Quarterly Holdings Report
for
Fidelity Advisor® Limited Term Bond Fund
November 30, 2023
LTB-NPRT1-0124
1.813046.119
Nonconvertible Bonds - 70.0% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 3.7% | |||
Diversified Telecommunication Services - 1.9% | |||
AT&T, Inc.: | |||
0.9% 3/25/24 | 5,000,000 | 4,924,718 | |
1.65% 2/1/28 | 12,588,000 | 10,964,306 | |
NTT Finance Corp.: | |||
0.583% 3/1/24 (b) | 4,260,000 | 4,204,339 | |
1.162% 4/3/26 (b) | 8,933,000 | 8,134,392 | |
1.591% 4/3/28 (b) | 10,000,000 | 8,644,248 | |
Verizon Communications, Inc.: | |||
2.355% 3/15/32 | 6,779,000 | 5,407,527 | |
3% 3/22/27 | 626,000 | 586,366 | |
42,865,896 | |||
Media - 0.9% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26 | 8,070,000 | 8,171,611 | |
Comcast Corp. 3.95% 10/15/25 | 2,610,000 | 2,554,597 | |
Discovery Communications LLC 3.625% 5/15/30 | 1,664,000 | 1,470,422 | |
Magallanes, Inc.: | |||
3.638% 3/15/25 | 1,048,000 | 1,019,514 | |
3.755% 3/15/27 | 7,549,000 | 7,123,027 | |
20,339,171 | |||
Wireless Telecommunication Services - 0.9% | |||
Rogers Communications, Inc. 2.95% 3/15/25 | 5,568,000 | 5,368,367 | |
T-Mobile U.S.A., Inc.: | |||
2.625% 4/15/26 | 10,100,000 | 9,489,995 | |
3.5% 4/15/25 | 6,000,000 | 5,835,559 | |
20,693,921 | |||
TOTAL COMMUNICATION SERVICES | 83,898,988 | ||
CONSUMER DISCRETIONARY - 5.0% | |||
Automobiles - 3.3% | |||
Daimler Finance North America LLC: | |||
0.75% 3/1/24 (b) | 7,889,000 | 7,795,260 | |
1.45% 3/2/26 (b) | 6,948,000 | 6,396,115 | |
General Motors Financial Co., Inc.: | |||
1.05% 3/8/24 | 2,306,000 | 2,276,681 | |
1.25% 1/8/26 | 8,359,000 | 7,604,349 | |
2.35% 2/26/27 | 7,500,000 | 6,762,885 | |
5.8% 6/23/28 | 7,500,000 | 7,495,068 | |
6% 1/9/28 | 5,000,000 | 5,070,505 | |
Hyundai Capital America: | |||
1% 9/17/24 (b) | 9,737,000 | 9,372,598 | |
5.8% 6/26/25 (b) | 6,250,000 | 6,248,180 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 11/24/25 (b) | 15,040,000 | 13,819,708 | |
3.95% 6/6/25 (b) | 3,270,000 | 3,181,627 | |
76,022,976 | |||
Distributors - 0.2% | |||
Genuine Parts Co. 1.75% 2/1/25 | 5,796,000 | 5,538,943 | |
Hotels, Restaurants & Leisure - 0.2% | |||
McDonald's Corp. 3.3% 7/1/25 | 1,040,000 | 1,009,098 | |
Starbucks Corp. 3.8% 8/15/25 | 2,340,000 | 2,280,935 | |
3,290,033 | |||
Specialty Retail - 1.2% | |||
Advance Auto Parts, Inc. 5.95% 3/9/28 | 6,525,000 | 6,243,389 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 545,000 | 531,480 | |
5.05% 7/15/26 | 4,000,000 | 3,976,846 | |
6.25% 11/1/28 | 3,398,000 | 3,534,799 | |
Lowe's Companies, Inc.: | |||
4.4% 9/8/25 | 3,537,000 | 3,485,211 | |
4.8% 4/1/26 | 985,000 | 977,149 | |
O'Reilly Automotive, Inc. 5.75% 11/20/26 | 1,697,000 | 1,716,289 | |
Ross Stores, Inc. 0.875% 4/15/26 | 7,357,000 | 6,620,318 | |
27,085,481 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Tapestry, Inc.: | |||
7% 11/27/26 | 891,000 | 900,608 | |
7.35% 11/27/28 | 1,425,000 | 1,435,865 | |
2,336,473 | |||
TOTAL CONSUMER DISCRETIONARY | 114,273,906 | ||
CONSUMER STAPLES - 6.8% | |||
Beverages - 0.9% | |||
Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24 | 10,000,000 | 9,856,366 | |
Molson Coors Beverage Co. 3% 7/15/26 | 10,575,000 | 10,017,965 | |
19,874,331 | |||
Consumer Staples Distribution & Retail - 1.4% | |||
7-Eleven, Inc.: | |||
0.95% 2/10/26 (b) | 7,891,000 | 7,171,590 | |
1.3% 2/10/28 (b) | 3,614,000 | 3,074,281 | |
Dollar General Corp.: | |||
4.25% 9/20/24 | 4,000,000 | 3,944,816 | |
4.625% 11/1/27 | 4,000,000 | 3,910,186 | |
Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 5,842,002 | |
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b) | 9,342,000 | 8,954,335 | |
32,897,210 | |||
Food Products - 1.9% | |||
JBS U.S.A. Lux SA / JBS Food Co. 2.5% 1/15/27 | 5,515,000 | 4,963,335 | |
JDE Peet's BV: | |||
0.8% 9/24/24 (b) | 8,000,000 | 7,659,689 | |
1.375% 1/15/27 (b) | 10,440,000 | 9,187,875 | |
McCormick & Co., Inc. 0.9% 2/15/26 | 15,000,000 | 13,645,503 | |
Mondelez International, Inc. 2.125% 3/17/24 | 8,500,000 | 8,410,845 | |
43,867,247 | |||
Tobacco - 2.6% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,003,000 | 959,837 | |
BAT Capital Corp. 3.222% 8/15/24 | 7,000,000 | 6,867,780 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 15,000,000 | 13,750,649 | |
3.95% 6/15/25 (b) | 5,000,000 | 4,884,708 | |
5.931% 2/2/29 | 5,000,000 | 5,076,616 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 8,250,000 | 8,094,038 | |
4.25% 7/21/25 (b) | 13,000,000 | 12,684,916 | |
Philip Morris International, Inc.: | |||
0.875% 5/1/26 | 4,502,000 | 4,066,033 | |
1.5% 5/1/25 | 3,501,000 | 3,321,015 | |
59,705,592 | |||
TOTAL CONSUMER STAPLES | 156,344,380 | ||
ENERGY - 4.2% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 2.061% 12/15/26 | 1,781,000 | 1,628,265 | |
Oil, Gas & Consumable Fuels - 4.1% | |||
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 3,668,000 | 3,459,860 | |
