | 650,144 | 625,286 | |
| Freddie Mac: | |||
| sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31 | 250,000 | 207,553 | |
| Series 2022-K150 Class A2, 3.71% 11/25/32 | 800,000 | 753,852 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (f)(g)(h) | 922,983 | 904,892 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (f)(g)(h) | 1,400,000 | 1,319,896 | |
Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (f)(g)(h) | 963,000 | 896,320 | |
| sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 43,021 | 41,395 | |
| Series 2011-GC5 Class A/S, 5.209% 8/10/44 (f)(g) | 906,072 | 887,540 | |
| Series 2013-GC13 Class A/S, 4.2141% 7/10/46 (f)(g) | 140,000 | 137,842 | |
| Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 275,000 | 269,396 | |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (f)(g)(h) | 997,000 | 987,006 | |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 4.3908% 4/15/37 (f)(g)(h) | 1,000,000 | 927,297 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| sequential payer: | |||
Series 2014-C21 Class A4, 3.4927% 8/15/47 | 290,320 | 281,409 | |
Series 2014-C22 Class ASB, 3.5036% 9/15/47 | 104,858 | 102,678 | |
| Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 114,000 | 111,669 | |
| JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
| Series 2017-C5 Class ASB, 3.4919% 3/15/50 | 354,939 | 339,200 | |
| Series 2018-C8 Class ASB, 4.145% 6/15/51 | 1,000,000 | 963,187 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (f) | 54,811 | 54,670 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| sequential payer: | |||
Series 2013-C13 Class ASB, 3.4137% 1/15/46 | 42,530 | 42,272 | |
Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 218,000 | 215,728 | |
Series 2020-NNN Class AFX, 2.8123% 1/16/37 (f) | 670,000 | 606,697 | |
| Series 2013-C10 Class A/S, 3.3715% 12/15/47 | 300,000 | 298,497 | |
| Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 37,000 | 36,198 | |
| Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 308,000 | 301,783 | |
| Series 2018-WPT Class AFX, 4.2475% 7/5/33 (f) | 59,000 | 55,102 | |
| Life Financial Services Trust floater Series 2022-BMR2: | |||
| Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (f)(g)(h) | 1,653,000 | 1,603,282 | |
| Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (f)(g)(h) | 400,000 | 384,962 | |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (f)(g)(h) | 362,716 | 348,614 | |
| MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/38 (f)(g)(h) | 2,700,000 | 2,605,302 | |
| Morgan Stanley BAML Trust sequential payer: | |||
| Series 2014-C19 Class ASB, 3.326% 12/15/47 | 662,175 | 646,475 | |
| Series 2016-C28 Class A3, 3.272% 1/15/49 | 75,875 | 71,328 | |
| Series 2016-C30 Class ASB, 2.729% 9/15/49 | 728,613 | 695,344 | |
| Morgan Stanley Capital I Trust: | |||
| floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 4.825% 12/15/36 (f)(g)(h) | 1,000,000 | 932,103 | |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (f) | 279,000 | 258,966 | |
| Series 2019-MEAD Class B, 3.283% 11/10/36 (f)(g) | 26,000 | 23,469 | |
| Series 2021-L6 Class XA, 1.3449% 6/15/54 (g)(j) | 991,831 | 63,819 | |
| Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (f) | 790,017 | 729,210 | |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/36 (f)(g)(h) | 1,900,000 | 1,824,381 | |
| SREIT Trust floater: | |||
| Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 4.4516% 7/15/36 (f)(g)(h) | 212,000 | 202,698 | |
| Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (f)(g)(h) | 151,000 | 144,283 | |
| UBS Commercial Mortgage Trust sequential payer: | |||
| Series 2017-C1 Class ASB, 3.462% 11/15/50 | 100,000 | 94,733 | |
| Series 2017-C3 Class ASB, 3.215% 8/15/50 | 285,778 | 270,654 | |
| Series 2018-C12 Class ASB, 4.1945% 8/15/51 | 1,750,000 | 1,682,258 | |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/42 (f)(g)(j) | 1,600,000 | 43,494 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (f)(g)(h) | 845,000 | 796,683 | |
| sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 95,177 | 92,354 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 177,134 | 161,143 | |
