NPORT-EX 2 QTLY_3306_20210228.htm

Quarterly Holdings Report
for

Strategic Advisers® Fidelity® Core Income Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public

February 28, 2021







COI-QTLY-0421
1.9887941.102





Schedule of Investments February 28, 2021 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 13.3%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.5%   
Diversified Telecommunication Services - 0.5%   
AT&T, Inc.:   
2.55% 12/1/33 (a) $2,825,000 $2,729,150 
3.8% 12/1/57 (a) 39,772,000 37,812,026 
4.3% 2/15/30 3,992,000 4,578,168 
4.75% 5/15/46 41,310,000 47,542,341 
4.9% 6/15/42 6,909,000 8,142,389 
5.55% 8/15/41 12,537,000 15,905,109 
6.2% 3/15/40 2,303,000 3,081,934 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (a) 1,246,000 1,334,778 
7.5% 10/15/26 (a) 1,565,000 1,654,690 
Frontier Communications Corp. 5.875% 10/15/27 (a) 235,000 251,450 
Level 3 Financing, Inc.:   
3.625% 1/15/29 (a) 85,000 83,628 
4.25% 7/1/28 (a) 2,240,000 2,271,606 
Lumen Technologies, Inc.:   
5.125% 12/15/26 (a) 2,190,000 2,283,075 
5.625% 4/1/25 415,000 444,548 
6.875% 1/15/28 40,000 45,115 
Sable International Finance Ltd. 5.75% 9/7/27 (a) 2,595,000 2,744,213 
SFR Group SA:   
5.125% 1/15/29 (a) 720,000 723,971 
7.375% 5/1/26 (a) 1,245,000 1,298,784 
8.125% 2/1/27 (a) 325,000 354,253 
Sprint Capital Corp.:   
6.875% 11/15/28 4,280,000 5,414,200 
8.75% 3/15/32 1,315,000 1,956,720 
Telecom Italia Capital SA:   
6% 9/30/34 286,000 330,341 
7.2% 7/18/36 1,635,000 2,096,561 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) 800,000 846,000 
Verizon Communications, Inc.:   
2.987% 10/30/56 (a) 1,378,000 1,241,905 
3.15% 3/22/30 3,550,000 3,807,649 
4.329% 9/21/28 10,293,000 11,977,552 
5.012% 4/15/49 129,000 163,714 
Virgin Media Finance PLC 5% 7/15/30 (a) 636,000 647,130 
  161,763,000 
Entertainment - 0.1%   
The Walt Disney Co.:   
2.2% 1/13/28 10,316,000 10,696,348 
2.65% 1/13/31 13,000,000 13,624,524 
  24,320,872 
Interactive Media & Services - 0.0%   
Twitter, Inc. 3.875% 12/15/27 (a) 510,000 544,272 
Media - 0.8%   
Altice Financing SA:   
5% 1/15/28 (a) 225,000 225,025 
7.5% 5/15/26 (a) 819,000 854,921 
Altice France Holding SA 6% 2/15/28 (a) 250,000 244,688 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (a) 2,265,000 2,293,313 
4.5% 8/15/30 (a) 435,000 450,443 
4.5% 5/1/32 (a) 3,425,000 3,518,160 
5% 2/1/28 (a) 2,401,000 2,515,048 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
2.8% 4/1/31 25,100,000 25,415,758 
3.7% 4/1/51 20,100,000 19,117,139 
4.464% 7/23/22 5,986,000 6,263,618 
4.8% 3/1/50 10,000,000 10,996,822 
4.908% 7/23/25 4,642,000 5,299,179 
5.375% 5/1/47 41,310,000 48,559,736 
5.75% 4/1/48 18,275,000 22,529,699 
Comcast Corp.:   
3.4% 4/1/30 2,848,000 3,166,206 
3.75% 4/1/40 1,000,000 1,128,765 
4.65% 7/15/42 2,578,000 3,226,656 
CSC Holdings LLC:   
4.125% 12/1/30 (a) 510,000 512,040 
4.625% 12/1/30 (a) 410,000 408,864 
5.5% 4/15/27 (a) 564,000 593,441 
5.75% 1/15/30 (a) 875,000 933,800 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (a) 1,220,000 862,784 
Discovery Communications LLC:   
3.625% 5/15/30 6,407,000 7,046,991 
4.65% 5/15/50 17,335,000 20,094,026 
DISH DBS Corp. 5.875% 11/15/24 638,000 668,356 
Fox Corp.:   
4.709% 1/25/29 2,296,000 2,694,327 
5.476% 1/25/39 2,264,000 2,906,861 
5.576% 1/25/49 1,502,000 1,977,256 
Gray Television, Inc. 4.75% 10/15/30 (a) 245,000 245,000 
Lamar Media Corp. 3.625% 1/15/31 (a) 515,000 508,887 
Meredith Corp. 6.5% 7/1/25 (a) 615,000 654,975 
Scripps Escrow II, Inc. 3.875% 1/15/29 (a) 225,000 220,978 
Sinclair Television Group, Inc. 4.125% 12/1/30 (a) 780,000 761,709 
Sirius XM Radio, Inc.:   
4.125% 7/1/30 (a) 155,000 156,550 
5% 8/1/27 (a) 375,000 390,476 
5.5% 7/1/29 (a) 1,890,000 2,045,358 
Tegna, Inc.:   
4.625% 3/15/28 (a) 915,000 936,731 
5% 9/15/29 115,000 119,837 
Time Warner Cable LLC:   
4% 9/1/21 12,819,000 12,928,725 
4.5% 9/15/42 886,000 976,764 
5.5% 9/1/41 1,530,000 1,872,626 
5.875% 11/15/40 8,089,000 10,298,561 
6.55% 5/1/37 5,846,000 7,954,537 
6.75% 6/15/39 4,614,000 6,361,594 
7.3% 7/1/38 3,785,000 5,410,063 
Virgin Media Secured Finance PLC:   
4.5% 8/15/30 (a) 585,000 598,163 
5.5% 5/15/29 (a) 415,000 444,805 
Ziggo Bond Co. BV 5.125% 2/28/30 (a) 540,000 563,015 
Ziggo BV:   
4.875% 1/15/30 (a)(b) 550,000 574,063 
5.5% 1/15/27 (a) 1,220,000 1,267,592 
  249,794,931 
Wireless Telecommunication Services - 0.1%   
Millicom International Cellular SA:   
4.5% 4/27/31 (a) 200,000 214,000 
5.125% 1/15/28 (a) 1,200,000 1,272,882 
6.625% 10/15/26 (a) 1,088,000 1,170,362 
T-Mobile U.S.A., Inc.:   
2.875% 2/15/31 695,000 681,969 
3.75% 4/15/27 (a) 10,840,000 11,940,477 
3.875% 4/15/30 (a) 22,877,000 25,151,431 
4.5% 4/15/50 (a) 4,597,000 5,108,922 
  45,540,043 
TOTAL COMMUNICATION SERVICES  481,963,118 
CONSUMER DISCRETIONARY - 0.7%   
Auto Components - 0.0%   
Allison Transmission, Inc. 3.75% 1/30/31 (a) 615,000 588,094 
Automobiles - 0.3%   
General Motors Co. 5.4% 10/2/23 18,263,000 20,358,567 
General Motors Financial Co., Inc.:   
3.7% 5/9/23 8,751,000 9,270,446 
4.25% 5/15/23 1,359,000 1,458,082 
4.375% 9/25/21 5,310,000 5,432,099 
5.2% 3/20/23 11,203,000 12,215,846 
Volkswagen Group of America Finance LLC:   
2.9% 5/13/22 (a) 10,524,000 10,832,392 
3.125% 5/12/23 (a) 9,168,000 9,662,036 
3.35% 5/13/25 (a) 14,765,000 15,998,186 
  85,227,654 
Diversified Consumer Services - 0.0%   
Adtalem Global Education, Inc. 5.5% 3/1/28 (a)(b) 825,000 821,123 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) 765,000 790,341 
Service Corp. International 5.125% 6/1/29 970,000 1,048,211 
  2,659,675 
Hotels, Restaurants & Leisure - 0.1%   
Aramark Services, Inc.:   
4.75% 6/1/26 843,000 855,645 
5% 2/1/28 (a) 3,530,000 3,618,250 
6.375% 5/1/25 (a) 1,890,000 1,996,313 
Caesars Entertainment, Inc. 6.25% 7/1/25 (a) 905,000 958,164 
Caesars Resort Collection LLC 5.25% 10/15/25 (a) 836,000 830,817 
Carnival Corp. 10.5% 2/1/26 (a) 1,105,000 1,284,563 
Hilton Domestic Operating Co., Inc.:   
3.625% 2/15/32 (a) 660,000 649,994 
4% 5/1/31 (a) 1,535,000 1,556,106 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 164,000 170,560 
MCE Finance Ltd.:   
4.875% 6/6/25 (a) 750,000 769,500 
5.375% 12/4/29 (a) 260,000 275,153 
5.75% 7/21/28 (a) 390,000 417,495 
MGM Resorts International 5.75% 6/15/25 820,000 902,944 
Royal Caribbean Cruises Ltd.:   
9.125% 6/15/23 (a) 130,000 142,675 
11.5% 6/1/25 (a) 545,000 638,331 
Starbucks Corp. 1.3% 5/7/22 5,502,000 5,563,100 
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (a) 290,000 295,800 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (a) 645,000 683,700 
Wynn Macau Ltd.:   
4.875% 10/1/24 (a) 497,000 499,883 
5.5% 10/1/27 (a) 425,000 440,141 
  22,549,134 
Household Durables - 0.2%   
Lennar Corp.:   
4.75% 11/29/27 9,429,000 10,914,068 
5% 6/15/27 12,243,000 14,324,310 
5.25% 6/1/26 2,965,000 3,450,371 
Newell Brands, Inc.:   
5.875% 4/1/36 270,000 336,150 
6% 4/1/46 1,185,000 1,530,546 
Toll Brothers Finance Corp.:   
4.35% 2/15/28 14,431,000 16,018,410 
4.875% 11/15/25 45,000 50,738 
4.875% 3/15/27 15,464,000 17,667,620 
5.625% 1/15/24 950,000 1,068,940 
  65,361,153 
Internet & Direct Marketing Retail - 0.0%   
Alibaba Group Holding Ltd.:   
2.125% 2/9/31 2,350,000 2,278,725 
2.7% 2/9/41 12,255,000 11,458,670 
Match Group Holdings II LLC 4.125% 8/1/30 (a) 170,000 175,738 
  13,913,133 
Leisure Products - 0.0%   
Hasbro, Inc.:   
2.6% 11/19/22 2,845,000 2,941,161 
3% 11/19/24 6,474,000 6,936,843 
Mattel, Inc.:   
5.45% 11/1/41 70,000 79,100 
6.2% 10/1/40 531,000 626,580 
  10,583,684 
Multiline Retail - 0.0%   
Nordstrom, Inc. 4.375% 4/1/30 510,000 498,432 
Specialty Retail - 0.1%   
AutoNation, Inc. 4.75% 6/1/30 1,430,000 1,686,044 
AutoZone, Inc. 4% 4/15/30 19,121,000 21,800,461 
O'Reilly Automotive, Inc. 4.2% 4/1/30 2,105,000 2,429,309 
  25,915,814 
Textiles, Apparel & Luxury Goods - 0.0%   
Hanesbrands, Inc. 4.875% 5/15/26 (a) 615,000 662,490 
Levi Strauss & Co. 3.5% 3/1/31 (a) 355,000 358,994 
The William Carter Co. 5.625% 3/15/27 (a) 446,000 469,694 
Wolverine World Wide, Inc. 6.375% 5/15/25 (a) 645,000 689,344 
  2,180,522 
TOTAL CONSUMER DISCRETIONARY  229,477,295 
CONSUMER STAPLES - 1.2%   
Beverages - 0.5%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 6,600,000 7,955,143 
4.9% 2/1/46 14,391,000 17,214,713 
Anheuser-Busch InBev Worldwide, Inc.:   
3.5% 6/1/30 10,375,000 11,467,731 
4.35% 6/1/40 6,274,000 7,294,901 
4.5% 6/1/50 11,500,000 13,261,077 
4.6% 6/1/60 18,803,000 21,616,983 
4.75% 1/23/29 11,220,000 13,271,355 
4.75% 4/15/58 5,641,000 6,706,094 
5.45% 1/23/39 5,480,000 7,045,895 
5.55% 1/23/49 13,389,000 17,422,198 
5.8% 1/23/59 (Reg. S) 14,304,000 19,736,041 
Constellation Brands, Inc. 4.75% 11/15/24 3,799,000 4,338,467 
PepsiCo, Inc.:   
2.625% 3/19/27 1,114,000 1,201,676 
2.75% 3/19/30 5,700,000 6,102,823 
  154,635,097 
Food & Staples Retailing - 0.3%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 3.5% 3/15/29 (a) 1,475,000 1,417,106 
Sysco Corp.:   
6.6% 4/1/40 13,806,000 19,648,782 
6.6% 4/1/50 53,060,000 78,571,266 
U.S. Foods, Inc. 6.25% 4/15/25 (a) 445,000 473,369 
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 1,926,000 1,956,272 
  102,066,795 
Food Products - 0.4%   
Darling Ingredients, Inc. 5.25% 4/15/27 (a) 615,000 647,288 
General Mills, Inc. 2.875% 4/15/30 1,277,000 1,352,857 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) 269,000 295,217 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (a) 23,280,000 26,073,600 
6.5% 4/15/29 (a) 32,201,000 36,226,125 
Kraft Heinz Foods Co.:   
3.875% 5/15/27 560,000 612,118 
4.25% 3/1/31 525,000 589,430 
4.375% 6/1/46 11,995,000 13,068,223 
4.625% 1/30/29 10,000,000 11,585,575 
4.625% 10/1/39 820,000 925,552 
4.875% 10/1/49 10,000,000 11,670,142 
5% 7/15/35 2,215,000 2,679,774 
5.2% 7/15/45 6,203,000 7,454,373 
7.125% 8/1/39 (a) 9,489,000 13,915,578 
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) 825,000 899,250 
Post Holdings, Inc. 4.625% 4/15/30 (a) 905,000 918,575 
TreeHouse Foods, Inc. 4% 9/1/28 390,000 400,803 
  129,314,480 
Personal Products - 0.0%   
Estee Lauder Companies, Inc. 3.125% 12/1/49 5,608,000 5,903,206 
Prestige Brands, Inc. 3.75% 4/1/31 (a)(b) 340,000 331,568 
  6,234,774 
TOTAL CONSUMER STAPLES  392,251,146 
ENERGY - 1.2%   
Oil, Gas & Consumable Fuels - 1.2%   
Apache Corp.:   
4.25% 1/15/30 120,000 121,246 
4.75% 4/15/43 805,000 786,896 
5.1% 9/1/40 330,000 336,709 
5.25% 2/1/42 495,000 514,800 
5.35% 7/1/49 80,000 79,600 
Canadian Natural Resources Ltd. 3.45% 11/15/21 2,648,000 2,683,475 
Cheniere Energy Partners LP:   
4% 3/1/31 (a)(b) 925,000 932,243 
5.25% 10/1/25 3,020,000 3,103,956 
5.625% 10/1/26 1,835,000 1,906,749 
Cheniere Energy, Inc. 4.625% 10/15/28 (a) 595,000 618,622 
Citgo Petroleum Corp. 6.375% 6/15/26 (a) 660,000 669,900 
Columbia Pipeline Group, Inc. 4.5% 6/1/25 852,000 964,044 
Continental Resources, Inc. 5.75% 1/15/31 (a) 895,000 1,008,853 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (a) 1,653,000 1,638,536 
5.75% 4/1/25 2,038,000 2,049,311 
6% 2/1/29 (a) 1,420,000 1,404,920 
CVR Energy, Inc.:   
5.25% 2/15/25 (a) 790,000 779,730 
5.75% 2/15/28 (a) 105,000 104,038 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,116,000 3,209,480 
4.75% 9/30/21 (a) 2,233,000 2,251,143 
5.125% 5/15/29 1,740,000 1,843,913 
5.375% 7/15/25 540,000 575,662 
5.6% 4/1/44 2,748,000 2,851,050 
5.625% 7/15/27 620,000 670,983 
5.85% 5/21/43 (a)(c) 4,466,000 3,963,575 
6.45% 11/3/36 (a) 210,000 234,780 
8.125% 8/16/30 15,000 19,650 
EG Global Finance PLC 6.75% 2/7/25 (a) 530,000 544,496 
Enable Midstream Partners LP 3.9% 5/15/24 (c) 869,000 929,608 
Enbridge Energy Partners LP 4.2% 9/15/21 2,622,000 2,650,226 
Enbridge, Inc.:   
4% 10/1/23 3,854,000 4,155,787 
4.25% 12/1/26 1,461,000 1,665,070 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (a) 45,000 45,900 
5.75% 1/30/28 (a) 435,000 459,795 
6.625% 7/15/25 (a) 110,000 115,619 
Energy Transfer Partners LP:   
3.75% 5/15/30 3,643,000 3,850,769 
4.2% 9/15/23 1,203,000 1,295,612 
4.25% 3/15/23 1,393,000 1,476,056 
4.5% 4/15/24 1,576,000 1,727,954 
4.95% 6/15/28 4,103,000 4,676,989 
5% 5/15/50 7,800,000 8,258,919 
5.25% 4/15/29 2,564,000 2,973,537 
5.8% 6/15/38 2,288,000 2,641,475 
6% 6/15/48 1,490,000 1,735,713 
6.25% 4/15/49 1,761,000 2,105,796 
EnLink Midstream LLC 5.625% 1/15/28 (a) 105,000 105,919 
EnLink Midstream Partners LP:   
5.05% 4/1/45 140,000 111,300 
5.45% 6/1/47 290,000 239,975 
5.6% 4/1/44 490,000 415,275 
EQM Midstream Partners LP:   
4.75% 1/15/31 (a) 550,000 530,063 
5.5% 7/15/28 440,000 453,200 
6.5% 7/1/27 (a) 465,000 498,810 
6.5% 7/15/48 265,000 250,425 
EQT Corp. 3.9% 10/1/27 405,000 420,070 
Global Partners LP/GLP Finance Corp. 7% 8/1/27 1,200,000 1,272,000 
Hess Corp.:   
4.3% 4/1/27 1,341,000 1,488,868 
5.6% 2/15/41 2,100,000 2,520,181 
5.8% 4/1/47 5,019,000 6,272,884 
7.125% 3/15/33 1,403,000 1,845,153 
7.3% 8/15/31 1,709,000 2,252,741 
7.875% 10/1/29 4,789,000 6,389,094 
Hess Midstream Partners LP:   
5.125% 6/15/28 (a) 780,000 803,400 
5.625% 2/15/26 (a) 1,503,000 1,556,928 
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (a) 185,000 193,094 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) 910,000 916,789 
Kinder Morgan Energy Partners LP 5% 10/1/21 1,456,000 1,477,665 
Marathon Petroleum Corp. 5.125% 3/1/21 1,583,000 1,583,000 
MPLX LP:   
3 month U.S. LIBOR + 1.100% 1.3304% 9/9/22 (c)(d) 3,392,000 3,394,307 
4.8% 2/15/29 1,376,000 1,610,293 
4.875% 12/1/24 1,974,000 2,231,595 
5.5% 2/15/49 4,129,000 5,016,866 
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (a) 110,000 109,863 
Occidental Petroleum Corp.:   
2.9% 8/15/24 6,978,000 6,790,850 
3.2% 8/15/26 865,000 828,411 
3.4% 4/15/26 310,000 300,991 
3.5% 8/15/29 3,191,000 3,051,458 
4.2% 3/15/48 310,000 264,275 
4.3% 8/15/39 562,000 498,775 
4.4% 4/15/46 480,000 429,600 
4.4% 8/15/49 3,942,000 3,471,424 
5.55% 3/15/26 5,734,000 6,121,045 
6.125% 1/1/31 365,000 407,778 
6.2% 3/15/40 160,000 172,800 
6.45% 9/15/36 5,135,000 5,853,900 
6.6% 3/15/46 4,886,000 5,486,001 
7.5% 5/1/31 7,400,000 8,695,000 
7.875% 9/15/31 100,000 118,500 
8.875% 7/15/30 345,000 440,955 
Ovintiv, Inc.:   
5.15% 11/15/41 3,000,000 3,091,100 
8.125% 9/15/30 5,649,000 7,504,965 
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) 1,500,000 1,462,050 
Petrobras Global Finance BV 7.25% 3/17/44 27,432,000 31,578,347 
Petroleos Mexicanos:   
6.35% 2/12/48 1,560,000 1,316,250 
6.49% 1/23/27 3,630,000 3,797,888 
6.5% 3/13/27 4,256,000 4,415,600 
6.75% 9/21/47 22,490,000 19,684,373 
6.84% 1/23/30 15,264,000 15,340,320 
6.95% 1/28/60 7,166,000 6,303,572 
7.69% 1/23/50 62,301,000 59,179,720 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,968,000 2,020,527 