Enbridge, Inc.: | |||
1.6% 10/4/26 | 10,000,000 | 9,030,668 | |
2.15% 2/16/24 | 1,379,000 | 1,367,550 | |
2.5% 2/14/25 | 1,440,000 | 1,386,616 | |
5.9% 11/15/26 | 2,300,000 | 2,339,402 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 7,150,000 | 6,875,067 | |
4.5% 4/15/24 | 570,000 | 566,930 | |
Enterprise Products Operating LP 5.05% 1/10/26 | 4,095,000 | 4,099,154 | |
Equinor ASA: | |||
1.75% 1/22/26 | 1,120,000 | 1,049,350 | |
2.875% 4/6/25 | 7,000,000 | 6,793,653 | |
Hess Corp. 4.3% 4/1/27 | 4,500,000 | 4,383,355 | |
MPLX LP 1.75% 3/1/26 | 15,044,000 | 13,872,798 | |
Occidental Petroleum Corp. 2.9% 8/15/24 | 6,061,000 | 5,927,650 | |
Petroleos Mexicanos: | |||
6.49% 1/23/27 | 6,035,000 | 5,431,802 | |
6.5% 3/13/27 | 12,000,000 | 10,780,500 | |
Phillips 66 Co.: | |||
1.3% 2/15/26 | 6,892,000 | 6,331,682 | |
3.85% 4/9/25 | 7,000,000 | 6,848,210 | |
The Williams Companies, Inc. 5.4% 3/2/26 | 1,334,000 | 1,333,150 | |
Valero Energy Corp. 2.85% 4/15/25 | 2,437,000 | 2,340,844 | |
Western Gas Partners LP 6.35% 1/15/29 | 846,000 | 868,714 | |
95,086,955 | |||
TOTAL ENERGY | 96,715,220 | ||
FINANCIALS - 32.2% | |||
Banks - 18.7% | |||
ABN AMRO Bank NV 1.542% 6/16/27 (b)(c) | 8,114,000 | 7,229,528 | |
Banco Santander SA 1.722% 9/14/27 (c) | 5,000,000 | 4,435,387 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d) | 7,000,000 | 6,922,677 | |
1.197% 10/24/26 (c) | 13,673,000 | 12,528,268 | |
1.319% 6/19/26 (c) | 16,000,000 | 14,896,677 | |
1.734% 7/22/27 (c) | 7,174,000 | 6,475,858 | |
2.015% 2/13/26 (c) | 11,000,000 | 10,476,542 | |
4.2% 8/26/24 | 5,750,000 | 5,680,987 | |
Bank of America NA 5.526% 8/18/26 | 4,900,000 | 4,937,817 | |
Barclays PLC: | |||
1.007% 12/10/24 (c) | 5,000,000 | 4,965,980 | |
2.279% 11/24/27 (c) | 5,000,000 | 4,482,890 | |
2.852% 5/7/26 (c) | 18,848,000 | 17,960,096 | |
3.932% 5/7/25 (c) | 4,000,000 | 3,960,240 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d) | 7,417,000 | 6,739,986 | |
2.219% 6/9/26 (b)(c) | 8,627,000 | 8,156,617 | |
BPCE SA: | |||
1.652% 10/6/26 (b)(c) | 20,000,000 | 18,356,202 | |
2.045% 10/19/27 (b)(c) | 6,865,000 | 6,121,832 | |
Capital One NA 2.28% 1/28/26 (c) | 7,000,000 | 6,670,971 | |
Citigroup, Inc.: | |||
0.981% 5/1/25 (c) | 5,320,000 | 5,199,753 | |
2.014% 1/25/26 (c) | 7,350,000 | 7,004,735 | |
3.106% 4/8/26 (c) | 10,000,000 | 9,642,243 | |
5.61% 9/29/26 (c) | 4,000,000 | 3,995,265 | |
Danske Bank A/S 6.259% 9/22/26 (b)(c) | 5,262,000 | 5,297,598 | |
DNB Bank ASA: | |||
1.535% 5/25/27 (b)(c) | 4,643,000 | 4,171,360 | |
1.605% 3/30/28 (b)(c) | 9,570,000 | 8,372,800 | |
HSBC Holdings PLC: | |||
1.589% 5/24/27 (c) | 10,000,000 | 9,009,790 | |
1.645% 4/18/26 (c) | 6,567,000 | 6,178,927 | |
3.803% 3/11/25 (c) | 5,000,000 | 4,966,889 | |
5.21% 8/11/28 (c) | 4,327,000 | 4,250,441 | |
ING Groep NV 1.726% 4/1/27 (c) | 4,192,000 | 3,808,065 | |
Intesa Sanpaolo SpA: | |||
3.25% 9/23/24 (b) | 14,000,000 | 13,671,186 | |
5.71% 1/15/26 (b) | 5,031,000 | 4,937,859 | |
JPMorgan Chase & Co.: | |||
1.045% 11/19/26 (c) | 15,000,000 | 13,705,947 | |
1.47% 9/22/27 (c) | 10,000,000 | 8,962,686 | |
2.083% 4/22/26 (c) | 25,219,000 | 23,955,085 | |
2.956% 5/13/31 (c) | 12,053,000 | 10,258,349 | |
Lloyds Banking Group PLC 2.438% 2/5/26 (c) | 2,636,000 | 2,522,287 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.412% 7/17/25 | 8,000,000 | 7,480,423 | |
1.538% 7/20/27 (c) | 10,000,000 | 9,001,081 | |
1.64% 10/13/27 (c) | 5,000,000 | 4,475,792 | |
Mizuho Financial Group, Inc. 1.234% 5/22/27 (c) | 10,000,000 | 8,977,602 | |
Morgan Stanley Bank, West Valley City Utah 5.882% 10/30/26 | 5,500,000 | 5,587,997 | |
NatWest Markets PLC 0.8% 8/12/24 (b) | 5,141,000 | 4,968,247 | |
Rabobank Nederland 1.98% 12/15/27 (b)(c) | 7,500,000 | 6,690,299 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,135,000 | 2,944,643 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28 (c) | 2,768,000 | 2,479,767 | |
3.45% 6/2/25 | 5,700,000 | 5,468,323 | |
5.807% 9/9/26 (c) | 3,000,000 | 2,968,458 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(c) | 7,870,000 | 7,122,638 | |
1.792% 6/9/27 (b)(c) | 6,750,000 | 6,036,799 | |
2.625% 10/16/24 (b) | 1,530,000 | 1,485,101 | |
3.875% 3/28/24 (b) | 6,015,000 | 5,974,209 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.402% 9/17/26 | 10,000,000 | 8,970,144 | |
1.474% 7/8/25 | 10,000,000 | 9,367,198 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 10,000,000 | 9,548,773 | |
2.188% 4/30/26 (c) | 5,000,000 | 4,752,920 | |
4.3% 7/22/27 | 7,000,000 | 6,719,033 | |
6.303% 10/23/29 (c) | 5,800,000 | 5,974,731 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 1,710,000 | 1,511,674 | |
429,415,672 | |||
Capital Markets - 5.5% | |||
Ares Capital Corp. 3.25% 7/15/25 | 10,000,000 | 9,466,418 | |
Blackstone Private Credit Fund 4.7% 3/24/25 | 8,250,000 | 8,037,274 | |
