Quarterly Holdings Report
for
Fidelity Advisor® Limited Term Bond Fund
May 31, 2024
LTB-NPRT3-0724
1.804849.120
Corporate Bonds - 70.4% | |||
Principal Amount (a) | Value ($) | ||
Convertible Bonds - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Household Durables - 0.0% | |||
Meritage Homes Corp. 1.75% 5/15/28 (b) | 10,000 | 10,225 | |
Leisure Products - 0.0% | |||
Peloton Interactive, Inc. 5.5% 12/1/29 (b) | 30,000 | 30,923 | |
TOTAL CONSUMER DISCRETIONARY | 41,148 | ||
FINANCIALS - 0.0% | |||
Capital Markets - 0.0% | |||
Coinbase Global, Inc. 0.25% 4/1/30 (b) | 10,000 | 9,620 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Software - 0.0% | |||
BlackLine, Inc. 1% 6/1/29 (b) | 30,000 | 28,605 | |
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Realogy Group LLC/Realogy Co-Issuer Corp. 0.25% 6/15/26 | 433,000 | 359,139 | |
TOTAL CONVERTIBLE BONDS | 438,512 | ||
Nonconvertible Bonds - 70.4% | |||
COMMUNICATION SERVICES - 3.6% | |||
Diversified Telecommunication Services - 1.4% | |||
Altice France SA: | |||
5.125% 7/15/29(b) | 1,020,000 | 684,070 | |
8.125% 2/1/27(b) | 400,000 | 308,327 | |
AT&T, Inc. 1.65% 2/1/28 | 12,588,000 | 11,124,221 | |
Cogent Communications Group, Inc. 7% 6/15/27 (b) | 650,000 | 646,954 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | 540,000 | 510,055 | |
Consolidated Communications, Inc. 5% 10/1/28 (b) | 400,000 | 327,999 | |
NTT Finance Corp. 1.591% 4/3/28 (b) | 10,000,000 | 8,773,781 | |
Verizon Communications, Inc. 2.355% 3/15/32 | 6,779,000 | 5,503,323 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | 450,000 | 350,905 | |
28,229,635 | |||
Entertainment - 0.1% | |||
Live Nation Entertainment, Inc. 4.75% 10/15/27 (b) | 1,450,000 | 1,373,769 | |
Media - 1.2% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 400,000 | 359,967 | |
Altice Financing SA 5% 1/15/28 (b) | 1,400,000 | 1,105,935 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 5.125% 5/1/27 (b) | 2,400,000 | 2,293,799 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26 | 8,070,000 | 8,133,028 | |
Clear Channel Outdoor Holdings, Inc. 9% 9/15/28 (b) | 1,000,000 | 1,040,806 | |
Discovery Communications LLC 3.625% 5/15/30 | 1,664,000 | 1,464,216 | |
iHeartCommunications, Inc. 4.75% 1/15/28 (b) | 500,000 | 264,298 | |
Sirius XM Radio, Inc. 3.125% 9/1/26 (b) | 2,000,000 | 1,871,448 | |
Univision Communications, Inc. 8% 8/15/28 (b) | 350,000 | 344,720 | |
Warnermedia Holdings, Inc.: | |||
3.638% 3/15/25 | 1,048,000 | 1,030,201 | |
3.755% 3/15/27 | 7,549,000 | 7,158,801 | |
25,067,219 | |||
Wireless Telecommunication Services - 0.9% | |||
C&W Senior Finance Ltd. 6.875% 9/15/27 (b) | 2,400,000 | 2,288,304 | |
Rogers Communications, Inc. 2.95% 3/15/25 | 5,568,000 | 5,443,598 | |
T-Mobile U.S.A., Inc. 2.625% 4/15/26 | 10,100,000 | 9,576,005 | |
17,307,907 | |||
TOTAL COMMUNICATION SERVICES | 71,978,530 | ||
CONSUMER DISCRETIONARY - 4.8% | |||
Automobile Components - 0.2% | |||
Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | 1,210,000 | 1,222,722 | |
Hertz Corp. 4.625% 12/1/26 (b) | 175,000 | 135,872 | |
Macquarie AirFinance Holdings 8.125% 3/30/29 (b) | 1,050,000 | 1,105,616 | |
Phinia, Inc. 6.75% 4/15/29 (b) | 155,000 | 156,132 | |
The Goodyear Tire & Rubber Co. 4.875% 3/15/27 | 560,000 | 538,064 | |
3,158,406 | |||
Automobiles - 2.6% | |||
Aston Martin Capital Holdings Ltd. 10% 3/31/29 (b) | 200,000 | 192,900 | |
General Motors Financial Co., Inc.: | |||
1.25% 1/8/26 | 8,359,000 | 7,810,593 | |
2.35% 2/26/27 | 7,500,000 | 6,909,641 | |
5.8% 6/23/28 | 7,500,000 | 7,562,971 | |
6% 1/9/28 | 5,000,000 | 5,079,404 | |
Hyundai Capital America 5.8% 6/26/25 (b) | 6,250,000 | 6,252,636 | |
McLaren Finance PLC 7.5% 8/1/26 (b) | 220,000 | 189,860 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 11/24/25(b) | 15,040,000 | 14,124,009 | |
3.95% 6/6/25(b) | 3,270,000 | 3,212,846 | |
51,334,860 | |||
Distributors - 0.0% | |||
The Gates Corp. 6.875% 7/1/29 (b)(c) | 305,000 | 307,929 | |
Diversified Consumer Services - 0.1% | |||
Sotheby's 7.375% 10/15/27 (b) | 560,000 | 487,450 | |
TKC Holdings, Inc. 10.5% 5/15/29 (b) | 1,050,000 | 1,034,715 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | 1,250,000 | 1,215,122 | |
2,737,287 | |||
Hotels, Restaurants & Leisure - 0.8% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(b) | 650,000 | 603,848 | |
5.75% 4/15/25(b) | 350,000 | 348,648 | |
Affinity Interactive 6.875% 12/15/27 (b) | 1,000,000 | 889,916 | |
Aramark Services, Inc. 5% 4/1/25 (b) | 1,000,000 | 991,607 | |
Boyd Gaming Corp. 4.75% 12/1/27 | 450,000 | 428,333 | |
Carnival Corp. 7.625% 3/1/26 (b) | 2,400,000 | 2,413,013 | |
Churchill Downs, Inc.: | |||
4.75% 1/15/28(b) | 300,000 | 284,206 | |
6.75% 5/1/31(b) | 500,000 | 497,465 | |
Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | 250,000 | 248,708 | |
International Game Technology PLC 4.125% 4/15/26 (b) | 800,000 | 774,940 | |
Las Vegas Sands Corp. 3.5% 8/18/26 | 400,000 | 379,876 | |
Life Time, Inc. 5.75% 1/15/26 (b) | 400,000 | 397,697 | |
Light & Wonder International, Inc. 7% 5/15/28 (b) | 1,000,000 | 1,005,764 | |
Melco Resorts Finance Ltd. 5.25% 4/26/26 (b) | 200,000 | 193,062 | |
MGM Resorts International 4.625% 9/1/26 | 930,000 | 902,178 | |
NCL Corp. Ltd. 5.875% 3/15/26 (b) | 900,000 | 884,909 | |
Ontario Gaming GTA LP / OTG Co. issuer, Inc. 8% 8/1/30 (b) | 250,000 | 256,294 | |
Royal Caribbean Cruises Ltd.: | |||
5.5% 4/1/28(b) | 1,050,000 | 1,025,760 | |
7.25% 1/15/30(b) | 800,000 | 826,405 | |
Six Flags Entertainment Corp. 5.5% 4/15/27 (b) | 550,000 | 539,269 | |
Station Casinos LLC 6.625% 3/15/32 (b) | 300,000 | 294,505 | |
Studio City Finance Ltd. 5% 1/15/29 (b) | 200,000 | 174,182 | |
Viking Cruises Ltd. 9.125% 7/15/31 (b) | 1,000,000 | 1,077,258 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | 300,000 | 292,005 | |
15,729,848 | |||
Household Durables - 0.1% | |||
Beazer Homes U.S.A., Inc. 7.5% 3/15/31 (b) | 160,000 | 159,717 | |
Landsea Homes Corp. 8.875% 4/1/29 (b) | 195,000 | 189,028 | |
Newell Brands, Inc. 5.7% 4/1/26 | 650,000 | 641,822 | |
Tempur Sealy International, Inc. 4% 4/15/29 (b) | 850,000 | 762,217 | |
1,752,784 | |||
Leisure Products - 0.2% | |||
Brunswick Corp. 5.85% 3/18/29 | 4,539,000 | 4,531,944 | |
Mattel, Inc. 5.875% 12/15/27 (b) | 450,000 | 448,355 | |
4,980,299 | |||
Specialty Retail - 0.7% | |||
Advance Auto Parts, Inc. 5.95% 3/9/28 | 6,525,000 | 6,470,619 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 545,000 | 535,746 | |
6.25% 11/1/28 | 3,398,000 | 3,527,602 | |
Hudson Automotive Group 8% 5/15/32 (b) | 125,000 | 128,823 | |
O'Reilly Automotive, Inc. 5.75% 11/20/26 | 1,697,000 | 1,713,490 | |
Staples, Inc.: | |||
7.5% 4/15/26(b) | 700,000 | 699,875 | |
10.75% 9/1/29(b)(c) | 260,000 | 251,578 | |
Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | 300,000 | 307,410 | |
13,635,143 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Hanesbrands, Inc. 4.875% 5/15/26 (b) | 900,000 | 873,082 | |