3.6% 11/1/24 1,903,000 2,036,776 
3.65% 6/1/22 3,779,000 3,880,751 
Rattler Midstream LP 5.625% 7/15/25 (a) 1,110,000 1,157,175 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,000,000 2,076,325 
Rockies Express Pipeline LLC:   
4.8% 5/15/30 (a) 735,000 760,813 
4.95% 7/15/29 (a) 276,000 294,975 
6.875% 4/15/40 (a) 105,000 116,288 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 14,626,000 16,728,969 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 1,732,000 1,901,500 
Sunoco LP/Sunoco Finance Corp.:   
4.5% 5/15/29 (a) 635,000 635,000 
5.875% 3/15/28 135,000 143,119 
6% 4/15/27 15,000 15,614 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:   
5.5% 1/15/28 (a) 125,000 122,813 
6% 3/1/27 (a) 545,000 549,801 
6% 12/31/30 (a) 655,000 651,463 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4% 1/15/32 (a) 1,200,000 1,176,240 
4.875% 2/1/31 (a) 705,000 722,978 
5.375% 2/1/27 128,000 132,800 
5.5% 3/1/30 135,000 144,365 
5.875% 4/15/26 881,000 917,385 
The Williams Companies, Inc.:   
3.5% 11/15/30 15,742,000 17,099,872 
3.7% 1/15/23 808,000 848,898 
5.1% 9/15/45 9,765,000 11,577,817 
Viper Energy Partners LP 5.375% 11/1/27 (a) 600,000 631,500 
Western Gas Partners LP:   
3.95% 6/1/25 1,395,000 1,408,950 
4.35% 2/1/25 475,000 486,220 
4.65% 7/1/26 2,820,000 2,919,320 
4.75% 8/15/28 1,236,000 1,294,772 
5.3% 2/1/30 1,420,000 1,538,953 
5.3% 3/1/48 240,000 252,000 
5.375% 6/1/21 4,807,000 4,807,000 
6.5% 2/1/50 90,000 103,564 
  396,353,434 
FINANCIALS - 5.8%   
Banks - 2.7%   
Bank of America Corp.:   
3.004% 12/20/23 (c) 10,687,000 11,169,625 
3.3% 1/11/23 2,658,000 2,806,774 
3.419% 12/20/28 (c) 5,193,000 5,727,416 
3.5% 4/19/26 6,078,000 6,763,963 
3.95% 4/21/25 37,660,000 41,679,363 
4% 1/22/25 26,856,000 29,739,289 
4.1% 7/24/23 1,426,000 1,551,624 
4.183% 11/25/27 6,909,000 7,826,600 
4.2% 8/26/24 8,311,000 9,225,033 
4.25% 10/22/26 38,178,000 43,738,540 
4.45% 3/3/26 6,522,000 7,467,794 
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.954% 7/20/22 (a)(c)(d) 8,158,000 8,226,432 
Barclays Bank PLC:   
1.7% 5/12/22 5,246,000 5,325,836 
10.179% 6/12/21 (a) 1,750,000 1,796,259 
Barclays PLC:   
2.852% 5/7/26 (c) 14,944,000 15,767,592 
4.375% 1/12/26 4,468,000 5,055,445 
4.836% 5/9/28 6,102,000 6,946,907 
5.088% 6/20/30 (c) 29,218,000 33,919,006 
5.2% 5/12/26 1,556,000 1,770,308 
BNP Paribas SA 2.219% 6/9/26 (a)(c) 13,752,000 14,254,201 
BPCE SA 4.875% 4/1/26 (a) 7,383,000 8,508,688 
CIT Group, Inc.:   
3.929% 6/19/24 (c) 1,900,000 2,011,625 
4.75% 2/16/24 2,520,000 2,743,650 
6.125% 3/9/28 4,920,000 6,088,500 
Citigroup, Inc.:   
4.075% 4/23/29 (c) 4,606,000 5,245,771 
4.125% 7/25/28 6,909,000 7,829,004 
4.3% 11/20/26 1,766,000 2,013,491 
4.4% 6/10/25 19,341,000 21,723,092 
4.412% 3/31/31 (c) 34,201,000 39,785,796 
4.45% 9/29/27 21,445,000 24,739,151 
4.6% 3/9/26 17,445,000 20,019,605 
5.3% 5/6/44 9,501,000 12,536,665 
5.5% 9/13/25 7,738,000 9,150,137 
Citizens Financial Group, Inc. 2.638% 9/30/32 (a) 7,305,000 7,298,978 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(c) 3,723,000 3,944,698 
Fifth Third Bancorp 8.25% 3/1/38 1,098,000 1,819,283 
HSBC Holdings PLC:   
4.25% 3/14/24 1,433,000 1,567,373 
4.95% 3/31/30 2,548,000 3,063,332 
5.25% 3/14/44 1,039,000 1,343,607 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 10,324,000 11,244,965 
5.71% 1/15/26 (a) 67,743,000 76,331,557 
JPMorgan Chase & Co.:   
2.956% 5/13/31 (c) 7,934,000 8,289,839 
4.125% 12/15/26 15,380,000 17,627,891 
NatWest Markets PLC 2.375% 5/21/23 (a) 15,700,000 16,345,938 
Rabobank Nederland 4.375% 8/4/25 4,789,000 5,411,104 
Royal Bank of Scotland Group PLC:   
3.073% 5/22/28 (c) 8,707,000 9,232,128 
4.8% 4/5/26 19,815,000 22,813,508 
5.125% 5/28/24 35,958,000 40,197,549 
6% 12/19/23 43,478,000 49,323,824 
6.1% 6/10/23 19,857,000 22,075,091 
6.125% 12/15/22 21,905,000 23,896,323 
Societe Generale:   
1.488% 12/14/26 (a)(c) 16,638,000 16,535,789 
4.25% 4/14/25 (a) 7,110,000 7,769,571 
Synchrony Bank 3% 6/15/22 3,984,000 4,102,299 
UniCredit SpA 6.572% 1/14/22 (a) 6,953,000 7,281,827 
Wells Fargo & Co.:   
2.406% 10/30/25 (c) 7,739,000 8,157,065 
4.3% 7/22/27 25,328,000 29,237,319 
4.478% 4/4/31 (c) 19,300,000 22,813,800 
Westpac Banking Corp. 4.11% 7/24/34 (c) 5,171,000 5,699,367 
  846,577,207 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 1,396,000 1,535,128 
Ares Capital Corp.:   
3.875% 1/15/26 22,188,000 23,708,196 
4.2% 6/10/24 15,463,000 16,795,475 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(c) 14,306,000 15,048,092 
3.75% 3/26/25 9,717,000 10,648,297 
4.194% 4/1/31 (a)(c) 37,158,000 42,350,687 
4.55% 4/17/26 3,126,000 3,603,360 
Deutsche Bank AG 4.5% 4/1/25 19,219,000 20,487,808 
Deutsche Bank AG New York Branch:   
3.3% 11/16/22 7,369,000 7,683,413 
3.729% 1/14/32 (c) 10,000,000 9,948,936 
4.1% 1/13/26 8,332,000 9,114,675 
5% 2/14/22 11,778,000 12,254,774 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (c) 10,640,000 10,812,140 
3.272% 9/29/25 (c) 35,921,000 38,948,888 
3.8% 3/15/30 20,550,000 23,331,352 
4.25% 10/21/25 12,215,000 13,776,876 
6.75% 10/1/37 59,592,000 86,937,555 
Intercontinental Exchange, Inc. 3.75% 12/1/25 2,038,000 2,261,579 
Morgan Stanley:   
3 month U.S. LIBOR + 0.930% 1.1524% 7/22/22 (c)(d) 3,745,000 3,757,392 
3.125% 7/27/26 14,775,000 16,151,072 
3.622% 4/1/31 (c) 17,370,000 19,352,880 
3.625% 1/20/27 16,594,000 18,616,498 
3.7% 10/23/24 4,754,000 5,247,006 
3.875% 4/29/24 4,377,000 4,814,441 
4.431% 1/23/30 (c) 5,526,000 6,471,090 
4.875% 11/1/22 9,955,000 10,673,048 
5% 11/24/25 21,351,000 24,924,227 
MSCI, Inc. 5.375% 5/15/27 (a) 1,242,000 1,322,730 
State Street Corp.:   
2.825% 3/30/23 (c) 1,216,000 1,249,852 
2.901% 3/30/26 (c) 1,141,000 1,230,465 
  463,057,932 
Consumer Finance - 0.9%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 8,576,000 8,932,233 
3.5% 5/26/22 293,000 301,722 
4.125% 7/3/23 4,250,000 4,520,658 
4.45% 4/3/26 4,254,000 4,651,197 
4.875% 1/16/24 6,629,000 7,235,053 
6.5% 7/15/25 6,613,000 7,752,449 
Ally Financial, Inc.:   
1.45% 10/2/23 3,893,000 3,958,519 
3.05% 6/5/23 17,631,000 18,539,148 
3.875% 5/21/24 8,893,000 9,668,736 
4.625% 3/30/25 3,595,000 4,045,063 
5.125% 9/30/24 3,534,000 4,032,505 
5.75% 11/20/25 1,188,000 1,361,457 
5.8% 5/1/25 9,417,000 11,046,244 
8% 11/1/31 5,827,000 8,343,992 
8% 11/1/31 222,000 314,901 
Capital One Financial Corp.:   
3.65% 5/11/27 21,700,000 24,145,357 
3.8% 1/31/28 10,723,000 12,052,213 
Discover Financial Services:   
3.95% 11/6/24 1,874,000 2,059,672 
4.1% 2/9/27 13,375,000 15,110,449 
4.5% 1/30/26 5,913,000 6,731,914 
Ford Motor Credit Co. LLC:   
4% 11/13/30 830,000 848,675 
4.063% 11/1/24 46,639,000 48,849,222 
4.687% 6/9/25 430,000 457,950 
5.113% 5/3/29 1,320,000 1,445,400 
5.125% 6/16/25 320,000 345,600 
5.584% 3/18/24 8,520,000 9,190,950 
5.596% 1/7/22 7,576,000 7,803,280 
Springleaf Finance Corp.:   
6.875% 3/15/25 695,000 783,877 
7.125% 3/15/26 241,000 278,355 
Synchrony Financial:   
2.85% 7/25/22 2,154,000 2,218,884 
3.75% 8/15/21 1,457,000 1,470,913 
3.95% 12/1/27 8,239,000 9,074,859 
4.25% 8/15/24 8,335,000 9,151,208 
4.375% 3/19/24 8,694,000 9,542,308 
5.15% 3/19/29 18,424,000 21,875,346 
  278,140,309 
Diversified Financial Services - 0.2%   
Brixmor Operating Partnership LP:   
4.05% 7/1/30 9,134,000 10,115,196 
4.125% 6/15/26 5,362,000 6,024,907 
4.125% 5/15/29 19,691,000 21,956,182 
Equitable Holdings, Inc. 3.9% 4/20/23 674,000 721,117 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.375% 2/1/29 (a) 1,295,000 1,294,612 
4.75% 9/15/24 740,000 777,925 
5.25% 5/15/27 3,095,000 3,249,750 
6.25% 5/15/26 1,691,000 1,777,173 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 7,300,000 7,939,308 
Pine Street Trust I 4.572% 2/15/29 (a) 7,749,000 9,063,348 
Pine Street Trust II 5.568% 2/15/49 (a) 7,700,000 10,197,912 
VMED O2 UK Financing I PLC 4.25% 1/31/31 (a) 1,805,000 1,764,388 
Voya Financial, Inc. 3.125% 7/15/24 2,503,000 2,700,410 
  77,582,228 
Insurance - 0.5%   
AIA Group Ltd. 3.375% 4/7/30 (a) 13,088,000 14,302,531 
American International Group, Inc. 3.4% 6/30/30 21,700,000 23,792,229 
Five Corners Funding Trust II 2.85% 5/15/30 (a) 15,870,000 16,854,104 
Liberty Mutual Group, Inc.:   
3.95% 5/15/60 (a) 12,820,000 14,014,674 
4.569% 2/1/29 (a) 2,429,000 2,875,659 
Lincoln National Corp. 3.4% 1/15/31 14,811,000 16,332,678 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 1,355,000 1,362,327 
Metropolitan Life Global Funding I U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.53% 5/28/21 (a)(c)(d) 33,100,000 33,135,162 
New York Life Insurance Co. 3.75% 5/15/50 (a) 3,182,000 3,536,748 
Pacific LifeCorp 5.125% 1/30/43 (a) 2,623,000 3,274,642 
Pricoa Global Funding I 5.375% 5/15/45 (c) 3,148,000 3,490,148 
Progressive Corp. 3.2% 3/26/30 1,484,000 1,653,867 
Prudential Financial, Inc. 4.5% 11/16/21 1,288,000 1,326,098 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(c) 3,000,000 3,438,000 
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (a) 7,316,000 7,431,474 
Unum Group:   
4% 6/15/29 6,130,000 6,770,003 
4.5% 3/15/25 12,980,000 14,548,484 
5.75% 8/15/42 1,622,000 1,956,396 
  170,095,224 
Thrifts & Mortgage Finance - 0.0%   
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (a) 655,000 648,450 
Quicken Loans, Inc. 5.25% 1/15/28 (a) 722,000 761,746 
  1,410,196 
TOTAL FINANCIALS  1,836,863,096 
HEALTH CARE - 0.5%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/21/29 4,900,000 5,297,459 
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
3.25% 2/15/29 (a) 545,000 543,945 
4.625% 2/1/28 (a) 65,000 68,751 
Teleflex, Inc. 4.25% 6/1/28 (a) 145,000 149,894 
  762,590 
Health Care Providers & Services - 0.2%   
Anthem, Inc. 3.3% 1/15/23 4,322,000 4,543,122 
Centene Corp.:   
2.5% 3/1/31 945,000 916,669 
3.375% 2/15/30 7,725,000 7,938,983 
4.25% 12/15/27 6,215,000 6,471,369 
4.625% 12/15/29 8,795,000 9,489,805 
4.75% 1/15/25 4,500,000 4,612,500 
5.375% 6/1/26 (a) 805,000 841,136 
5.375% 8/15/26 (a) 2,486,000 2,616,515 
Cigna Corp. 4.375% 10/15/28 6,630,000 7,733,874 
CVS Health Corp. 3.625% 4/1/27 3,208,000 3,567,386 
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (a) 1,405,000 1,429,588 
HCA Holdings, Inc. 4.75% 5/1/23 138,000 149,635 
Molina Healthcare, Inc. 3.875% 11/15/30 (a) 850,000 890,375 
Tenet Healthcare Corp.:   
4.625% 6/15/28 (a) 2,765,000 2,876,485 
4.875% 1/1/26 (a) 385,000 397,971 
5.125% 5/1/25 669,000 672,345 
6.25% 2/1/27 (a) 740,000 781,070 
Toledo Hospital:   
5.325% 11/15/28 2,395,000 2,813,554 
6.015% 11/15/48 4,674,000 5,954,523 
  64,696,905 
Health Care Technology - 0.0%   
IQVIA, Inc. 5% 5/15/27 (a) 630,000 659,138 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc.:   
4.25% 5/1/28 (a) 70,000 73,063 
5.5% 4/1/26 (a) 575,000 599,438 
  672,501 
Pharmaceuticals - 0.3%   
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 50,548,000 56,928,958 
Elanco Animal Health, Inc.:   
4.912% 8/27/21 (c) 1,077,000 1,091,809 
5.272% 8/28/23 (c) 3,402,000 3,657,150 
5.9% 8/28/28 (c) 1,432,000 1,661,120 
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 748,000 748,000 
Utah Acquisition Sub, Inc. 3.95% 6/15/26 2,065,000 2,306,416 
Viatris, Inc.:   
1.65% 6/22/25 (a) 1,773,000 1,799,980 
2.7% 6/22/30 (a) 9,017,000 9,139,474 
3.85% 6/22/40 (a) 3,928,000 4,165,296 
4% 6/22/50 (a) 6,783,000 7,043,095 
Zoetis, Inc. 3.25% 2/1/23 1,210,000 1,266,424 
  89,807,722 
TOTAL HEALTH CARE  161,896,315 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.2%   
BAE Systems PLC 3.4% 4/15/30 (a) 4,094,000 4,466,944 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) 641,000 655,423 
BWX Technologies, Inc.:   
4.125% 6/30/28 (a) 480,000 498,600 
5.375% 7/15/26 (a) 1,748,000 1,809,180 
Howmet Aerospace, Inc.:   
5.95% 2/1/37 25,000 30,061 
6.75% 1/15/28 365,000 433,438 
Moog, Inc. 4.25% 12/15/27 (a) 980,000 1,006,950 
Rolls-Royce PLC 5.75% 10/15/27 (a) 615,000 664,969 
The Boeing Co.:   
5.04% 5/1/27 6,070,000 6,995,877 
5.15% 5/1/30 6,070,000 7,073,142 
5.705% 5/1/40 6,070,000 7,647,976 
5.805% 5/1/50 6,070,000 7,830,000 
5.93% 5/1/60 6,070,000 7,964,192 
TransDigm, Inc.:   
6.25% 3/15/26 (a) 2,552,000 2,689,527 
7.5% 3/15/27 95,000 101,259 
8% 12/15/25 (a) 1,120,000 1,219,400 
  51,086,938 
Air Freight & Logistics - 0.0%   
XPO Logistics, Inc. 6.25% 5/1/25 (a) 1,705,000 1,831,255 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (a) 965,000 1,013,250 
Building Materials Corp. of America 4.375% 7/15/30 (a) 715,000 737,830 
Masco Corp. 4.45% 4/1/25 1,041,000 1,177,254 
  2,928,334 
Commercial Services & Supplies - 0.0%   
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) 915,000 912,713 
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) 115,000 117,861 
Nielsen Finance LLC/Nielsen Finance Co.:   
5.625% 10/1/28 (a) 495,000 521,532 
5.875% 10/1/30 (a) 490,000 529,813 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (a) 1,230,000 1,199,102 
Stericycle, Inc. 3.875% 1/15/29 (a) 450,000 453,218 
  3,734,239 
Construction & Engineering - 0.0%   
AECOM:   
5.125% 3/15/27 1,077,000 1,176,623 
5.875% 10/15/24 360,000 399,600 
  1,576,223 
Industrial Conglomerates - 0.2%   
General Electric Co.:   
3.45% 5/1/27 2,582,000 2,835,807 
3.625% 5/1/30 6,002,000 6,549,151 
4.25% 5/1/40 18,800,000 20,876,827 
4.35% 5/1/50 21,476,000 23,884,128 
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (a) 500,000 482,500 
  54,628,413 
Machinery - 0.0%   
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (a) 1,065,000 1,110,263 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (a) 1,470,000 1,532,475 
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (a) 765,000 783,555 
TriNet Group, Inc. 3.5% 3/1/29 (a) 405,000 401,456 
  2,717,486 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
0.7% 2/15/24 10,742,000 10,644,272 
2.25% 1/15/23 1,863,000 1,912,534 
3% 9/15/23 583,000 611,605 
3.375% 6/1/21 1,957,000 1,970,808 
3.375% 7/1/25 11,630,000 12,363,440 
3.75% 2/1/22 2,924,000 2,993,150 
3.75% 6/1/26 5,000,000 5,414,656 
3.875% 4/1/21 2,112,000 2,112,000 
4.25% 2/1/24 7,180,000 7,831,804 
4.25% 9/15/24 2,331,000 2,560,642 
  48,414,911 
Transportation Infrastructure - 0.0%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 2,141,000 2,180,981 
3.95% 7/1/24 (a) 2,844,000 2,978,200 
4.375% 5/1/26 (a) 3,481,000 3,693,062 
5.25% 5/15/24 (a) 4,186,000 4,557,903 
BNSF Funding Trust I 6.613% 12/15/55 (c) 1,374,000 1,580,966 
  14,991,112 
TOTAL INDUSTRIALS  183,019,174 
INFORMATION TECHNOLOGY - 0.4%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 5,600,000 6,142,855 
6.02% 6/15/26 (a) 1,948,000 2,334,998 
Sensata Technologies, Inc. 3.75% 2/15/31 (a) 1,410,000 1,415,288 
TTM Technologies, Inc.:   
4% 3/1/29 (a)(b) 315,000 318,544 
5.625% 10/1/25 (a) 1,785,000 1,825,894 
  12,037,579 
