UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | December 31, 2022 |
Item 1.
Reports to Stockholders
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
Average Annual Total Returns | |||
Periods ended December 31, 2022 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® VIP Investment Grade Central Fund | -12.69% | 1.00% | 1.90% |
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in VIP Investment Grade Central Fund on December 31, 2012. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period. |
Quality Diversification (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (1.0)%* |
*Short-term investments and Net Other Assets (Liabilities) are not available in the pie chart. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (1.0)%* |
Foreign investments - 10.4% |
*Short-Term Investments and Net Other Assets (Liabilities) are not available in the pie chart. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
Nonconvertible Bonds - 30.3% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 2.7% | |||
Diversified Telecommunication Services - 0.7% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | 4,584,000 | 3,522,849 | |
3.8% 12/1/57 | 4,678,000 | 3,227,508 | |
4.3% 2/15/30 | 859,000 | 808,832 | |
4.75% 5/15/46 | 4,816,000 | 4,071,514 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 1,835,000 | 1,592,557 | |
2.55% 3/21/31 | 1,698,000 | 1,396,365 | |
3% 3/22/27 | 397,000 | 368,888 | |
4.862% 8/21/46 | 2,282,000 | 2,045,486 | |
5.012% 4/15/49 | 89,000 | 80,839 | |
17,114,838 | |||
Entertainment - 0.4% | |||
The Walt Disney Co.: | |||
3.8% 3/22/30 | 7,061,000 | 6,580,997 | |
4.7% 3/23/50 | 2,229,000 | 2,046,120 | |
8,627,117 | |||
Media - 1.3% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.25% 1/15/29 | 1,100,000 | 885,365 | |
4.4% 4/1/33 | 1,073,000 | 918,122 | |
4.908% 7/23/25 | 1,184,000 | 1,160,440 | |
5.25% 4/1/53 | 1,073,000 | 828,187 | |
5.375% 5/1/47 | 5,574,000 | 4,372,483 | |
5.5% 4/1/63 | 1,073,000 | 818,174 | |
6.484% 10/23/45 | 842,000 | 759,294 | |
Comcast Corp.: | |||
2.937% 11/1/56 | 2,100,000 | 1,298,693 | |
3.9% 3/1/38 | 329,000 | 283,521 | |
4.65% 7/15/42 | 779,000 | 703,327 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 1,066,000 | 878,479 | |
4.65% 5/15/50 | 2,883,000 | 1,982,686 | |
Fox Corp.: | |||
4.03% 1/25/24 | 389,000 | 384,489 | |
4.709% 1/25/29 | 563,000 | 544,014 | |
5.476% 1/25/39 | 555,000 | 505,009 | |
5.576% 1/25/49 | 368,000 | 328,326 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 (b) | 1,267,000 | 1,229,963 | |
3.638% 3/15/25 (b) | 694,000 | 659,968 | |
3.755% 3/15/27 (b) | 1,357,000 | 1,222,018 | |
4.054% 3/15/29 (b) | 470,000 | 406,607 | |
4.279% 3/15/32 (b) | 1,970,000 | 1,622,817 | |
5.05% 3/15/42 (b) | 996,000 | 762,022 | |
5.141% 3/15/52 (b) | 1,583,000 | 1,150,788 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 283,000 | 207,186 | |
5.5% 9/1/41 | 521,000 | 432,365 | |
5.875% 11/15/40 | 460,000 | 400,764 | |
6.55% 5/1/37 | 6,199,000 | 5,901,826 | |
7.3% 7/1/38 | 1,160,000 | 1,150,688 | |
31,797,621 | |||
Wireless Telecommunication Services - 0.3% | |||
Rogers Communications, Inc.: | |||
3.2% 3/15/27 (b) | 1,461,000 | 1,351,814 | |
3.8% 3/15/32 (b) | 1,275,000 | 1,100,266 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 1,871,000 | 1,762,279 | |
3.875% 4/15/30 | 2,705,000 | 2,450,229 | |
4.375% 4/15/40 | 404,000 | 344,773 | |
4.5% 4/15/50 | 793,000 | 651,955 | |
7,661,316 | |||
TOTAL COMMUNICATION SERVICES | 65,200,892 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.1% | |||
General Motors Financial Co., Inc. 4.25% 5/15/23 | 638,000 | 635,361 | |
Volkswagen Group of America Finance LLC 3.125% 5/12/23 (b) | 1,531,000 | 1,518,769 | |
2,154,130 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 899,000 | 896,916 | |
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp.: | |||
3.5% 7/1/27 | 517,000 | 490,410 | |
3.6% 7/1/30 | 615,000 | 564,051 | |
1,054,461 | |||
Household Durables - 0.0% | |||
Toll Brothers Finance Corp. 4.875% 3/15/27 | 1,135,000 | 1,083,737 | |
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 1,348,000 | 1,295,115 | |
Specialty Retail - 0.4% | |||
AutoNation, Inc. 4.75% 6/1/30 | 234,000 | 208,774 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 350,000 | 338,640 | |
4% 4/15/30 | 1,629,000 | 1,508,368 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 211,000 | 198,079 | |
3.75% 4/1/32 | 649,000 | 577,311 | |
4.25% 4/1/52 | 2,647,000 | 2,098,550 | |
4.45% 4/1/62 | 2,720,000 | 2,114,518 | |
4.5% 4/15/30 | 1,170,000 | 1,121,270 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 361,000 | 340,606 | |
8,506,116 | |||
TOTAL CONSUMER DISCRETIONARY | 14,990,475 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 1.2% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 2,842,000 | 2,684,106 | |
4.9% 2/1/46 | 3,531,000 | 3,209,945 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 1,135,000 | 1,033,220 | |
4.35% 6/1/40 | 1,082,000 | 950,805 | |
4.5% 6/1/50 | 1,534,000 | 1,341,695 | |
4.6% 6/1/60 | 1,135,000 | 984,449 | |
4.75% 4/15/58 | 1,764,000 | 1,548,428 | |
5.45% 1/23/39 | 1,439,000 | 1,435,846 | |
5.55% 1/23/49 | 3,287,000 | 3,249,521 | |
5.8% 1/23/59 (Reg. S) | 3,472,000 | 3,551,387 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 2,300,000 | 2,134,519 | |
5% 5/1/42 | 4,016,000 | 3,562,099 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 1,742,000 | 1,670,632 | |
3.45% 3/25/30 | 1,064,000 | 989,460 | |
28,346,112 | |||
Food Products - 0.4% | |||
General Mills, Inc. 2.875% 4/15/30 | 220,000 | 190,064 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 (b) | 4,189,000 | 3,664,202 | |
3% 5/15/32 (b) | 3,400,000 | 2,607,292 | |
3.625% 1/15/32 (b) | 320,000 | 259,200 | |
5.125% 2/1/28 (b) | 1,340,000 | 1,269,479 | |
5.5% 1/15/30 (b) | 380,000 | 361,578 | |
5.75% 4/1/33 (b) | 2,700,000 | 2,575,206 | |
10,927,021 | |||
Tobacco - 0.5% | |||
Altria Group, Inc.: | |||
4.25% 8/9/42 | 1,696,000 | 1,256,888 | |
4.5% 5/2/43 | 1,137,000 | 853,598 | |
4.8% 2/14/29 | 311,000 | 298,413 | |
5.375% 1/31/44 | 1,030,000 | 907,842 | |
5.95% 2/14/49 | 407,000 | 361,917 | |
Imperial Tobacco Finance PLC: | |||
4.25% 7/21/25 (b) | 4,751,000 | 4,537,257 | |
6.125% 7/27/27 (b) | 1,136,000 | 1,130,506 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 718,000 | 702,389 | |
5.7% 8/15/35 | 373,000 | 336,693 | |
6.15% 9/15/43 | 1,227,000 | 1,094,401 | |
7.25% 6/15/37 | 909,000 | 929,436 | |
12,409,340 | |||
TOTAL CONSUMER STAPLES | 51,682,473 | ||
ENERGY - 3.5% | |||
Energy Equipment & Services - 0.0% | |||
Halliburton Co.: | |||
3.8% 11/15/25 | 18,000 | 17,508 | |
4.85% 11/15/35 | 661,000 | 611,500 | |
629,008 | |||
Oil, Gas & Consumable Fuels - 3.5% | |||
Canadian Natural Resources Ltd.: | |||
3.8% 4/15/24 | 2,081,000 | 2,039,281 | |
5.85% 2/1/35 | 766,000 | 736,949 | |
Cenovus Energy, Inc. 3.75% 2/15/52 | 2,600,000 | 1,825,728 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 410,000 | 403,732 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 543,000 | 539,916 | |
5.6% 4/1/44 | 376,000 | 350,573 | |
6.45% 11/3/36 (b) | 760,000 | 744,742 | |
6.75% 9/15/37 (b) | 1,037,000 | 1,045,284 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 1,086,000 | 1,053,284 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 863,000 | 856,049 | |
4.25% 12/1/26 | 544,000 | 523,007 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 710,000 | 625,997 | |
3.9% 5/15/24 (c) | 405,000 | 394,438 | |
4.2% 9/15/23 | 364,000 | 361,715 | |
4.25% 3/15/23 | 312,000 | 311,237 | |
4.5% 4/15/24 | 387,000 | 381,491 | |
4.95% 6/15/28 | 1,242,000 | 1,200,996 | |
5% 5/15/50 | 2,045,000 | 1,633,814 | |
5.25% 4/15/29 | 629,000 | 608,215 | |
5.4% 10/1/47 | 414,000 | 350,682 | |
5.8% 6/15/38 | 692,000 | 633,534 | |
6% 6/15/48 | 451,000 | 406,553 | |
6.25% 4/15/49 | 432,000 | 401,706 | |
Enterprise Products Operating LP 3.7% 2/15/26 | 1,472,000 | 1,418,692 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 4,122,000 | 3,844,188 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,500,000 | 1,432,580 | |
5.6% 2/15/41 | 4,059,000 | 3,836,847 | |
7.125% 3/15/33 | 308,000 | 331,733 | |
7.3% 8/15/31 | 411,000 | 446,223 | |
7.875% 10/1/29 | 1,346,000 | 1,491,814 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 521,000 | 519,875 | |
6.55% 9/15/40 | 141,000 | 141,316 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 747,000 | 681,123 | |
MPLX LP: | |||
4.5% 7/15/23 | 606,000 | 603,549 | |