Deutsche Bank AG 4.5% 4/1/25 | 2,904,000 | 2,816,625 | |
Deutsche Bank AG New York Branch: | |||
0.898% 5/28/24 | 2,899,000 | 2,827,429 | |
1.447% 4/1/25 (c) | 6,811,000 | 6,692,377 | |
2.129% 11/24/26 (c) | 14,479,000 | 13,269,393 | |
2.311% 11/16/27 (c) | 7,028,000 | 6,280,990 | |
Goldman Sachs Group, Inc.: | |||
1.757% 1/24/25 (c) | 5,000,000 | 4,966,678 | |
2.64% 2/24/28 (c) | 10,000,000 | 9,108,138 | |
Morgan Stanley: | |||
0.79% 5/30/25 (c) | 10,000,000 | 9,718,244 | |
2.188% 4/28/26 (c) | 5,000,000 | 4,754,020 | |
Nomura Holdings, Inc. 1.653% 7/14/26 | 12,500,000 | 11,265,704 | |
S&P Global, Inc. 2.45% 3/1/27 | 7,508,000 | 6,957,859 | |
State Street Corp. 2.901% 3/30/26 (c) | 305,000 | 293,932 | |
UBS AG London Branch: | |||
1.25% 6/1/26 | 8,000,000 | 7,253,623 | |
1.375% 1/13/25 (b) | 5,000,000 | 4,766,571 | |
UBS Group AG: | |||
1.305% 2/2/27 (b)(c) | 10,000,000 | 9,024,048 | |
2.593% 9/11/25 (b)(c) | 4,805,000 | 4,669,226 | |
6.373% 7/15/26 (b)(c) | 4,500,000 | 4,509,213 | |
126,677,762 | |||
Consumer Finance - 3.4% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 1,507,000 | 1,445,983 | |
1.75% 1/30/26 | 7,095,000 | 6,488,600 | |
2.45% 10/29/26 | 2,102,000 | 1,914,905 | |
6.1% 1/15/27 | 5,500,000 | 5,528,020 | |
6.45% 4/15/27 (b) | 3,836,000 | 3,887,058 | |
Ally Financial, Inc. 5.125% 9/30/24 | 9,760,000 | 9,667,292 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (c) | 5,000,000 | 4,998,643 | |
1.878% 11/2/27 (c) | 7,000,000 | 6,138,972 | |
5.468% 2/1/29 (c) | 1,983,000 | 1,904,987 | |
7.149% 10/29/27 (c) | 5,000,000 | 5,086,111 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 5,000,000 | 4,751,339 | |
3.375% 11/13/25 | 8,000,000 | 7,537,271 | |
6.95% 6/10/26 | 6,500,000 | 6,572,629 | |
John Deere Capital Corp. 3.4% 6/6/25 | 5,076,000 | 4,950,608 | |
Synchrony Financial: | |||
4.25% 8/15/24 | 2,551,000 | 2,508,113 | |
4.375% 3/19/24 | 4,922,000 | 4,893,305 | |
78,273,836 | |||
Financial Services - 2.0% | |||
AIG Global Funding 0.9% 9/22/25 (b) | 7,000,000 | 6,435,712 | |
Athene Global Funding: | |||
1% 4/16/24 (b) | 8,000,000 | 7,844,606 | |
1.73% 10/2/26 (b) | 5,000,000 | 4,404,230 | |
Brixmor Operating Partnership LP 2.25% 4/1/28 | 4,348,000 | 3,748,360 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 943,000 | 913,811 | |
3.65% 4/5/27 | 1,345,000 | 1,263,273 | |
GA Global Funding Trust 1.25% 12/8/23 (b) | 9,500,000 | 9,494,081 | |
Jackson Financial, Inc. 5.17% 6/8/27 | 1,397,000 | 1,356,942 | |
Nationwide Building Society 6.557% 10/18/27 (b)(c) | 5,800,000 | 5,884,865 | |
PayPal Holdings, Inc. 1.65% 6/1/25 | 2,097,000 | 1,985,932 | |
The Western Union Co. 2.85% 1/10/25 | 1,242,000 | 1,199,395 | |
44,531,207 | |||
Insurance - 2.6% | |||
Empower Finance 2020 LP 1.357% 9/17/27 (b) | 5,321,000 | 4,635,017 | |
Equitable Financial Life Global Funding: | |||
1.4% 8/27/27 (b) | 15,000,000 | 12,810,758 | |
1.7% 11/12/26 (b) | 5,000,000 | 4,432,010 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 3,381,000 | 3,111,078 | |
Guardian Life Global Funding: | |||
1.1% 6/23/25 (b) | 7,850,000 | 7,330,577 | |
1.4% 7/6/27 (b) | 8,010,000 | 7,023,955 | |
Pacific Life Global Funding II 1.2% 6/24/25 (b) | 4,494,000 | 4,210,589 | |
Pricoa Global Funding I 2.4% 9/23/24 (b) | 6,476,000 | 6,309,880 | |
Protective Life Global Funding 3.218% 3/28/25 (b) | 1,979,000 | 1,915,772 | |
RGA Global Funding 2% 11/30/26 (b) | 3,680,000 | 3,294,748 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 4,785,228 | |
59,859,612 | |||
TOTAL FINANCIALS | 738,758,089 | ||
HEALTH CARE - 3.8% | |||
Biotechnology - 0.3% | |||
Amgen, Inc. 5.15% 3/2/28 | 6,578,000 | 6,591,708 | |
Health Care Equipment & Supplies - 0.4% | |||
Alcon Finance Corp. 2.75% 9/23/26 (b) | 4,038,000 | 3,760,048 | |
Boston Scientific Corp. 1.9% 6/1/25 | 5,000,000 | 4,743,504 | |
8,503,552 | |||
Health Care Providers & Services - 1.0% | |||
Cigna Group 0.613% 3/15/24 | 2,410,000 | 2,374,945 | |
CVS Health Corp. 5% 2/20/26 | 8,000,000 | 7,962,213 | |
HCA Holdings, Inc. 3.125% 3/15/27 | 7,100,000 | 6,581,127 | |
Humana, Inc. 5.75% 12/1/28 | 6,000,000 | 6,118,395 | |
23,036,680 | |||
Life Sciences Tools & Services - 0.8% | |||
Revvity, Inc. 0.85% 9/15/24 | 10,160,000 | 9,771,269 | |
Thermo Fisher Scientific, Inc. 1.215% 10/18/24 | 10,000,000 | 9,623,438 | |
19,394,707 | |||
Pharmaceuticals - 1.3% | |||
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24 (b) | 5,000,000 | 4,912,535 | |
4.25% 12/15/25 (b) | 10,500,000 | 10,119,152 | |
Bayer U.S. Finance LLC 3.375% 10/8/24 (b) | 7,000,000 | 6,839,487 | |
GSK Consumer Healthcare Capital 3.125% 3/24/25 | 8,600,000 | 8,327,948 | |
Viatris, Inc. 1.65% 6/22/25 | 480,000 | 449,777 | |
30,648,899 | |||
TOTAL HEALTH CARE | 88,175,546 | ||
INDUSTRIALS - 4.8% | |||
Aerospace & Defense - 1.0% | |||
L3Harris Technologies, Inc. 5.4% 1/15/27 | 6,000,000 | 6,049,882 | |