IT Services - 0.0%   
CDW LLC/CDW Finance Corp. 3.25% 2/15/29 615,000 605,160 
Gartner, Inc.:   
3.75% 10/1/30 (a) 255,000 258,188 
4.5% 7/1/28 (a) 395,000 414,750 
  1,278,098 
Semiconductors & Semiconductor Equipment - 0.2%   
Broadcom, Inc.:   
1.95% 2/15/28 (a) 2,879,000 2,838,129 
2.45% 2/15/31 (a) 19,432,000 18,871,288 
2.6% 2/15/33 (a) 19,432,000 18,656,666 
3.5% 2/15/41 (a) 19,430,000 19,362,986 
3.75% 2/15/51 (a) 9,284,000 9,154,438 
Entegris, Inc. 4.625% 2/10/26 (a) 836,000 863,279 
NVIDIA Corp. 2.85% 4/1/30 3,561,000 3,830,258 
ON Semiconductor Corp. 3.875% 9/1/28 (a) 300,000 313,500 
Qorvo, Inc. 3.375% 4/1/31 (a) 615,000 615,000 
  74,505,544 
Software - 0.1%   
CDK Global, Inc. 5.25% 5/15/29 (a) 1,132,000 1,218,451 
Crowdstrike Holdings, Inc. 3% 2/15/29 295,000 295,000 
Fair Isaac Corp. 5.25% 5/15/26 (a) 793,000 898,073 
Nuance Communications, Inc. 5.625% 12/15/26 1,382,000 1,447,645 
Open Text Corp. 3.875% 2/15/28 (a) 420,000 426,825 
Oracle Corp.:   
2.5% 4/1/25 8,253,000 8,747,868 
2.8% 4/1/27 8,253,000 8,876,633 
2.95% 4/1/30 8,300,000 8,932,146 
3.85% 4/1/60 8,300,000 8,967,907 
  39,810,548 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) 3,173,000 3,356,105 
TOTAL INFORMATION TECHNOLOGY  130,987,874 
MATERIALS - 0.1%   
Chemicals - 0.1%   
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (a) 585,000 611,325 
CF Industries Holdings, Inc.:   
4.95% 6/1/43 5,000 5,888 
5.15% 3/15/34 1,617,000 1,954,581 
5.375% 3/15/44 255,000 318,431 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 3.9665% 6/15/22 (a)(c)(d) 1,326,000 1,313,044 
6.5% 5/15/26 (a) 925,000 934,250 
6.875% 6/15/25 (a) 115,000 117,013 
Methanex Corp.:   
5.125% 10/15/27 765,000 791,163 
5.25% 12/15/29 90,000 92,306 
5.65% 12/1/44 581,000 598,430 
NOVA Chemicals Corp. 5.25% 6/1/27 (a) 949,000 989,333 
Olin Corp.:   
5% 2/1/30 1,715,000 1,795,948 
5.125% 9/15/27 975,000 1,011,001 
5.625% 8/1/29 465,000 501,619 
The Chemours Co. LLC:   
5.375% 5/15/27 1,115,000 1,173,538 
5.75% 11/15/28 (a) 275,000 281,875 
Valvoline, Inc.:   
3.625% 6/15/31 (a) 525,000 517,125 
4.25% 2/15/30 (a) 165,000 169,950 
W. R. Grace & Co.-Conn.:   
4.875% 6/15/27 (a) 305,000 316,224 
5.625% 10/1/24 (a) 1,254,000 1,364,440 
  14,857,484 
Containers & Packaging - 0.0%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (a) 25,000 25,873 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (a) 485,000 507,407 
8.5% 8/15/27 (a) 140,000 150,150 
  683,430 
Metals & Mining - 0.0%   
Anglo American Capital PLC 4.125% 4/15/21 (a) 1,089,000 1,092,778 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 1,499,000 1,635,784 
4.5% 8/1/47 (a) 1,522,000 1,698,457 
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) 10,000 10,988 
HudBay Minerals, Inc. 4.5% 4/1/26 (a)(b) 135,000 136,773 
Kaiser Aluminum Corp.:   
4.625% 3/1/28 (a) 1,005,000 1,049,150 
6.5% 5/1/25 (a) 260,000 278,200 
  5,902,130 
TOTAL MATERIALS  21,443,044 
REAL ESTATE - 0.8%   
Equity Real Estate Investment Trusts (REITs) - 0.6%   
Alexandria Real Estate Equities, Inc.:   
2% 5/18/32 8,258,000 8,045,373 
4.9% 12/15/30 7,224,000 8,818,223 
Boston Properties, Inc. 4.5% 12/1/28 4,766,000 5,573,852 
Corporate Office Properties LP:   
2.25% 3/15/26 2,969,000 3,044,595 
5% 7/1/25 2,273,000 2,575,772 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 720,000 742,334 
Duke Realty LP:   
3.25% 6/30/26 589,000 646,382 
3.625% 4/15/23 1,544,000 1,630,370 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,868,000 1,980,163 
3.5% 8/1/26 1,945,000 2,151,540 
Highwoods/Forsyth LP 3.2% 6/15/21 529,000 530,655 
Hudson Pacific Properties LP 4.65% 4/1/29 10,668,000 12,195,486 
Iron Mountain, Inc.:   
4.5% 2/15/31 (a) 820,000 814,014 
4.875% 9/15/29 (a) 615,000 627,300 
Lexington Corporate Properties Trust:   
2.7% 9/15/30 1,445,000 1,454,125 
4.4% 6/15/24 948,000 1,031,020 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 1,508,000 1,598,480 
4.5% 1/15/28 637,000 673,628 
4.625% 6/15/25 (a) 150,000 159,000 
5.75% 2/1/27 256,000 289,280 
Omega Healthcare Investors, Inc.:   
3.375% 2/1/31 5,854,000 5,999,286 
3.625% 10/1/29 8,376,000 8,789,590 
4.375% 8/1/23 4,882,000 5,270,278 
4.5% 1/15/25 2,013,000 2,193,155 
4.5% 4/1/27 716,000 793,775 
4.75% 1/15/28 11,294,000 12,595,791 
4.95% 4/1/24 882,000 967,557 
5.25% 1/15/26 3,755,000 4,266,225 
Realty Income Corp. 3.25% 1/15/31 1,828,000 1,988,476 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 641,000 681,768 
5% 12/15/23 494,000 530,636 
Retail Properties America, Inc.:   
4% 3/15/25 10,791,000 11,354,959 
4.75% 9/15/30 17,486,000 18,898,073 
SBA Communications Corp. 3.125% 2/1/29 (a) 830,000 807,366 
Service Properties Trust:   
3.95% 1/15/28 40,000 37,000 
4.375% 2/15/30 415,000 385,950 
4.95% 2/15/27 600,000 594,210 
4.95% 10/1/29 245,000 236,425 
5.5% 12/15/27 230,000 247,832 
Simon Property Group LP:   
2.45% 9/13/29 3,008,000 3,054,916 
3.375% 12/1/27 6,125,000 6,736,459 
SITE Centers Corp.:   
3.625% 2/1/25 1,532,000 1,597,229 
4.25% 2/1/26 2,753,000 2,951,123 
Store Capital Corp.:   
2.75% 11/18/30 3,456,000 3,447,893 
4.625% 3/15/29 2,374,000 2,700,668 
The GEO Group, Inc. 6% 4/15/26 305,000 222,650 
Uniti Group, Inc. 7.875% 2/15/25 (a) 1,050,000 1,124,618 
Ventas Realty LP:   
3% 1/15/30 11,060,000 11,578,579 
3.125% 6/15/23 1,033,000 1,085,827 
4% 3/1/28 2,150,000 2,422,844 
4.125% 1/15/26 999,000 1,130,419 
4.75% 11/15/30 16,500,000 19,530,134 
VEREIT Operating Partnership LP:   
2.2% 6/15/28 1,380,000 1,379,861 
2.85% 12/15/32 1,698,000 1,694,061 
3.4% 1/15/28 2,874,000 3,104,486 
VICI Properties, Inc.:   
4.25% 12/1/26 (a) 1,640,000 1,691,496 
4.625% 12/1/29 (a) 595,000 624,572 
Weingarten Realty Investors 3.375% 10/15/22 456,000 470,500 
WP Carey, Inc.:   
3.85% 7/15/29 1,773,000 1,971,654 
4% 2/1/25 3,423,000 3,758,077 
4.6% 4/1/24 5,327,000 5,898,233 
  209,396,243 
Real Estate Management & Development - 0.2%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,832,000 8,215,350 
3.95% 11/15/27 4,382,000 4,614,293 
4.1% 10/1/24 3,961,000 4,258,281 
4.55% 10/1/29 1,896,000 2,077,984 
CBRE Group, Inc. 4.875% 3/1/26 7,844,000 9,132,080 
Essex Portfolio LP 3.875% 5/1/24 1,923,000 2,090,817 
Howard Hughes Corp.:   
4.125% 2/1/29 (a) 395,000 392,097 
4.375% 2/1/31 (a) 395,000 394,095 
Mack-Cali Realty LP:   
3.15% 5/15/23 3,573,000 3,611,027 
4.5% 4/18/22 678,000 691,779 
Mid-America Apartments LP 4% 11/15/25 828,000 924,732 
Post Apartment Homes LP 3.375% 12/1/22 502,000 522,110 
Tanger Properties LP:   
3.125% 9/1/26 2,628,000 2,719,379 
3.75% 12/1/24 2,635,000 2,821,492 
3.875% 12/1/23 1,186,000 1,245,170 
3.875% 7/15/27 11,191,000 11,849,260 
  55,559,946 
TOTAL REAL ESTATE  264,956,189 
UTILITIES - 0.5%   
Electric Utilities - 0.2%   
Clearway Energy Operating LLC:   
4.75% 3/15/28 (a) 140,000 149,625 
5% 9/15/26 925,000 952,750 
5.75% 10/15/25 333,000 348,168 
Cleco Corporate Holdings LLC 3.375% 9/15/29 4,843,000 5,017,874 
DPL, Inc. 4.35% 4/15/29 2,785,000 3,097,393 
Duquesne Light Holdings, Inc.:   
2.532% 10/1/30 (a) 2,328,000 2,320,578 
5.9% 12/1/21 (a) 3,889,000 4,027,870 
Exelon Corp.:   
4.05% 4/15/30 3,122,000 3,575,133 
4.7% 4/15/50 1,390,000 1,731,637 
FirstEnergy Corp.:   
4.25% 3/15/23 4,502,000 4,766,402 
7.375% 11/15/31 5,738,000 7,891,930 
InterGen NV 7% 6/30/23 (a) 964,000 935,080 
IPALCO Enterprises, Inc. 3.7% 9/1/24 1,963,000 2,131,722 
NextEra Energy Partners LP 4.25% 9/15/24 (a) 56,000 59,360 
NRG Energy, Inc.:   
3.375% 2/15/29 (a) 1,230,000 1,217,565 
3.625% 2/15/31 (a) 1,785,000 1,758,225 
5.25% 6/15/29 (a) 484,000 510,799 
5.75% 1/15/28 581,000 617,313 
6.625% 1/15/27 185,000 192,378 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) 1,349,547 1,430,520 
Pattern Energy Operations LP 4.5% 8/15/28 (a) 215,000 223,710 
PG&E Corp.:   
5% 7/1/28 615,000 646,519 
5.25% 7/1/30 1,155,000 1,235,504 
Vistra Operations Co. LLC:   
5% 7/31/27 (a) 1,873,000 1,959,626 
5.5% 9/1/26 (a) 3,498,000 3,629,175 
5.625% 2/15/27 (a) 665,000 694,925 
  51,121,781 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (a) 1,213,000 1,529,896 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 701,000 702,972 
  2,232,868 
Independent Power and Renewable Electricity Producers - 0.1%   
TerraForm Power Operating LLC:   
4.75% 1/15/30 (a) 75,000 78,969 
5% 1/31/28 (a) 656,000 724,880 
The AES Corp.:   
3.3% 7/15/25 (a) 15,965,000 17,117,096 
3.95% 7/15/30 (a) 13,922,000 15,209,646 
  33,130,591 
Multi-Utilities - 0.2%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 (a) 1,758,000 1,996,732 
4.05% 4/15/25 (a) 21,459,000 23,916,919 
Consolidated Edison Co. of New York, Inc.:   
3.35% 4/1/30 1,411,000 1,559,741 
3.95% 4/1/50 2,477,000 2,808,057 
NiSource, Inc.:   
2.95% 9/1/29 12,206,000 12,922,771 
5.95% 6/15/41 1,737,000 2,329,511 
Puget Energy, Inc.:   
4.1% 6/15/30 6,250,000 6,979,344 
5.625% 7/15/22 3,305,000 3,482,489 
6% 9/1/21 3,185,000 3,271,998 
Sempra Energy 6% 10/15/39 2,744,000 3,692,515 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3063% 5/15/67 (c)(d) 1,843,000 1,699,092 
  64,659,169 
TOTAL UTILITIES  151,144,409 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,873,633,183)  4,250,355,094 
U.S. Treasury Obligations - 5.7%   
U.S. Treasury Bonds:   
1.25% 5/15/50 $427,000,000 $344,835,857 
1.375% 8/15/50 233,000,000 194,518,594 
1.875% 2/15/51 133,431,000 126,342,478 
U.S. Treasury Notes:   
0.125% 6/30/22 455,500,000 455,660,136 
0.875% 11/15/30 266,938,000 254,508,699 
1.125% 2/28/22 399,000,000 403,130,272 
3.125% 11/15/28 51,642,000 58,988,881 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $1,950,235,363)  1,837,984,917 
U.S. Government Agency - Mortgage Securities - 19.3%   
Fannie Mae - 4.0%   
12 month U.S. LIBOR + 1.440% 3.364% 4/1/37 (c)(d) 11,229 11,737 
12 month U.S. LIBOR + 1.460% 2.017% 1/1/35 (c)(d) 8,644 9,039 
12 month U.S. LIBOR + 1.480% 2.423% 7/1/34 (c)(d) 2,084 2,178 
12 month U.S. LIBOR + 1.530% 2.291% 3/1/36 (c)(d) 1,813 1,895 
12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (c)(d) 10,568 11,116 
12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (c)(d) 6,581 6,896 
12 month U.S. LIBOR + 1.620% 2.491% 3/1/33 (c)(d) 9,731 10,142 
12 month U.S. LIBOR + 1.620% 2.803% 5/1/36 (c)(d) 24,830 26,095 
12 month U.S. LIBOR + 1.630% 2.156% 9/1/36 (c)(d) 8,349 8,784 
12 month U.S. LIBOR + 1.640% 2.727% 6/1/47 (c)(d) 14,001 14,847 
12 month U.S. LIBOR + 1.660% 2.332% 5/1/35 (c)(d) 20,147 21,129 
12 month U.S. LIBOR + 1.670% 2.386% 7/1/43 (c)(d) 181,041 189,456 
12 month U.S. LIBOR + 1.670% 2.551% 11/1/36 (c)(d) 5,598 5,882 
12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (c)(d) 3,999 4,209 
12 month U.S. LIBOR + 1.700% 2.991% 6/1/42 (c)(d) 15,162 15,892 
12 month U.S. LIBOR + 1.710% 2.673% 8/1/35 (c)(d) 6,713 7,068 
12 month U.S. LIBOR + 1.730% 2.383% 3/1/40 (c)(d) 19,478 20,510 
12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (c)(d) 10,709 11,292 
12 month U.S. LIBOR + 1.750% 2.412% 8/1/41 (c)(d) 19,247 20,217 
12 month U.S. LIBOR + 1.750% 2.577% 7/1/35 (c)(d) 5,069 5,320 
12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (c)(d) 32,168 33,743 
12 month U.S. LIBOR + 1.800% 2.384% 12/1/40 (c)(d) 532,471 559,905 
12 month U.S. LIBOR + 1.800% 2.71% 7/1/41 (c)(d) 12,098 12,638 
12 month U.S. LIBOR + 1.810% 2.185% 12/1/39 (c)(d) 13,262 13,962 
12 month U.S. LIBOR + 1.810% 2.321% 9/1/41 (c)(d) 7,441 7,783 
12 month U.S. LIBOR + 1.810% 2.694% 7/1/41 (c)(d) 12,939 13,629 
12 month U.S. LIBOR + 1.810% 3.141% 2/1/42 (c)(d) 27,277 28,612 
12 month U.S. LIBOR + 1.820% 3.111% 2/1/35 (c)(d) 49,804 52,378 
12 month U.S. LIBOR + 1.830% 2.33% 10/1/41 (c)(d) 4,989 5,176 
12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (c)(d) 19,353 20,528 
6 month U.S. LIBOR + 1.500% 1.755% 1/1/35 (c)(d) 20,973 21,786 
6 month U.S. LIBOR + 1.530% 2.025% 3/1/35 (c)(d) 3,809 3,962 
6 month U.S. LIBOR + 1.530% 2.211% 12/1/34 (c)(d) 3,810 3,961 
6 month U.S. LIBOR + 1.550% 1.828% 10/1/33 (c)(d) 1,497 1,554 
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (c)(d) 2,451 2,554 
6 month U.S. LIBOR + 1.740% 1.99% 12/1/34 (c)(d) 369 386 
6 month U.S. LIBOR + 1.960% 2.725% 9/1/35 (c)(d) 4,448 4,675 
U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (c)(d) 4,201 4,417 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (c)(d) 23,364 24,533 
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (c)(d) 10,493 11,022 
U.S. TREASURY 1 YEAR INDEX + 2.460% 3.006% 7/1/34 (c)(d) 28,818 30,305 
2.5% 5/1/31 to 10/1/50 (e)(f)(g)(h) 176,645,648 185,015,373 
3% 7/1/27 to 9/1/50 475,487,412 506,236,914 
3.25% 12/1/41 6,758 7,379 
3.4% 7/1/42 to 9/1/42 117,910 128,384 
3.5% 7/1/32 to 5/1/50 352,310,830 378,823,058 
3.525% 5/1/42 3,918 4,343 
3.65% 5/1/42 to 8/1/42 46,060 50,700 
3.9% 4/1/42 10,357 11,570 
4% 11/1/31 to 11/1/49 113,129,807 124,144,594 
4.25% 11/1/41 32,152 36,094 
4.5% to 4.5% 12/1/23 to 9/1/49 (e)(h) 75,478,925 83,449,600 
5% 1/1/22 to 2/1/49 13,265,984 15,093,599 
5.255% 8/1/41 (c) 382,920 433,995 
5.5% 10/1/21 to 9/1/24 20,000 20,386 
6% to 6% 3/1/21 to 1/1/42 1,822,294 2,152,488 
6.5% 3/1/22 to 5/1/38 264,479 302,462 
6.582% 2/1/39 (c) 304,839 338,293 
7% to 7% 9/1/21 to 7/1/37 190,351 218,992 
7.5% to 7.5% 9/1/22 to 9/1/32 93,697 107,554 
8% 3/1/37 3,135 3,821 
8.5% 2/1/22 to 9/1/22 152 160 
9% 10/1/30 7,363 8,754 
TOTAL FANNIE MAE  1,297,849,726 
Freddie Mac - 2.2%   
12 month U.S. LIBOR + 1.320% 1.73% 1/1/36 (c)(d) 7,987 8,303 
12 month U.S. LIBOR + 1.370% 1.977% 3/1/36 (c)(d) 26,792 27,950 
12 month U.S. LIBOR + 1.500% 2.406% 3/1/36 (c)(d) 26,930 28,177 
12 month U.S. LIBOR + 1.510% 2.015% 11/1/35 (c)(d) 6,341 6,640 
12 month U.S. LIBOR + 1.750% 2.179% 12/1/40 (c)(d) 235,654 247,134 
12 month U.S. LIBOR + 1.750% 2.328% 9/1/41 (c)(d) 107,940 113,331 
12 month U.S. LIBOR + 1.750% 2.596% 7/1/41 (c)(d) 56,139 58,974 
12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (c)(d) 2,586 2,719 
12 month U.S. LIBOR + 1.860% 3.614% 4/1/36 (c)(d) 9,443 9,986 
12 month U.S. LIBOR + 1.880% 2.481% 9/1/41 (c)(d) 8,965 9,274 
12 month U.S. LIBOR + 1.880% 3.725% 4/1/41 (c)(d) 4,842 5,095 
12 month U.S. LIBOR + 1.890% 2.664% 10/1/42 (c)(d) 35,493 37,454 
12 month U.S. LIBOR + 1.910% 2.91% 6/1/41 (c)(d) 5,635 5,944 
12 month U.S. LIBOR + 1.910% 2.928% 6/1/41 (c)(d) 17,552 18,505 
12 month U.S. LIBOR + 1.910% 2.986% 5/1/41 (c)(d) 13,875 14,620 
12 month U.S. LIBOR + 1.910% 3.32% 5/1/41 (c)(d) 18,996 20,049 
12 month U.S. LIBOR + 1.920% 2.92% 6/1/36 (c)(d) 5,273 5,577 
12 month U.S. LIBOR + 1.960% 2.851% 6/1/33 (c)(d) 13,025 13,733 
12 month U.S. LIBOR + 2.020% 3.869% 4/1/38 (c)(d) 14,513 15,219 
12 month U.S. LIBOR + 2.040% 2.569% 3/1/33 (c)(d) 322 338 
12 month U.S. LIBOR + 2.040% 2.97% 7/1/36 (c)(d) 16,637 17,607 
12 month U.S. LIBOR + 2.200% 2.575% 12/1/36 (c)(d) 23,787 25,149 