4.8% 2/15/29 | 345,000 | 330,144 | |
4.875% 12/1/24 | 839,000 | 832,140 | |
4.95% 9/1/32 | 2,116,000 | 1,984,144 | |
5.5% 2/15/49 | 1,036,000 | 910,531 | |
Occidental Petroleum Corp.: | |||
5.55% 3/15/26 | 1,587,000 | 1,581,049 | |
6.2% 3/15/40 | 521,000 | 509,848 | |
6.45% 9/15/36 | 1,412,000 | 1,440,240 | |
6.6% 3/15/46 | 1,751,000 | 1,801,761 | |
7.5% 5/1/31 | 2,356,000 | 2,517,315 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 1,632,000 | 1,480,224 | |
5.95% 1/28/31 | 1,097,000 | 829,332 | |
6.35% 2/12/48 | 4,049,000 | 2,457,996 | |
6.49% 1/23/27 | 1,175,000 | 1,072,775 | |
6.5% 3/13/27 | 1,481,000 | 1,345,859 | |
6.5% 1/23/29 | 1,705,000 | 1,455,831 | |
6.7% 2/16/32 | 1,810,000 | 1,418,588 | |
6.75% 9/21/47 | 3,713,000 | 2,364,735 | |
6.84% 1/23/30 | 5,684,000 | 4,700,668 | |
6.95% 1/28/60 | 2,417,000 | 1,529,357 | |
7.69% 1/23/50 | 4,972,000 | 3,436,895 | |
Phillips 66 Co. 3.85% 4/9/25 | 188,000 | 183,379 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 405,000 | 351,162 | |
3.6% 11/1/24 | 426,000 | 411,864 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 2,447,000 | 2,268,165 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 2,609,000 | 2,280,994 | |
3.9% 1/15/25 | 373,000 | 363,239 | |
4.3% 3/4/24 | 1,671,000 | 1,650,788 | |
4.5% 11/15/23 | 537,000 | 533,038 | |
4.55% 6/24/24 | 4,091,000 | 4,046,231 | |
4.65% 8/15/32 | 2,206,000 | 2,053,574 | |
5.3% 8/15/52 | 500,000 | 447,073 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 312,000 | 270,752 | |
3.95% 5/15/50 | 1,007,000 | 765,715 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 266,000 | 251,785 | |
4.5% 3/1/28 | 613,000 | 562,428 | |
4.65% 7/1/26 | 2,778,000 | 2,636,489 | |
4.75% 8/15/28 | 354,000 | 323,305 | |
85,576,276 | |||
TOTAL ENERGY | 86,205,284 | ||
FINANCIALS - 14.7% | |||
Banks - 6.4% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (c) | 4,656,000 | 3,585,617 | |
3.3% 1/11/23 | 1,332,000 | 1,331,544 | |
3.419% 12/20/28 (c) | 5,817,000 | 5,267,464 | |
3.5% 4/19/26 | 1,541,000 | 1,470,641 | |
3.864% 7/23/24 (c) | 1,340,000 | 1,327,860 | |
3.95% 4/21/25 | 1,265,000 | 1,231,108 | |
4.2% 8/26/24 | 6,127,000 | 6,032,210 | |
4.25% 10/22/26 | 1,307,000 | 1,262,496 | |
4.45% 3/3/26 | 465,000 | 455,638 | |
5.015% 7/22/33 (c) | 17,054,000 | 16,190,930 | |
Barclays PLC: | |||
2.852% 5/7/26 (c) | 2,482,000 | 2,306,337 | |
4.375% 1/12/26 | 1,908,000 | 1,846,354 | |
5.088% 6/20/30 (c) | 2,253,000 | 2,075,149 | |
5.2% 5/12/26 | 1,908,000 | 1,855,521 | |
BNP Paribas SA 2.219% 6/9/26 (b)(c) | 2,313,000 | 2,123,654 | |
Citigroup, Inc.: | |||
3.352% 4/24/25 (c) | 1,521,000 | 1,474,881 | |
3.875% 3/26/25 | 2,914,000 | 2,833,185 | |
4.3% 11/20/26 | 532,000 | 514,625 | |
4.412% 3/31/31 (c) | 3,258,000 | 2,991,810 | |
4.45% 9/29/27 | 5,245,000 | 5,000,627 | |
4.6% 3/9/26 | 673,000 | 661,034 | |
4.91% 5/24/33 (c) | 3,492,000 | 3,270,024 | |
5.5% 9/13/25 | 1,694,000 | 1,704,368 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 1,490,000 | 1,105,956 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 802,000 | 663,832 | |
Discover Bank 4.2% 8/8/23 | 874,000 | 868,312 | |
First Citizens Bank & Trust Co. 3.929% 6/19/24 (c) | 512,000 | 507,551 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 675,000 | 663,018 | |
4.95% 3/31/30 | 437,000 | 416,768 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 1,330,000 | 1,279,042 | |
5.71% 1/15/26 (b) | 3,922,000 | 3,769,041 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 1,324,000 | 1,090,917 | |
3.797% 7/23/24 (c) | 1,754,000 | 1,736,572 | |
3.875% 9/10/24 | 13,419,000 | 13,135,450 | |
4.125% 12/15/26 | 4,319,000 | 4,173,175 | |
4.493% 3/24/31 (c) | 3,926,000 | 3,666,713 | |
4.586% 4/26/33 (c) | 12,887,000 | 11,930,309 | |
4.912% 7/25/33 (c) | 2,729,000 | 2,598,354 | |
5.717% 9/14/33 (c) | 2,500,000 | 2,440,134 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 1,427,000 | 1,275,238 | |
5.125% 5/28/24 | 6,295,000 | 6,235,575 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 2,667,000 | 2,633,029 | |
Rabobank Nederland 4.375% 8/4/25 | 2,285,000 | 2,230,280 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 1,754,000 | 1,504,901 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 4,852,000 | 4,491,676 | |
1.488% 12/14/26 (b)(c) | 2,986,000 | 2,595,322 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (c) | 1,400,000 | 1,323,947 | |
3.526% 3/24/28 (c) | 2,893,000 | 2,678,921 | |
4.478% 4/4/31 (c) | 4,386,000 | 4,111,461 | |
4.897% 7/25/33 (c) | 5,000,000 | 4,747,666 | |
5.013% 4/4/51 (c) | 6,470,000 | 5,736,508 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 1,139,000 | 976,543 | |
157,399,288 | |||
Capital Markets - 3.7% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 1,700,000 | 1,629,770 | |
4.25% 2/15/24 | 1,315,000 | 1,298,559 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 3,822,000 | 3,502,675 | |
4.2% 6/10/24 | 2,732,000 | 2,637,366 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (b)(c) | 3,245,000 | 2,868,776 | |
3.75% 3/26/25 | 1,429,000 | 1,286,157 | |
3.8% 6/9/23 | 2,632,000 | 2,562,910 | |
3.869% 1/12/29 (b)(c) | 1,233,000 | 988,309 | |
4.194% 4/1/31 (b)(c) | 2,950,000 | 2,290,068 | |
4.55% 4/17/26 | 790,000 | 696,759 | |
Deutsche Bank AG 4.5% 4/1/25 | 3,669,000 | 3,486,207 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 2,893,000 | 2,244,704 | |
3.102% 2/24/33 (c) | 1,545,000 | 1,254,510 | |
3.2% 2/23/23 | 2,193,000 | 2,187,499 | |
3.691% 6/5/28 (c) | 12,774,000 | 11,868,719 | |
3.8% 3/15/30 | 4,751,000 | 4,271,028 | |
4.25% 10/21/25 | 696,000 | 679,259 | |
6.75% 10/1/37 | 689,000 | 735,179 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 732,000 | 674,730 | |
3.75% 3/24/25 | 1,557,000 | 1,513,821 | |
4.875% 2/15/24 | 687,000 | 684,787 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 7,975,000 | 7,967,680 | |
3.125% 7/27/26 | 6,737,000 | 6,284,084 | |
3.622% 4/1/31 (c) | 3,078,000 | 2,687,105 | |
3.625% 1/20/27 | 3,374,000 | 3,181,733 | |
3.737% 4/24/24 (c) | 1,534,000 | 1,525,707 | |
4.431% 1/23/30 (c) | 1,348,000 | 1,254,589 | |
4.889% 7/20/33 (c) | 6,522,000 | 6,127,558 | |
5% 11/24/25 | 4,489,000 | 4,475,469 | |
6.296% 10/18/28 (c) | 2,500,000 | 2,580,761 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | 1,534,000 | 1,480,739 | |
UBS Group AG: | |||
1.494% 8/10/27 (b)(c) | 1,788,000 | 1,538,323 | |
4.125% 9/24/25 (b) | 1,614,000 | 1,569,332 | |
90,034,872 | |||
Consumer Finance - 2.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 3,388,000 | 3,125,092 | |
2.45% 10/29/26 | 1,236,000 | 1,080,810 | |
2.875% 8/14/24 | 1,839,000 | 1,741,136 | |
3% 10/29/28 | 1,295,000 | 1,084,919 | |
3.3% 1/30/32 | 1,385,000 | 1,082,739 | |
3.5% 1/15/25 | 2,546,000 | 2,424,756 | |
4.125% 7/3/23 | 1,286,000 | 1,277,012 | |
4.45% 4/3/26 | 959,000 | 915,303 | |
4.875% 1/16/24 | 1,538,000 | 1,523,327 | |
6.5% 7/15/25 | 1,112,000 | 1,126,765 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 678,000 | 657,260 | |
3.05% 6/5/23 | 2,954,000 | 2,920,569 | |
5.125% 9/30/24 | 656,000 | 649,509 | |
5.8% 5/1/25 | 1,606,000 | 1,597,580 | |
7.1% 11/15/27 | 2,560,000 | 2,604,449 | |
8% 11/1/31 | 829,000 | 855,815 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 2,292,000 | 2,273,412 | |
2.636% 3/3/26 (c) | 1,495,000 | 1,400,286 | |
3.273% 3/1/30 (c) | 1,912,000 | 1,634,702 | |
3.65% 5/11/27 | 4,134,000 | 3,889,320 | |
3.8% 1/31/28 | 2,165,000 | 2,023,568 | |
4.927% 5/10/28 (c) | 2,300,000 | 2,226,647 | |
4.985% 7/24/26 (c) | 2,151,000 | 2,106,709 | |
5.247% 7/26/30 (c) | 2,770,000 | 2,638,000 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 873,000 | 849,733 | |
4.1% 2/9/27 | 875,000 | 823,370 | |
4.5% 1/30/26 | 1,437,000 | 1,389,014 | |
6.7% 11/29/32 | 537,000 | 545,848 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 5,400,000 | 5,184,388 | |
5.584% 3/18/24 | 1,916,000 | 1,890,805 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 2,356,000 | 2,101,197 | |
4.25% 8/15/24 | 2,051,000 | 2,003,901 | |
4.375% 3/19/24 | 1,677,000 | 1,646,808 | |
5.15% 3/19/29 | 2,576,000 | 2,437,592 | |
Toyota Motor Credit Corp. 2.9% 3/30/23 | 2,377,000 | 2,367,566 | |
64,099,907 | |||
Diversified Financial Services - 1.0% | |||
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 | 5,035,000 | 4,826,500 | |
7.05% 9/29/25 (b) | 2,656,000 | 2,634,943 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 1,554,000 | 1,359,447 | |
4.125% 6/15/26 | 1,425,000 | 1,343,644 | |
4.125% 5/15/29 | 1,549,000 | 1,384,901 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 (b) | 646,000 | 619,304 | |