RTX Corp.: | |||
5% 2/27/26 | 3,801,000 | 3,780,583 | |
5.75% 11/8/26 | 2,559,000 | 2,593,170 | |
5.75% 1/15/29 | 1,205,000 | 1,230,027 | |
The Boeing Co.: | |||
3.2% 3/1/29 | 7,200,000 | 6,516,609 | |
4.875% 5/1/25 | 3,000,000 | 2,968,448 | |
23,138,719 | |||
Building Products - 0.2% | |||
Carrier Global Corp.: | |||
2.242% 2/15/25 | 548,000 | 526,412 | |
5.8% 11/30/25 (b) | 3,934,000 | 3,956,779 | |
4,483,191 | |||
Commercial Services & Supplies - 0.6% | |||
Republic Services, Inc. 0.875% 11/15/25 | 15,000,000 | 13,744,906 | |
Ground Transportation - 0.1% | |||
Canadian Pacific Railway Co. 1.75% 12/2/26 | 2,099,000 | 1,903,260 | |
Industrial Conglomerates - 0.2% | |||
Siemens Financieringsmaatschappij NV 1.2% 3/11/26 (b) | 6,674,000 | 6,124,072 | |
Machinery - 1.2% | |||
Daimler Trucks Finance North America LLC: | |||
1.625% 12/13/24 (b) | 3,204,000 | 3,075,766 | |
2% 12/14/26 (b) | 5,000,000 | 4,525,775 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 7,000,000 | 6,693,095 | |
Parker Hannifin Corp.: | |||
3.65% 6/15/24 | 4,750,000 | 4,692,798 | |
4.25% 9/15/27 | 3,086,000 | 3,004,247 | |
Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 5,900,000 | 5,859,503 | |
27,851,184 | |||
Passenger Airlines - 0.5% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 3,724,444 | 3,277,456 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 5,500,000 | 5,325,640 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 2,441,003 | 2,183,656 | |
10,786,752 | |||
Trading Companies & Distributors - 0.6% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 3,555,000 | 3,516,074 | |
0.8% 8/18/24 | 4,323,000 | 4,161,907 | |
2.2% 1/15/27 | 3,565,000 | 3,196,142 | |
4.25% 2/1/24 | 2,597,000 | 2,587,572 | |
13,461,695 | |||
Transportation Infrastructure - 0.4% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (b) | 7,180,000 | 6,857,911 | |
3.95% 7/1/24 (b) | 955,000 | 938,727 | |
5.5% 1/15/26 (b) | 2,089,000 | 2,048,259 | |
9,844,897 | |||
TOTAL INDUSTRIALS | 111,338,676 | ||
INFORMATION TECHNOLOGY - 2.2% | |||
Electronic Equipment, Instruments & Components - 0.4% | |||
Dell International LLC/EMC Corp. 5.25% 2/1/28 | 8,564,000 | 8,588,044 | |
Semiconductors & Semiconductor Equipment - 1.0% | |||
Broadcom, Inc. 1.95% 2/15/28 (b) | 15,000,000 | 13,162,717 | |
Microchip Technology, Inc. 0.983% 9/1/24 | 5,060,000 | 4,881,983 | |
Micron Technology, Inc. 4.185% 2/15/27 | 6,000,000 | 5,771,954 | |
23,816,654 | |||
Software - 0.8% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 3,618,000 | 3,333,847 | |
5.8% 11/10/25 | 7,000,000 | 7,054,732 | |
VMware, Inc.: | |||
1% 8/15/24 | 6,564,000 | 6,349,322 | |
1.4% 8/15/26 | 2,882,000 | 2,599,977 | |
19,337,878 | |||
TOTAL INFORMATION TECHNOLOGY | 51,742,576 | ||
MATERIALS - 1.0% | |||
Chemicals - 1.0% | |||
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | 7,000,000 | 6,392,649 | |
LYB International Finance III LLC 1.25% 10/1/25 | 6,185,000 | 5,716,158 | |
Nutrien Ltd.: | |||
4.9% 3/27/28 | 8,000,000 | 7,901,269 | |
5.9% 11/7/24 | 3,688,000 | 3,691,265 | |
23,701,341 | |||
REAL ESTATE - 1.7% | |||
Equity Real Estate Investment Trusts (REITs) - 1.7% | |||
American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,225,162 | |
Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 2,894,986 | |
Crown Castle International Corp. 1.35% 7/15/25 | 566,000 | 527,549 | |
ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 2,905,645 | |
Healthcare Trust of America Holdings LP 3.5% 8/1/26 | 621,000 | 584,020 | |
Kimco Realty OP, LLC 3.3% 2/1/25 | 5,500,000 | 5,343,384 | |
Kite Realty Group Trust 4% 3/15/25 | 2,778,000 | 2,676,575 | |
Realty Income Corp. 2.2% 6/15/28 | 456,000 | 396,967 | |
SITE Centers Corp. 4.25% 2/1/26 | 1,865,000 | 1,797,808 | |
Spirit Realty LP 2.1% 3/15/28 | 5,695,000 | 4,945,554 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 3,710,000 | 3,569,597 | |
3% 1/15/30 | 4,013,000 | 3,408,373 | |
3.5% 4/15/24 | 2,140,000 | 2,119,311 | |
Vornado Realty LP 2.15% 6/1/26 | 1,017,000 | 880,618 | |
Welltower OP LLC 3.625% 3/15/24 | 4,035,000 | 4,006,280 | |
38,281,829 | |||
Real Estate Management & Development - 0.0% | |||
Brandywine Operating Partnership LP 4.1% 10/1/24 | 372,000 | 360,672 | |
TOTAL REAL ESTATE | 38,642,501 | ||
UTILITIES - 4.6% | |||
Electric Utilities - 2.4% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 2,758,253 | |
Duke Energy Corp. 4.3% 3/15/28 | 9,784,000 | 9,426,697 | |
Eversource Energy 5.45% 3/1/28 | 9,000,000 | 9,009,259 | |
Exelon Corp. 2.75% 3/15/27 | 681,000 | 632,411 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 606,000 | 558,326 | |
2.05% 3/1/25 | 3,271,000 | 3,130,467 | |
Florida Power & Light Co. 2.85% 4/1/25 | 1,508,000 | 1,461,728 | |
Georgia Power Co. 4.65% 5/16/28 | 3,465,000 | 3,402,486 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,115,000 | 1,091,400 | |