Tapestry, Inc. 7% 11/27/26 | 891,000 | 914,825 | |
1,787,907 | |||
TOTAL CONSUMER DISCRETIONARY | 95,424,463 | ||
CONSUMER STAPLES - 4.9% | |||
Beverages - 0.5% | |||
Molson Coors Beverage Co. 3% 7/15/26 | 10,575,000 | 10,074,063 | |
Consumer Staples Distribution & Retail - 1.2% | |||
7-Eleven, Inc.: | |||
0.95% 2/10/26(b) | 7,891,000 | 7,318,329 | |
1.3% 2/10/28(b) | 3,614,000 | 3,137,542 | |
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.25% 3/15/26(b) | 1,100,000 | 1,047,660 | |
6.5% 2/15/28(b) | 1,000,000 | 1,007,238 | |
Dollar General Corp. 4.625% 11/1/27 | 4,000,000 | 3,911,326 | |
Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 5,914,208 | |
KeHE Distributor / Nextwave 9% 2/15/29 (b) | 350,000 | 354,524 | |
Performance Food Group, Inc. 5.5% 10/15/27 (b) | 400,000 | 389,858 | |
23,080,685 | |||
Food Products - 0.9% | |||
Campbell Soup Co. 5.3% 3/20/26 | 1,106,000 | 1,103,504 | |
Chobani LLC/Finance Corp., Inc. 7.625% 7/1/29 (b) | 250,000 | 254,679 | |
JDE Peet's BV: | |||
0.8% 9/24/24(b) | 8,000,000 | 7,869,130 | |
1.375% 1/15/27(b) | 10,440,000 | 9,432,873 | |
Post Holdings, Inc. 5.625% 1/15/28 (b) | 200,000 | 195,412 | |
18,855,598 | |||
Personal Care Products - 0.1% | |||
Coty, Inc. 5% 4/15/26 (b) | 1,100,000 | 1,083,584 | |
Tobacco - 2.2% | |||
Altria Group, Inc. 2.35% 5/6/25 | 1,003,000 | 973,126 | |
BAT International Finance PLC: | |||
1.668% 3/25/26 | 15,000,000 | 14,007,817 | |
3.95% 6/15/25(b) | 5,000,000 | 4,911,904 | |
5.931% 2/2/29 | 5,000,000 | 5,106,925 | |
Imperial Tobacco Finance PLC 4.25% 7/21/25 (b) | 13,000,000 | 12,774,688 | |
Philip Morris International, Inc. 4.875% 2/13/29 | 6,400,000 | 6,308,206 | |
44,082,666 | |||
TOTAL CONSUMER STAPLES | 97,176,596 | ||
ENERGY - 5.2% | |||
Energy Equipment & Services - 0.1% | |||
Kodiak Gas Services LLC 7.25% 2/15/29 (b) | 350,000 | 355,314 | |
Seadrill Finance Ltd. 8.375% 8/1/30 (b) | 450,000 | 472,339 | |
Transocean Aquila Ltd. 8% 9/30/28 (b) | 1,100,000 | 1,118,328 | |
U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 7.125% 3/15/29 (b) | 240,000 | 240,272 | |
Valaris Ltd. 8.375% 4/30/30 (b) | 300,000 | 310,080 | |
2,496,333 | |||
Oil, Gas & Consumable Fuels - 5.1% | |||
Baytex Energy Corp. 7.375% 3/15/32 (b) | 260,000 | 263,009 | |
Buckeye Partners LP: | |||
4.125% 3/1/25(b) | 500,000 | 490,391 | |
4.125% 12/1/27 | 1,400,000 | 1,298,338 | |
California Resources Corp.: | |||
7.125% 2/1/26(b) | 250,000 | 251,262 | |
8.25% 6/15/29(b)(c) | 610,000 | 610,944 | |
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | 300,000 | 284,891 | |
Canacol Energy Ltd. 5.75% 11/24/28 (b) | 235,000 | 123,299 | |
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 3,668,000 | 3,521,795 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 600,000 | 577,746 | |
Chesapeake Energy Corp. 5.5% 2/1/26 (b) | 200,000 | 197,788 | |
Citgo Petroleum Corp. 6.375% 6/15/26 (b) | 500,000 | 500,147 | |
CrownRock LP/CrownRock Finance, Inc. 5.625% 10/15/25 (b) | 850,000 | 847,857 | |
CVR Energy, Inc. 8.5% 1/15/29 (b) | 600,000 | 602,565 | |
Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b) | 600,000 | 613,521 | |
Diamondback Energy, Inc. 5.2% 4/18/27 | 5,172,000 | 5,160,907 | |
EG Global Finance PLC 12% 11/30/28 (b) | 1,600,000 | 1,657,167 | |
Enbridge, Inc.: | |||
1.6% 10/4/26 | 10,000,000 | 9,160,497 | |
2.5% 2/14/25 | 1,440,000 | 1,408,369 | |
5.9% 11/15/26 | 2,300,000 | 2,324,841 | |
Energy Transfer LP 2.9% 5/15/25 | 7,150,000 | 6,961,107 | |
EnLink Midstream Partners LP 4.85% 7/15/26 | 500,000 | 488,860 | |
EQM Midstream Partners LP 7.5% 6/1/27 (b) | 1,000,000 | 1,021,687 | |
Genesis Energy LP/Genesis Energy Finance Corp.: | |||
7.875% 5/15/32 | 100,000 | 100,213 | |
8% 1/15/27 | 1,150,000 | 1,171,988 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 2,150,000 | 2,157,501 | |
Harvest Midstream I LP 7.5% 5/15/32 (b) | 380,000 | 385,153 | |
Hess Corp. 4.3% 4/1/27 | 4,500,000 | 4,380,321 | |
Hess Midstream Operations LP 5.625% 2/15/26 (b) | 900,000 | 894,322 | |
Kinetik Holdings LP 6.625% 12/15/28 (b) | 450,000 | 454,747 | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. 6% 8/1/26 (b) | 450,000 | 442,524 | |
Matador Resources Co. 6.5% 4/15/32 (b) | 340,000 | 339,337 | |
MPLX LP 1.75% 3/1/26 | 15,044,000 | 14,085,357 | |
New Fortress Energy, Inc. 6.5% 9/30/26 (b) | 1,950,000 | 1,835,429 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 8.125% 2/15/29 (b) | 350,000 | 356,282 | |
Northern Oil & Gas, Inc. 8.75% 6/15/31 (b) | 300,000 | 314,322 | |
Occidental Petroleum Corp. 5.875% 9/1/25 | 1,900,000 | 1,899,595 | |
PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | 550,000 | 564,976 | |
Petroleos Mexicanos: | |||
6.49% 1/23/27 | 6,035,000 | 5,741,699 | |
6.5% 3/13/27 | 12,000,000 | 11,320,800 | |
Phillips 66 Co. 3.85% 4/9/25 | 7,000,000 | 6,898,087 | |
Range Resources Corp. 4.875% 5/15/25 | 450,000 | 446,130 | |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | 1,000,000 | 1,037,524 | |
SM Energy Co. 6.625% 1/15/27 | 450,000 | 447,382 | |
Southwestern Energy Co. 5.7% 1/23/25 (d) | 400,000 | 398,218 | |
Sunoco LP/Sunoco Finance Corp. 6% 4/15/27 | 1,000,000 | 991,233 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b) | 950,000 | 930,187 | |
The Williams Companies, Inc. 5.4% 3/2/26 | 1,334,000 | 1,331,546 | |
Valero Energy Corp. 2.85% 4/15/25 | 2,437,000 | 2,377,600 | |
Venture Global Calcasieu Pass LLC 6.25% 1/15/30 (b) | 250,000 | 250,601 | |
Western Midstream Operating LP 6.35% 1/15/29 | 846,000 | 869,782 | |
100,789,844 | |||
TOTAL ENERGY | 103,286,177 | ||
FINANCIALS - 31.5% | |||
Banks - 18.5% | |||
ABN AMRO Bank NV 1.542% 6/16/27 (b)(e) | 8,114,000 | 7,447,557 | |
Banco Santander SA 1.722% 9/14/27 (e) | 5,000,000 | 4,568,560 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27(e)(f) | 7,000,000 | 6,949,718 | |
1.197% 10/24/26(e) | 13,673,000 | 12,859,471 | |
1.319% 6/19/26(e) | 16,000,000 | 15,280,537 | |
1.734% 7/22/27(e) | 7,174,000 | 6,624,795 | |
2.015% 2/13/26(e) | 11,000,000 | 10,714,082 | |
5.819% 9/15/29(e) | 3,400,000 | 3,457,527 | |
Bank of Ireland Group PLC 5.601% 3/20/30 (b)(e) | 3,531,000 | 3,488,257 | |
Barclays PLC: | |||
2.279% 11/24/27(e) | 5,000,000 | 4,609,207 | |
2.852% 5/7/26(e) | 18,848,000 | 18,344,599 | |
5.69% 3/12/30(e) | 1,821,000 | 1,819,825 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27(b)(e)(f) | 7,417,000 | 6,916,617 | |
2.219% 6/9/26(b)(e) | 8,627,000 | 8,324,058 | |
BPCE SA: | |||
1.652% 10/6/26(b)(e) | 20,000,000 | 18,893,005 | |
2.045% 10/19/27(b)(e) | 6,865,000 | 6,300,857 | |
Capital One NA 2.28% 1/28/26 (e) | 7,000,000 | 6,829,453 | |
Citigroup, Inc.: | |||
2.014% 1/25/26(e) | 7,350,000 | 7,171,576 | |
3.106% 4/8/26(e) | 10,000,000 | 9,780,039 | |
4.075% 4/23/29(e) | 3,600,000 | 3,439,324 | |
5.61% 9/29/26(e) | 4,000,000 | 3,998,445 | |
Cooperatieve Rabobank UA 1.98% 12/15/27 (b)(e) | 7,500,000 | 6,864,489 | |