6 month U.S. LIBOR + 1.120% 1.622% 8/1/37 (c)(d) 8,732 8,958 
6 month U.S. LIBOR + 1.580% 1.83% 12/1/35 (c)(d) 1,057 1,102 
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (c)(d) 3,695 3,874 
6 month U.S. LIBOR + 1.840% 2.72% 2/1/37 (c)(d) 4,476 4,701 
6 month U.S. LIBOR + 1.850% 2.438% 10/1/36 (c)(d) 35,858 37,567 
6 month U.S. LIBOR + 1.860% 2.401% 10/1/35 (c)(d) 19,518 20,439 
6 month U.S. LIBOR + 2.020% 2.28% 6/1/37 (c)(d) 22,522 23,651 
6 month U.S. LIBOR + 2.680% 2.933% 10/1/35 (c)(d) 11,328 11,937 
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.967% 6/1/33 (c)(d) 24,386 25,605 
U.S. TREASURY 1 YEAR INDEX + 2.260% 3.044% 6/1/33 (c)(d) 43,669 45,776 
U.S. TREASURY 1 YEAR INDEX + 2.420% 2.68% 3/1/35 (c)(d) 90,614 95,356 
2.5% 6/1/31 to 11/1/50 71,238,269 74,436,579 
3% 6/1/31 to 8/1/50 252,818,188 269,513,030 
3.5% 6/1/27 to 2/1/50 (g)(h) 152,466,133 164,567,247 
3.5% 8/1/47 4,121,261 4,445,301 
4% 6/1/33 to 1/1/49 (e)(h) 141,580,040 154,674,440 
4% 4/1/48 30,324 32,701 
4.5% 6/1/25 to 12/1/48 18,330,143 20,302,702 
5% 7/1/33 to 7/1/41 3,787,521 4,342,989 
5.5% 6/1/22 9,082 9,272 
6% 12/1/21 to 6/1/39 384,178 447,974 
6.5% 5/1/21 to 9/1/39 627,453 736,592 
7% 3/1/26 to 9/1/36 184,393 215,095 
7.5% 1/1/27 to 7/1/34 54,655 63,996 
8% 7/1/24 to 4/1/32 4,141 4,774 
8.5% 12/1/22 to 1/1/28 2,623 2,939 
TOTAL FREDDIE MAC  694,766,375 
Ginnie Mae - 5.3%   
3.5% 9/20/40 to 8/20/50 337,413,034 358,979,275 
4% 7/20/33 to 6/20/49 214,747,718 233,263,471 
4.5% 6/20/33 to 11/20/47 35,437,498 39,192,493 
5.5% 8/15/33 to 9/15/39 330,200 382,695 
6% to 6% 10/15/30 to 5/15/40 465,773 545,537 
7% to 7% 11/15/22 to 11/15/32 187,859 217,047 
7.5% to 7.5% 2/15/22 to 9/15/31 49,070 54,618 
8% 11/15/21 to 11/15/29 13,308 14,512 
8.5% to 8.5% 11/15/21 to 1/15/31 5,841 6,731 
9% 1/15/23 23 25 
2% 3/1/51 (b) 6,800,000 6,905,611 
2% 3/1/51 (b) 5,200,000 5,280,762 
2% 3/1/51 (b) 33,800,000 34,324,951 
2% 3/1/51 (b) 4,850,000 4,925,326 
2% 3/1/51 (b) 11,200,000 11,373,948 
2% 3/1/51 (b) 25,400,000 25,794,490 
2% 3/1/51 (b) 11,850,000 12,034,044 
2% 3/1/51 (b) 9,450,000 9,596,769 
2% 3/1/51 (b) 4,400,000 4,468,337 
2% 3/1/51 (b) 6,200,000 6,296,293 
2% 3/1/51 (b) 13,350,000 13,557,340 
2% 3/1/51 (b) 11,450,000 11,627,831 
2% 3/1/51 (b) 7,050,000 7,159,494 
2% 3/1/51 (b) 17,150,000 17,416,358 
2% 3/1/51 (b) 10,550,000 10,713,853 
2% 3/1/51 (b) 13,900,000 14,115,882 
2% 3/1/51 (b) 10,200,000 10,358,417 
2% 3/1/51 (b) 8,400,000 8,530,461 
2% 3/1/51 (b) 13,600,000 13,811,223 
2% 4/1/51 (b) 44,400,000 44,997,660 
2% 4/1/51 (b) 21,100,000 21,384,023 
2% 4/1/51 (b) 22,200,000 22,498,830 
2% 4/1/51 (b) 10,550,000 10,692,011 
2.5% 11/20/47 to 12/20/50 70,186,138 73,003,123 
2.5% 3/1/51 (b) 3,100,000 3,219,206 
2.5% 3/1/51 (b) 19,700,000 20,457,532 
2.5% 3/1/51 (b) 3,100,000 3,219,206 
2.5% 3/1/51 (b) 8,600,000 8,930,699 
2.5% 3/1/51 (b) 52,200,000 54,207,267 
2.5% 3/1/51 (b) 5,700,000 5,919,184 
2.5% 3/1/51 (b) 6,500,000 6,749,947 
2.5% 3/1/51 (b) 1,750,000 1,817,293 
2.5% 3/1/51 (b) 1,850,000 1,921,139 
2.5% 3/1/51 (b) 3,100,000 3,219,206 
2.5% 3/1/51 (b) 7,700,000 7,996,091 
2.5% 3/1/51 (b) 3,200,000 3,323,051 
2.5% 3/1/51 (b) 9,700,000 10,072,998 
2.5% 3/1/51 (b) 22,600,000 23,469,047 
2.5% 4/1/51 (b) 32,200,000 33,366,506 
2.5% 4/1/51 (b) 13,600,000 14,092,686 
3% 5/15/42 to 11/20/50 252,407,071 264,280,973 
3% 3/1/51 (b) 3,000,000 3,125,331 
3% 3/1/51 (b) 8,700,000 9,063,461 
3% 3/1/51 (b) 18,100,000 18,856,166 
3% 3/1/51 (b) 17,550,000 18,283,188 
3% 3/1/51 (b) 14,050,000 14,636,968 
3% 3/1/51 (b) 38,000,000 39,587,530 
3% 3/1/51 (b) 4,850,000 5,052,619 
3% 3/1/51 (b) 30,600,000 31,878,379 
3% 3/1/51 (b) 7,550,000 7,865,417 
3% 3/1/51 (b) 7,750,000 8,073,773 
3% 3/1/51 (b) 4,400,000 4,583,819 
5% 4/15/33 to 6/20/48 21,595,031 24,023,622 
6.5% 3/20/31 to 6/15/37 69,567 81,743 
TOTAL GINNIE MAE  1,684,897,488 
Uniform Mortgage Backed Securities - 7.8%   
1.5% 3/1/36 (b) 15,200,000 15,394,694 
1.5% 3/1/36 (b) 2,850,000 2,886,505 
1.5% 3/1/36 (b) 3,050,000 3,089,067 
1.5% 3/1/36 (b) 15,000,000 15,192,132 
1.5% 3/1/36 (b) 1,800,000 1,823,056 
1.5% 3/1/36 (b) 13,500,000 13,672,919 
1.5% 3/1/36 (b) 16,500,000 16,711,345 
1.5% 3/1/36 (b) 9,125,000 9,241,880 
1.5% 3/1/36 (b) 11,150,000 11,292,818 
1.5% 3/1/36 (b) 7,400,000 7,494,785 
2% 3/1/51 (b) 3,900,000 3,937,126 
2% 3/1/51 (b) 13,300,000 13,426,609 
2% 3/1/51 (b) 33,000,000 33,314,144 
2% 3/1/51 (b) 7,700,000 7,773,300 
2% 3/1/51 (b) 5,300,000 5,350,453 
2% 3/1/51 (b) 9,050,000 9,136,151 
2% 3/1/51 (b) 4,950,000 4,997,122 
2% 3/1/51 (b) 10,750,000 10,852,335 
2% 3/1/51 (b) 5,900,000 5,956,165 
2% 3/1/51 (b) 23,200,000 23,420,852 
2% 3/1/51 (b) 12,750,000 12,871,374 
2% 3/1/51 (b) 10,600,000 10,700,907 
2% 3/1/51 (b) 6,400,000 6,460,925 
2% 3/1/51 (b) 5,150,000 5,199,025 
2% 3/1/51 (b) 5,050,000 5,098,073 
2% 3/1/51 (b) 47,700,000 48,154,080 
2% 3/1/51 (b) 4,900,000 4,946,646 
2% 3/1/51 (b) 10,600,000 10,700,907 
2% 3/1/51 (b) 7,600,000 7,672,348 
2% 3/1/51 (b) 8,500,000 8,580,916 
2% 3/1/51 (b) 2,500,000 2,523,799 
2% 3/1/51 (b) 37,500,000 37,856,981 
2% 3/1/51 (b) 26,650,000 26,903,695 
2% 3/1/51 (b) 16,500,000 16,657,072 
2% 3/1/51 (b) 24,050,000 24,278,944 
2% 3/1/51 (b) 9,050,000 9,136,151 
2% 3/1/51 (b) 14,050,000 14,183,749 
2% 3/1/51 (b) 37,200,000 37,554,125 
2% 4/1/51 (b) 13,850,000 13,952,088 
2% 4/1/51 (b) 34,300,000 34,552,825 
2% 4/1/51 (b) 50,300,000 50,670,761 
2% 4/1/51 (b) 23,250,000 23,421,376 
2% 4/1/51 (b) 50,300,000 50,670,761 
2% 4/1/51 (b) 23,200,000 23,371,007 
2.5% 3/1/51 (b) 11,800,000 12,236,047 
2.5% 3/1/51 (b) 12,000,000 12,443,437 
2.5% 3/1/51 (b) 20,900,000 21,672,320 
2.5% 3/1/51 (b) 21,000,000 21,776,015 
2.5% 3/1/51 (b) 8,500,000 8,814,101 
2.5% 3/1/51 (b) 9,100,000 9,436,273 
2.5% 3/1/51 (b) 34,900,000 36,189,663 
2.5% 3/1/51 (b) 9,800,000 10,162,140 
2.5% 3/1/51 (b) 3,600,000 3,733,031 
2.5% 3/1/51 (b) 69,900,000 72,483,022 
2.5% 3/1/51 (b) 8,600,000 8,917,797 
2.5% 3/1/51 (b) 2,800,000 2,903,469 
2.5% 3/1/51 (b) 30,600,000 31,730,765 
2.5% 3/1/51 (b) 58,500,000 60,661,756 
2.5% 3/1/51 (b) 16,700,000 17,317,117 
2.5% 3/1/51 (b) 7,700,000 7,984,539 
2.5% 4/1/51 (b) 53,650,000 55,515,174 
2.5% 4/1/51 (b) 17,400,000 18,004,921 
3% 3/1/51 (b) 8,600,000 9,005,476 
3% 3/1/51 (b) 29,100,000 30,472,018 
3% 3/1/51 (b) 46,650,000 48,849,473 
3% 3/1/51 (b) 21,300,000 22,304,261 
3% 3/1/51 (b) 55,500,000 58,116,736 
3% 3/1/51 (b) 19,450,000 20,367,036 
3% 3/1/51 (b) 35,350,000 37,016,696 
3% 3/1/51 (b) 17,325,000 18,141,846 
3% 3/1/51 (b) 20,650,000 21,623,614 
3% 3/1/51 (b) 52,350,000 54,818,219 
3% 3/1/51 (b) 10,900,000 11,413,918 
3% 3/1/51 (b) 42,900,000 44,922,666 
3% 3/1/51 (b) 10,000,000 10,471,484 
3% 3/1/51 (b) 32,950,000 34,503,540 
3% 3/1/51 (b) 10,000,000 10,471,484 
3% 3/1/51 (b) 32,950,000 34,503,540 
3% 3/1/51 (b) 62,850,000 65,813,277 
3% 3/1/51 (b) 4,175,000 4,371,845 
3% 3/1/51 (b) 63,300,000 66,284,494 
3% 3/1/51 (b) 18,925,000 19,817,283 
3% 4/1/51 (b) 11,600,000 12,148,733 
3% 4/1/51 (b) 49,200,000 51,527,386 
3% 4/1/51 (b) 62,900,000 65,875,459 
3% 4/1/51 (b) 18,400,000 19,270,405 
3% 4/1/51 (b) 19,800,000 20,736,631 
3% 4/1/51 (b) 78,700,000 82,422,872 
3% 4/1/51 (b) 73,350,000 76,819,792 
3% 4/1/51 (b) 17,300,000 18,118,370 
3.5% 3/1/51 (b) 97,875,000 103,831,614 
3.5% 3/1/51 (b) 3,625,000 3,845,615 
3.5% 3/1/51 (b) 2,700,000 2,864,320 
3.5% 3/1/51 (b) 83,350,000 88,422,631 
3.5% 3/1/51 (b) 87,500,000 92,825,198 
3.5% 3/1/51 (b) 2,850,000 3,023,449 
3.5% 3/1/51 (b) 28,300,000 30,022,321 
3.5% 3/1/51 (b) 4,700,000 4,986,039 
3.5% 3/1/51 (b) 28,350,000 30,075,364 
3.5% 3/1/51 (b) 4,750,000 5,039,082 
3.5% 3/1/51 (b) 150,000 159,129 
3.5% 3/1/51 (b) 150,000 159,129 
3.5% 3/1/51 (b) 35,400,000 37,554,423 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  2,486,080,448 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $6,106,622,909)  6,163,594,037 
Asset-Backed Securities - 2.5%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $8,558,545 $8,514,643 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 5,234,406 5,283,139 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 8,572,969 8,623,360 
Class B, 4.458% 10/16/39 (a) 1,563,726 1,473,145 
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) 4,062,000 4,065,434 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5424% 7/22/32 (a)(c)(d) 11,898,000 11,906,674 
AIMCO CLO Ltd.:   
Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.6046% 10/15/31 (a)(c)(d) 8,424,000 8,440,300 
Series 2021-12A Class A, 3 month U.S. LIBOR + 1.210% 1.4356% 1/17/32 (a)(c)(d) 9,320,000 9,326,599 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.554% 1/20/33 (a)(c)(d) 4,684,000 4,698,731 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 4,600,146 4,600,570 
Class B, 4.335% 1/16/40 (a) 766,953 721,484 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (a)(c)(d) 8,066,000 8,082,689 
Ares CLO Ltd. Series 2020-58A Class A, 3 month U.S. LIBOR + 1.220% 1.4558% 1/15/33 (a)(c)(d) 11,060,000 11,072,763 
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.9413% 4/15/31 (a)(c)(d) 8,740,000 8,760,644 
Ares XLI CLO Ltd. / Ares XLI CLO LLC:   
Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.4413% 1/15/29 (a)(c)(d) 9,695,000 9,692,576 
Series 2021-41A Class AR2, 1 month U.S. LIBOR + 1.070% 1.07% 4/15/34 (a)(b)(c)(d) 11,760,000 11,760,000 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4734% 4/17/33 (a)(c)(d) 20,753,000 20,822,149 
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.720% 0.4776% 10/25/35 (c)(d) 3,097 3,097 
Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.6413% 10/15/32 (a)(c)(d) 13,346,000 13,380,313 
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.444% 1/20/32 (a)(c)(d) 9,220,000 9,228,252 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5534% 1/17/33 (a)(c)(d) 3,961,000 3,978,321 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (a) 6,089,926 6,106,808 
Class AA, 2.487% 12/16/41 (a)(c) 1,014,906 1,018,082 
Brazos Higher Education Authority, Inc.:   
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.1065% 5/25/29 (c)(d) 366,296 366,797 
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.0678% 7/25/29 (c)(d) 527,425 527,742 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (a)(c)(d) 10,597,000 10,593,535 
Cascade Funding Mortgage Trust:   
Series 2020-HB2 Class A, 3.4047% 4/25/30 (a) 13,681,320 13,830,214 
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(c) 1,604,039 1,619,507 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 8,579,752 8,596,512 
Class B, 5.095% 4/15/39 (a) 3,608,108 3,477,903 
Castlelake Aircraft Structured Trust:   
Series 2018-1 Class A, 4.125% 6/15/43 (a) 5,422,562 5,462,585 
Series 2021-1A:   
Class A, 3.474% 1/15/46 (a) 3,675,493 3,726,598 
Class B, 6.656% 1/15/46 (a) 1,790,099 1,796,044 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.564% 10/20/32 (a)(c)(d) 6,412,000 6,444,310 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.5744% 5/29/32 (a)(c)(d) 4,342,000 4,352,139 
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.5101% 10/25/32 (a)(c)(d) 5,250,000 5,268,538 
CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.314% 10/20/28 (a)(c)(d) 2,010,000 2,010,917 
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.924% 7/20/31 (a)(c)(d) 10,867,000 10,925,084 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.4676% 10/25/37 (a)(c)(d) 162,292 163,160 
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 1,542,443 1,549,611 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 0.591% 9/28/30 (c)(d) 683,643 681,311 
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.3474% 4/20/34 (a)(c)(d) 9,300,000 9,300,000 
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.534% 1/20/34 (a)(c)(d) 12,220,000 12,245,992 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) 814,895 816,938 
Consumer Loan Underlying Bond Credit Trust:   
Series 2018-P3 Class A, 3.82% 1/15/26 (a) 275,294 275,907 
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) 7,786,618 7,879,964 
Series 2019-P1 Class A, 2.94% 7/15/26 (a) 1,583,505 1,591,003 
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) 185,273 185,570 
DB Master Finance LLC:   
Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 3,136,980 3,207,280 
Class A2II, 4.03% 11/20/47 (a) 5,335,970 5,652,980 
Series 2019-1A:   
Class A23, 4.352% 5/20/49 (a) 989,925 1,067,535 
Class A2II, 4.021% 5/20/49 (a) 744,660 790,092 
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (a) 2,113,650 2,208,954 
Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.5513% 7/15/32 (a)(c)(d) 7,300,000 7,305,241 
Dryden CLO, Ltd.:   
Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.4413% 7/15/30 (a)(c)(d) 4,690,000 4,688,828 
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.554% 10/20/32 (a)(c)(d) 10,321,000 10,363,120 
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4573% 1/18/32 (a)(c)(d) 3,940,000 3,943,495 
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5633% 10/15/32 (a)(c)(d) 9,656,000 9,690,984 
Dryden Senior Loan Fund:   
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.3934% 1/16/32 (a)(c)(d) 2,909,000 2,922,221 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.5238% 5/15/32 (a)(c)(d) 7,468,000 7,472,100 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4034% 4/17/33 (a)(c)(d) 7,000,000 7,046,158 
Eaton Vance CLO, Ltd.:   
Series 2020-1A Class A, 3 month U.S. LIBOR + 1.650% 1.8913% 10/15/30 (a)(c)(d) 9,200,000 9,235,181 
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5603% 10/15/32 (a)(c)(d) 9,400,000 9,415,820 
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.4101% 1/15/34 (a)(c)(d) 2,000,000 2,000,000 
Enterprise Fleet Financing, LLC Series 2021-1 Class A2, 0.44% 12/21/26 (a) 11,363,000 11,359,040 
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) 183,321 183,511 
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (a)(c) 8,025,000 8,025,000 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.5138% 11/16/32 (a)(c)(d) 8,949,000 8,976,223 
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5483% 11/20/33 (a)(c)(d) 8,920,000 8,997,158 
Ford Credit Floorplan Master Owner Trust:   
Series 2018-1 Class B, 3.1% 5/15/23 6,690,000 6,778,000 
Series 2019-1 Class B, 3.04% 3/15/24 1,170,000 1,201,637 
Series 2019-2 Class A, 3.06% 4/15/26 8,253,000 8,873,106 
Series 2019-3 Class A1, 2.23% 9/15/24 4,320,000 4,444,762 
Series 2019-4 Class A, 2.44% 9/15/26 1,300,000 1,379,237 
GM Financial Automobile Leasing Trust Series 2020-1 Class A2A, 1.67% 4/20/22 3,758,856 3,773,747 
GMF Floorplan Owner Revolving Trust:   
Series 2018-2 Class A2, 3.13% 3/15/23 (a) 6,010,000 6,018,163 
Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5174% 9/15/23 (a)(c)(d) 4,186,000 4,192,322 