Pennsylvania Electric Co. 5.15% 3/30/26 (b) | 2,524,000 | 2,497,478 | |
Southern Co.: | |||
0.6% 2/26/24 | 3,789,000 | 3,742,043 | |
5.5% 3/15/29 | 3,052,000 | 3,098,561 | |
Tampa Electric Co. 3.875% 7/12/24 | 4,358,000 | 4,307,449 | |
Vistra Operations Co. LLC 5% 7/31/27 (b) | 10,000,000 | 9,516,902 | |
54,633,460 | |||
Gas Utilities - 0.0% | |||
Dominion Gas Holdings LLC 2.5% 11/15/24 | 1,156,000 | 1,120,990 | |
Independent Power and Renewable Electricity Producers - 0.4% | |||
Emera U.S. Finance LP 0.833% 6/15/24 | 4,654,000 | 4,505,652 | |
The AES Corp. 3.3% 7/15/25 (b) | 4,133,000 | 3,945,637 | |
8,451,289 | |||
Multi-Utilities - 1.8% | |||
Dominion Energy, Inc.: | |||
1.45% 4/15/26 | 8,000,000 | 7,313,889 | |
3.071% 8/15/24 (c) | 5,000,000 | 4,897,234 | |
DTE Energy Co. 4.22% 11/1/24 | 8,200,000 | 8,072,717 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,873,000 | 2,654,448 | |
2.95% 9/1/29 | 3,000,000 | 2,653,674 | |
5.25% 3/30/28 | 6,140,000 | 6,131,662 | |
Sempra: | |||
3.3% 4/1/25 | 3,298,000 | 3,191,846 | |
3.4% 2/1/28 | 2,613,000 | 2,422,054 | |
WEC Energy Group, Inc.: | |||
CME Term SOFR 3 Month Index + 2.110% 7.7538% 5/15/67 (c)(d) | 454,000 | 395,613 | |
5% 9/27/25 | 2,810,000 | 2,783,869 | |
40,517,006 | |||
TOTAL UTILITIES | 104,722,745 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,705,283,633) | 1,608,313,968 | ||
U.S. Treasury Obligations - 6.6% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Notes: | |||
4% 2/29/28 (e) | 34,601,100 | 34,125,335 | |
4.125% 10/31/27 (e) | 21,771,700 | 21,570,142 | |
4.375% 11/30/28 | 25,000,000 | 25,093,750 | |
4.625% 9/30/28 | 50,000,000 | 50,656,253 | |
5% 10/31/25 | 20,000,000 | 20,092,896 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $150,645,412) | 151,538,376 | ||
U.S. Government Agency - Mortgage Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.2% | |||
4.5% to 4.5% 3/1/35 to 9/1/49 | 4,301,948 | 4,127,724 | |
6.5% 7/1/32 to 8/1/36 | 90,782 | 93,905 | |
7% 8/1/28 to 6/1/33 | 64,632 | 67,531 | |
7.5% to 7.5% 11/1/26 to 2/1/28 | 11,968 | 12,208 | |
8.5% 9/1/25 | 250 | 252 | |
TOTAL FANNIE MAE | 4,301,620 | ||
Freddie Mac - 0.0% | |||
8.5% 2/1/27 to 8/1/27 | 6,529 | 6,674 | |
Ginnie Mae - 0.0% | |||
7% to 7% 7/15/28 to 11/15/28 | 12,101 | 12,291 | |
7.5% 2/15/28 to 10/15/28 | 1,621 | 1,659 | |
8% 6/15/24 | 3 | 3 | |
TOTAL GINNIE MAE | 13,953 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,785,078) | 4,322,247 | ||
Asset-Backed Securities - 11.7% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 1,786,102 | 1,570,731 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 2,530,111 | 2,242,437 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 4,803,220 | 4,112,517 | |
Aimco: | |||
Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 1/15/32 (b)(c)(d) | 5,545,000 | 5,538,340 | |
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7335% 7/22/32 (b)(c)(d) | 10,230,000 | 10,194,031 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.5728% 1/17/32 (b)(c)(d) | 5,000,000 | 4,973,205 | |
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26 | 6,073,681 | 5,911,127 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 597,867 | 523,122 | |
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b) | 4,117,000 | 4,133,473 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5824% 2/25/35 (c)(d) | 84,074 | 82,740 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 3,749,249 | 3,196,234 | |
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A, 3.49% 5/15/27 | 5,000,000 | 4,864,296 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 1,075,000 | 1,093,774 | |
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26 | 2,878,041 | 2,825,588 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 2,673,373 | 2,453,569 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7774% 10/20/32 (b)(c)(d) | 2,685,000 | 2,671,916 | |
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7555% 7/15/33 (b)(c)(d) | 11,007,000 | 10,990,908 | |
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/30 (b)(c)(d) | 5,358,250 | 5,349,725 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 875,646 | 842,625 | |
Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27 | 7,135,000 | 6,975,442 | |
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b) | 768,711 | 771,865 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 11,760,000 | 10,370,662 | |
Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b) | 2,760,000 | 2,777,720 | |
Dominos Pizza Master Issuer LLC Series 2016-1A Class A2II, 4.474% 10/25/45 (b) | 1,860,000 | 1,798,002 | |
Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b) | 1,124,005 | 1,114,145 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 4/15/31 (b)(c)(d) | 9,586,000 | 9,552,967 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | 1,726,000 | 1,747,428 | |