| Series 2018-C46 Class XA, 1.1006% 8/15/51 (g)(j) | 1,101,080 | 30,249 | |
| Series 2019-C54 Class XA, 0.9587% 12/15/52 (g)(j) | 5,922,015 | 255,374 | |
| WF-RBS Commercial Mortgage Trust: | |||
| Series 2013-C12 Class A/S, 3.56% 3/15/48 | 1,823,639 | 1,810,114 | |
| Series 2013-C16 Class A/S, 4.668% 9/15/46 (g) | 830,000 | 813,590 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $58,390,315) | 55,592,190 | ||
| Money Market Funds - 21.2% | |||
| Shares | Value ($) | ||
Fidelity Cash Central Fund 3.86% (k) (Cost $92,776,414) | 92,757,862 | 92,776,414 | |
| TOTAL INVESTMENT IN SECURITIES - 175.0% (Cost $797,543,992) | 765,947,878 |
NET OTHER ASSETS (LIABILITIES) - (75.0)% | (328,301,959) |
| NET ASSETS - 100.0% | 437,645,919 |
| TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
| Ginnie Mae | ||
| 2% 12/1/52 | (4,500,000) | (3,820,985) |
| 2% 12/1/52 | (3,550,000) | (3,014,332) |
| 2% 12/1/52 | (3,475,000) | (2,950,649) |
| 2% 12/1/52 | (50,000) | (42,455) |
| 2% 12/1/52 | (700,000) | (594,375) |
| 2% 12/1/52 | (2,950,000) | (2,504,868) |
| 2% 12/1/52 | (2,550,000) | (2,165,225) |
| 2% 12/1/52 | (6,000,000) | (5,094,646) |
| 2% 12/1/52 | (2,000,000) | (1,698,215) |
| 2% 12/1/52 | (1,975,000) | (1,676,988) |
| 2.5% 12/1/52 | (2,300,000) | (2,017,966) |
| 2.5% 12/1/52 | (4,650,000) | (4,079,801) |
| 2.5% 12/1/52 | (4,700,000) | (4,123,670) |
| 2.5% 12/1/52 | (2,300,000) | (2,017,966) |
| 2.5% 12/1/52 | (2,850,000) | (2,500,523) |
| 2.5% 12/1/52 | (2,900,000) | (2,544,392) |
| 2.5% 12/1/52 | (4,650,000) | (4,079,801) |
| 3% 12/1/52 | (5,250,000) | (4,735,162) |
| 3% 12/1/52 | (3,150,000) | (2,841,097) |
| 3.5% 12/1/52 | (2,950,000) | (2,736,758) |
| TOTAL GINNIE MAE | (55,239,874) | |
| Uniform Mortgage Backed Securities | ||
| 1.5% 12/1/37 | (1,000,000) | (873,988) |
| 1.5% 12/1/37 | (4,100,000) | (3,583,350) |
| 1.5% 12/1/52 | (1,900,000) | (1,475,922) |
| 1.5% 12/1/52 | (8,000,000) | (6,214,410) |
| 2% 12/1/37 | (1,100,000) | (988,144) |
| 2% 12/1/37 | (3,650,000) | (3,278,841) |
| 2% 12/1/37 | (6,050,000) | (5,434,791) |
| 2% 12/1/37 | (1,800,000) | (1,616,963) |
| 2% 12/1/52 | (3,750,000) | (3,084,141) |
| 2% 12/1/52 | (7,550,000) | (6,209,403) |
| 2% 12/1/52 | (1,900,000) | (1,562,631) |
| 2% 12/1/52 | (1,900,000) | (1,562,631) |
| 2% 12/1/52 | (400,000) | (328,975) |
| 2% 12/1/52 | (1,900,000) | (1,562,631) |
| 2% 12/1/52 | (7,550,000) | (6,209,403) |
| 2% 12/1/52 | (7,550,000) | (6,209,403) |
| 2% 12/1/52 | (6,025,000) | (4,955,186) |
| 2% 12/1/52 | (700,000) | (575,706) |
| 2% 12/1/52 | (3,750,000) | (3,084,141) |
| 2% 12/1/52 | (550,000) | (452,341) |
| 2% 12/1/52 | (2,275,000) | (1,871,045) |
| 2.5% 12/1/37 | (900,000) | (831,234) |
| 2.5% 12/1/37 | (350,000) | (323,258) |
| 2.5% 12/1/37 | (550,000) | (507,977) |
| 2.5% 12/1/52 | (5,300,000) | (4,529,015) |
| 2.5% 12/1/52 | (1,800,000) | (1,538,156) |
| 2.5% 12/1/52 | (1,800,000) | (1,538,156) |
| 2.5% 12/1/52 | (1,850,000) | (1,580,883) |
| 2.5% 12/1/52 | (1,400,000) | (1,196,344) |
| 3% 12/1/52 | (1,900,000) | (1,681,945) |
| 3% 12/1/52 | (750,000) | (663,926) |
| 3% 12/1/52 | (1,550,000) | (1,372,113) |
| 3.5% 12/1/52 | (1,250,000) | (1,145,313) |
| 4.5% 12/1/52 | (2,850,000) | (2,774,298) |
| 5% 12/1/52 | (200,000) | (199,125) |
| 5% 12/1/52 | (1,000,000) | (995,625) |
| 5% 12/1/52 | (500,000) | (497,812) |
| 5% 12/1/52 | (1,200,000) | (1,194,749) |
| 5% 12/1/52 | (850,000) | (846,281) |
| 5% 12/1/52 | (200,000) | (199,125) |
| 5% 12/1/52 | (300,000) | (298,687) |
| 5% 12/1/52 | (900,000) | (896,062) |
| 5% 12/1/52 | (300,000) | (298,687) |
| 5.5% 12/1/52 | (1,650,000) | (1,668,820) |
| 5.5% 12/1/52 | (500,000) | (505,703) |
| 6% 12/1/52 | (1,500,000) | (1,534,453) |
| 6% 12/1/52 | (300,000) | (306,891) |
| 6% 12/1/52 | (1,800,000) | (1,841,344) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (92,100,028) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $145,288,326) | (147,339,902) | |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 88 | Mar 2023 | 18,071,625 | 48,807 | 48,807 |
