NPORT-EX 2 QTLY_3306_20210831.htm

Quarterly Holdings Report
for

Strategic Advisers® Fidelity® Core Income Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public

August 31, 2021







COI-QTLY-1021
1.9887942.102





Schedule of Investments August 31, 2021 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 11.1%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.2%   
Diversified Telecommunication Services - 0.4%   
Altice France SA:   
5.125% 1/15/29 (a) $720,000 $725,256 
7.375% 5/1/26 (a) 547,000 567,770 
8.125% 2/1/27 (a) 325,000 353,031 
AT&T, Inc.:   
2.55% 12/1/33 (a) 2,825,000 2,839,364 
3.8% 12/1/57 (a) 39,772,000 42,301,169 
4.3% 2/15/30 3,992,000 4,644,363 
4.75% 5/15/46 41,310,000 50,474,322 
4.9% 6/15/42 6,909,000 8,639,210 
5.55% 8/15/41 12,537,000 16,672,495 
6.2% 3/15/40 2,303,000 3,143,277 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (a) 1,246,000 1,320,760 
7.5% 10/15/26 (a) 1,565,000 1,627,600 
Frontier Communications Holdings LLC 5.875% 10/15/27 (a) 235,000 251,210 
Level 3 Financing, Inc.:   
3.625% 1/15/29 (a) 85,000 82,450 
4.25% 7/1/28 (a) 2,240,000 2,266,790 
Lumen Technologies, Inc.:   
4.5% 1/15/29 (a) 280,000 273,700 
5.125% 12/15/26 (a) 2,190,000 2,264,460 
5.625% 4/1/25 415,000 449,117 
6.875% 1/15/28 40,000 44,957 
Sable International Finance Ltd. 5.75% 9/7/27 (a) 2,595,000 2,718,263 
Sprint Capital Corp.:   
6.875% 11/15/28 5,880,000 7,664,462 
8.75% 3/15/32 1,315,000 2,013,817 
Telecom Italia Capital SA:   
6% 9/30/34 286,000 325,239 
7.2% 7/18/36 1,635,000 2,058,547 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) 800,000 841,200 
Verizon Communications, Inc.:   
2.987% 10/30/56 1,378,000 1,329,373 
4.329% 9/21/28 10,293,000 12,018,973 
5.012% 4/15/49 129,000 172,255 
Virgin Media Finance PLC 5% 7/15/30 (a) 636,000 658,546 
  168,741,976 
Entertainment - 0.1%   
The Walt Disney Co.:   
2.2% 1/13/28 10,316,000 10,747,818 
2.65% 1/13/31 13,000,000 13,808,651 
  24,556,469 
Interactive Media & Services - 0.0%   
Twitter, Inc. 3.875% 12/15/27 (a) 510,000 550,469 
Media - 0.6%   
Altice Financing SA:   
5% 1/15/28 (a) 225,000 224,820 
5.75% 8/15/29 (a) 840,000 862,848 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (a) 940,000 964,675 
4.5% 8/15/30 (a) 435,000 454,514 
4.5% 5/1/32 2,380,000 2,486,743 
4.5% 6/1/33 (a) 500,000 518,125 
5% 2/1/28 (a) 2,401,000 2,515,288 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
2.8% 4/1/31 25,100,000 25,717,914 
3.7% 4/1/51 20,100,000 20,233,000 
4.464% 7/23/22 5,986,000 6,159,048 
4.8% 3/1/50 10,000,000 11,679,206 
4.908% 7/23/25 4,642,000 5,252,402 
5.375% 5/1/47 41,310,000 50,834,227 
5.75% 4/1/48 18,275,000 23,505,265 
Comcast Corp.:   
3.75% 4/1/40 1,000,000 1,148,228 
4.65% 7/15/42 2,578,000 3,273,608 
CSC Holdings LLC:   
4.125% 12/1/30 (a) 510,000 510,638 
4.625% 12/1/30 (a) 410,000 403,333 
5.5% 4/15/27 (a) 564,000 590,016 
5.75% 1/15/30 (a) 875,000 924,613 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (a) 925,000 613,830 
Discovery Communications LLC:   
3.625% 5/15/30 6,407,000 7,018,847 
4.65% 5/15/50 17,335,000 20,567,712 
Fox Corp.:   
5.476% 1/25/39 2,264,000 2,938,090 
5.576% 1/25/49 1,502,000 2,066,112 
Gray Television, Inc. 4.75% 10/15/30 (a) 245,000 242,134 
Lamar Media Corp. 3.625% 1/15/31 (a) 515,000 513,713 
Meredith Corp. 6.5% 7/1/25 (a) 615,000 662,663 
Scripps Escrow II, Inc. 3.875% 1/15/29 (a) 225,000 226,184 
Sirius XM Radio, Inc.:   