Enterprise Fleet Financing LLC: | |||
Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 469,884 | 467,113 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 520,013 | 513,580 | |
Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 1,022,541 | 1,006,388 | |
Series 2023-1 Class A2, 5.51% 1/22/29 (b) | 4,867,000 | 4,843,931 | |
Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (b) | 14,774,000 | 13,625,304 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 4,068,000 | 4,013,361 | |
GM Financial Automobile Leasing Series 2023-2 Class A3, 5.05% 7/20/26 | 4,047,000 | 4,014,684 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 919,074 | 803,085 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.6735% 1/22/31 (b)(c)(d) | 8,045,000 | 8,018,910 | |
Marlette Funding Trust Series 2022-2A Class A, 4.25% 8/15/32 (b) | 748,621 | 746,758 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 292,801 | 280,827 | |
MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 571,456 | 568,385 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.6644% 7/17/32 (b)(c)(d) | 10,020,000 | 9,985,792 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b) | 9,179,013 | 8,768,591 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.4287% 5/20/29 (b)(c)(d) | 4,719,786 | 4,706,278 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.4439% 4/15/30 (b)(c)(d) | 6,995,552 | 6,956,293 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.7024% 1/25/36 (c)(d) | 23,739 | 23,232 | |
Porsche Financial Auto Securitizati Series 2023-2A Class A3, 5.79% 1/22/29 (b) | 2,386,000 | 2,414,449 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 4,835,108 | 4,520,106 | |
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26 | 3,183,711 | 3,166,286 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 4,981,626 | 4,246,936 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 2,797,000 | 2,692,562 | |
1.884% 7/15/50 (b) | 1,204,000 | 1,101,166 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | 11,778,177 | 9,993,194 | |
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | 1,415,478 | 1,412,561 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7155% 7/15/32 (b)(c)(d) | 7,582,000 | 7,558,412 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.591% 11/18/30 (b)(c)(d) | 7,262,911 | 7,248,450 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.3174% 9/25/34 (c)(d) | 1,693 | 1,636 | |
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b) | 3,961,000 | 3,718,835 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.244% 4/6/42 (b)(c)(d) | 304,000 | 214,130 | |
Upstart Securitization Trust: | |||
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 422,072 | 419,916 | |
Series 2021-5 Class A, 1.31% 11/20/31 (b) | 1,051,486 | 1,042,301 | |
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b) | 3,772,000 | 3,771,586 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 765,761 | 753,122 | |
Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 4,101,860 | 3,977,011 | |
Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c) | 5,757,709 | 5,351,229 | |
Verizon Master Trust Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 7,466,000 | 7,283,639 | |
Class B, 0.69% 5/20/27 | 8,000,000 | 7,794,293 | |
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.6144% 4/17/30 (b)(c)(d) | 6,863,441 | 6,853,510 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | 5,260,000 | 5,299,588 | |
TOTAL ASSET-BACKED SECURITIES (Cost $278,630,023) | 268,856,019 | ||
Collateralized Mortgage Obligations - 3.2% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 2.5% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c) | 2,767,101 | 2,633,486 | |
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 5,304,111 | 4,361,794 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 696,162 | 671,240 | |
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 3,399,135 | 3,014,866 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 1,360,927 | 1,259,246 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1,256,916 | 1,196,351 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 1,742,415 | 1,675,156 | |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 385,889 | 381,265 | |
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 521,965 | 511,711 | |
Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 7,715,860 | 7,255,425 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 939,692 | 796,273 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 2,897,381 | 2,739,890 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 2,829,962 | 2,423,222 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c) | 6,347,195 | 5,950,522 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,091,657 | 995,303 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 2,270,509 | 2,082,381 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 2,256,668 | 2,011,041 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 346,306 | 328,328 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c) | 5,600,371 | 5,244,536 | |