3.65% 4/5/27 (b) | 2,280,000 | 2,125,395 | |
3.85% 4/5/29 (b) | 904,000 | 823,370 | |
3.9% 4/5/32 (b) | 1,076,000 | 939,743 | |
4.35% 4/5/42 (b) | 245,000 | 200,986 | |
4.4% 4/5/52 (b) | 724,000 | 573,828 | |
Equitable Holdings, Inc.: | |||
3.9% 4/20/23 | 208,000 | 207,313 | |
4.35% 4/20/28 | 1,304,000 | 1,242,405 | |
Jackson Financial, Inc.: | |||
5.17% 6/8/27 | 1,014,000 | 999,029 | |
5.67% 6/8/32 | 1,281,000 | 1,202,703 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 1,871,000 | 1,846,601 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 1,750,000 | 1,618,329 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 1,748,000 | 1,539,898 | |
25,488,339 | |||
Insurance - 1.0% | |||
AIA Group Ltd.: | |||
3.2% 9/16/40 (b) | 1,070,000 | 763,696 | |
3.375% 4/7/30 (b) | 2,257,000 | 1,983,906 | |
American International Group, Inc. 2.5% 6/30/25 | 2,432,000 | 2,289,485 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 3,419,000 | 2,866,017 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 1,255,000 | 1,173,072 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 1,220,000 | 1,178,384 | |
4.75% 3/15/39 | 560,000 | 514,576 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | 1,782,000 | 1,167,842 | |
MetLife, Inc. 4.55% 3/23/30 | 3,527,000 | 3,466,907 | |
Metropolitan Life Global Funding I 3% 1/10/23 (b) | 809,000 | 808,725 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 1,611,000 | 1,451,372 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 600,000 | 552,444 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 1,640,000 | 1,499,125 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 543,000 | 528,552 | |
Unum Group: | |||
3.875% 11/5/25 | 1,491,000 | 1,423,756 | |
4% 6/15/29 | 1,353,000 | 1,222,212 | |
5.75% 8/15/42 | 2,232,000 | 2,006,237 | |
24,896,308 | |||
TOTAL FINANCIALS | 361,918,714 | ||
HEALTH CARE - 1.2% | |||
Health Care Providers & Services - 0.9% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 3,009,000 | 2,537,256 | |
2.625% 8/1/31 | 1,403,000 | 1,100,127 | |
3.375% 2/15/30 | 1,564,000 | 1,322,159 | |
4.25% 12/15/27 | 1,762,000 | 1,652,515 | |
4.625% 12/15/29 | 2,738,000 | 2,502,082 | |
Cigna Corp.: | |||
3.05% 10/15/27 | 982,000 | 898,488 | |
4.375% 10/15/28 | 1,860,000 | 1,793,847 | |
4.8% 8/15/38 | 1,158,000 | 1,074,662 | |
4.9% 12/15/48 | 1,157,000 | 1,042,471 | |
CVS Health Corp.: | |||
3% 8/15/26 | 192,000 | 179,338 | |
3.625% 4/1/27 | 551,000 | 522,871 | |
4.78% 3/25/38 | 1,830,000 | 1,667,009 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 1,260,000 | 1,086,720 | |
3.625% 3/15/32 (b) | 287,000 | 242,846 | |
5.625% 9/1/28 | 1,311,000 | 1,305,250 | |
5.875% 2/1/29 | 1,446,000 | 1,441,482 | |
Humana, Inc. 3.7% 3/23/29 | 827,000 | 757,151 | |
Sabra Health Care LP 3.2% 12/1/31 | 2,870,000 | 2,135,472 | |
Toledo Hospital 5.325% 11/15/28 | 647,000 | 505,372 | |
23,767,118 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 1,338,000 | 1,296,423 | |
Elanco Animal Health, Inc. 6.4% 8/28/28 (c) | 409,000 | 389,168 | |
Mylan NV 4.55% 4/15/28 | 1,227,000 | 1,135,072 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 782,000 | 731,064 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 302,000 | 273,519 | |
2.7% 6/22/30 | 1,533,000 | 1,198,552 | |
3.85% 6/22/40 | 668,000 | 447,893 | |
4% 6/22/50 | 1,153,000 | 710,407 | |
Zoetis, Inc. 3.25% 2/1/23 | 506,000 | 505,262 | |
6,687,360 | |||
TOTAL HEALTH CARE | 30,454,478 | ||
INDUSTRIALS - 0.6% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 696,000 | 614,160 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 909,000 | 898,981 | |
5.15% 5/1/30 | 909,000 | 886,856 | |
5.705% 5/1/40 | 920,000 | 877,277 | |
5.805% 5/1/50 | 920,000 | 853,002 | |
5.93% 5/1/60 | 908,000 | 827,137 | |
4,957,413 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.85% 9/29/24 | 317,000 | 306,935 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 407,000 | 406,613 | |
3% 9/15/23 | 269,000 | 264,437 | |
3.375% 7/1/25 | 1,977,000 | 1,869,888 | |
3.875% 7/3/23 | 1,712,000 | 1,696,539 | |
4.25% 2/1/24 | 1,761,000 | 1,730,660 | |
4.25% 9/15/24 | 1,093,000 | 1,069,388 | |
7,037,525 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (b) | 640,000 | 612,673 | |
4.25% 4/15/26 (b) | 485,000 | 439,677 | |
4.375% 5/1/26 (b) | 1,433,000 | 1,305,672 | |
5.25% 5/15/24 (b) | 1,170,000 | 1,146,694 | |
3,504,716 | |||
TOTAL INDUSTRIALS | 15,806,589 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.85% 7/15/25 | 397,000 | 401,220 | |
6.02% 6/15/26 | 480,000 | 489,675 | |
6.1% 7/15/27 | 729,000 | 748,941 | |
6.2% 7/15/30 | 631,000 | 641,489 | |
2,281,325 | |||
Semiconductors & Semiconductor Equipment - 0.4% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 510,000 | 430,756 | |
2.45% 2/15/31 (b) | 4,340,000 | 3,418,266 | |
2.6% 2/15/33 (b) | 4,340,000 | 3,257,592 | |
3.5% 2/15/41 (b) | 3,505,000 | 2,488,668 | |
3.75% 2/15/51 (b) | 1,645,000 | 1,135,673 | |
10,730,955 | |||
Software - 0.4% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 1,992,000 | 1,783,281 | |
2.3% 3/25/28 | 3,147,000 | 2,725,839 | |
2.8% 4/1/27 | 1,797,000 | 1,635,261 | |
2.875% 3/25/31 | 3,303,000 | 2,738,607 | |
3.6% 4/1/40 | 1,797,000 | 1,318,299 | |
10,201,287 | |||
TOTAL INFORMATION TECHNOLOGY | 23,213,567 | ||
REAL ESTATE - 2.7% | |||
Equity Real Estate Investment Trusts (REITs) - 2.3% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 1,278,000 | 1,245,050 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 231,000 | 178,177 | |
3.625% 4/15/32 | 989,000 | 831,913 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 1,190,000 | 983,748 | |
4.5% 12/1/28 | 1,193,000 | 1,105,956 | |
6.75% 12/1/27 | 1,655,000 | 1,706,481 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 199,000 | 152,613 | |
2.25% 3/15/26 | 510,000 | 447,129 | |
2.75% 4/15/31 | 509,000 | 380,936 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 402,000 | 335,656 | |
3.5% 8/1/26 | 419,000 | 389,987 | |
Healthpeak Properties, Inc.: | |||
3.25% 7/15/26 | 176,000 | 166,129 | |
3.5% 7/15/29 | 201,000 | 178,875 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 2,374,000 | 2,028,231 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 1,453,000 | 1,271,209 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 1,912,000 | 1,818,726 | |
4.75% 9/15/30 | 2,980,000 | 2,623,401 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 560,000 | 446,069 | |
4.4% 6/15/24 | 442,000 | 429,408 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 1,945,000 | 1,406,183 | |
3.375% 2/1/31 | 1,027,000 | 791,642 | |
3.625% 10/1/29 | 1,814,000 | 1,488,184 | |
4.375% 8/1/23 | 381,000 | 378,833 | |
4.5% 1/15/25 | 821,000 | 797,734 | |
4.5% 4/1/27 | 4,967,000 | 4,651,278 | |
4.75% 1/15/28 | 1,958,000 | 1,804,165 | |
4.95% 4/1/24 | 415,000 | 408,903 | |
5.25% 1/15/26 | 1,744,000 | 1,707,737 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 451,000 | 315,665 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 244,000 | 208,953 | |
2.85% 12/15/32 | 301,000 | 244,099 | |
3.25% 1/15/31 | 313,000 | 271,423 | |
3.4% 1/15/28 | 489,000 | 450,281 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 300,000 | 286,753 | |
5% 12/15/23 | 226,000 | 223,455 | |
Simon Property Group LP 2.45% 9/13/29 | 499,000 | 416,610 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 694,000 | 654,992 | |
4.25% 2/1/26 | 906,000 | 853,313 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 2,676,000 | 2,053,794 | |
4.625% 3/15/29 | 550,000 | 492,722 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 512,000 | 426,227 | |
2.7% 7/15/31 | 1,323,000 | 1,044,271 | |
Ventas Realty LP: | |||
3% 1/15/30 | 2,340,000 | 1,963,093 | |
3.5% 2/1/25 | 1,976,000 | 1,897,753 | |
4% 3/1/28 | 688,000 | 636,137 | |
4.125% 1/15/26 | 478,000 | 463,633 | |
4.375% 2/1/45 | 234,000 | 181,374 | |
4.75% 11/15/30 | 3,072,000 | 2,868,336 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 256,000 | 248,276 | |
4.75% 2/15/28 | 2,029,000 | 1,924,847 | |
4.95% 2/15/30 | 2,648,000 | 2,520,677 | |
5.125% 5/15/32 | 720,000 | 666,684 | |
Vornado Realty LP 2.15% 6/1/26 | 578,000 | 488,405 | |
WP Carey, Inc.: | |||
2.4% 2/1/31 | 1,166,000 | 929,033 | |
3.85% 7/15/29 | 391,000 | 351,224 | |
4% 2/1/25 | 1,644,000 | 1,601,952 | |
54,838,335 | |||
Real Estate Management & Development - 0.4% | |||
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 1,415,000 | 1,187,686 | |
4.1% 10/1/24 | 1,555,000 | 1,479,604 | |