Danske Bank A/S 6.259% 9/22/26 (b)(e) | 5,262,000 | 5,296,330 | |
DNB Bank ASA: | |||
1.535% 5/25/27(b)(e) | 4,643,000 | 4,289,867 | |
1.605% 3/30/28(b)(e) | 9,570,000 | 8,594,630 | |
HAT Holdings I LLC/HAT Holdings II LLC 8% 6/15/27 (b) | 300,000 | 311,378 | |
HSBC Holdings PLC: | |||
1.645% 4/18/26(e) | 6,567,000 | 6,334,572 | |
5.21% 8/11/28(e) | 4,327,000 | 4,286,855 | |
5.597% 5/17/28(e) | 6,300,000 | 6,317,821 | |
ING Groep NV: | |||
1.726% 4/1/27(e) | 4,192,000 | 3,909,382 | |
5.335% 3/19/30(e) | 2,890,000 | 2,866,961 | |
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | 5,031,000 | 4,982,366 | |
JPMorgan Chase & Co.: | |||
1.045% 11/19/26(e) | 15,000,000 | 14,043,501 | |
1.47% 9/22/27(e) | 10,000,000 | 9,151,103 | |
2.956% 5/13/31(e) | 12,053,000 | 10,486,745 | |
5.571% 4/22/28(e) | 3,266,000 | 3,286,445 | |
Lloyds Banking Group PLC 2.438% 2/5/26 (e) | 2,636,000 | 2,576,998 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.412% 7/17/25 | 8,000,000 | 7,642,743 | |
1.538% 7/20/27(e) | 10,000,000 | 9,217,979 | |
1.64% 10/13/27(e) | 5,000,000 | 4,579,437 | |
Mizuho Financial Group, Inc. 1.234% 5/22/27 (e) | 10,000,000 | 9,209,773 | |
NatWest Markets PLC 5.416% 5/17/27 (b) | 4,000,000 | 3,995,785 | |
Regions Financial Corp. 2.25% 5/18/25 | 3,135,000 | 3,032,070 | |
Santander Holdings U.S.A., Inc.: | |||
2.49% 1/6/28(e) | 2,768,000 | 2,537,779 | |
3.45% 6/2/25 | 5,700,000 | 5,564,446 | |
5.807% 9/9/26(e) | 3,000,000 | 2,984,540 | |
Societe Generale: | |||
1.488% 12/14/26(b)(e) | 7,870,000 | 7,354,599 | |
1.792% 6/9/27(b)(e) | 6,750,000 | 6,218,284 | |
2.625% 10/16/24(b) | 1,530,000 | 1,511,778 | |
Sumitomo Mitsui Financial Group, Inc. 1.474% 7/8/25 | 5,000,000 | 4,784,504 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26(e) | 10,000,000 | 9,756,177 | |
2.188% 4/30/26(e) | 5,000,000 | 4,842,591 | |
4.3% 7/22/27 | 7,000,000 | 6,804,399 | |
5.707% 4/22/28(e) | 6,200,000 | 6,242,438 | |
6.303% 10/23/29(e) | 5,800,000 | 6,001,869 | |
Western Alliance Bancorp. 3% 6/15/31 (e) | 500,000 | 447,500 | |
Westpac Banking Corp. 4.11% 7/24/34 (e) | 1,710,000 | 1,571,795 | |
365,717,438 | |||
Capital Markets - 5.4% | |||
Ares Capital Corp. 3.25% 7/15/25 | 10,000,000 | 9,688,180 | |
Athene Global Funding: | |||
1.73% 10/2/26(b) | 5,000,000 | 4,573,143 | |
5.516% 3/25/27(b) | 7,000,000 | 6,984,850 | |
Blackstone Private Credit Fund 4.7% 3/24/25 | 8,250,000 | 8,161,404 | |
Deutsche Bank AG 4.5% 4/1/25 | 2,904,000 | 2,865,936 | |
Deutsche Bank AG New York Branch: | |||
2.129% 11/24/26(e) | 14,479,000 | 13,711,192 | |
2.311% 11/16/27(e) | 7,028,000 | 6,458,740 | |
Goldman Sachs Group, Inc.: | |||
2.64% 2/24/28(e) | 10,000,000 | 9,293,822 | |
6.484% 10/24/29(e) | 3,900,000 | 4,058,433 | |
Morgan Stanley: | |||
2.188% 4/28/26(e) | 5,000,000 | 4,844,225 | |
6.407% 11/1/29(e) | 3,900,000 | 4,058,846 | |
Nomura Holdings, Inc. 1.653% 7/14/26 | 12,500,000 | 11,512,451 | |
Nuveen LLC 5.55% 1/15/30 (b) | 984,000 | 986,214 | |
State Street Corp. 2.901% 3/30/26 (e) | 305,000 | 297,822 | |
UBS Group AG: | |||
1.305% 2/2/27(b)(e) | 10,000,000 | 9,274,539 | |
2.593% 9/11/25(b)(e) | 4,805,000 | 4,761,495 | |
6.373% 7/15/26(b)(e) | 4,500,000 | 4,522,000 | |
106,053,292 | |||
Consumer Finance - 3.7% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 1,507,000 | 1,481,598 | |
1.75% 1/30/26 | 7,095,000 | 6,658,308 | |
2.45% 10/29/26 | 2,102,000 | 1,955,860 | |
6.1% 1/15/27 | 5,500,000 | 5,579,429 | |
6.45% 4/15/27 | 3,836,000 | 3,926,643 | |
Ally Financial, Inc.: | |||
5.125% 9/30/24 | 4,760,000 | 4,748,572 | |
6.848% 1/3/30(e) | 5,700,000 | 5,847,536 | |
Capital One Financial Corp.: | |||
1.878% 11/2/27(e) | 7,000,000 | 6,395,924 | |
5.468% 2/1/29(e) | 1,983,000 | 1,967,067 | |
7.149% 10/29/27(e) | 5,000,000 | 5,166,746 | |
Capstone Borrower, Inc. 8% 6/15/30 (b) | 110,000 | 111,738 | |
Encore Capital Group, Inc. 9.25% 4/1/29 (b) | 200,000 | 208,139 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 5,000,000 | 4,876,585 | |
3.375% 11/13/25 | 8,000,000 | 7,723,790 | |
5.85% 5/17/27 | 4,000,000 | 3,998,176 | |
6.95% 6/10/26 | 6,500,000 | 6,615,999 | |
Navient Corp. 6.75% 6/15/26 | 715,000 | 713,657 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 250,000 | 231,224 | |
6.875% 3/15/25 | 1,100,000 | 1,107,845 | |
7.5% 5/15/31 | 1,215,000 | 1,215,577 | |
PRA Group, Inc. 8.875% 1/31/30 (b) | 105,000 | 103,821 | |
Synchrony Financial 4.25% 8/15/24 | 2,551,000 | 2,542,020 | |
73,176,254 | |||
Financial Services - 1.4% | |||
Block, Inc. 6.5% 5/15/32 (b) | 405,000 | 408,763 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 943,000 | 925,642 | |
3.65% 4/5/27 | 1,345,000 | 1,284,402 | |
Corebridge Global Funding 0.9% 9/22/25 (b) | 7,000,000 | 6,582,559 | |
Enact Holdings, Inc. 6.5% 8/15/25 (b) | 200,000 | 201,450 | |
Freedom Mortgage Corp. 7.625% 5/1/26 (b) | 560,000 | 556,415 | |
GGAM Finance Ltd. 7.75% 5/15/26 (b) | 1,250,000 | 1,273,711 | |
Gn Bondco LLC 9.5% 10/15/31 (b) | 400,000 | 364,415 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25% 5/15/27 | 1,750,000 | 1,607,813 | |
Jackson Financial, Inc. 5.17% 6/8/27 | 1,397,000 | 1,382,183 | |
Jbs U.S.A. Holding Lux/ Jbs U.S.A. F 2.5% 1/15/27 | 5,515,000 | 5,078,605 | |
Nationwide Building Society 6.557% 10/18/27 (b)(e) | 5,800,000 | 5,914,774 | |
PayPal Holdings, Inc. 1.65% 6/1/25 | 2,097,000 | 2,019,327 | |
The Western Union Co. 2.85% 1/10/25 | 1,242,000 | 1,219,345 | |
28,819,404 | |||
Insurance - 2.4% | |||
Acrisure LLC / Acrisure Finance, Inc. 8.25% 2/1/29 (b) | 500,000 | 502,415 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer 7% 1/15/31 (b) | 200,000 | 200,523 | |
Empower Finance 2020 LP 1.357% 9/17/27 (b) | 5,321,000 | 4,682,022 | |
Equitable Financial Life Global Funding: | |||
1.4% 8/27/27(b) | 15,000,000 | 13,183,239 | |
1.7% 11/12/26(b) | 5,000,000 | 4,555,131 | |
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 3,381,000 | 3,200,152 | |
Guardian Life Global Funding 1.4% 7/6/27 (b) | 8,010,000 | 7,161,827 | |
Panther Escrow Issuer LLC 7.125% 6/1/31 (b) | 330,000 | 332,746 | |
Protective Life Global Funding 3.218% 3/28/25 (b) | 1,979,000 | 1,941,196 | |
RGA Global Funding: | |||
2% 11/30/26(b) | 3,680,000 | 3,376,756 | |
5.448% 5/24/29(b) | 2,658,000 | 2,658,595 | |
Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 4,831,935 | |
46,626,537 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
Rithm Capital Corp. 8% 4/1/29 (b) | 120,000 | 116,780 | |
Starwood Property Trust, Inc. 4.75% 3/15/25 | 1,500,000 | 1,474,829 | |
1,591,609 | |||
TOTAL FINANCIALS | 621,984,534 | ||
HEALTH CARE - 3.9% | |||
Biotechnology - 0.3% | |||
Amgen, Inc. 5.15% 3/2/28 | 6,578,000 | 6,560,362 | |
Health Care Equipment & Supplies - 0.5% | |||
Alcon Finance Corp. 2.75% 9/23/26 (b) | 4,038,000 | 3,808,599 | |
Boston Scientific Corp. 1.9% 6/1/25 | 5,000,000 | 4,826,835 | |
Sotera Health Holdings LLC 7.375% 6/1/31 (b) | 200,000 | 198,277 | |