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.7705% 4/10/31 (a)(c)(d) 17,143 17,154 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 3,273,176 3,305,176 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 4,670,086 4,682,470 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) 7,887,000 8,089,033 
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4484% 1/15/33 (a)(c)(d) 4,500,000 4,503,186 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1424% 1/22/28 (a)(c)(d) 2,750,000 2,749,766 
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.14% 4/19/34 (a)(b)(c)(d) 9,810,000 9,810,000 
Madison Park Funding Ltd. Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.5413% 7/15/32 (a)(c)(d) 9,585,000 9,591,527 
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.8913% 7/15/31 (a)(c)(d) 9,770,000 9,791,807 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5713% 10/15/32 (a)(c)(d) 4,271,000 4,294,572 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0234% 1/18/28 (a)(c)(d) 8,499,186 8,470,144 
Magnetite XXI Ltd.:   
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.504% 4/20/30 (a)(c)(d) 7,329,000 7,330,231 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5713% 1/15/33 (a)(c)(d) 23,148,000 23,220,314 
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 0.99% 1/15/34 (a)(b)(c)(d) 8,400,000 8,400,000 
Marlette Funding Trust:   
Series 2019-4A Class A, 2.39% 12/17/29 (a) 2,014,457 2,031,538 
Series 2020-1A Class A, 2.24% 3/15/30 (a) 1,213,183 1,219,308 
Mercedes-Benz Master Owner Trust Series 2019-BA Class A, 2.61% 5/15/24 (a) 10,340,000 10,635,603 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 2,668,558 2,771,758 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.294% 10/20/30 (a)(c)(d) 10,553,000 10,557,000 
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.1205% 8/10/23 (a)(c)(d) 21,867,000 21,808,353 
Nationstar HECM Loan Trust:   
Series 2019-1A Class A, 2.6513% 6/25/29 (a) 1,320,277 1,322,553 
Series 2020-1A Class A1, 1.2686% 9/25/30 (a) 13,602,586 13,584,209 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7176% 7/26/66 (a)(c)(d) 497,231 497,445 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.760% 0.8826% 9/25/35 (c)(d) 18,128 18,118 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5234% 7/17/32 (a)(c)(d) 8,594,000 8,603,402 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 7,139,880 6,807,162 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) 6,713,768 6,722,115 
Prosper Marketplace Issuance Trust:   
Series 2019-3A Class A, 3.19% 7/15/25 (a) 789,683 791,177 
Series 2019-4A Class A, 2.48% 2/17/26 (a) 1,002,757 1,006,076 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) 3,874,546 3,902,826 
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) 3,072,428 3,083,216 
Santander Retail Auto Lease Trust Series 2019-C Class A2A, 1.89% 9/20/22 (a) 2,249,095 2,262,561 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 21,296,167 21,233,056 
Class B, 4.335% 3/15/40 (a) 853,777 769,202 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (a) 8,715,000 9,226,904 
1.884% 7/15/50 (a) 4,275,000 4,409,250 
2.328% 7/15/52 (a) 3,269,000 3,383,031 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6865% 12/15/27 (a)(c)(d) 1,020,352 1,020,460 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 3,361,794 3,394,661 
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 2.204% 5/1/28 (a)(c)(d) 12,335,317 12,344,482 
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4867% 1/15/34 (a)(c)(d) 5,300,000 5,309,333 
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.08% 4/20/33 (a)(b)(c)(d) 7,300,000 7,300,000 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.224% 1/20/29 (a)(c)(d) 7,106,000 7,117,696 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.5476% 9/25/34 (c)(d) 7,249 6,742 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(c) 9,675,593 9,652,879 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 20,541,060 20,392,195 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (a) 1,945,329 2,056,034 
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 280,766 291,797 
Series 2019-1 Class A1, 3.7412% 3/25/58 (a)(c) 1,094,116 1,164,511 
Series 2019-MH1 Class A1, 3% 11/25/58 (a) 1,646,011 1,686,738 
Series 2020-4 Class A1, 1.75% 10/25/60 (a) 6,344,085 6,469,139 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.7973% 4/6/42 (a)(c)(d) 778,000 497,920 
Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (a) 382,736 383,218 
Upstart Securitization Trust Series 2021-1 Class A, 0.87% 3/20/31 (a) 1,635,000 1,636,691 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.5913% 4/15/32 (a)(c)(d) 8,606,000 8,605,923 
Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 1.9234% 7/16/31 (a)(c)(d) 12,409,000 12,442,790 
Voya CLO Ltd. Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.4734% 4/17/30 (a)(c)(d) 4,458,000 4,469,145 
Voya CLO Ltd./Voya CLO LLC:   
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.8234% 7/19/31 (a)(c)(d) 9,150,000 9,168,803 
Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4965% 10/20/31 (a)(c)(d) 11,800,000 11,865,289 
TOTAL ASSET-BACKED SECURITIES   
(Cost $807,136,712)  814,637,238 
Collateralized Mortgage Obligations - 0.9%   
Private Sponsor - 0.4%   
BCAP LLC Trust sequential payer Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) 3,186 3,179 
Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) 10,339,000 10,327,389 
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (a) 7,328,084 7,326,970 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(c) 105,030 105,002 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4739% 5/27/37 (a)(c)(d) 94,344 91,723 
Series 2014-3R:   
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(c)(d)(i) 538,288 54 
Class AA1, 1 month U.S. LIBOR + 0.280% 0.4739% 5/27/37 (a)(c)(d) 1,011,525 946,644 
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (a) 5,339,427 5,421,431 
Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5611% 2/20/49 (c)(d) 4,447,780 4,492,806 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 0.9524% 12/22/69 (a)(c)(d) 2,436,667 2,442,405 
Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(c) 9,300,000 9,520,708 
Mortgage Repurchase Agreement Financing Trust:   
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3705% 1/23/23 (a)(c)(d) 5,443,000 5,444,736 
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4705% 4/23/23 (a)(c)(d) 25,857,000 25,855,265 
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (a) 2,584,105 2,589,206 
New Residential Mortgage Loan Trust:   
Series 2019-5A Class A1B, 3.5% 8/25/59 (a) 4,643,870 4,836,222 
Series 2020-1A Class A1B, 3.5% 10/25/59 (a) 6,402,378 6,739,112 
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) 765,008 769,199 
RMF Buyout Issuance Trust:   
sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (a) 21,229,505 21,282,305 
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) 5,499,472 5,468,004 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.14% 7/20/34 (c)(d) 2,081 2,016 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7936% 1/21/70 (a)(c)(d) 8,890,000 8,909,034 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.4376% 9/25/43 (c)(d) 91,887 89,363 
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.8349% 9/25/33 (c) 12,570 12,459 
TOTAL PRIVATE SPONSOR  122,675,232 
U.S. Government Agency - 0.5%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9176% 2/25/32 (c)(d) 3,363 3,422 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1083% 3/18/32 (c)(d) 6,039 6,170 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1176% 4/25/32 (c)(d) 6,844 7,017 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1176% 10/25/32 (c)(d) 8,993 9,198 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.8676% 1/25/32 (c)(d) 3,330 3,384 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9824% 12/25/33 (c)(j)(k) 122,231 32,984 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5624% 11/25/36 (c)(j)(k) 84,789 17,522 
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.4176% 1/25/43 (c)(d) 834,917 836,463 
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.4676% 5/25/47 (c)(d) 1,829,229 1,835,826 
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.4176% 5/25/48 (c)(d) 1,095,373 1,096,890 
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.4176% 6/25/48 (c)(d) 3,288,503 3,291,056 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 1,050 1,096 
Series 1993-207 Class H, 6.5% 11/25/23 25,945 27,591 
Series 1996-28 Class PK, 6.5% 7/25/25 9,347 9,974 
Series 1999-17 Class PG, 6% 4/25/29 57,617 64,031 
Series 1999-32 Class PL, 6% 7/25/29 60,459 67,401 
Series 1999-33 Class PK, 6% 7/25/29 44,824 50,029 
Series 2001-52 Class YZ, 6.5% 10/25/31 6,197 7,209 
Series 2003-28 Class KG, 5.5% 4/25/23 12,687 13,190 
Series 2005-102 Class CO 11/25/35 (l) 22,746 21,140 
Series 2005-39 Class TE, 5% 5/25/35 22,919 25,780 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.2442% 8/25/35 (c)(k) 7,025 9,439 
Series 2005-81 Class PC, 5.5% 9/25/35 63,802 72,310 
Series 2006-12 Class BO 10/25/35 (l) 103,761 96,356 
Series 2006-15 Class OP 3/25/36 (l) 118,742 108,855 
Series 2006-37 Class OW 5/25/36 (l) 11,412 10,316 
Series 2006-45 Class OP 6/25/36 (l) 36,900 33,575 
Series 2006-62 Class KP 4/25/36 (l) 60,826 55,904 
Series 2012-149:   
Class DA, 1.75% 1/25/43 173,430 178,091 
Class GA, 1.75% 6/25/42 186,900 192,082 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 9,798 11,151 
Series 1999-25 Class Z, 6% 6/25/29 37,086 41,835 
Series 2001-20 Class Z, 6% 5/25/31 60,611 67,960 
Series 2001-31 Class ZC, 6.5% 7/25/31 31,529 36,094 
Series 2002-16 Class ZD, 6.5% 4/25/32 17,783 20,742 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.4324% 11/25/32 (c)(j)(k) 61,291 8,623 
Series 2012-67 Class AI, 4.5% 7/25/27 (j) 114,306 7,052 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.5224% 12/25/36 (c)(j)(k) 67,095 16,914 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.3224% 5/25/37 (c)(j)(k) 35,697 7,800 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.4671% 9/25/23 (c)(k) 1,611 1,870 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9824% 3/25/33 (c)(j)(k) 10,071 2,290 
Series 2005-72 Class ZC, 5.5% 8/25/35 466,534 527,626 
Series 2005-79 Class ZC, 5.9% 9/25/35 266,310 301,980 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.9142% 6/25/37 (c)(k) 39,582 81,453 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 38.8942% 7/25/37 (c)(k) 41,021 84,804 
Class SB, 39.600% - 1 month U.S. LIBOR 38.8942% 7/25/37 (c)(k) 13,917 25,737 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.2324% 3/25/38 (c)(j)(k) 226,060 46,123 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 5.9324% 12/25/40 (c)(j)(k) 218,034 41,729 
Class ZA, 4.5% 12/25/40 121,175 132,457 
Series 2010-139 Class NI, 4.5% 2/25/40 (j) 120,117 6,959 
Series 2010-150 Class ZC, 4.75% 1/25/41 962,073 1,071,356 
Series 2010-95 Class ZC, 5% 9/25/40 2,053,135 2,285,045 
Series 2011-39 Class ZA, 6% 11/25/32 143,671 165,766 
Series 2011-4 Class PZ, 5% 2/25/41 335,515 398,921 
Series 2011-67 Class AI, 4% 7/25/26 (j) 34,617 1,846 
Series 2011-83 Class DI, 6% 9/25/26 (j) 17,155 524 
Series 2012-100 Class WI, 3% 9/25/27 (j) 604,504 45,979 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5324% 12/25/30 (c)(j)(k) 162,980 14,453 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.4324% 6/25/41 (c)(j)(k) 189,065 20,195 
Series 2013-133 Class IB, 3% 4/25/32 (j) 350,960 15,951 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.9324% 1/25/44 (c)(j)(k) 182,202 31,921 
Series 2013-44 Class DJ, 1.85% 5/25/33 12,307,421 12,609,049 
Series 2013-51 Class GI, 3% 10/25/32 (j) 146,130 11,230 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.6024% 6/25/35 (c)(j)(k) 177,780 34,463 
Series 2015-42 Class IL, 6% 6/25/45 (j) 971,544 191,367 
Series 2015-70 Class JC, 3% 10/25/45 1,067,751 1,133,323 
Series 2017-30 Class AI, 5.5% 5/25/47 (j) 467,485 94,431 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (j) 31,023 5,862 
Series 343 Class 16, 5.5% 5/25/34 (j) 27,513 4,672 
Series 348 Class 14, 6.5% 8/25/34 (c)(j) 24,318 5,590 
Series 351:   
Class 12, 5.5% 4/25/34 (c)(j) 15,528 2,942 
Class 13, 6% 3/25/34 (j) 21,575 4,108 
Series 359 Class 19, 6% 7/25/35 (c)(j) 13,327 2,782 
Series 384 Class 6, 5% 7/25/37 (j) 136,598 24,960 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9123% 1/15/32 (c)(d) 2,904 2,955 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0123% 3/15/32 (c)(d) 3,729 3,809 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1123% 3/15/32 (c)(d) 3,904 3,993 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 1.0123% 6/15/31 (c)(d) 6,734 6,863 
Class FG, 1 month U.S. LIBOR + 0.900% 1.0123% 3/15/32 (c)(d) 2,089 2,130 
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.4623% 8/15/47 (c)(d) 982,509 986,373 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3623% 5/15/37 (c)(d) 157,390 158,017 
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 67,325 75,163 
Series 2101 Class PD, 6% 11/15/28 4,457 4,963 
Series 2104 Class PG, 6% 12/15/28 4,659 5,212 
Series 2121 Class MG, 6% 2/15/29 25,466 28,408 
Series 2131 Class BG, 6% 3/15/29 148,553 166,207 
Series 2137 Class PG, 6% 3/15/29 22,479 25,191 
Series 2154 Class PT, 6% 5/15/29 49,224 55,131 
Series 2162 Class PH, 6% 6/15/29 9,441 10,500 
Series 2520 Class BE, 6% 11/15/32 66,279 76,236 
Series 2693 Class MD, 5.5% 10/15/33 286,401 326,623 
Series 2802 Class OB, 6% 5/15/34 84,640 95,234 
Series 3002 Class NE, 5% 7/15/35 165,461 185,141 
Series 3110 Class OP 9/15/35 (l) 60,522 58,545 
Series 3119 Class PO 2/15/36 (l) 139,649 127,801 
Series 3121 Class KO 3/15/36 (l) 22,728 21,129 
Series 3123 Class LO 3/15/36 (l) 79,797 73,088 
Series 3145 Class GO 4/15/36 (l) 79,530 73,268 
Series 3189 Class PD, 6% 7/15/36 138,272 162,286 
Series 3225 Class EO 10/15/36 (l) 42,039 38,321 
Series 3258 Class PM, 5.5% 12/15/36 59,926 68,788 
Series 3415 Class PC, 5% 12/15/37 58,201 65,044 
Series 3786 Class HI, 4% 3/15/38 (j) 56,493 941 
Series 3806 Class UP, 4.5% 2/15/41 360,773 400,347 
Series 3832 Class PE, 5% 3/15/41 675,333 755,735 
Series 4135 Class AB, 1.75% 6/15/42 140,832 144,745 
Series 4765 Class PE, 3% 12/15/41 422,466 428,595 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 2,198 2,456 
Series 2135 Class JE, 6% 3/15/29 17,874 19,982 
Series 2274 Class ZM, 6.5% 1/15/31 19,318 21,991 
Series 2281 Class ZB, 6% 3/15/30 30,675 34,037 
Series 2303 Class ZV, 6% 4/15/31 13,653 15,354 
Series 2357 Class ZB, 6.5% 9/15/31 114,011 132,580 
Series 2502 Class ZC, 6% 9/15/32 35,261 40,475 
Series 2519 Class ZD, 5.5% 11/15/32 37,895 42,856 
Series 2546 Class MJ, 5.5% 3/15/23 8,164 8,506 
Series 2601 Class TB, 5.5% 4/15/23 3,745 3,900 