4.55% 10/1/29 | 1,792,000 | 1,498,122 | |
7.55% 3/15/28 | 2,334,000 | 2,288,905 | |
CBRE Group, Inc. 2.5% 4/1/31 | 1,708,000 | 1,346,236 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 1,346,000 | 974,639 | |
3.125% 9/1/26 | 1,874,000 | 1,701,755 | |
10,476,947 | |||
TOTAL REAL ESTATE | 65,315,282 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.6% | |||
Alabama Power Co. 3.05% 3/15/32 | 2,030,000 | 1,749,046 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 1,057,000 | 899,088 | |
3.743% 5/1/26 | 4,043,000 | 3,817,021 | |
Duke Energy Corp. 2.45% 6/1/30 | 854,000 | 702,236 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 405,000 | 320,857 | |
2.775% 1/7/32 (b) | 1,402,000 | 1,096,602 | |
Entergy Corp. 2.8% 6/15/30 | 876,000 | 739,904 | |
Eversource Energy 2.8% 5/1/23 | 1,567,000 | 1,559,025 | |
Exelon Corp.: | |||
2.75% 3/15/27 | 449,000 | 411,771 | |
3.35% 3/15/32 | 546,000 | 474,197 | |
4.05% 4/15/30 | 534,000 | 495,764 | |
4.1% 3/15/52 | 404,000 | 322,822 | |
4.7% 4/15/50 | 238,000 | 207,314 | |
FirstEnergy Corp. 7.375% 11/15/31 | 1,052,000 | 1,184,815 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 662,000 | 641,490 | |
14,621,952 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (b) | 494,958 | 508,662 | |
Independent Power and Renewable Electricity Producers - 0.2% | |||
Emera U.S. Finance LP 3.55% 6/15/26 | 580,000 | 543,286 | |
The AES Corp.: | |||
2.45% 1/15/31 | 673,000 | 535,386 | |
3.3% 7/15/25 (b) | 2,635,000 | 2,484,543 | |
3.95% 7/15/30 (b) | 2,298,000 | 2,026,836 | |
5,590,051 | |||
Multi-Utilities - 0.5% | |||
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 3,813,000 | 3,754,308 | |
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 242,000 | 217,646 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 2,624,000 | 2,275,776 | |
3.6% 5/1/30 | 1,602,000 | 1,426,453 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 1,032,000 | 921,536 | |
4.224% 3/15/32 | 1,875,000 | 1,663,966 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (c)(d) | 437,000 | 365,568 | |
10,625,253 | |||
TOTAL UTILITIES | 31,345,918 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $828,614,798) | 746,133,672 | ||
U.S. Treasury Obligations - 41.3% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 12,353,900 | 7,731,804 | |
1.75% 8/15/41 | 43,542,800 | 29,797,903 | |
1.875% 11/15/51 | 13,856,800 | 8,776,334 | |
2% 11/15/41 | 16,500,000 | 11,781,387 | |
2% 8/15/51 | 108,411,200 | 70,983,927 | |
2.25% 2/15/52 | 36,300,000 | 25,242,680 | |
2.875% 5/15/52 | 23,300,000 | 18,752,851 | |
3% 2/15/47 (e) | 25,251,500 | 20,669,734 | |
3.375% 8/15/42 | 34,200,000 | 30,566,250 | |
U.S. Treasury Notes: | |||
0.125% 8/15/23 | 24,017,700 | 23,352,522 | |
0.125% 8/31/23 | 35,211,900 | 34,148,666 | |
0.25% 7/31/25 | 83,520,600 | 75,367,554 | |
0.375% 12/31/25 | 17,431,400 | 15,578,633 | |
0.75% 3/31/26 | 52,072,200 | 46,671,743 | |
0.75% 4/30/26 | 41,407,700 | 37,016,219 | |
0.75% 8/31/26 | 15,336,200 | 13,579,127 | |
1.125% 8/31/28 | 38,104,900 | 32,535,035 | |
1.25% 5/31/28 | 78,257,700 | 67,754,049 | |
1.75% 1/31/29 | 24,900,000 | 21,871,149 | |
1.875% 2/28/27 | 6,800,000 | 6,227,844 | |
2.25% 4/30/24 | 17,808,000 | 17,243,153 | |
2.375% 3/31/29 | 20,000,000 | 18,185,938 | |
2.5% 1/31/24 | 23,709,700 | 23,149,373 | |
2.5% 3/31/27 | 25,000,000 | 23,459,961 | |
2.625% 7/31/29 | 11,300,000 | 10,405,270 | |
2.75% 8/15/32 | 36,698,000 | 33,418,116 | |
2.875% 5/15/32 | 52,575,000 | 48,451,148 | |
3.875% 11/30/27 (f) | 55,000,000 | 54,699,219 | |
3.875% 11/30/29 (e) | 123,000,000 | 122,173,570 | |
4.125% 10/31/27 | 10,000,000 | 10,036,719 | |
4.125% 11/15/32 | 55,800,000 | 56,942,156 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,172,060,217) | 1,016,570,034 | ||
U.S. Government Agency - Mortgage Securities - 26.0% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 4.6% | |||
12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (c)(d) | 1,833 | 1,837 | |
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 2,195 | 2,214 | |
12 month U.S. LIBOR + 1.630% 3.28% 11/1/36 (c)(d) | 25,273 | 25,385 | |
12 month U.S. LIBOR + 1.700% 3.186% 6/1/42 (c)(d) | 17,312 | 17,515 | |
12 month U.S. LIBOR + 1.730% 3.105% 5/1/36 (c)(d) | 17,174 | 17,331 | |
12 month U.S. LIBOR + 1.750% 2.617% 7/1/35 (c)(d) | 1,732 | 1,736 | |
12 month U.S. LIBOR + 1.780% 2.163% 2/1/36 (c)(d) | 6,906 | 6,926 | |
12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 8,017 | 8,111 | |
12 month U.S. LIBOR + 1.810% 3.999% 7/1/41 (c)(d) | 11,218 | 11,388 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 5,748 | 5,805 | |
12 month U.S. LIBOR + 1.820% 2.195% 12/1/35 (c)(d) | 6,907 | 6,955 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 5,613 | 5,582 | |
12 month U.S. LIBOR + 1.950% 3.556% 9/1/36 (c)(d) | 12,793 | 12,822 | |
12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(d) | 4,825 | 4,904 | |
6 month U.S. LIBOR + 1.310% 3.438% 5/1/34 (c)(d) | 10,468 | 10,384 | |
6 month U.S. LIBOR + 1.420% 2.572% 9/1/33 (c)(d) | 18,187 | 17,965 | |
6 month U.S. LIBOR + 1.550% 4.011% 10/1/33 (c)(d) | 1,196 | 1,209 | |
6 month U.S. LIBOR + 1.560% 3.64% 7/1/35 (c)(d) | 2,028 | 2,062 | |
U.S. TREASURY 1 YEAR INDEX + 1.940% 3.87% 10/1/33 (c)(d) | 18,703 | 18,912 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (c)(d) | 1,672 | 1,695 | |
U.S. TREASURY 1 YEAR INDEX + 2.220% 2.443% 8/1/36 (c)(d) | 21,655 | 22,057 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.407% 10/1/33 (c)(d) | 3,145 | 3,209 | |
U.S. TREASURY 1 YEAR INDEX + 2.420% 3.598% 5/1/35 (c)(d) | 4,766 | 4,859 | |
1.5% 11/1/40 to 11/1/41 | 2,714,669 | 2,208,425 | |
2% 10/1/35 to 2/1/52 | 30,674,540 | 25,314,268 | |
2.5% 7/1/31 to 6/1/52 | 24,363,380 | 21,141,881 | |
3% 8/1/32 to 3/1/52 | 22,654,296 | 20,448,133 | |
3.5% 8/1/37 to 1/1/52 | 11,632,416 | 10,769,504 | |
4% 7/1/39 to 1/1/53 | 20,120,909 | 19,136,768 | |
4.5% to 4.5% 5/1/25 to 9/1/49 | 6,117,911 | 6,042,345 | |
5% 3/1/23 to 12/1/52 | 4,095,660 | 4,097,136 | |
5.5% 10/1/52 to 11/1/52 | 3,559,820 | 3,579,949 | |
6% 10/1/34 to 1/1/42 | 980,221 | 1,021,028 | |
6.5% 12/1/23 to 8/1/36 | 176,321 | 184,434 | |
7% to 7% 11/1/23 to 2/1/32 | 25,470 | 26,107 | |
7.5% to 7.5% 9/1/25 to 11/1/31 | 30,891 | 32,192 | |
8.5% 6/1/25 | 94 | 96 | |
TOTAL FANNIE MAE | 114,213,129 | ||
Freddie Mac - 4.7% | |||
12 month U.S. LIBOR + 1.370% 3.141% 3/1/36 (c)(d) | 14,150 | 14,010 | |
12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (c)(d) | 2,164 | 2,181 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 8,653 | 8,682 | |
12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (c)(d) | 17,463 | 17,604 | |
12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (c)(d) | 18,280 | 18,461 | |
12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (c)(d) | 22,681 | 22,921 | |
12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 5,714 | 5,787 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 180 | 180 | |
12 month U.S. LIBOR + 2.160% 4.41% 11/1/35 (c)(d) | 2,837 | 2,861 | |
6 month U.S. LIBOR + 1.650% 4.177% 4/1/35 (c)(d) | 12,212 | 12,323 | |
6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (c)(d) | 2,032 | 2,085 | |
U.S. TREASURY 1 YEAR INDEX + 2.240% 2.372% 1/1/35 (c)(d) | 1,819 | 1,841 | |
1.5% 12/1/40 to 4/1/41 | 442,159 | 361,575 | |
2% 4/1/41 to 2/1/52 | 13,344,516 | 10,961,554 | |
2.5% 8/1/32 to 7/1/52 | 24,841,758 | 21,268,839 | |
3% 6/1/31 to 5/1/52 | 31,772,975 | 28,130,369 | |
3.5% 3/1/32 to 4/1/52 | 39,518,452 | 36,459,758 | |
4% 5/1/37 to 6/1/48 | 6,929,870 | 6,694,478 | |
4.5% 7/1/25 to 10/1/52 | 7,952,044 | 7,771,944 | |
5% 1/1/40 to 12/1/52 | 3,733,090 | 3,739,325 | |
5.5% 10/1/52 | 899,301 | 904,387 | |
6% 4/1/32 to 8/1/37 | 99,358 | 102,735 | |
7.5% 8/1/26 to 11/1/31 | 3,849 | 4,070 | |
8% 4/1/27 to 5/1/27 | 290 | 301 | |
8.5% 5/1/27 to 1/1/28 | 579 | 599 | |
TOTAL FREDDIE MAC | 116,508,870 | ||
Ginnie Mae - 6.5% | |||
3% 12/20/42 to 4/20/50 | 4,397,560 | 3,969,779 | |
3.5% 12/20/40 to 1/20/50 | 1,559,384 | 1,453,207 | |
4% 3/15/40 to 4/20/48 | 6,464,296 | 6,221,161 | |
4.5% 5/15/39 to 5/20/41 | 1,308,372 | 1,289,890 | |
5% 3/15/39 to 4/20/48 | 743,591 | 751,687 | |
6.5% 4/15/35 to 11/15/35 | 15,249 | 16,039 | |
7% 1/15/28 to 7/15/32 | 94,303 | 98,011 | |
7.5% to 7.5% 1/15/24 to 10/15/28 | 16,084 | 16,595 | |
8% 3/15/30 to 9/15/30 | 2,169 | 2,295 | |
2% 2/20/51 | 2,025,226 | 1,709,039 | |
2% 1/1/53 (g) | 7,000,000 | 5,872,790 | |
2% 1/1/53 (g) | 2,300,000 | 1,929,631 | |
2% 1/1/53 (g) | 2,300,000 | 1,929,631 | |