8,833,711 | |||
Health Care Providers & Services - 1.7% | |||
Centene Corp. 2.45% 7/15/28 | 2,360,000 | 2,080,910 | |
CHS/Community Health Systems, Inc. 5.625% 3/15/27 (b) | 1,950,000 | 1,846,945 | |
CVS Health Corp. 5% 2/20/26 | 8,000,000 | 7,923,645 | |
HCA Holdings, Inc.: | |||
3.125% 3/15/27 | 7,100,000 | 6,689,486 | |
5.875% 2/15/26 | 650,000 | 650,983 | |
Humana, Inc. 5.75% 12/1/28 | 6,000,000 | 6,095,700 | |
ICON Investments Six Designated Activity 5.809% 5/8/27 | 4,656,000 | 4,691,738 | |
LifePoint Health, Inc. 11% 10/15/30 (b) | 300,000 | 330,494 | |
Modivcare, Inc. 5.875% 11/15/25 (b) | 250,000 | 248,589 | |
Surgery Center Holdings, Inc. 7.25% 4/15/32 (b) | 295,000 | 297,214 | |
Tenet Healthcare Corp. 5.125% 11/1/27 | 2,300,000 | 2,241,111 | |
U.S. Acute Care Solutions 9.75% 5/15/29 (b) | 90,000 | 86,769 | |
33,183,584 | |||
Health Care Technology - 0.1% | |||
IQVIA, Inc. 5% 5/15/27 (b) | 1,650,000 | 1,602,820 | |
Pharmaceuticals - 1.3% | |||
1375209 BC Ltd. 9% 1/30/28 (b) | 550,000 | 531,392 | |
Bausch Health Companies, Inc.: | |||
5.5% 11/1/25(b) | 1,150,000 | 1,084,554 | |
11% 9/30/28(b) | 900,000 | 785,250 | |
Bayer U.S. Finance II LLC: | |||
3.375% 7/15/24(b) | 5,000,000 | 4,984,551 | |
4.25% 12/15/25(b) | 10,500,000 | 10,242,080 | |
Bayer U.S. Finance LLC 3.375% 10/8/24 (b) | 7,000,000 | 6,939,100 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 465,000 | 427,711 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b) | 550,000 | 508,025 | |
Viatris, Inc. 1.65% 6/22/25 | 480,000 | 459,415 | |
25,962,078 | |||
TOTAL HEALTH CARE | 76,142,555 | ||
INDUSTRIALS - 5.3% | |||
Aerospace & Defense - 1.5% | |||
BAE Systems PLC: | |||
5% 3/26/27(b) | 1,667,000 | 1,652,049 | |
5.125% 3/26/29(b) | 1,551,000 | 1,538,520 | |
Bombardier, Inc. 7% 6/1/32 (b)(c) | 405,000 | 406,477 | |
Howmet Aerospace, Inc. 6.875% 5/1/25 | 1,750,000 | 1,766,531 | |
L3Harris Technologies, Inc. 5.4% 1/15/27 | 6,000,000 | 6,017,763 | |
Rolls-Royce PLC 5.75% 10/15/27 (b) | 450,000 | 449,729 | |
RTX Corp. 5.75% 1/15/29 | 1,205,000 | 1,236,198 | |
The Boeing Co.: | |||
3.2% 3/1/29 | 7,200,000 | 6,327,820 | |
4.875% 5/1/25 | 3,000,000 | 2,967,940 | |
6.259% 5/1/27(b) | 418,000 | 420,774 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 | 3,250,000 | 3,160,625 | |
6.375% 3/1/29(b) | 3,050,000 | 3,043,383 | |
28,987,809 | |||
Building Products - 0.3% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 250,000 | 241,806 | |
AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | 350,000 | 366,826 | |
Carrier Global Corp.: | |||
2.242% 2/15/25 | 548,000 | 534,845 | |
5.8% 11/30/25 | 3,934,000 | 3,951,755 | |
5,095,232 | |||
Commercial Services & Supplies - 0.6% | |||
Allied Universal Holdco LLC 7.875% 2/15/31 (b) | 350,000 | 348,920 | |
APX Group, Inc. 6.75% 2/15/27 (b) | 1,500,000 | 1,494,518 | |
Artera Services LLC 8.5% 2/15/31 (b) | 700,000 | 715,246 | |
Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | 750,000 | 805,159 | |
CoreCivic, Inc. 8.25% 4/15/29 | 200,000 | 208,858 | |
GFL Environmental, Inc. 4% 8/1/28 (b) | 930,000 | 850,392 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 700,000 | 648,633 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | 350,000 | 334,250 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 (b) | 850,000 | 843,985 | |
Republic Services, Inc. 0.875% 11/15/25 | 5,000,000 | 4,685,767 | |
The GEO Group, Inc.: | |||
8.625% 4/15/29(b) | 425,000 | 437,455 | |
10.25% 4/15/31(b) | 400,000 | 420,965 | |
11,794,148 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 900,000 | 876,257 | |
Pike Corp. 8.625% 1/31/31 (b) | 250,000 | 263,320 | |
1,139,577 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 5% 10/1/25 (b) | 2,300,000 | 2,316,737 | |
Ground Transportation - 0.2% | |||
Canadian Pacific Railway Co. 1.75% 12/2/26 | 2,099,000 | 1,927,241 | |
Genesee & Wyoming, Inc. 6.25% 4/15/32 (b) | 300,000 | 296,524 | |
Uber Technologies, Inc. 7.5% 9/15/27 (b) | 900,000 | 916,649 | |
XPO, Inc. 6.25% 6/1/28 (b) | 450,000 | 448,642 | |
3,589,056 | |||
Machinery - 1.1% | |||
Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | 5,000,000 | 4,601,125 | |
ESAB Corp. 6.25% 4/15/29 (b) | 360,000 | 360,825 | |
Ingersoll Rand, Inc.: | |||
5.176% 6/15/29 | 4,200,000 | 4,190,620 | |
5.197% 6/15/27 | 4,200,000 | 4,200,064 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 7,000,000 | 6,798,461 | |
TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | 1,300,000 | 1,254,156 | |
21,405,251 | |||
Marine Transportation - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 650,000 | 579,234 | |
Passenger Airlines - 0.7% | |||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 3,456,539 | 3,192,550 | |
American Airlines, Inc. 7.25% 2/15/28 (b) | 400,000 | 399,421 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | 1,400,000 | 1,386,770 | |
Delta Air Lines, Inc. 2.9% 10/28/24 | 5,500,000 | 5,438,344 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 2,193,942 | 2,033,729 | |
United Airlines, Inc. 4.375% 4/15/26 (b) | 1,300,000 | 1,252,629 | |
13,703,443 | |||
Professional Services - 0.0% | |||
CoreLogic, Inc. 4.5% 5/1/28 (b) | 650,000 | 587,225 | |
TriNet Group, Inc. 7.125% 8/15/31 (b) | 500,000 | 504,723 | |
1,091,948 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. 2.2% 1/15/27 | 3,565,000 | 3,279,086 | |
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | 400,000 | 417,981 | |
United Rentals North America, Inc.: | |||
3.875% 11/15/27 | 550,000 | 516,934 | |
6.125% 3/15/34(b) | 500,000 | 490,525 | |
4,704,526 | |||
Transportation Infrastructure - 0.5% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25(b) | 7,180,000 | 7,015,195 | |
3.95% 7/1/24(b) | 955,000 | 953,417 | |
5.5% 1/15/26(b) | 2,089,000 | 2,069,087 | |
10,037,699 | |||
TOTAL INDUSTRIALS | 104,444,660 | ||
INFORMATION TECHNOLOGY - 2.6% | |||
Communications Equipment - 0.1% | |||
HTA Group Ltd. 7.5% 6/4/29 (b)(c) | 715,000 | 710,245 | |
Hughes Satellite Systems Corp. 5.25% 8/1/26 | 500,000 | 338,703 | |
ViaSat, Inc. 5.625% 9/15/25 (b) | 550,000 | 533,403 | |
1,582,351 | |||
Electronic Equipment, Instruments & Components - 0.5% | |||
Amphenol Corp. 5.05% 4/5/29 | 1,216,000 | 1,212,545 | |
Dell International LLC/EMC Corp. 5.25% 2/1/28 | 8,564,000 | 8,598,297 | |
Insight Enterprises, Inc. 6.625% 5/15/32 (b) | 165,000 | 166,092 | |
Sensata Technologies, Inc. 6.625% 7/15/32 (b)(c) | 225,000 | 225,739 | |
10,202,673 | |||
IT Services - 0.1% | |||
Acuris Finance U.S. 5% 5/1/28 (b) | 1,250,000 | 1,135,923 | |
Camelot Finance SA 4.5% 11/1/26 (b) | 950,000 | 916,554 | |
2,052,477 | |||
Semiconductors & Semiconductor Equipment - 1.0% | |||
Broadcom, Inc. 1.95% 2/15/28 (b) | 15,000,000 | 13,346,651 | |
Micron Technology, Inc. 4.185% 2/15/27 | 6,000,000 | 5,825,763 | |
19,172,414 | |||
Software - 0.9% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (b) | 5,500,000 | 5,142,500 | |