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 4,029,665 | 3,875,428 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 934,354 | 819,599 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 1,246,164 | 1,096,051 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 3,915,376 | 3,741,056 | |
RMF Buyout Issuance Trust sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 1,482,090 | 1,421,997 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 719,056 | 692,774 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.546% 7/20/34 (c)(d) | 446 | 395 | |
TOTAL PRIVATE SPONSOR | 57,179,336 | ||
U.S. Government Agency - 0.7% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2015-28 Class P, 2.5% 5/25/45 | 1,468,746 | 1,342,396 | |
Series 2019-33 Class N, 3% 3/25/48 | 5,288,069 | 4,856,634 | |
Series 2015-28 Class JE, 3% 5/25/45 | 1,014,518 | 948,570 | |
Series 2018-3 Class LP, 3% 2/25/47 | 3,975,204 | 3,642,948 | |
Series 2019-59 Class AB, 2.5% 10/25/39 | 1,778,991 | 1,591,756 | |
Freddie Mac: | |||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 2,575,464 | 2,320,946 | |
sequential payer Series 4873 Class CA, 4% 7/15/47 | 1,613,406 | 1,561,723 | |
Series 3949 Class MK, 4.5% 10/15/34 | 40,641 | 39,911 | |
Series 4472 Class WL, 3% 5/15/45 | 484,044 | 449,530 | |
TOTAL U.S. GOVERNMENT AGENCY | 16,754,414 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $80,728,264) | 73,933,750 | ||
Commercial Mortgage Securities - 6.7% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.473% 1/15/39 (b)(c)(d) | 2,178,000 | 2,123,055 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,767,000 | 1,587,953 | |
BANK Series 2021-BN33 Class XA, 1.167% 5/15/64 (c)(f) | 20,535,230 | 1,069,306 | |
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | 4,407,582 | 4,289,483 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 1,071,812 | 1,026,192 | |
Series 2019-B14 Class XA, 0.8975% 12/15/62 (c)(f) | 24,489,448 | 658,208 | |
Series 2020-B17 Class XA, 1.5364% 3/15/53 (c)(f) | 49,285,703 | 2,510,974 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1875% 9/15/26 (b)(c)(d) | 5,047,000 | 4,843,614 | |
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2209% 4/15/37 (b)(c)(d) | 7,152,000 | 7,026,698 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1266% 10/15/36 (b)(c)(d) | 4,501,000 | 4,395,056 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0898% 5/15/38 (b)(c)(d) | 3,023,314 | 2,966,336 | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3358% 2/15/39 (b)(c)(d) | 4,468,343 | 4,360,419 | |
Bx Commercial Mortgage Trust 2 floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3693% 4/15/34 (b)(c)(d) | 614,000 | 609,223 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2875% 11/15/38 (b)(c)(d) | 4,360,000 | 4,275,185 | |
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0734% 10/15/26 (b)(c)(d) | 3,833,630 | 3,748,207 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4879% 8/15/39 (b)(c)(d) | 1,624,000 | 1,625,526 | |
floater sequential payer: | |||
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.3574% 10/15/36 (b)(c)(d) | 4,127,684 | 4,117,203 | |
Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 1/15/34 (b)(c)(d) | 1,609,150 | 1,583,856 | |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1075% 6/15/38 (b)(c)(d) | 4,031,134 | 3,953,912 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 6,624,464 | 6,063,967 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 5,329,541 | 4,697,675 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, CME Term SOFR 1 Month Index + 1.060% 6.3874% 11/15/36 (b)(c)(d) | 1,313,000 | 1,290,453 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 8 | 8 | |
Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 1,035,737 | 1,008,722 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2015-CR22 Class ASB, 3.144% 3/10/48 | 474,903 | 468,406 | |
Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 398,708 | 391,987 | |
Series 2020-SBX Class A, 1.67% 1/10/38 (b) | 8,241,000 | 7,252,975 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 550,655 | 542,395 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, CME Term SOFR 1 Month Index + 1.020% 6.35% 5/15/36 (b)(c)(d) | 4,987,591 | 4,976,346 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,121,236 | 1,937,937 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (b) | 1,635,000 | 1,628,513 | |
CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52 | 2,691,116 | 2,636,966 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1385% 11/15/38 (b)(c)(d) | 6,065,939 | 5,936,503 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5175% 7/15/38 (b)(c)(d) | 1,963,937 | 1,941,120 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 10/15/36 (b)(c)(d) | 2,682,000 | 2,573,603 | |