2% 1/1/53 (g) | 2,350,000 | 1,971,580 | |
2% 1/1/53 (g) | 4,650,000 | 3,901,211 | |
2% 1/1/53 (g) | 3,400,000 | 2,852,498 | |
2% 1/1/53 (g) | 5,200,000 | 4,362,644 | |
2% 1/1/53 (g) | 2,500,000 | 2,097,425 | |
2% 1/1/53 (g) | 4,600,000 | 3,859,262 | |
2% 1/1/53 (g) | 11,800,000 | 9,899,846 | |
2% 2/1/53 (g) | 9,450,000 | 7,936,756 | |
2% 2/1/53 (g) | 11,800,000 | 9,910,447 | |
2% 3/1/53 (g) | 2,350,000 | 1,975,251 | |
2.5% 7/20/51 to 12/20/51 | 2,550,354 | 2,217,765 | |
2.5% 1/1/53 (g) | 5,650,000 | 4,894,274 | |
2.5% 1/1/53 (g) | 3,100,000 | 2,685,354 | |
2.5% 1/1/53 (g) | 2,900,000 | 2,512,105 | |
2.5% 1/1/53 (g) | 5,850,000 | 5,067,523 | |
2.5% 1/1/53 (g) | 3,650,000 | 3,161,788 | |
2.5% 1/1/53 (g) | 3,650,000 | 3,161,788 | |
2.5% 1/1/53 (g) | 900,000 | 779,619 | |
2.5% 1/1/53 (g) | 8,800,000 | 7,622,940 | |
2.5% 2/1/53 (g) | 11,900,000 | 10,316,661 | |
3% 1/1/53 (g) | 2,450,000 | 2,182,157 | |
3% 1/1/53 (g) | 1,500,000 | 1,336,015 | |
3% 1/1/53 (g) | 3,700,000 | 3,295,503 | |
3% 1/1/53 (g) | 775,000 | 690,274 | |
3% 1/1/53 (g) | 1,500,000 | 1,336,015 | |
3% 1/1/53 (g) | 3,950,000 | 3,518,172 | |
3% 1/1/53 (g) | 1,325,000 | 1,180,146 | |
3% 2/1/53 (g) | 6,050,000 | 5,391,665 | |
3% 2/1/53 (g) | 1,500,000 | 1,336,776 | |
3.5% 1/1/53 (g) | 3,900,000 | 3,583,242 | |
3.5% 1/1/53 (g) | 3,750,000 | 3,445,425 | |
3.5% 1/1/53 (g) | 2,850,000 | 2,618,523 | |
3.5% 2/1/53 (g) | 5,600,000 | 5,147,574 | |
4% 1/1/53 (g) | 3,200,000 | 3,029,350 | |
4.5% 1/1/53 (g) | 4,800,000 | 4,657,543 | |
TOTAL GINNIE MAE | 159,194,872 | ||
Uniform Mortgage Backed Securities - 10.2% | |||
1.5% 1/1/38 (g) | 1,950,000 | 1,692,707 | |
1.5% 1/1/38 (g) | 7,850,000 | 6,814,229 | |
1.5% 1/1/38 (g) | 1,950,000 | 1,692,707 | |
1.5% 1/1/38 (g) | 1,850,000 | 1,605,901 | |
1.5% 1/1/38 (g) | 3,800,000 | 3,298,608 | |
1.5% 2/1/38 (g) | 5,900,000 | 5,129,128 | |
1.5% 2/1/38 (g) | 3,900,000 | 3,390,441 | |
1.5% 1/1/53 (g) | 8,050,000 | 6,213,110 | |
1.5% 1/1/53 (g) | 1,900,000 | 1,466,448 | |
1.5% 1/1/53 (g) | 2,925,000 | 2,257,559 | |
2% 1/1/38 (g) | 3,400,000 | 3,028,550 | |
2% 1/1/38 (g) | 5,700,000 | 5,077,276 | |
2% 1/1/38 (g) | 1,700,000 | 1,514,275 | |
2% 1/1/38 (g) | 1,700,000 | 1,514,275 | |
2% 1/1/38 (g) | 3,450,000 | 3,073,088 | |
2% 1/1/38 (g) | 1,000,000 | 890,750 | |
2% 2/1/38 (g) | 5,400,000 | 4,816,378 | |
2% 2/1/38 (g) | 4,700,000 | 4,192,033 | |
2% 2/1/38 (g) | 3,300,000 | 2,943,342 | |
2% 1/1/53 (g) | 7,200,000 | 5,876,775 | |
2% 1/1/53 (g) | 14,350,000 | 11,712,740 | |
2% 1/1/53 (g) | 3,600,000 | 2,938,388 | |
2% 1/1/53 (g) | 3,600,000 | 2,938,388 | |
2% 1/1/53 (g) | 700,000 | 571,353 | |
2% 1/1/53 (g) | 3,600,000 | 2,938,388 | |
2% 1/1/53 (g) | 14,450,000 | 11,794,362 | |
2% 1/1/53 (g) | 7,150,000 | 5,835,964 | |
2% 1/1/53 (g) | 11,350,000 | 9,264,083 | |
2% 1/1/53 (g) | 300,000 | 244,866 | |
2% 1/1/53 (g) | 14,350,000 | 11,712,740 | |
2% 2/1/53 (g) | 7,350,000 | 6,006,099 | |
2% 2/1/53 (g) | 14,650,000 | 11,971,340 | |
2% 2/1/53 (g) | 750,000 | 612,867 | |
2% 2/1/53 (g) | 7,350,000 | 6,006,099 | |
2% 2/1/53 (g) | 7,350,000 | 6,006,099 | |
2.5% 1/1/38 (g) | 8,400,000 | 7,695,188 | |
2.5% 1/1/53 (g) | 10,400,000 | 8,817,250 | |
2.5% 1/1/53 (g) | 3,450,000 | 2,924,953 | |
2.5% 1/1/53 (g) | 15,800,000 | 13,395,438 | |
2.5% 1/1/53 (g) | 1,950,000 | 1,653,234 | |
2.5% 1/1/53 (g) | 6,350,000 | 5,383,609 | |
2.5% 1/1/53 (g) | 9,850,000 | 8,350,953 | |
2.5% 1/1/53 (g) | 4,050,000 | 3,433,641 | |
2.5% 2/1/53 (g) | 13,900,000 | 11,795,454 | |
2.5% 2/1/53 (g) | 6,350,000 | 5,388,571 | |
2.5% 2/1/53 (g) | 6,150,000 | 5,218,852 | |
3% 1/1/53 (g) | 2,450,000 | 2,152,363 | |
3% 1/1/53 (g) | 4,900,000 | 4,304,726 | |
3.5% 1/1/53 (g) | 1,500,000 | 1,364,179 | |
4% 1/1/53 (g) | 3,850,000 | 3,614,186 | |
4.5% 1/1/53 (g) | 3,100,000 | 2,988,109 | |
5% 1/1/53 (g) | 900,000 | 887,485 | |
5.5% 1/1/53 (g) | 3,400,000 | 3,410,095 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 249,819,642 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $665,423,269) | 639,736,513 | ||
Asset-Backed Securities - 5.6% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 789,973 | 478,657 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 637,548 | 416,012 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 1,566,098 | 1,158,956 | |
Class B, 4.458% 10/16/39 (b) | 315,410 | 100,941 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 1,706,936 | 1,364,831 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 3,389,831 | 2,732,583 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d) | 529,405 | 520,189 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (b)(c)(d) | 1,280,878 | 1,246,818 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 5.2326% 4/20/34 (b)(c)(d) | 3,132,569 | 3,036,430 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(d) | 1,736,000 | 1,688,772 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (b)(c)(d) | 1,532,085 | 1,489,012 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 463,801 | 371,519 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (b)(c)(d) | 1,676,859 | 1,644,724 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 5.3884% 4/25/34 (b)(c)(d) | 1,039,487 | 1,007,702 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (b)(c)(d) | 1,931,133 | 1,887,234 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (b)(c)(d) | 2,545,000 | 2,442,589 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 5.1491% 4/15/34 (b)(c)(d) | 2,173,138 | 2,109,020 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (b)(c)(d) | 665,897 | 652,342 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (b)(c)(d) | 1,292,534 | 1,257,652 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 5.3784% 4/25/34 (b)(c)(d) | 2,282,638 | 2,217,592 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 5.4626% 1/20/32 (b)(c)(d) | 2,070,385 | 2,037,447 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (b)(c)(d) | 2,560,000 | 2,519,163 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (b)(c)(d) | 1,953,217 | 1,895,517 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 1,942,367 | 1,589,306 | |
Class AA, 2.487% 12/16/41 (b)(c) | 186,317 | 169,753 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 2,400,254 | 1,971,584 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (b)(c)(d) | 1,909,991 | 1,883,427 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 1,234,572 | 1,043,378 | |
Class B, 5.095% 4/15/39 (b) | 666,261 | 493,817 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 793,816 | 695,769 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 492,137 | 413,415 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(d) | 1,561,530 | 1,523,741 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(d) | 2,429,000 | 2,339,365 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 1,198,676 | 1,163,544 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 5.2926% 4/20/34 (b)(c)(d) | 1,887,884 | 1,826,024 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (b)(c)(d) | 1,944,015 | 1,885,755 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 5.4426% 4/20/34 (b)(c)(d) | 2,085,721 | 2,025,602 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(d) | 2,607,000 | 2,504,018 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 5.5526% 1/20/34 (b)(c)(d) | 2,729,841 | 2,672,599 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 1,761,173 | 1,599,955 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (b)(c)(d) | 1,361,000 | 1,314,214 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 1,290,693 | 1,254,950 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 5.4137% 1/18/32 (b)(c)(d) | 1,582,694 | 1,556,914 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (b)(c)(d) | 1,318,912 | 1,290,823 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (b)(c)(d) | 1,717,039 | 1,667,786 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (b)(c)(d) | 1,021,083 | 990,299 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 885,205 | 868,206 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(d) | 2,283,000 | 2,227,763 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (b)(c)(d) | 444,749 | 433,774 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (b)(c)(d) | 1,392,832 | 1,358,773 | |
Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (b)(c)(d) | 1,993,704 | 1,945,289 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(d) | 2,529,561 | 2,472,145 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 739,671 | 605,790 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 708,550 | 557,366 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (b)(c)(d) | 1,367,988 | 1,327,129 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (b)(c)(d) | 3,167,000 | 3,050,363 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 5.2891% 1/15/33 (b)(c)(d) | 981,516 | 968,147 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 5.2446% 1/22/28 (b)(c)(d) | 1,319,772 | 1,305,153 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 5.3666% 4/19/34 (b)(c)(d) | 2,186,940 | 2,139,210 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (b)(c)(d) | 2,223,747 | 2,152,543 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (b)(c)(d) | 1,390,072 | 1,355,163 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 5.5246% 1/22/31 (b)(c)(d) | 573,573 | 555,935 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (b)(c)(d) | 461,006 | 448,725 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 2,357,478 | 2,295,429 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 5.2626% 4/20/34 (b)(c)(d) | 1,823,166 | 1,776,765 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (b)(c)(d) | 5,340,000 | 5,188,579 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 5.0691% 1/15/34 (b)(c)(d) | 1,904,754 | 1,868,194 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (b)(c)(d) | 1,997,385 | 1,968,826 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.6337% 1/25/36 (c)(d) | 49,210 | 48,095 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (b)(c)(d) | 760,982 | 740,951 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 1,441,420 | 1,183,335 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 1,562,195 | 1,357,741 | |
Class A2II, 4.008% 12/5/51 (b) | 1,395,455 | 1,089,954 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 1,332,119 | 1,049,463 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (b)(c)(d) | 2,604,698 | 2,541,826 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (b)(c)(d) | 2,626,000 | 2,560,909 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 1,401,426 | 1,060,635 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 1,902,000 | 1,793,679 | |
1.884% 7/15/50 (b) | 733,000 | 645,292 | |
2.328% 7/15/52 (b) | 560,000 | 469,587 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (b)(c)(d) | 413,740 | 408,111 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (b)(c)(d) | 2,727,000 | 2,664,413 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(d) | 256,728 | 251,341 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 5.2066% 4/19/34 (b)(c)(d) | 2,313,924 | 2,244,995 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(d) | 2,177,375 | 2,114,882 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 5.2487% 9/25/34 (c)(d) | 2,132 | 2,011 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 1,547,856 | 1,172,548 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 2,118,748 | 1,663,281 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 7/20/32 (b)(c)(d) | 2,009,654 | 1,974,286 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (b)(c)(d) | 1,277,198 | 1,249,814 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 2,613,900 | 2,543,108 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (b)(c)(d) | 1,289,773 | 1,257,115 | |
TOTAL ASSET-BACKED SECURITIES (Cost $146,526,816) | 137,108,379 | ||
Collateralized Mortgage Obligations - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.0% | |||
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1,029,273 | 973,756 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.0669% 7/20/34 (c)(d) | 475 | 419 | |
TOTAL PRIVATE SPONSOR | 974,175 | ||
U.S. Government Agency - 0.0% | |||
Fannie Mae planned amortization class: | |||
Series 1999-54 Class PH, 6.5% 11/18/29 | 7,753 | 7,780 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 21,545 | 21,823 | |
TOTAL U.S. GOVERNMENT AGENCY | 29,603 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,057,666) | 1,003,778 | ||
Commercial Mortgage Securities - 4.0% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 5.486% 1/15/39 (b)(c)(d) | 1,415,000 | 1,369,153 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 5.886% 1/15/39 (b)(c)(d) | 267,000 | 255,625 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 6.486% 1/15/39 (b)(c)(d) | 191,000 | 181,202 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1,183,000 | 1,093,552 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 265,000 | 234,223 | |
Class CNM, 3.7186% 11/5/32 (b)(c) | 110,000 | 92,144 | |
BANK sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 118,089 | 110,178 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 201,824 | 174,807 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 420,518 | 400,879 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 389,846 | 360,769 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 2,882,896 | 2,754,797 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 6.368% 11/15/28 (b)(c)(d) | 1,079,000 | 1,066,381 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 6.2336% 4/15/37 (b)(c)(d) | 5,047,000 | 4,925,858 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 6.7826% 4/15/37 (b)(c)(d) | 1,341,000 | 1,259,899 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 5.0071% 10/15/36 (b)(c)(d) | 2,648,253 | 2,541,977 | |
Class B, 1 month U.S. LIBOR + 0.890% 5.2168% 10/15/36 (b)(c)(d) | 396,287 | 374,918 | |
Class C, 1 month U.S. LIBOR + 1.090% 5.4166% 10/15/36 (b)(c)(d) | 530,325 | 498,404 | |
Class D, 1 month U.S. LIBOR + 1.290% 5.6163% 10/15/36 (b)(c)(d) | 514,682 | 478,863 | |
Class E, 1 month U.S. LIBOR + 1.940% 6.2655% 10/15/36 (b)(c)(d) | 1,789,733 | 1,671,914 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 5.3485% 2/15/39 (b)(c)(d) | 3,336,634 | 3,214,987 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 5.6479% 2/15/39 (b)(c)(d) | 1,005,446 | 953,556 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 5.8973% 2/15/39 (b)(c)(d) | 1,005,446 | 946,800 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 6.2964% 2/15/39 (b)(c)(d) | 1,005,446 | 936,251 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 6.943% 9/15/37 (b)(c)(d) | 455,393 | 406,070 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 5.618% 4/15/34 (b)(c)(d) | 1,007,281 | 971,886 | |
Class C, 1 month U.S. LIBOR + 1.600% 5.918% 4/15/34 (b)(c)(d) | 665,897 | 637,185 | |
Class D, 1 month U.S. LIBOR + 1.900% 6.218% 4/15/34 (b)(c)(d) | 699,023 | 655,909 | |
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 5.5301% 10/15/36 (b)(c)(d) | 806,653 | 792,433 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 5.7001% 10/15/36 (b)(c)(d) | 1,014,182 | 988,644 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 5.9001% 10/15/36 (b)(c)(d) | 1,436,280 | 1,390,621 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 6.2501% 10/15/36 (b)(c)(d) | 2,018,196 | 1,947,688 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 6.5006% 10/15/39 (b)(c)(d) | 1,404,000 | 1,395,208 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 5.8167% 4/15/37 (b)(c)(d) | 2,538,422 | 2,484,363 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 6.2657% 4/15/37 (b)(c)(d) | 1,293,951 | 1,252,618 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 6.6157% 4/15/37 (b)(c)(d) | 292,213 | 278,670 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 7.1647% 4/15/37 (b)(c)(d) | 244,600 | 230,813 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 5.318% 4/15/34 (b)(c)(d) | 1,656,308 | 1,617,581 | |
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 5.3701% 10/15/36 (b)(c)(d) | 496,755 | 490,631 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 2,947,177 | 2,551,024 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 5.438% 6/15/34 (b)(c)(d) | 2,419,570 | 2,361,128 | |
Class B, 1 month U.S. LIBOR + 1.500% 5.818% 6/15/34 (b)(c)(d) | 476,425 | 453,276 | |
Class C, 1 month U.S. LIBOR + 1.750% 6.068% 6/15/34 (b)(c)(d) | 538,224 | 499,511 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class C, 1 month U.S. LIBOR + 2.300% 6.618% 8/15/36 (b)(c)(d) | 25,542 | 25,307 | |
Class D, 1 month U.S. LIBOR + 3.050% 7.368% 8/15/36 (b)(c)(d) | 352,500 | 343,186 | |
COMM Mortgage Trust sequential payer Series 2014-CR18 Class A5, 3.828% 7/15/47 | 387,699 | 376,209 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class B, 1 month U.S. LIBOR + 1.230% 5.548% 5/15/36 (b)(c)(d) | 1,290,000 | 1,267,208 | |