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | 1,000,000 | 1,026,649 | |
Open Text Corp. 3.875% 2/15/28 (b) | 1,700,000 | 1,562,498 | |
Oracle Corp. 1.65% 3/25/26 | 3,618,000 | 3,384,841 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 2,000,000 | 1,958,718 | |
UKG, Inc. 6.875% 2/1/31 (b) | 300,000 | 301,902 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | 600,000 | 548,093 | |
VMware, Inc. 1.4% 8/15/26 | 2,882,000 | 2,639,386 | |
16,564,587 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Western Digital Corp. 4.75% 2/15/26 | 745,000 | 728,907 | |
TOTAL INFORMATION TECHNOLOGY | 50,303,409 | ||
MATERIALS - 2.4% | |||
Chemicals - 1.7% | |||
Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b) | 600,000 | 620,350 | |
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | 7,000,000 | 6,592,900 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 750,000 | 721,683 | |
LYB International Finance III LLC 1.25% 10/1/25 | 6,185,000 | 5,832,327 | |
Methanex Corp. 5.125% 10/15/27 | 900,000 | 869,099 | |
NOVA Chemicals Corp.: | |||
5% 5/1/25(b) | 1,100,000 | 1,085,596 | |
5.25% 6/1/27(b) | 450,000 | 431,076 | |
Nutrien Ltd. 4.9% 3/27/28 | 8,000,000 | 7,907,044 | |
SCIH Salt Holdings, Inc. 6.625% 5/1/29 (b) | 850,000 | 800,568 | |
SPCM SA 3.125% 3/15/27 (b) | 400,000 | 366,338 | |
The Chemours Co. LLC 5.375% 5/15/27 | 1,050,000 | 996,842 | |
The Mosaic Co. 5.375% 11/15/28 | 5,750,000 | 5,750,086 | |
Tronox, Inc. 4.625% 3/15/29 (b) | 500,000 | 453,697 | |
W.R. Grace Holding LLC 7.375% 3/1/31 (b) | 200,000 | 203,004 | |
32,630,610 | |||
Construction Materials - 0.0% | |||
Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | 140,000 | 139,989 | |
VM Consolidated, Inc. 5.5% 4/15/29 (b) | 850,000 | 811,150 | |
951,139 | |||
Containers & Packaging - 0.3% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | 820,000 | 697,205 | |
Berry Global, Inc. 4.875% 7/15/26 (b) | 187,000 | 183,887 | |
Graphic Packaging International, Inc. 6.375% 7/15/32 (b) | 405,000 | 405,803 | |
Mauser Packaging Solutions Holding Co.: | |||
7.875% 4/15/27(b) | 500,000 | 509,430 | |
9.25% 4/15/27(b) | 550,000 | 547,734 | |
Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | 750,000 | 747,459 | |
Sealed Air Corp. 5% 4/15/29 (b) | 2,000,000 | 1,895,624 | |
Trivium Packaging Finance BV 8.5% 8/15/27 (b) | 450,000 | 448,996 | |
5,436,138 | |||
Metals & Mining - 0.4% | |||
Alcoa Nederland Holding BV 7.125% 3/15/31 (b) | 80,000 | 81,825 | |
Cleveland-Cliffs, Inc. 7% 3/15/32 (b) | 300,000 | 295,865 | |
ERO Copper Corp. 6.5% 2/15/30 (b) | 350,000 | 336,837 | |
Glencore Funding LLC 5.338% 4/4/27 (b) | 5,275,000 | 5,259,594 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 850,000 | 828,494 | |
Mineral Resources Ltd. 9.25% 10/1/28 (b) | 930,000 | 977,733 | |
Novelis Corp. 3.25% 11/15/26 (b) | 950,000 | 886,974 | |
8,667,322 | |||
TOTAL MATERIALS | 47,685,209 | ||
REAL ESTATE - 1.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,278,618 | |
Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 2,950,795 | |
Brixmor Operating Partnership LP 2.25% 4/1/28 | 4,348,000 | 3,854,740 | |
Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 5.75% 5/15/26 (b) | 1,050,000 | 1,030,673 | |
Crown Castle, Inc. 1.35% 7/15/25 | 566,000 | 539,414 | |
ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 2,934,807 | |
Healthcare Realty Holdings LP 3.5% 8/1/26 | 621,000 | 591,004 | |
Iron Mountain, Inc. 4.875% 9/15/27 (b) | 450,000 | 434,052 | |
Kite Realty Group Trust 4% 3/15/25 | 2,778,000 | 2,735,266 | |
MPT Operating Partnership LP/MPT Finance Corp. 5.25% 8/1/26 | 1,250,000 | 1,134,768 | |
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer 7% 2/1/30 (b) | 140,000 | 140,911 | |
Realty Income Corp.: | |||
2.1% 3/15/28 | 5,695,000 | 5,076,277 | |
2.2% 6/15/28 | 456,000 | 404,383 | |
SBA Communications Corp. 3.875% 2/15/27 | 1,550,000 | 1,467,095 | |
Service Properties Trust 7.5% 9/15/25 | 800,000 | 813,447 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.5% 2/15/29 (b) | 1,950,000 | 1,353,394 | |
Ventas Realty LP: | |||
2.65% 1/15/25 | 3,710,000 | 3,635,525 | |
3% 1/15/30 | 4,013,000 | 3,513,572 | |
Vornado Realty LP 2.15% 6/1/26 | 1,017,000 | 934,039 | |
35,822,780 | |||
Real Estate Management & Development - 0.0% | |||
Greystar Real Estate Partners 7.75% 9/1/30 (b) | 250,000 | 263,149 | |
TOTAL REAL ESTATE | 36,085,929 | ||
UTILITIES - 4.4% | |||
Electric Utilities - 2.4% | |||
Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 2,785,439 | |
Duke Energy Corp. 4.3% 3/15/28 | 9,784,000 | 9,468,660 | |
Eversource Energy 5.45% 3/1/28 | 9,000,000 | 9,003,469 | |
Exelon Corp. 2.75% 3/15/27 | 681,000 | 636,464 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 606,000 | 568,793 | |
2.05% 3/1/25 | 3,271,000 | 3,177,905 | |
Firstenergy Pennsylvania Elect 5.15% 3/30/26 (b) | 2,524,000 | 2,495,458 | |
Georgia Power Co. 4.65% 5/16/28 | 3,465,000 | 3,404,604 | |
NextEra Energy Partners LP 7.25% 1/15/29 (b) | 1,000,000 | 1,023,697 | |
PG&E Corp. 5% 7/1/28 | 450,000 | 431,378 | |
Southern Co. 5.5% 3/15/29 | 3,052,000 | 3,085,327 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27(b) | 11,450,000 | 11,073,730 | |
7.75% 10/15/31(b) | 450,000 | 467,582 | |
47,622,506 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
Calpine Corp. 5.125% 3/15/28 (b) | 750,000 | 714,717 | |
Emera U.S. Finance LP 0.833% 6/15/24 | 4,654,000 | 4,643,424 | |
Sunnova Energy Corp. 5.875% 9/1/26 (b) | 800,000 | 567,760 | |
The AES Corp. 3.3% 7/15/25 (b) | 4,133,000 | 4,014,250 | |
9,940,151 | |||
Multi-Utilities - 1.5% | |||
Dominion Energy, Inc.: | |||
1.45% 4/15/26 | 8,000,000 | 7,429,980 | |
3.071% 8/15/24(e) | 5,000,000 | 4,971,296 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 2,873,000 | 2,718,771 | |
2.95% 9/1/29 | 3,000,000 | 2,681,077 | |
5.25% 3/30/28 | 6,140,000 | 6,123,438 | |
Sempra 3.4% 2/1/28 | 2,613,000 | 2,453,514 | |
WEC Energy Group, Inc.: | |||
CME Term SOFR 3 Month Index + 2.110% 7.6965% 5/15/67(e)(f) | 454,000 | 447,195 | |
5% 9/27/25 | 2,810,000 | 2,790,880 | |
29,616,151 | |||
TOTAL UTILITIES | 87,178,808 | ||
TOTAL NONCONVERTIBLE BONDS | 1,391,690,870 | ||
TOTAL CORPORATE BONDS (Cost $1,449,630,978) | 1,392,129,382 | ||
U.S. Treasury Obligations - 7.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Notes: | |||
4.125% 10/31/27 | 33,823,100 | 33,285,365 | |
4.125% 3/31/29 | 66,600,000 | 65,470,913 | |
4.625% 9/30/28 (g) | 49,116,700 | 49,249,085 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,440,499) | 148,005,363 | ||
U.S. Government Agency - Mortgage Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.2% | |||
4.5% to 4.5% 3/1/35 to 9/1/49 | 4,061,150 | 3,893,108 | |
6.5% 7/1/32 to 8/1/36 | 81,756 | 84,144 | |
7% 8/1/28 to 6/1/33 | 54,374 | 56,641 | |
7.5% to 7.5% 5/1/27 to 2/1/28 | 10,142 | 10,344 | |
8.5% 9/1/25 | 140 | 140 | |
TOTAL FANNIE MAE | 4,044,377 | ||
Freddie Mac - 0.0% | |||