Series 2998 Class LY, 5.5% 7/15/25 19,302 20,726 
Series 3871 Class KB, 5.5% 6/15/41 760,141 889,495 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4878% 2/15/36 (c)(j)(k) 43,782 8,927 
Series 1658 Class GZ, 7% 1/15/24 5,414 5,825 
Series 2013-4281 Class AI, 4% 12/15/28 (j) 324,135 15,354 
Series 2017-4683 Class LM, 3% 5/15/47 1,293,576 1,370,320 
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0878% 11/15/31 (c)(j)(k) 26,812 3,880 
Series 2587 Class IM, 6.5% 3/15/33 (j) 4,418 904 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 46.0704% 8/15/24 (c)(k) 110 127 
Class SD, 86.400% - 1 month U.S. LIBOR 84.9907% 8/15/24 (c)(k) 202 256 
Series 2933 Class ZM, 5.75% 2/15/35 563,053 660,474 
Series 2935 Class ZK, 5.5% 2/15/35 534,789 610,678 
Series 2947 Class XZ, 6% 3/15/35 243,950 282,669 
Series 2996 Class ZD, 5.5% 6/15/35 415,547 482,817 
Series 3237 Class C, 5.5% 11/15/36 593,583 679,265 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5478% 11/15/36 (c)(j)(k) 184,207 43,459 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6378% 3/15/37 (c)(j)(k) 288,058 70,726 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6478% 4/15/37 (c)(j)(k) 403,705 100,340 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4678% 6/15/37 (c)(j)(k) 145,619 30,831 
Series 3949 Class MK, 4.5% 10/15/34 117,783 129,828 
Series 3955 Class YI, 3% 11/15/21 (j) 2,742 20 
Series 4055 Class BI, 3.5% 5/15/31 (j) 349,604 17,503 
Series 4149 Class IO, 3% 1/15/33 (j) 74,578 8,126 
Series 4314 Class AI, 5% 3/15/34 (j) 104,614 6,969 
Series 4427 Class LI, 3.5% 2/15/34 (j) 687,321 51,679 
Series 4471 Class PA 4% 12/15/40 696,072 746,694 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 23,965 25,933 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0265% 2/15/24 (c)(d) 6,680 6,720 
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 6,153 6,976 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 17,624 19,619 
Series 2056 Class Z, 6% 5/15/28 41,283 46,059 
Freddie Mac Multi-family Structured pass-thru certificates:   
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.4123% 5/15/48 (c)(d) 2,163,005 2,164,097 
Series 4386 Class AZ, 4.5% 11/15/40 1,368,364 1,493,860 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2018-3 Class MA, 3.5% 8/25/57 11,110,775 11,840,507 
Series 2018-4 Class MA, 3.5% 3/25/58 4,148,918 4,414,925 
Series 2019-1 Class MA, 3.5% 7/25/58 7,218,158 7,685,074 
Series 2018-3 Class M55D, 4% 8/25/57 537,189 582,618 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5826% 6/16/37 (c)(j)(k) 80,188 17,983 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6775% 3/20/60 (c)(d)(m) 964,940 967,897 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4575% 7/20/60 (c)(d)(m) 130,477 130,223 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4439% 9/20/60 (c)(d)(m) 158,782 158,385 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4439% 8/20/60 (c)(d)(m) 160,218 159,836 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.5239% 12/20/60 (c)(d)(m) 320,265 320,070 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 12/20/60 (c)(d)(m) 380,569 381,363 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 2/20/61 (c)(d)(m) 606,939 607,877 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.6339% 2/20/61 (c)(d)(m) 859,051 860,298 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 4/20/61 (c)(d)(m) 359,823 360,596 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 0.6439% 5/20/61 (c)(d)(m) 525,090 526,218 
Class FC, 1 month U.S. LIBOR + 0.500% 0.6439% 5/20/61 (c)(d)(m) 410,906 411,789 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6739% 6/20/61 (c)(d)(m) 483,697 484,991 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6939% 9/20/61 (c)(d)(m) 1,243,776 1,247,923 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7439% 10/20/61 (c)(d)(m) 558,444 560,813 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8439% 11/20/61 (c)(d)(m) 520,185 523,546 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8439% 1/20/62 (c)(d)(m) 348,122 350,245 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7739% 1/20/62 (c)(d)(m) 496,066 498,456 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7739% 3/20/62 (c)(d)(m) 314,717 316,090 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7939% 5/20/61 (c)(d)(m) 9,498 9,550 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 0.6739% 7/20/60 (c)(d)(m) 8,037 8,042 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7439% 1/20/64 (c)(d)(m) 431,687 433,298 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7439% 12/20/63 (c)(d)(m) 1,687,385 1,694,096 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6439% 6/20/64 (c)(d)(m) 417,180 418,064 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.4439% 3/20/65 (c)(d)(m) 10,713 10,693 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.4239% 5/20/63 (c)(d)(m) 11,332 11,303 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3439% 4/20/63 (c)(d)(m) 8,030 7,996 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5439% 12/20/62 (c)(d)(m) 25,421 25,419 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3611% 10/20/47 (c)(d) 1,162,575 1,162,490 
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.4611% 11/20/48 (c)(d) 2,613,111 2,628,215 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4111% 5/20/48 (c)(d) 1,214,815 1,216,926 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4111% 6/20/48 (c)(d) 1,499,376 1,502,355 
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4111% 6/20/48 (c)(d) 1,532,710 1,538,347 
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5611% 12/20/49 (c)(d) 16,395,225 16,531,751 
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5111% 3/20/50 (c)(d) 15,664,937 15,765,610 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.7777% 12/20/40 (c)(k) 828,339 968,535 
Series 2011-136 Class WI, 4.5% 5/20/40 (j) 44,113 4,038 
Series 2016-69 Class WA, 3% 2/20/46 557,523 592,984 
Series 2017-134 Class BA, 2.5% 11/20/46 207,038 217,467 
Series 2017-153 Class GA, 3% 9/20/47 1,995,217 2,113,968 
Series 2017-182 Class KA, 3% 10/20/47 1,675,898 1,774,272 
Series 2018-13 Class Q, 3% 4/20/47 2,409,553 2,540,337 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 238,766 267,201 
Series 2010-160 Class DY, 4% 12/20/40 1,825,376 1,984,552 
Series 2010-170 Class B, 4% 12/20/40 407,153 442,726 
Series 2017-139 Class BA, 3% 9/20/47 5,890,146 6,172,404 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3926% 5/16/34 (c)(j)(k) 54,990 10,739 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0926% 8/17/34 (c)(j)(k) 42,671 9,976 
Series 2010-116 Class QB, 4% 9/16/40 128,284 139,072 
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8426% 2/16/40 (c)(j)(k) 292,540 50,574 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4575% 5/20/60 (c)(d)(m) 374,870 374,159 
Series 2011-52 Class HI, 7% 4/16/41 (j) 50,934 10,108 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9889% 7/20/41 (c)(j)(k) 160,054 30,654 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5926% 6/16/42 (c)(j)(k) 178,194 38,427 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 8.5185% 4/20/39 (c)(k) 36,249 37,987 
Class ST, 8.800% - 1 month U.S. LIBOR 8.6518% 8/20/39 (c)(k) 72,798 74,669 
Series 2013-149 Class MA, 2.5% 5/20/40 2,037,287 2,108,353 
Series 2014-2 Class BA, 3% 1/20/44 3,095,118 3,284,916 
Series 2014-21 Class HA, 3% 2/20/44 1,245,255 1,322,213 
Series 2014-25 Class HC, 3% 2/20/44 2,018,469 2,134,104 
Series 2014-5 Class A, 3% 1/20/44 1,812,651 1,914,359 
Series 2015-H13 Class HA, 2.5% 8/20/64 (m) 114,396 115,421 
Series 2015-H17 Class HA, 2.5% 5/20/65 (m) 6,786 6,783 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.61% 5/20/66 (c)(d)(m) 3,052,121 3,032,043 
Series 2017-186 Class HK, 3% 11/16/45 1,713,563 1,813,494 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.46% 8/20/66 (c)(d)(m) 3,485,703 3,452,185 
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 3.9331% 5/20/65 (c)(m) 147,699 152,923 
TOTAL U.S. GOVERNMENT AGENCY  156,355,832 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $275,407,278)  279,031,064 
Commercial Mortgage Securities - 2.8%   
BAMLL Commercial Mortgage Securities Trust:   
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.862% 11/15/30 (a)(c)(d) 10,322,000 10,344,835 
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (a) 10,500,000 10,767,154 
Class ANM, 3.112% 11/5/32 (a) 5,768,000 5,875,306 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 1,295,000 1,249,563 
Class CNM, 3.7186% 11/5/32 (a)(c) 536,000 497,663 
BANK sequential payer:   
Series 2018-BN10 Class A5, 3.688% 2/15/61 2,901,000 3,244,925 
Series 2019-BN21 Class A5, 2.851% 10/17/52 1,112,000 1,186,397 
Bayview Commercial Asset Trust floater:   
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.600% 0.5176% 11/25/35 (a)(c)(d) 37,857 36,067 
Class M1, 1 month U.S. LIBOR + 0.660% 0.5576% 11/25/35 (a)(c)(d) 10,127 9,085 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 0.5076% 1/25/36 (a)(c)(d) 95,234 90,423 
Class M1, 1 month U.S. LIBOR + 0.450% 0.5676% 1/25/36 (a)(c)(d) 30,744 29,453 
Class M2, 1 month U.S. LIBOR + 0.470% 0.5876% 1/25/36 (a)(c)(d) 11,594 10,972 
Class M3, 1 month U.S. LIBOR + 0.500% 0.6176% 1/25/36 (a)(c)(d) 16,873 16,008 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.540% 0.4776% 4/25/36 (a)(c)(d) 16,226 15,352 
Class M1, 1 month U.S. LIBOR + 0.570% 0.4976% 4/25/36 (a)(c)(d) 9,811 9,027 
Class M2, 1 month U.S. LIBOR + 0.600% 0.5176% 4/25/36 (a)(c)(d) 10,377 9,180 
Class M6, 1 month U.S. LIBOR + 0.960% 0.7576% 4/25/36 (a)(c)(d) 9,811 7,683 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.460% 0.4276% 7/25/36 (a)(c)(d) 15,134 13,905 
Class M2, 1 month U.S. LIBOR + 0.490% 0.4476% 7/25/36 (a)(c)(d) 10,753 9,482 
Class M4, 1 month U.S. LIBOR + 0.630% 0.5376% 7/25/36 (a)(c)(d) 10,156 8,297 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 0.3876% 12/25/36 (a)(c)(d) 228,272 214,553 
Class M1, 1 month U.S. LIBOR + 0.290% 0.4076% 12/25/36 (a)(c)(d) 18,346 16,621 
Class M3, 1 month U.S. LIBOR + 0.340% 0.4576% 12/25/36 (a)(c)(d) 12,436 10,342 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3876% 3/25/37 (a)(c)(d) 57,431 53,841 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 0.3876% 7/25/37 (a)(c)(d) 167,156 158,273 
Class A2, 1 month U.S. LIBOR + 0.320% 0.4376% 7/25/37 (a)(c)(d) 156,457 124,490 
Class M1, 1 month U.S. LIBOR + 0.370% 0.4876% 7/25/37 (a)(c)(d) 53,296 48,223 
Class M2, 1 month U.S. LIBOR + 0.410% 0.5276% 7/25/37 (a)(c)(d) 34,723 28,988 
Class M3, 1 month U.S. LIBOR + 0.490% 0.6076% 7/25/37 (a)(b)(c)(d) 31,591 32,982 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 0.4076% 7/25/37 (a)(c)(d) 57,642 52,920 
Class M1, 1 month U.S. LIBOR + 0.310% 0.4276% 7/25/37 (a)(c)(d) 30,576 27,286 
Class M2, 1 month U.S. LIBOR + 0.340% 0.4576% 7/25/37 (a)(c)(d) 32,625 28,921 
Class M3, 1 month U.S. LIBOR + 0.370% 0.4876% 7/25/37 (a)(c)(d) 52,667 47,290 
Class M4, 1 month U.S. LIBOR + 0.500% 0.6176% 7/25/37 (a)(c)(d) 82,805 73,890 
Class M5, 1 month U.S. LIBOR + 0.600% 0.7176% 7/25/37 (a)(c)(d) 34,635 29,450 
Benchmark Mortgage Trust:   
sequential payer:   
Series 2018-B1 Class ASB, 3.602% 1/15/51 3,507,000 3,880,435 
Series 2018-B2 Class ASB, 3.7802% 2/15/51 1,800,000 1,989,848 
Series 2018-B4 Class A5, 4.121% 7/15/51 1,260,000 1,443,621 
Series 2019-B10 Class A4, 3.717% 3/15/62 2,283,000 2,564,368 
Series 2019-B13 Class A4, 2.952% 8/15/57 12,263,000 13,110,690 
Series 2019-B14 Class A5, 3.0486% 12/15/62 5,422,000 5,841,815 
Series 2018-B8 Class A5, 4.2317% 1/15/52 15,369,000 17,786,991 
Series 2019-B12 Class XA, 1.0652% 8/15/52 (c)(j) 75,630,316 4,823,142 
Series 2019-B14 Class XA, 0.787% 12/15/62 (c)(j) 50,769,517 2,465,033 
Series 2020-B17 Class XA, 1.4195% 3/15/53 (c)(j) 11,993,129 1,067,406 
Series 2020-B18 Class XA, 1.7938% 7/15/53 (c)(j) 20,058,427 2,320,702 
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.162% 11/15/28 (a)(c)(d) 6,075,000 6,135,713 
BX Commercial Mortgage Trust:   
floater:   
Series 2018-BIOA:   
Class E, 1 month U.S. LIBOR + 1.950% 2.0631% 3/15/37 (a)(c)(d) 9,800,000 9,809,030 
Class F, 1 month U.S. LIBOR + 2.470% 2.5831% 3/15/37 (a)(c)(d) 2,450,000 2,451,479 
Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.112% 12/15/36 (a)(c)(d) 6,560,701 6,560,700 
Class C, 1 month U.S. LIBOR + 1.120% 1.232% 12/15/36 (a)(c)(d) 5,385,084 5,385,083 
Class D, 1 month U.S. LIBOR + 1.250% 1.362% 12/15/36 (a)(c)(d) 6,045,745 6,045,743 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.988% 11/15/32 (a)(c)(d) 2,254,000 2,255,402 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.912% 12/15/36 (a)(c)(d) 15,839,892 15,851,817 
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.112% 11/15/32 (a)(c)(d) 8,932,000 8,959,918 
BX Trust:   
floater:   
Series 2018-EXCL:   
Class A, 1 month U.S. LIBOR + 1.088% 1.1996% 9/15/37 (a)(c)(d) 11,493,874 11,021,724 
Class B, 1 month U.S. LIBOR + 1.320% 1.437% 9/15/37 (a)(c)(d) 4,536,936 4,258,055 
Class D, 1 month U.S. LIBOR + 2.620% 2.737% 9/15/37 (a)(c)(d) 2,186,803 1,733,207 
Series 2018-IND:   
Class B, 1 month U.S. LIBOR + 0.900% 1.012% 11/15/35 (a)(c)(d) 3,999,800 4,001,051 
Class C, 1 month U.S. LIBOR + 1.100% 1.212% 11/15/35 (a)(c)(d) 893,200 893,478 
Class F, 1 month U.S. LIBOR + 1.800% 1.912% 11/15/35 (a)(c)(d) 2,356,900 2,357,641 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 1.412% 4/15/34 (a)(c)(d) 4,437,000 4,414,833 
Class C, 1 month U.S. LIBOR + 1.600% 1.712% 4/15/34 (a)(c)(d) 2,933,000 2,896,371 
Class D, 1 month U.S. LIBOR + 1.900% 2.012% 4/15/34 (a)(c)(d) 3,079,000 3,032,856 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.192% 10/15/36 (a)(c)(d) 4,253,804 4,256,853 
Class C, 1 month U.S. LIBOR + 1.250% 1.362% 10/15/36 (a)(c)(d) 5,347,395 5,351,216 
Class D, 1 month U.S. LIBOR + 1.450% 1.562% 10/15/36 (a)(c)(d) 7,574,447 7,579,839 
Class E, 1 month U.S. LIBOR + 1.800% 1.912% 10/15/36 (a)(c)(d) 10,642,578 10,650,102 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.712% 12/15/36 (a)(c)(d) 5,735,374 5,733,651 
floater sequential payer Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8123% 1/15/34 (a)(c)(d) 6,330,000 6,360,396 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.112% 4/15/34 (a)(c)(d) 6,400,000 6,392,006 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.032% 10/15/36 (a)(c)(d) 30,357,595 30,409,145 
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 17,655,000 19,287,542 
CF Hippolyta Issuer LLC sequential payer Series 2020-1:   
Class A1, 1.69% 7/15/60 (a) 27,716,116 27,879,868 
Class A2, 1.99% 7/15/60 (a) 10,951,863 10,832,048 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0623% 11/15/36 (a)(c)(d) 4,222,000 4,221,999 