Class C, 1 month U.S. LIBOR + 1.430% 5.748% 5/15/36 (b)(c)(d) | 243,000 | 238,131 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 591,140 | 528,447 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 1,129,357 | 1,077,442 | |
Class B, 4.5349% 4/15/36 (b) | 347,211 | 326,827 | |
Class C, 4.782% 4/15/36 (b)(c) | 233,110 | 218,595 | |
Class D, 4.782% 4/15/36 (b)(c) | 465,913 | 429,370 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 5.019% 11/15/38 (b)(c)(d) | 3,658,294 | 3,511,435 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 5.398% 7/15/38 (b)(c)(d) | 1,183,145 | 1,149,010 | |
Class B, 1 month U.S. LIBOR + 1.380% 5.698% 7/15/38 (b)(c)(d) | 673,573 | 647,381 | |
Class C, 1 month U.S. LIBOR + 1.700% 6.018% 7/15/38 (b)(c)(d) | 2,437,552 | 2,339,714 | |
Class D, 1 month U.S. LIBOR + 2.250% 6.568% 7/15/38 (b)(c)(d) | 1,001,573 | 958,862 | |
GS Mortgage Securities Trust floater Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 5.268% 10/15/36 (b)(c)(d) | 1,559,690 | 1,454,113 | |
Class B, 1 month U.S. LIBOR + 1.150% 5.468% 10/15/36 (b)(c)(d) | 241,085 | 223,259 | |
Class C, 1 month U.S. LIBOR + 1.550% 5.868% 10/15/36 (b)(c)(d) | 198,757 | 182,540 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.8246% 8/15/39 (b)(c)(d) | 2,328,000 | 2,312,693 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class CFX, 4.9498% 7/5/33 (b) | 223,602 | 196,407 | |
Class DFX, 5.3503% 7/5/33 (b) | 386,779 | 336,686 | |
Class EFX, 5.3635% 7/5/33 (b)(c) | 470,207 | 405,524 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 5.6309% 5/15/39 (b)(c)(d) | 3,430,000 | 3,344,069 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 6.1295% 5/15/39 (b)(c)(d) | 2,383,000 | 2,308,377 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 6.4287% 5/15/39 (b)(c)(d) | 1,335,000 | 1,291,523 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 6.8775% 5/15/39 (b)(c)(d) | 1,187,000 | 1,136,644 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 5.018% 3/15/38 (b)(c)(d) | 2,199,143 | 2,129,461 | |
Class B, 1 month U.S. LIBOR + 0.880% 5.198% 3/15/38 (b)(c)(d) | 530,641 | 507,003 | |
Class C, 1 month U.S. LIBOR + 1.100% 5.418% 3/15/38 (b)(c)(d) | 333,761 | 317,218 | |
Class D, 1 month U.S. LIBOR + 1.400% 5.718% 3/15/38 (b)(c)(d) | 464,311 | 439,842 | |
Class E, 1 month U.S. LIBOR + 1.750% 6.068% 3/15/38 (b)(c)(d) | 405,819 | 383,924 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 5.568% 8/15/33 (b)(c)(d) | 1,059,546 | 994,581 | |
Class C, 1 month U.S. LIBOR + 1.500% 5.818% 8/15/33 (b)(c)(d) | 2,551,942 | 2,377,298 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 2,570,651 | 2,386,929 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 1,895,246 | 1,799,061 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(c) | 371,442 | 335,522 | |
Class C, 3.1771% 11/10/36 (b)(c) | 356,413 | 311,057 | |
Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 5.3886% 12/15/37 (b)(c)(d) | 139,306 | 137,576 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 916,021 | 934,902 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 6.3356% 2/15/39 (b)(c)(d) | 642,000 | 603,962 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 6.9856% 2/15/39 (b)(c)(d) | 334,000 | 311,878 | |
SREIT Trust floater Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 5.0487% 11/15/38 (b)(c)(d) | 2,470,353 | 2,375,870 | |
Class B, 1 month U.S. LIBOR + 1.070% 5.3977% 11/15/38 (b)(c)(d) | 1,414,917 | 1,347,496 | |
Class C, 1 month U.S. LIBOR + 1.320% 5.6469% 11/15/38 (b)(c)(d) | 878,763 | 834,687 | |
Class D, 1 month U.S. LIBOR + 1.570% 5.8961% 11/15/38 (b)(c)(d) | 577,561 | 545,697 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1,766,729 | 1,363,050 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 113,488 | 86,267 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.518% 5/15/31 (b)(c)(d) | 1,349,000 | 1,267,812 | |
sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 1,026,911 | 976,679 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 850,545 | 808,226 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $103,494,209) | 97,507,353 | ||
Municipal Securities - 0.6% | |||
Principal Amount (a) | Value ($) | ||
California Gen. Oblig. Series 2009: | |||
7.35% 11/1/39 | 245,000 | 299,065 | |
7.55% 4/1/39 | 1,100,000 | 1,376,795 | |
Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35 | 900,000 | 976,716 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 414,545 | 414,762 | |
5.1% 6/1/33 | 1,475,000 | 1,415,615 | |
Series 2010-1, 6.63% 2/1/35 | 3,770,000 | 3,821,679 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,910,000 | 2,964,354 | |
7.35% 7/1/35 | 1,578,571 | 1,660,696 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 2,221,000 | 2,390,912 | |
TOTAL MUNICIPAL SECURITIES (Cost $16,431,755) | 15,320,594 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 1,748,000 | 1,473,018 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/22/30 (b) | 966,000 | 877,732 | |
4.5% 4/22/60 (b) | 736,000 | 650,118 | |
State of Qatar 4.4% 4/16/50 (b) | 2,181,000 | 1,985,119 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,812,113) | 4,985,987 | ||
Supranational Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Corporacion Andina de Fomento 2.375% 5/12/23 (Cost $1,809,502) | 1,810,000 | 1,789,475 | |
Bank Notes - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank: | |||
3.35% 2/6/23 | 983,000 | 981,182 | |
4.682% 8/9/28 (c) | 847,000 | 812,934 | |
Regions Bank 6.45% 6/26/37 | 2,368,000 | 2,462,255 | |
TOTAL BANK NOTES (Cost $4,269,986) | 4,256,371 | ||
Money Market Funds - 9.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.37% (h) | 167,296,908 | 167,330,367 | |
Fidelity Securities Lending Cash Central Fund 4.37% (h)(i) | 53,353,956 | 53,359,291 | |
TOTAL MONEY MARKET FUNDS (Cost $220,689,264) | 220,689,658 | ||
TOTAL INVESTMENT IN SECURITIES - 117.3% (Cost $3,166,189,595) | 2,885,101,814 |
NET OTHER ASSETS (LIABILITIES) - (17.3)% | (426,544,879) |
NET ASSETS - 100.0% | 2,458,556,935 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 1/1/53 | (9,450,000) | (7,928,267) |
2% 1/1/53 | (11,800,000) | (9,899,846) |
2% 1/1/53 | (4,600,000) | (3,859,262) |
2% 1/1/53 | (11,800,000) | (9,899,846) |
2% 2/1/53 | (2,350,000) | (1,973,691) |
2.5% 1/1/53 | (11,900,000) | (10,308,294) |
2.5% 1/1/53 | (8,800,000) | (7,622,940) |
3% 1/1/53 | (6,050,000) | (5,388,593) |
3% 1/1/53 | (1,500,000) | (1,336,015) |
3% 1/1/53 | (1,500,000) | (1,336,015) |
3% 1/1/53 | (3,950,000) | (3,518,172) |
3% 1/1/53 | (1,325,000) | (1,180,146) |
3.5% 1/1/53 | (5,600,000) | (5,145,168) |
TOTAL GINNIE MAE | (69,396,255) | |
Uniform Mortgage Backed Securities | ||
1.5% 1/1/38 | (5,900,000) | (5,121,523) |
1.5% 1/1/38 | (3,800,000) | (3,298,608) |
1.5% 1/1/38 | (3,900,000) | (3,385,413) |
2% 1/1/38 | (5,400,000) | (4,810,051) |
2% 1/1/38 | (4,700,000) | (4,186,525) |
2% 1/1/38 | (1,000,000) | (890,750) |
2% 1/1/38 | (3,300,000) | (2,939,475) |
2% 1/1/53 | (7,350,000) | (5,999,208) |
2% 1/1/53 | (14,650,000) | (11,957,605) |
2% 1/1/53 | (750,000) | (612,164) |
2% 1/1/53 | (300,000) | (244,866) |
2% 1/1/53 | (14,350,000) | (11,712,740) |
2% 1/1/53 | (7,350,000) | (5,999,208) |
2% 1/1/53 | (7,350,000) | (5,999,208) |
2.5% 1/1/53 | (13,900,000) | (11,784,594) |
2.5% 1/1/53 | (6,350,000) | (5,383,609) |
2.5% 1/1/53 | (6,350,000) | (5,383,609) |
2.5% 1/1/53 | (9,850,000) | (8,350,953) |
2.5% 1/1/53 | (4,050,000) | (3,433,641) |
2.5% 1/1/53 | (6,150,000) | (5,214,047) |
3.5% 1/1/53 | (1,500,000) | (1,364,179) |
3.5% 1/1/53 | (2,800,000) | (2,546,467) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (110,618,443) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $182,342,113) | (180,014,698) |
(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 $339,871,717 or 13.8% 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 has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $652,729. |
(f) | Security or a portion of the security is on loan at period end. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(i) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 4.37% | 231,714,564 | 488,512,405 | 552,896,603 | 3,266,453 | - | 1 | 167,330,367 | 0.4% |
Fidelity Securities Lending Cash Central Fund 4.37% | 25,486,340 | 706,381,086 | 678,508,135 | 101,016 | - | - | 53,359,291 | 0.2% |
Total | 257,200,904 | 1,194,893,491 | 1,231,404,738 | 3,367,469 | - | 1 | 220,689,658 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 746,133,672 | - | 746,133,672 | - |
U.S. Government and Government Agency Obligations | 1,016,570,034 | - | 1,016,570,034 | - |