8.5% 2/1/27 to 8/1/27 | 5,361 | 5,455 | |
Ginnie Mae - 0.0% | |||
7% to 7% 7/15/28 to 11/15/28 | 10,538 | 10,669 | |
7.5% 10/15/28 | 1,452 | 1,479 | |
TOTAL GINNIE MAE | 12,148 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,498,903) | 4,061,980 | ||
Asset-Backed Securities - 9.3% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 1,624,737 | 1,524,861 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 2,321,869 | 2,120,253 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 4,631,670 | 4,086,798 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4871% 1/17/32 (b)(e)(f) | 4,967,898 | 4,978,072 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 553,052 | 508,787 | |
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(e)(f) | 1,746,000 | 1,747,765 | |
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b) | 4,117,000 | 4,129,798 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5644% 2/25/35 (e)(f) | 75,277 | 74,451 | |
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 3,576,770 | 3,160,505 | |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | 1,075,000 | 1,085,512 | |
Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26 | 704,412 | 701,633 | |
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b) | 1,958,815 | 1,842,300 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6862% 10/20/32 (b)(e)(f) | 2,685,000 | 2,691,866 | |
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(e)(f) | 11,007,000 | 11,022,531 | |
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(e)(f) | 2,819,724 | 2,821,672 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 626,659 | 613,244 | |
Chesapeake Funding II LLC: | |||
Series 2023-2A Class A1, 6.16% 10/15/35 (b) | 669,601 | 673,256 | |
Series 2024-1A Class A1, 5.52% 5/15/36 (b) | 1,018,541 | 1,016,256 | |
Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (b) | 1,059,000 | 1,056,827 | |
Daimler Trucks Retail Trust 20 Series 2024-1 Class A3, 5.49% 12/15/27 | 3,072,000 | 3,072,623 | |
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b) | 11,700,000 | 10,684,864 | |
Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (b) | 2,760,000 | 2,775,499 | |
DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b) | 279,000 | 278,693 | |
Dominos Pizza Master Issuer LLC Series 2016-1A Class A2II, 4.474% 10/25/45 (b) | 1,855,000 | 1,815,468 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6902% 4/15/31 (b)(e)(f) | 9,586,000 | 9,610,224 | |
Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/28 (b) | 588,000 | 588,820 | |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | 1,726,000 | 1,742,575 | |
Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 772,706 | 764,316 | |
Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 1.32% 7/15/36 (b)(c)(e)(f) | 5,254,000 | 5,260,194 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6613% 5/20/36 (b)(e)(f) | 2,644,000 | 2,658,510 | |
Ford Credit Floorplan Master Owner Trust Series 2024-1 Class B, 5.48% 4/15/29 (b) | 2,797,000 | 2,781,533 | |
GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/29 (b) | 5,280,000 | 5,254,965 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 795,428 | 723,837 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5862% 1/22/31 (b)(e)(f) | 7,881,902 | 7,900,156 | |
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b) | 316,000 | 316,025 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 257,861 | 248,876 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5787% 7/17/32 (b)(e)(f) | 10,020,000 | 10,038,427 | |
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b) | 1,648,000 | 1,635,452 | |
Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 0% 8/8/32 (b)(c)(e)(f) | 2,925,000 | 2,927,027 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3874% 5/20/29 (b)(e)(f) | 2,338,178 | 2,338,879 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3786% 4/15/30 (b)(e)(f) | 5,300,392 | 5,308,735 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6844% 1/25/36 (e)(f) | 16,276 | 16,037 | |
Porsche Financial Auto Securitization Trust Series 2023-2A Class A3, 5.79% 1/22/29 (b) | 2,386,000 | 2,398,566 | |
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(e) | 4,507,505 | 4,390,550 | |
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(e)(f) | 2,529,000 | 2,535,611 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 4,687,897 | 4,266,127 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 2,797,000 | 2,741,033 | |
1.884% 7/15/50 (b) | 1,204,000 | 1,125,985 | |
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b) | 11,343,952 | 9,994,135 | |
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | 490,887 | 490,683 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6502% 7/15/32 (b)(e)(f) | 7,582,000 | 7,592,880 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5509% 11/18/30 (b)(e)(f) | 4,979,582 | 4,991,165 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2994% 9/25/34 (e)(f) | 1,647 | 1,652 | |
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b) | 2,614,000 | 2,607,663 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1235% 4/6/42 (b)(e)(f) | 304,000 | 217,406 | |
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b) | 2,902,119 | 2,926,263 | |
VCAT Asset Securitization, LLC: | |||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b) | 555,379 | 551,032 | |
Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b) | 3,271,077 | 3,220,384 | |
Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(e) | 4,870,307 | 4,734,518 | |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | 5,260,000 | 5,306,381 | |
TOTAL ASSET-BACKED SECURITIES (Cost $188,778,690) | 184,690,156 | ||
Collateralized Mortgage Obligations - 3.2% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 2.4% | |||
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 4,972,915 | 4,255,629 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(e) | 450,173 | 441,828 | |
BRAVO Residential Funding Trust sequential payer Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 3,166,789 | 2,845,458 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(e) | 430,603 | 414,050 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 1,412,044 | 1,382,083 | |
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(e) | 712,000 | 679,177 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 887,904 | 771,542 | |
Csmc Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 7,295,585 | 7,030,847 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(e) | 2,080,800 | 2,031,293 | |
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 2,564,451 | 2,270,503 | |
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(e) | 5,992,407 | 5,741,636 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 996,460 | 907,748 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 2,129,455 | 1,996,500 | |