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 95 | Mar 2023 | 10,782,500 | (84,771) | (84,771) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 16 | Mar 2023 | 1,737,125 | (10,526) | (10,526) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 188 | Mar 2023 | 23,876,000 | (265,499) | (265,499) |
| TOTAL SOLD | (360,796) | ||||
| TOTAL FUTURES CONTRACTS | (311,989) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 4.1% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 8.4% | |||||
| Credit Default Swaps | ||||||||||
| Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(1) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | ||
| Buy Protection | ||||||||||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 600,000 | 8,208 | 559 | 8,767 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 520,000 | 7,114 | (1,262) | 5,852 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 980,000 | 13,407 | (3,000) | 10,407 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 340,000 | 4,651 | (5,006) | (355) | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 350,000 | 4,788 | (3,235) | 1,553 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 350,000 | 4,788 | (3,037) | 1,751 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,020,000 | 13,954 | (11,292) | 2,662 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 610,000 | 8,345 | (5,471) | 2,874 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 390,000 | 5,335 | (8,066) | (2,731) | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 350,000 | 4,788 | (522) | 4,266 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 660,000 | 9,029 | (5,917) | 3,112 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 1,020,000 | 13,954 | (12,158) | 1,796 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 350,000 | 4,788 | (1,399) | 3,389 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 600,000 | 8,208 | (3,235) | 4,973 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 890,000 | 12,176 | (6,241) | 5,935 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,350,000 | 18,469 | (18,831) | (362) | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 350,000 | 4,788 | (2,736) | 2,052 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,300,000 | 17,785 | (8,935) | 8,850 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,410,000 | 19,290 | (10,087) | 9,203 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 690,000 | 9,440 | (6,545) | 2,895 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,020,000 | 13,954 | (13,850) | 104 | ||
| TOTAL CREDIT DEFAULT SWAPS | 207,259 | (130,266) | 76,993 | |||||||
(1)Notional amount is stated in U.S. Dollars unless otherwise noted.
| Interest Rate Swaps | ||||||||||
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Dec 2024 | 7,240,000 | (65,779) | 0 | (65,779) | |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Dec 2027 | 5,290,000 | (43,635) | 0 | (43,635) | |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Dec 2029 | 490,000 | (4,499) | 0 | (4,499) | |
| TOTAL INTEREST RATE SWAPS | (113,913) | 0 | (113,913) | |||||||
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,099,443. |
| (c) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $311,911. |
| (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 $262,387. |
| (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 $57,419,585 or 13.1% of net assets. |
| (g) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (h) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (i) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
| (j) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | 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 3.86% | 49,966,507 | 71,105,204 | 28,295,297 | 592,787 | - | - | 92,776,414 | 0.2% |
| Total | 49,966,507 | 71,105,204 | 28,295,297 | 592,787 | - | - | 92,776,414 | |
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. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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