Class B, 1 month U.S. LIBOR + 1.250% 1.3623% 11/15/36 (a)(c)(d) 1,600,000 1,599,497 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.232% 6/15/34 (a)(c)(d) 21,133,804 21,003,202 
Class B, 1 month U.S. LIBOR + 1.500% 1.612% 6/15/34 (a)(c)(d) 2,169,638 2,120,979 
Class C, 1 month U.S. LIBOR + 1.750% 1.862% 6/15/34 (a)(c)(d) 2,451,422 2,359,875 
Citigroup Commercial Mortgage Trust:   
sequential payer:   
Series 2017-P7 Class AAB, 3.509% 4/14/50 740,000 802,905 
Series 2020-GC46 Class A5, 2.717% 2/15/53 20,180,000 21,236,161 
Series 2015-GC33 Class XA, 0.8832% 9/10/58 (c)(j) 1,581,794 53,731 
Series 2016-P6 Class XA, 0.7704% 12/10/49 (c)(j) 1,626,920 41,274 
Series 2019-GC41 Class XA, 1.0582% 8/10/56 (c)(j) 20,641,255 1,400,022 
COMM Mortgage Trust:   
sequential payer:   
Series 2014-CR18 Class A5, 3.828% 7/15/47 2,137,000 2,333,196 
Series 2017-CD4 Class ASB, 3.317% 5/10/50 9,942,000 10,782,931 
Series 2014-CR20 Class XA, 1.0187% 11/10/47 (c)(j) 382,512 11,879 
Series 2014-LC17 Class XA, 0.7221% 10/10/47 (c)(j) 1,299,929 27,017 
Series 2014-UBS6 Class XA, 0.8865% 12/10/47 (c)(j) 965,949 25,400 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.992% 12/15/31 (a)(c)(d) 1,667,000 1,670,184 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class B, 1 month U.S. LIBOR + 1.230% 1.342% 5/15/36 (a)(c)(d) 6,081,000 6,100,342 
Class C, 1 month U.S. LIBOR + 1.430% 1.542% 5/15/36 (a)(c)(d) 1,603,000 1,605,010 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) 3,554,000 3,636,463 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 4,971,000 4,955,875 
Class B, 4.5349% 4/15/36 (a) 1,471,000 1,455,737 
Class C, 4.782% 4/15/36 (a)(c) 955,000 921,361 
Class D, 4.782% 4/15/36 (a)(c) 1,909,000 1,714,904 
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 4,803,000 5,184,696 
DBUBS Mortgage Trust Series 2011-LC3A:   
Class B, 5.3363% 8/10/44 (a)(c) 500,000 502,591 
Class C, 5.3363% 8/10/44 (a)(c) 4,800,000 4,814,679 
Freddie Mac:   
sequential payer:   
Series 2020-K118 Class A2, 1.493% 9/25/30 27,923,000 27,512,331 
Series 2020-K120 Class A2, 1.5% 10/25/30 19,200,000 18,907,379 
Series 2020-K121 Class A2, 1.547% 10/25/30 11,600,000 11,510,936 
Series 2020-K739 Class A2, 1.336% 9/25/27 31,857,000 32,079,046 
Series 2021-K125 Class A2, 1.846% 1/25/31 9,400,000 9,539,471 
Series 2020-K122 Class A2, 1.521% 11/25/30 8,000,000 7,887,103 
GB Trust floater Series 2020-FLIX:   
Class A, 1 month U.S. LIBOR + 1.120% 1.232% 8/15/37 (a)(c)(d) 6,300,000 6,349,681 
Class B, 1 month U.S. LIBOR + 1.350% 1.462% 8/15/37 (a)(c)(d) 1,300,000 1,304,443 
Class C, 1 month U.S. LIBOR + 1.600% 1.712% 8/15/37 (a)(c)(d) 710,000 716,775 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.562% 9/15/31 (a)(c)(d) 20,025,000 19,424,478 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.202% 10/15/31 (a)(c)(d) 3,300,000 3,303,458 
sequential payer:   
Series 2014-GC18 Class AAB, 3.648% 1/10/47 719,216 748,358 
Series 2016-GC34 Class AAB, 3.278% 10/10/48 2,344,790 2,474,830 
Series 2020-GC45 Class A5, 2.9106% 2/13/53 17,280,000 18,429,156 
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) 13,806,000 13,889,617 
Series 2015-GC30 Class A/S, 3.777% 5/10/50 2,577,000 2,783,899 
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (a) 24,200,000 24,397,196 
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 4,614,000 4,909,081 
JPMDB Commercial Mortgage Securities Trust sequential payer:   
Series 2017-C5 Class ASB, 3.4919% 3/15/50 3,028,000 3,296,351 
Series 2018-C8 Class ASB, 4.145% 6/15/51 8,779,000 9,971,908 
Series 2019-COR6 Class A4, 3.0565% 11/13/52 2,872,000 3,089,712 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
Series 2012-C6 Class A/S, 4.1166% 5/15/45 500,000 516,072 
Series 2012-CBX Class A/S, 4.2707% 6/15/45 2,528,000 2,626,685 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.112% 9/15/29 (a)(c)(d) 6,400,000 6,412,961 
Series 2013-LC11 Class A/S, 3.216% 4/15/46 3,871,000 4,038,204 
Series 2018-WPT:   
Class AFX, 4.2475% 7/5/33 (a) 84,000 89,189 
Class CFX, 4.9498% 7/5/33 (a) 767,000 811,363 
Class DFX, 5.3503% 7/5/33 (a) 1,370,000 1,447,358 
Class EFX, 5.5422% 7/5/33 (a) 1,614,000 1,664,185 
Ladder Capital Commercial Mortgage Securities Trust:   
sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (a) 12,000,000 11,997,799 
Series 2014-909 Class B, 3.59% 5/15/31 (a) 7,769,000 7,773,922 
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.262% 8/15/37 (a)(c)(d) 5,774,000 5,797,487 
Morgan Stanley BAML Trust:   
sequential payer:   
Series 2016-C28 Class A3, 3.272% 1/15/49 6,370,433 6,836,723 
Series 2017-C33 Class A4, 3.337% 5/15/50 13,400,000 14,651,572 
Series 2015-C25 Class XA, 1.0528% 10/15/48 (c)(j) 948,368 35,273 
Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (a) 3,061,000 3,064,039 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.962% 8/15/33 (a)(c)(d) 205,211 204,965 
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(c)(d) 9,700,000 9,930,075 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 16,247,000 16,965,429 
Series 2011-C3 Class AJ, 5.2442% 7/15/49 (a)(c) 24,300,000 24,536,750 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,991,000 3,453,178 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (a)(c) 1,783,000 1,798,885 
Class C, 3.1771% 11/10/36 (a)(c) 1,712,000 1,700,677 
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.312% 12/15/35 (a)(c)(d) 20,822,000 20,862,538 
Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.57% 12/15/37 (a)(c)(d) 7,731,000 7,728,886 
RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.212% 3/15/36 (a)(c)(d) 9,599,842 9,551,543 
UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2017-C1 Class ASB, 3.462% 11/15/50 1,400,000 1,532,308 
Series 2017-C7 Class ASB, 3.586% 12/15/50 1,000,000 1,100,378 
Series 2012-C1 Class A/S, 4.171% 5/10/45 9,200,000 9,458,778 
Series 2017-C7 Class XA, 1.0307% 12/15/50 (c)(j) 1,220,887 62,910 
UBS-Barclays Commercial Mortgage Trust:   
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8995% 4/10/46 (a)(c)(d) 110,576 110,198 
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (a) 4,200,000 4,353,052 
Series 2012-C3 Class A/S, 3.814% 8/10/49 (a) 12,000,000 12,477,522 
VLS Commercial Mortgage Trust:   
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) 8,020,000 7,970,512 
Series 2020-LAB:   
Class B, 2.453% 10/10/42 (a) 470,000 470,927 
Class X, 0.4294% 10/10/42 (a)(c)(j) 27,100,000 987,914 
Wells Fargo Commercial Mortgage Trust:   
sequential payer:   
Series 2015-C26 Class A4, 3.166% 2/15/48 11,250,000 12,116,409 
Series 2015-C29 Class ASB, 3.4% 6/15/48 5,266,396 5,559,133 
Series 2016-LC24 Class A3, 2.684% 10/15/49 4,700,000 4,961,795 
Series 2017-C40 Class ASB, 3.395% 10/15/50 1,000,000 1,090,665 
Series 2018-C44 Class ASB, 4.167% 5/15/51 1,000,000 1,132,859 
Series 2019-C52 Class A5, 2.892% 8/15/52 3,829,000 4,073,499 
Series 2019-C54 Class ASB, 3.063% 12/15/52 1,000,000 1,092,365 
Series 2015-SG1 Class ASB, 3.556% 9/15/48 4,658,357 4,921,709 
Series 2017-C42 Class XA, 0.8822% 12/15/50 (c)(j) 1,450,343 71,709 
Series 2018-C46 Class XA, 0.9387% 8/15/51 (c)(j) 24,974,742 1,184,105 
Series 2018-C48 Class A5, 4.302% 1/15/52 3,836,000 4,433,182 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8283% 6/15/46 (a)(c)(d) 104,171 104,187 
Series 2012-C8 Class A/S, 3.66% 8/15/45 4,873,000 5,035,157 
Series 2012-C9 Class A/S, 3.388% 11/15/45 1,300,000 1,346,183 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $897,250,071)  897,719,998 
Municipal Securities - 0.2%   
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 4,720,000 4,527,141 
Illinois Gen. Oblig.:   
Series 2003: $ $ 
4.95% 6/1/23 3,343,364 3,472,451 
5.1% 6/1/33 22,095,000 24,682,766 
Series 2010-1, 6.63% 2/1/35 2,035,000 2,405,716 
Series 2010-3:   
6.725% 4/1/35 2,710,000 3,223,816 
7.35% 7/1/35 1,385,000 1,701,860 
Series 2010-5, 6.2% 7/1/21 295,000 299,232 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 11,609,000 15,105,050 
TOTAL MUNICIPAL SECURITIES   
(Cost $50,339,857)  55,418,032 
Foreign Government and Government Agency Obligations - 0.0%   
State of Qatar 3.4% 4/16/25(a)   
(Cost $4,099,330) 4,110,000 4,488,891 
 Shares Value 
Common Stocks - 0.0%   
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Jonah Energy LLC (i)   
(Cost $65,550) 4,766 71,490 
 Principal Amount Value 
Bank Notes - 0.1%   
Discover Bank 4.682% 8/9/28 (c) 2,954,000 3,159,303 
KeyBank NA 6.95% 2/1/28 619,000 794,449 
RBS Citizens NA 2.55% 5/13/21 1,236,000 1,239,272 
Regions Bank 6.45% 6/26/37 4,251,000 5,871,966 
Synchrony Bank 3.65% 5/24/21 4,817,000 4,839,557 
TOTAL BANK NOTES   
(Cost $14,557,173)  15,904,547 
 Shares Value 
Fixed-Income Funds - 55.7%   
Bank Loan Funds - 2.3%   
Fidelity Floating Rate High Income Fund (n) 77,893,154 $733,753,510 
High Yield Fixed-Income Funds - 2.7%   
Fidelity High Income Fund (n) 30,457,482 263,457,223 
Fidelity New Markets Income Fund (n) 41,171,498 599,457,004 
TOTAL HIGH YIELD FIXED-INCOME FUNDS  862,914,227 
Inflation-Protected Bond Funds - 2.0%   
Fidelity Inflation-Protected Bond Index Fund (n) 58,209,996 634,488,957 
Intermediate Government Funds - 4.7%   
Fidelity SAI U.S. Treasury Bond Index Fund (n) 149,532,562 1,510,278,874 
Intermediate-Term Bond Funds - 36.3%   
Fidelity Global Credit Fund (n) 3,127,849 30,559,083 
Fidelity Intermediate Bond Fund(n) 26,969,894 302,602,205 
Fidelity SAI Total Bond Fund (n) 969,497,919 10,228,203,007 
Fidelity Sustainability Bond Index Fund (n) 2,356,729 25,381,976 
Fidelity U.S. Bond Index Fund (n) 85,135,296 1,032,691,139 
TOTAL INTERMEDIATE-TERM BOND FUNDS  11,619,437,410 
Investment Grade Fixed-Income Funds - 2.3%   
Fidelity Corporate Bond Fund (n) 57,857,566 727,269,608 
Long Government Bond Funds - 3.7%   
Fidelity SAI Long-Term Treasury Bond Index Fund (n) 106,362,909 1,174,246,519 
Sector Funds - 1.7%   
Fidelity Advisor Real Estate Income Fund Class I(n) 45,927,355 555,261,725 
TOTAL FIXED-INCOME FUNDS   
(Cost $17,549,491,002)  17,817,650,830 
 Principal Amount Value 
Preferred Securities - 0.1%   
FINANCIALS - 0.1%   
Banks - 0.1%   
Bank of Nova Scotia 4.65% (c)(o) 13,095,000 13,111,238 
Barclays Bank PLC 7.625% 11/21/22 12,633,000 13,892,158 
TOTAL PREFERRED SECURITIES   
(Cost $25,916,825)  27,003,396 
 Shares Value 
Money Market Funds - 8.8%   
Fidelity Cash Central Fund 0.07% (p) 1,996,054,572 1,996,453,783 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (n)(q) 829,199,153 829,199,153 
TOTAL MONEY MARKET FUNDS   
(Cost $2,825,652,897)  2,825,652,936 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.865% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2031 10/14/21 22,100,000 $1,655,844 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 150,067 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 890,372 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 1,062,441 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 940,463 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 525,991 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 231,173 
TOTAL PUT OPTIONS   5,456,351 
Call Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.865% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2031 10/14/21 22,100,000 80,234 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 107,253 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 635,874 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 809,820 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 1,503,970 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 360,155 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 471,548 
TOTAL CALL OPTIONS   3,968,854 
TOTAL PURCHASED SWAPTIONS    
(Cost $8,662,124)   9,425,205 
TOTAL INVESTMENT IN SECURITIES - 109.4%    
(Cost $34,389,070,274)   34,998,937,675 
NET OTHER ASSETS (LIABILITIES) - (9.4)%   (3,000,944,607) 
NET ASSETS - 100%   $31,997,993,068 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2% 3/1/51 $(21,100,000) $(21,427,706) 
2% 3/1/51 (10,550,000) (10,713,853) 
2% 3/1/51 (44,400,000) (45,089,581) 
2% 3/1/51 (22,200,000) (22,544,790) 
2.5% 3/1/51 (13,600,000) (14,122,966) 
2.5% 3/1/51 (32,200,000) (33,438,199) 
3% 3/1/51 (8,600,000) (8,959,283) 
3% 3/1/51 (52,200,000) (54,380,765) 
3% 3/1/51 (5,700,000) (5,938,129) 
3% 3/1/51 (14,900,000) (15,522,479) 
TOTAL GINNIE MAE  (232,137,751) 
Uniform Mortgage Backed Securities   
1.5% 3/1/36 (7,200,000) (7,292,223) 
2% 3/1/51 (34,300,000) (34,626,519) 
2% 3/1/51 (13,850,000) (13,981,845) 
2% 3/1/51 (50,300,000) (50,778,831) 
2% 3/1/51 (23,250,000) (23,471,328) 
2% 3/1/51 (50,300,000) (50,778,831) 
2% 3/1/51 (23,200,000) (23,420,852) 
2% 3/1/51 (13,300,000) (13,426,609) 
2% 3/1/51 (59,400,000) (59,965,458) 
2.5% 3/1/51 (8,600,000) (8,917,797) 
2.5% 3/1/51 (17,400,000) (18,042,984) 
2.5% 3/1/51 (53,650,000) (55,632,534) 
2.5% 3/1/51 (29,100,000) (30,175,335) 
2.5% 3/1/51 (7,000,000) (7,258,672) 
2.5% 3/1/51 (58,500,000) (60,661,756) 
2.5% 3/1/51 (7,700,000) (7,984,539) 
2.5% 3/1/51 (9,700,000) (10,058,445) 
3% 3/1/51 (49,200,000) (51,519,701) 
3% 3/1/51 (11,600,000) (12,146,921) 
3% 3/1/51 (20,900,000) (21,885,402) 
3% 3/1/51 (21,000,000) (21,990,116) 
3% 3/1/51 (62,900,000) (65,865,634) 
3% 3/1/51 (18,400,000) (19,267,531) 
3% 3/1/51 (9,800,000) (10,262,054) 
3% 3/1/51 (3,600,000) (3,769,734) 
3% 3/1/51 (69,900,000) (73,195,673) 
3% 3/1/51 (8,600,000) (9,005,476) 
3% 3/1/51 (18,150,000) (19,005,743) 
3% 3/1/51 (6,750,000) (7,068,252) 
3% 3/1/51 (2,600,000) (2,722,586) 
3% 3/1/51 (7,000,000) (7,330,039) 
3% 3/1/51 (78,700,000) (82,410,579) 
3% 3/1/51 (19,800,000) (20,733,538) 
3% 3/1/51 (8,400,000) (8,796,047) 
3% 3/1/51 (73,350,000) (76,808,335) 
3% 3/1/51 (17,300,000) (18,115,667) 
3.5% 3/1/51 (18,925,000) (20,076,764) 
3.5% 3/1/51 (63,300,000) (67,152,400) 
3.5% 3/1/51 (54,200,000) (57,498,579) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (1,153,101,329) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $1,385,595,141)  $(1,385,239,080) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 11/25/25 96,100,000 $(5,372,113) 
Call Swaptions    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 11/25/25 96,100,000 (1,409,630) 
TOTAL WRITTEN SWAPTIONS   $(6,781,743) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 675 June 2021 $89,585,156 $(100,874) $(100,874) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 143 June 2021 17,727,531 (144,404) (144,404) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 250 June 2021 39,804,688 (541,481) (541,481) 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 126 June 2021 16,722,563 191,688 191,688 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 2,142 June 2021 472,879,969 184,215 184,215 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 254 June 2021 31,488,063 255,473 255,473 
TOTAL FUTURES CONTRACTS     $(155,383) 