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 1,964,288 | 1,764,731 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 217,381 | 208,919 | |
Preston Ridge Partners Mortgage Trust: | |||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(e) | 5,093,278 | 4,898,889 | |
Series 2021-2 Class A1, 5.115% 3/25/26 (b) | 3,467,212 | 3,410,319 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 865,048 | 764,854 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(e) | 1,168,424 | 1,030,083 | |
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 3,702,748 | 3,618,888 | |
RMF Buyout Issuance Trust sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 850,147 | 829,682 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 54,166 | 53,853 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (e)(f) | 420 | 383 | |
TOTAL PRIVATE SPONSOR | 47,348,895 | ||
U.S. Government Agency - 0.8% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2015-28 Class P, 2.5% 5/25/45 | 1,354,347 | 1,227,472 | |
Series 2019-33 Class N, 3% 3/25/48 | 4,906,544 | 4,497,609 | |
Series 2015-28 Class JE, 3% 5/25/45 | 921,908 | 861,151 | |
Series 2018-3 Class LP, 3% 2/25/47 | 3,665,629 | 3,366,110 | |
Series 2019-59 Class AB, 2.5% 10/25/39 | 1,666,739 | 1,480,355 | |
Freddie Mac: | |||
planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 2,426,476 | 2,188,733 | |
sequential payer Series 4873 Class CA, 4% 7/15/47 | 1,458,258 | 1,405,438 | |
Series 3949 Class MK, 4.5% 10/15/34 | 36,591 | 35,581 | |
Series 4472 Class WL, 3% 5/15/45 | 451,756 | 418,677 | |
TOTAL U.S. GOVERNMENT AGENCY | 15,481,126 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $67,712,845) | 62,830,021 | ||
Commercial Mortgage Securities - 6.2% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.467% 1/15/39 (b)(e)(f) | 2,178,000 | 2,163,026 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,767,000 | 1,590,147 | |
BANK Series 2021-BN33 Class XA, 1.0514% 5/15/64 (e)(h) | 20,506,600 | 1,005,855 | |
Bank of America Commercial Mortgage Trust sequential payer Series 2015-UBS7 Class ASB, 3.429% 9/15/48 | 3,401,852 | 3,354,683 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 1,071,812 | 1,048,457 | |
Series 2019-B14 Class XA, 0.7684% 12/15/62 (e)(h) | 24,417,635 | 581,611 | |
Series 2020-B17 Class XA, 1.4131% 3/15/53 (e)(h) | 49,239,325 | 2,263,665 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1815% 9/15/26 (b)(e)(f) | 5,047,000 | 4,890,526 | |
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2148% 4/15/37 (b)(e)(f) | 7,152,000 | 7,192,230 | |
Brookfield floater Series 2024-MF23 Class A, CME Term SOFR 1 Month Index + 1.370% 6.8118% 6/15/41 (b)(e)(f) | 1,009,000 | 1,007,105 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1206% 10/15/36 (b)(e)(f) | 4,501,000 | 4,455,990 | |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0838% 5/15/38 (b)(e)(f) | 2,883,803 | 2,862,174 | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3297% 2/15/39 (b)(e)(f) | 4,361,667 | 4,350,855 | |
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0782% 12/9/40 (b)(e)(f) | 1,520,000 | 1,529,025 | |
floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3633% 4/15/34 (b)(e)(f) | 289,181 | 286,660 | |
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(e) | 2,501,000 | 2,504,126 | |
BX Trust: | |||
floater: | |||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2815% 11/15/38 (b)(e)(f) | 4,112,261 | 4,094,442 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(e)(f) | 1,600,344 | 1,607,345 | |
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(e)(f) | 2,890,000 | 2,891,806 | |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 1/15/34 (b)(e)(f) | 1,609,150 | 1,601,141 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 6,624,464 | 6,248,035 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 5,329,541 | 4,851,818 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 763,940 | 750,150 | |
COMM Mortgage Trust sequential payer Series 2020-SBX Class A, 1.67% 1/10/38 (b) | 8,241,000 | 7,474,317 | |
Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 1,977,755 | 1,862,093 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 11/15/38 (b)(e)(f) | 6,065,939 | 6,016,653 | |
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5115% 7/15/38 (b)(e)(f) | 1,910,907 | 1,909,526 | |
GS Mortgage Securities Trust: | |||
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3815% 10/15/36 (b)(e)(f) | 2,682,000 | 2,658,533 | |
Series 2011-GC5 Class A/S, 5.1513% 8/10/44 (b)(e) | 3,079,910 | 2,987,871 | |
Series 2013-GC13 Class A/S, 3.8427% 7/10/46 (b)(e) | 4,800,374 | 4,581,957 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C22 Class A4, 3.8012% 9/15/47 | 2,038,166 | 2,027,234 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 240,098 | 232,791 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9315% 9/15/29 (b)(e)(f) | 1,268,309 | 1,208,460 | |
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b) | 2,708,000 | 2,504,900 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 3/15/38 (b)(e)(f) | 3,997,740 | 3,937,774 | |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(e)(f) | 2,266,000 | 2,259,786 | |
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,470,759 | 1,417,981 | |
Morgan Stanley Capital I Trust: | |||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 3,837,000 | 3,621,373 | |
Series 2021-L6 Class XA, 1.2029% 6/15/54 (e)(h) | 6,985,432 | 364,181 | |
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4059% 10/15/28 (b)(e)(f) | 1,375,134 | 1,394,901 | |
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(e)(f) | 3,881,036 | 3,866,621 | |
Voya CLO Ltd. floater Series 2024-2A Class AR, CME Term SOFR 3 Month Index + 1.200% 6.5246% 7/20/32 (b)(e)(f) | 5,300,000 | 5,307,950 | |
Wells Fargo Commercial Mortgag Trust sequential payer Series 2015-NXS3 Class ASB, 3.371% 9/15/57 | 305,896 | 300,029 | |
Wells Fargo Commercial Mortgage Trust sequential payer: | |||
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 350,850 | 347,793 | |
Series 2015-LC22 Class ASB, 3.571% 9/15/58 | 1,424,994 | 1,404,832 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 1,729,546 | 1,685,351 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $127,409,890) | 122,503,779 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Principal Amount (a) | Value ($) | ||
United Mexican States 3.25% 4/16/30 (Cost $3,513,487) | 3,525,000 | 3,094,950 | |
Bank Loan Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.1% | |||
Consolidated Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9437% 10/2/27 (e)(f)(i) | 290,000 | 275,375 | |
Windstream Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 6.250% 11.6792% 9/21/27 (e)(f)(i) | 349,078 | 348,788 | |
624,163 | |||
Media - 0.1% | |||
Univision Communications, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6937% 1/31/29 (e)(f)(i) | 2,503,613 | 2,467,636 | |
TOTAL COMMUNICATION SERVICES | 3,091,799 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobile Components - 0.0% | |||