U.S. Government Agency - Mortgage Securities | 639,736,513 | - | 639,736,513 | - |
Asset-Backed Securities | 137,108,379 | - | 137,108,379 | - |
Collateralized Mortgage Obligations | 1,003,778 | - | 1,003,778 | - |
Commercial Mortgage Securities | 97,507,353 | - | 97,507,353 | - |
Municipal Securities | 15,320,594 | - | 15,320,594 | - |
Foreign Government and Government Agency Obligations | 4,985,987 | - | 4,985,987 | - |
Supranational Obligations | 1,789,475 | - | 1,789,475 | - |
Bank Notes | 4,256,371 | - | 4,256,371 | - |
Money Market Funds | 220,689,658 | 220,689,658 | - | - |
Total Investments in Securities: | 2,885,101,814 | 220,689,658 | 2,664,412,156 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (180,014,698) | - | (180,014,698) | - |
Total Other Financial Instruments: | (180,014,698) | - | (180,014,698) | - |
Statement of Assets and Liabilities | ||||
December 31, 2022 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $51,963,198) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,945,500,331) | $2,664,412,156 | |||
Fidelity Central Funds (cost $220,689,264) | 220,689,658 | |||
Total Investment in Securities (cost $3,166,189,595) | $ | 2,885,101,814 | ||
Cash | 99,914 | |||
Receivable for investments sold | 16,216 | |||
Receivable for TBA sale commitments | 182,342,113 | |||
Interest receivable | 17,857,003 | |||
Distributions receivable from Fidelity Central Funds | 697,643 | |||
Other receivables | 83 | |||
Total assets | 3,086,114,786 | |||
Liabilities | ||||
TBA sale commitments, at value | $180,014,698 | |||
Payable for investments purchased on a delayed delivery basis | 393,742,801 | |||
Payable for fund shares redeemed | 178,329 | |||
Distributions payable | 259,699 | |||
Other payables and accrued expenses | 3,033 | |||
Collateral on securities loaned | 53,359,291 | |||
Total Liabilities | 627,557,851 | |||
Net Assets | $ | 2,458,556,935 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,788,102,311 | ||
Total accumulated earnings (loss) | (329,545,376) | |||
Net Assets | $ | 2,458,556,935 | ||
Net Asset Value , offering price and redemption price per share ($2,458,556,935 ÷ 26,797,659 shares) | $ | 91.75 | ||
Statement of Operations | ||||
Year ended December 31, 2022 | ||||
Investment Income | ||||
Interest | $ | 60,666,015 | ||
Income from Fidelity Central Funds (including $101,016 from security lending) | 3,367,469 | |||
Total Income | 64,033,484 | |||
Expenses | ||||
Custodian fees and expenses | 8,857 | |||
Independent trustees' fees and expenses | 7,331 | |||
Total expenses before reductions | 16,188 | |||
Expense reductions | (2,177) | |||
Total expenses after reductions | 14,011 | |||
Net Investment income (loss) | 64,019,473 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (53,243,067) | |||
Total net realized gain (loss) | (53,243,067) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (328,810,527) | |||
Fidelity Central Funds | 1 | |||
TBA Sale commitments | 2,359,406 | |||
Total change in net unrealized appreciation (depreciation) | (326,451,120) | |||
Net gain (loss) | (379,694,187) | |||
Net increase (decrease) in net assets resulting from operations | $ | (315,674,714) |
Statement of Changes in Net Assets | ||||
Year ended December 31, 2022 | Year ended December 31, 2021 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 64,019,473 | $ | 156,048,976 |
Net realized gain (loss) | (53,243,067) | 190,010,810 | ||
Change in net unrealized appreciation (depreciation) | (326,451,120) | (363,557,617) | ||
Net increase (decrease) in net assets resulting from operations | (315,674,714) | (17,497,831) | ||
Distributions to shareholders | (87,992,171) | (296,459,334) | ||
Affiliated share transactions | ||||
Proceeds from sales of shares | 438,669,539 | 810,474,721 | ||
Reinvestment of distributions | 87,727,625 | 288,159,125 | ||
Cost of shares redeemed | (68,825,551) | (5,499,418,177) | ||
Net increase (decrease) in net assets resulting from share transactions | 457,571,613 | (4,400,784,331) | ||
Total increase (decrease) in net assets | 53,904,728 | (4,714,741,496) | ||
Net Assets | ||||
Beginning of period | 2,404,652,207 | 7,119,393,703 | ||
End of period | $ | 2,458,556,935 | $ | 2,404,652,207 |
Other Information | ||||
Shares | ||||
Sold | 4,589,574 | 7,260,264 | ||
Issued in reinvestment of distributions | 895,999 | 2,589,884 | ||
Redeemed | (710,597) | (49,770,526) | ||
Net increase (decrease) | 4,774,976 | (39,920,378) | ||
VIP Investment Grade Central Fund |
Years ended December 31, | 2022 | 2021 | 2020 | 2019 | 2018 | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 109.19 | $ | 114.93 | $ | 108.80 | $ | 102.31 | $ | 105.26 |
Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | 2.711 | 2.481 | 3.026 | 3.371 | 3.163 | |||||
Net realized and unrealized gain (loss) | (16.386) | (2.817) | 7.583 | 6.606 | (3.209) | |||||
Total from investment operations | (13.675) | (.336) | 10.609 | 9.977 | (.046) | |||||
Distributions from net investment income | (2.765) | (2.717) | (3.070) | (3.487) | (2.904) | |||||
Distributions from net realized gain | (1.000) | (2.687) | (1.409) | - | - | |||||
Total distributions | (3.765) | (5.404) | (4.479) | (3.487) | (2.904) | |||||
Net asset value, end of period | $ | 91.75 | $ | 109.19 | $ | 114.93 | $ | 108.80 | $ | 102.31 |
Total Return C | (12.69)% | (.28)% | 9.87% | 9.87% | (.01)% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
Expenses before reductions F | -% | -% | -% | -% | -% | |||||
Expenses net of fee waivers, if any F | -% | -% | -% | -% | -% | |||||
Expenses net of all reductions F | -% | -% | -% | -% | -% | |||||
Net investment income (loss) | 2.79% | 2.23% | 2.68% | 3.16% | 3.09% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 2,458,557 | $ | 2,404,652 | $ | 7,119,394 | $ | 6,014,480 | $ | 5,269,137 |
Portfolio turnover rate G | 188% | 178% H | 169% | 146% | 92% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $4,720,141 |
Gross unrealized depreciation | (281,767,253) |
Net unrealized appreciation (depreciation) | $(277,047,112) |
Tax Cost | $3,164,476,341 |
Capital loss carryforward | $(52,498,265) |
Net unrealized appreciation (depreciation) on securities and other investments | $(277,047,112) |
Short-term | $(36,445,818) |
Long-term | (16,052,447) |
Total capital loss carryforward | $(52,498,265) |
December 31, 2022 | December 31, 2021 | |
Ordinary Income | $65,959,747 | $154,285,209 |
Long-term Capital Gains | 22,032,424 | 142,174,125 |
Total | $87,992,171 | $296,459,334 |
Purchases ($) | Sales ($) | |
Fidelity VIP Investment Grade Central Fund | 2,803,852,803 | 2,605,355,306 |
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | |
Fidelity VIP Investment Grade Central Fund | 48,802,199 | 149,804,083 | 5,391,666,950 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity VIP Investment Grade Central Fund | $10,732 | $- | $- |
Fund | Ownership % |
VIP Asset Manager Portfolio | 13.6% |
VIP Asset Manager Growth Portfolio | 1.7% |
VIP Balanced Portfolio | 84.7% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022). |
Annualized Expense Ratio- A | Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During Period- C July 1, 2022 to December 31, 2022 | |||||||
Fidelity® VIP Investment Grade Central Fund | 0.0007% | |||||||||
Actual | $ 1,000 | $ 972.90 | $- D | |||||||
Hypothetical- B | $ 1,000 | $ 1,025.20 | $- D | |||||||
Item 2.
Code of Ethics
As of the end of the period, December 31, 2022, Fidelity Garrison Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to VIP Investment Grade Central Fund (the “Fund”):
Services Billed by Deloitte Entities
December 31, 2022 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
VIP Investment Grade Central Fund | $82,100 | $- | $12,000 | $1,800 |
December 31, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
VIP Investment Grade Central Fund | $78,600 | $- | $11,900 | $1,800 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily
portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
December 31, 2022A | December 31, 2021A | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | December 31, 2022A | December 31, 2021A |
Deloitte Entities | $471,400 | $535,300 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence
from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | February 21, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | February 21, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | February 21, 2023 |