The notional amount of futures purchased as a percentage of Net Assets is 0.5%

The notional amount of futures sold as a percentage of Net Assets is 1.6%

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
CMBX N.A. AAA Index Series 13  Dec. 2072 Morgan Stanley Capital Services LLC (0.5%) Monthly $1,950,000 $(5,569) $6,028 $459 
Sell Protection          
CMBX N.A. AAA Index Series 12 NR Aug. 2061 JPMorgan Securities LLC 0.5% Monthly $6,010,000 41,018 (49,528) (8,510) 
CMBX N.A. AAA Index Series 13 NR Dec. 2072 Citigroup Global Markets Ltd. 0.5% Monthly 3,760,000 10,738 (9,055) 1,683 
CMBX N.A. AAA Index Series 13 NR Dec. 2072 Morgan Stanley Capital Services LLC 0.5% Monthly 5,630,000 16,079 (16,001) 78 
TOTAL SELL PROTECTION       67,835 (74,584) (6,749) 
TOTAL CREDIT DEFAULT SWAPS       $62,266 $(68,556) $(6,290) 

 (1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 (2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Portfolio could be required to make if a credit event were to occur.

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(2) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
0.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2023 $153,330,000 $(31,872) $0 $(31,872) 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2026 69,358,000 (1,117,624) 0 (1,117,624) 
3-month LIBOR(3) Quarterly 0.75% Semi - annual LCH Mar. 2031 23,070,000 1,108,555 0 1,108,555 
1% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2051 610,000 (31,503) 0 (31,503) 
TOTAL INTEREST RATE SWAPS       $(72,444) $0 $(72,444) 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Legend

 (a) 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 $2,410,569,557 or 7.5% of net assets.

 (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

 (c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

 (d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,616,937.

 (f) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $2,041,389.

 (g) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,638,466.

 (h) 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 $12,105,743.

 (i) Level 3 security

 (j) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

 (k) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (l) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

 (m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (n) Affiliated Fund

 (o) Security is perpetual in nature with no stated maturity date.

 (p) 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.

 (q) The rate quoted is the annualized seven-day yield of the fund at period end.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $883,202 
Fidelity Corporate Bond Fund 15,929,866 
Total $16,813,068 

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Real Estate Income Fund Class I $-- $524,272,086 $-- $17,123,941 $-- $30,989,639 $555,261,725 
Fidelity Advisor Real Estate Income Fund Class Z  130,711,979  1,148,146  126,148,146 1,148,146  -- (5,711,979) -- 
Fidelity Capital & Income Fund -- 50,550,888 52,144,462 626,512 1,593,574 -- -- 
Fidelity Corporate Bond Fund 502,825,401 222,933,660 -- 15,929,866 -- 1,510,547 727,269,608 
Fidelity Floating Rate High Income Fund 554,823,681 165,174,179 30,000,000 15,174,456 (2,125,984) 45,881,634 733,753,510 
Fidelity Global Credit Fund 26,242,053 3,984,414 -- 984,414 -- 332,616 30,559,083 
Fidelity High Income Fund 189,708,266 332,593,313 270,000,000 7,593,503 2,992,145 8,163,499 263,457,223 
Fidelity Inflation-Protected Bond Index Fund 417,876,035 205,576,063 -- 5,576,065 -- 11,036,859 634,488,957 
Fidelity Intermediate Bond Fund -- 305,753,216 -- 753,283 -- (3,151,011) 302,602,205 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% 502,472,950 5,261,130,452 4,934,404,249 187,114 -- -- 829,199,153 
Fidelity New Markets Income Fund 437,744,286 141,151,708 -- 16,152,525 -- 20,561,010 599,457,004 
Fidelity SAI Long-Term Treasury Bond Index Fund 1,107,985,358 359,010,268 100,000,000 59,010,445 2,024,246 (194,773,353) 1,174,246,519 
Fidelity SAI Total Bond Fund 9,212,423,374 1,174,246,733 -- 524,237,970 -- (158,467,100) 10,228,203,007 
Fidelity SAI U.S. Treasury Bond Index Fund -- 1,567,852,831 -- 22,576,356 -- (57,573,957) 1,510,278,874 
Fidelity Sustainability Bond Index Fund 25,576,136 418,848 -- 418,862 -- (613,008) 25,381,976 
Fidelity U.S. Bond Index Fund 101,109,716 962,016,642 -- 11,952,144 -- (30,435,219) 1,032,691,139 
Total $13,209,499,235 $11,277,813,447 $5,512,696,857 $699,445,602 $4,483,981 $(332,249,823) $18,646,849,983 

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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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