Power Stop LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.1973% 1/26/29 (e)(f)(i) | 110,000 | 106,700 | |
Automobiles - 0.0% | |||
CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9355% 6/3/28 (e)(f)(i) | 463,805 | 452,052 | |
Broadline Retail - 0.1% | |||
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1937% 3/5/28 (e)(f)(i) | 1,221,867 | 1,222,441 | |
Diversified Consumer Services - 0.0% | |||
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5854% 3/4/28 (e)(f)(i) | 932,596 | 800,867 | |
Leisure Products - 0.0% | |||
Hayward Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1937% 5/28/28 (e)(f)(i) | 408,949 | 409,554 | |
Specialty Retail - 0.1% | |||
Empire Today LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.5911% 4/1/28 (e)(f)(i) | 523,654 | 375,502 | |
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1792% 12/18/27 (e)(f)(i) | 523,653 | 521,427 | |
Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.6937% 4/16/28 (e)(f)(i) | 638,359 | 639,042 | |
1,535,971 | |||
TOTAL CONSUMER DISCRETIONARY | 4,527,585 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Del Monte Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.7359% 5/16/29 (e)(f)(i) | 408,962 | 317,457 | |
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5861% 4/21/28 (e)(f)(i) | 872,762 | 877,126 | |
Insurance - 0.1% | |||
Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8201% 11/6/30 (e)(f)(i) | 408,972 | 410,490 | |
Asurion LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4292% 8/19/28 (e)(f)(i) | 408,962 | 403,907 | |
USI, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3019% 11/22/29 (e)(f)(i) | 408,972 | 409,541 | |
1,223,938 | |||
TOTAL FINANCIALS | 2,101,064 | ||
HEALTH CARE - 0.1% | |||
Health Care Equipment & Supplies - 0.0% | |||
Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0792% 10/23/28 (e)(f)(i) | 422,482 | 425,122 | |
Health Care Providers & Services - 0.0% | |||
MED ParentCo LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3292% 4/7/31 (e)(f)(i) | 463,786 | 465,980 | |
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5792% 2/15/29 (e)(f)(i) | 932,627 | 930,034 | |
TOTAL HEALTH CARE | 1,821,136 | ||
INDUSTRIALS - 0.3% | |||
Building Products - 0.0% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8135% 5/17/28 (e)(f)(i) | 243,359 | 205,775 | |
Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9019% 4/29/29 (e)(f)(i) | 523,671 | 523,969 | |
729,744 | |||
Commercial Services & Supplies - 0.2% | |||
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9292% 12/21/28 (e)(f)(i) | 583,515 | 586,800 | |
Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1792% 5/14/28 (e)(f)(i) | 1,570,972 | 1,570,705 | |
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8268% 8/1/30 (e)(f)(i) | 14,962 | 15,040 | |
LRS Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.6937% 6/28/28 (e)(f)(i) | 758,061 | 737,215 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4059% 4/11/29 (e)(f)(i) | 463,829 | 443,986 | |
3,353,746 | |||
Construction & Engineering - 0.1% | |||
SRS Distribution, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9437% 6/4/28 (e)(f)(i) | 987,462 | 993,534 | |
TOTAL INDUSTRIALS | 5,077,024 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
Software - 0.1% | |||
Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9292% 12/10/28 (e)(f)(i) | 932,615 | 931,300 | |
Maverick Bidco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2295% 5/18/28 (e)(f)(i) | 289,258 | 287,812 | |
1,219,112 | |||
MATERIALS - 0.2% | |||
Chemicals - 0.2% | |||
American Rock Salt Co. LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4302% 6/4/28 (e)(f)(i) | 239,385 | 216,344 | |
ARC Falcon I, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9292% 9/30/28 (e)(f)(i) | 408,955 | 408,955 | |
Aruba Investment Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4292% 11/24/27 (e)(f)(i) | 408,951 | 405,373 | |
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8292% 11/15/30 (e)(f)(i) | 410,000 | 407,778 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6813% 10/4/29 (e)(f)(i) | 408,975 | 408,721 | |
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9767% 3/15/29 (e)(f)(i) | 408,959 | 408,959 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.321% 11/9/28 (e)(f)(i) | 758,061 | 760,813 | |
SCIH Salt Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.8295% 3/16/27 (e)(f)(i) | 234,265 | 235,272 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.321% 9/22/28 (e)(f)(i) | 583,508 | 584,861 | |
3,837,076 | |||
Containers & Packaging - 0.0% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 9.1042% 4/13/29 (e)(f)(i) | 1,221,891 | 1,228,000 | |
TOTAL MATERIALS | 5,065,076 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0792% 1/20/31 (e)(f)(i) | 640,000 | 643,078 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $24,005,478) | 23,863,331 | ||
Bank Notes - 0.5% | |||
Principal Amount (a) | Value ($) | ||
Citizens Bank NA 2.25% 4/28/25 | 4,046,000 | 3,918,852 | |
First Citizens Bank & Trust Co. 2.969% 9/27/25 (e) | 6,655,000 | 6,581,609 | |
TOTAL BANK NOTES (Cost $10,744,824) | 10,500,461 | ||
Preferred Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Citigroup, Inc. 7.125% (e)(j) | 375,000 | 373,973 | |
Wells Fargo & Co. 7.625% (e)(j) | 300,000 | 315,905 | |
689,878 | |||
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (e)(j) | 750,000 | 599,787 | |
TOTAL PREFERRED SECURITIES (Cost $1,286,003) | 1,289,665 | ||
Money Market Funds - 1.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (k) (Cost $24,759,318) | 24,754,367 | 24,759,318 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $2,049,780,915) | 1,977,728,406 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (512,882) |
NET ASSETS - 100.0% | 1,977,215,524 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 169 | Sep 2024 | 34,425,828 | (31,979) | (31,979) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 2,585 | Sep 2024 | 273,484,922 | (832,460) | (832,460) |
TOTAL FUTURES CONTRACTS | (864,439) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 15.5% |
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $812,520,535 or 41.1% of net assets. |
(c) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,061,823. |
(h) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(j) | Security is perpetual in nature with no stated maturity date. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 24,907,372 | 857,509,465 | 857,657,389 | 951,237 | (130) | - | 24,759,318 | 0.1% |
Total | 24,907,372 | 857,509,465 | 857,657,389 | 951,237 | (130) | - | 24,759,318 | |
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. Corporate Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations, Bank Notes and Preferred Securities 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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