sequential payer: | |||
Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 6 | 6 | |
Series 2014-GC26 Class AAB, 3.365% 11/10/47 | 524,340 | 518,359 | |
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 461,163 | 453,829 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 3,357,926 | 3,207,035 | |
Series 2013-GC13 Class A/S, 3.9554% 7/10/46 (b)(c) | 5,559,153 | 5,232,609 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2014-C22 Class A4, 3.8012% 9/15/47 | 2,537,000 | 2,482,607 | |
Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 322,467 | 317,996 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 6,642,000 | 6,475,950 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 240,578 | 232,083 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9375% 9/15/29 (b)(c)(d) | 1,683,960 | 1,551,850 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2,708,000 | 2,356,508 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 3/15/38 (b)(c)(d) | 3,997,740 | 3,897,246 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 7/15/38 (b)(c)(d) | 2,266,000 | 2,221,888 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2014-C15 Class ASB, 3.654% 4/15/47 | 34,888 | 34,764 | |
Series 2014-C19 Class ASB, 3.326% 12/15/47 | 1,779,660 | 1,761,787 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,470,759 | 1,387,955 | |
Series 2014-C17 Class ASB, 3.477% 8/15/47 | 179,980 | 178,884 | |
Series 2015-C22 Class ASB, 3.04% 4/15/48 | 251,549 | 246,417 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 3,837,000 | 3,506,999 | |
Series 2021-L6 Class XA, 1.325% 6/15/54 (c)(f) | 7,016,271 | 388,956 | |
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4131% 10/15/28 (b)(c)(d) | 1,448,000 | 1,447,999 | |
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9215% 10/15/36 (b)(c)(d) | 6,675,701 | 6,499,714 | |
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1682% 11/15/38 (b)(c)(d) | 4,056,000 | 3,980,819 | |
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | 399,875 | 388,985 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 734,958 | 723,208 | |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 2,150,081 | 2,103,935 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 2,170,808 | 2,083,599 | |
WF-RBS Commercial Mortgage Trust sequential payer Series 2014-C22 Class ASB, 3.464% 9/15/57 | 791,941 | 783,597 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $163,350,842) | 154,583,566 | ||
Municipal Securities - 0.3% | |||
Principal Amount (a) | Value ($) | ||
California Gen. Oblig. Series 2019, 2.4% 10/1/25 | 4,420,000 | 4,203,234 | |
New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 1,320,000 | 1,314,185 | |
TOTAL MUNICIPAL SECURITIES (Cost $5,754,222) | 5,517,419 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
United Mexican States 3.25% 4/16/30 (Cost $3,512,606) | 3,525,000 | 3,093,188 | |
Bank Notes - 0.5% | |||
Principal Amount (a) | Value ($) | ||
Citizens Bank NA 2.25% 4/28/25 | 4,046,000 | 3,813,251 | |
First Citizens Bank & Trust Co. 2.969% 9/27/25 (c) | 6,655,000 | 6,454,194 | |
TOTAL BANK NOTES (Cost $10,771,320) | 10,267,445 | ||
Money Market Funds - 0.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.40% (g) (Cost $5,335,075) | 5,334,008 | 5,335,075 | |
TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $2,408,796,475) | 2,285,761,053 |
NET OTHER ASSETS (LIABILITIES) - 0.5% | 10,753,923 |
NET ASSETS - 100.0% | 2,296,514,976 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 219 | Mar 2024 | 44,776,945 | 133,035 | 133,035 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2,817 | Mar 2024 | 301,000,852 | 1,395,408 | 1,395,408 |
TOTAL PURCHASED | 1,528,443 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 86 | Mar 2024 | 9,442,531 | (49,490) | (49,490) |
TOTAL FUTURES CONTRACTS | 1,478,953 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 15.0% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.4% |
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 $850,412,562 or 37.0% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,068,075. |
(f) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(g) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.40% | 24,907,372 | 147,277,957 | 166,850,254 | 157,400 | - | - | 5,335,075 | 0.0% |
Total | 24,907,372 | 147,277,957 | 166,850,254 | 157,400 | - | - | 5,335,075 | |
Amounts in the dividend 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. Nonconvertible Bonds, U.S. Treasury Obligations, Municipal Securities, Foreign Government and Government Agency Obligations and Bank Notes are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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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