4.125% 7/1/30 (a) 155,000 158,676 
5% 8/1/27 (a) 375,000 393,281 
5.5% 7/1/29 (a) 2,890,000 3,164,550 
Tegna, Inc.:   
4.625% 3/15/28 915,000 949,587 
5% 9/15/29 115,000 121,745 
Time Warner Cable LLC:   
4.5% 9/15/42 886,000 990,802 
5.5% 9/1/41 1,530,000 1,910,743 
5.875% 11/15/40 8,089,000 10,429,798 
6.55% 5/1/37 5,846,000 7,977,455 
6.75% 6/15/39 4,614,000 6,444,133 
7.3% 7/1/38 3,785,000 5,513,723 
Virgin Media Secured Finance PLC:   
4.5% 8/15/30 (a) 585,000 593,366 
5.5% 5/15/29 (a) 415,000 444,569 
Ziggo Bond Co. BV 5.125% 2/28/30 (a) 540,000 554,418 
Ziggo BV:   
4.875% 1/15/30 (a) 550,000 566,500 
5.5% 1/15/27 (a) 1,083,000 1,119,378 
  234,440,520 
Wireless Telecommunication Services - 0.1%   
Millicom International Cellular SA:   
4.5% 4/27/31 (a) 200,000 209,038 
5.125% 1/15/28 (a) 540,000 561,870 
6.625% 10/15/26 (a) 665,436 700,496 
T-Mobile U.S.A., Inc.:   
2.875% 2/15/31 695,000 714,113 
3.75% 4/15/27 10,840,000 11,997,387 
3.875% 4/15/30 22,877,000 25,631,848 
4.5% 4/15/50 4,597,000 5,512,033 
  45,326,785 
TOTAL COMMUNICATION SERVICES  473,616,219 
CONSUMER DISCRETIONARY - 0.6%   
Auto Components - 0.0%   
Allison Transmission, Inc. 3.75% 1/30/31 (a) 615,000 614,231 
Automobiles - 0.2%   
General Motors Co. 5.4% 10/2/23 18,263,000 19,962,774 
General Motors Financial Co., Inc.:   
3.7% 5/9/23 8,751,000 9,146,848 
4.25% 5/15/23 1,359,000 1,440,437 
4.375% 9/25/21 5,310,000 5,323,602 
5.2% 3/20/23 11,203,000 11,963,205 
Volkswagen Group of America Finance LLC:   
2.9% 5/13/22 (a) 10,524,000 10,705,168 
3.125% 5/12/23 (a) 9,168,000 9,547,491 
3.35% 5/13/25 (a) 14,765,000 15,898,846 
  83,988,371 
Diversified Consumer Services - 0.0%   
Adtalem Global Education, Inc. 5.5% 3/1/28 (a) 825,000 844,594 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) 765,000 789,863 
Service Corp. International 5.125% 6/1/29 970,000 1,057,737 
  2,692,194 
Hotels, Restaurants & Leisure - 0.1%   
Aramark Services, Inc.:   
5% 2/1/28 (a) 3,530,000 3,670,556 
6.375% 5/1/25 (a) 1,890,000 2,000,660 
Carnival Corp. 10.5% 2/1/26 (a) 1,105,000 1,274,894 
Hilton Domestic Operating Co., Inc.:   
3.625% 2/15/32 (a) 660,000 655,050 
3.75% 5/1/29 (a) 700,000 714,000 
4% 5/1/31 (a) 1,535,000 1,582,969 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 164,000 170,135 
MCE Finance Ltd.:   
4.875% 6/6/25 (a) 750,000 763,125 
5.375% 12/4/29 (a) 260,000 269,021 
5.75% 7/21/28 (a) 390,000 406,575 
MGM Resorts International 5.75% 6/15/25 820,000 897,900 
Royal Caribbean Cruises Ltd.:   
5.5% 4/1/28 (a) 755,000 761,535 
9.125% 6/15/23 (a) 130,000 141,700 
11.5% 6/1/25 (a) 325,000 372,938 
Starbucks Corp. 1.3% 5/7/22 5,502,000 5,537,954 
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (a) 290,000 300,060 
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) 497,000 499,734 
5.5% 10/1/27 (a) 425,000 430,313 
  21,132,819 
Household Durables - 0.2%   
Century Communities, Inc. 3.875% 8/15/29 (a) 325,000 329,940 
D.R. Horton, Inc. 1.3% 10/15/26 15,859,000 15,833,503 
Lennar Corp.:   
4.75% 11/29/27 9,429,000 10,972,622 
5% 6/15/27 12,243,000 14,247,302 
5.25% 6/1/26 2,965,000 3,424,575 
Newell Brands, Inc.:   
5.875% 4/1/36 270,000 338,175 
6% 4/1/46 1,185,000 1,540,500 
Toll Brothers Finance Corp.:   
4.35% 2/15/28 14,431,000 15,982,333 
4.875% 11/15/25 45,000 50,681 
4.875% 3/15/27 15,464,000 17,532,310 
  80,251,941 
Internet & Direct Marketing Retail - 0.0%   
Alibaba Group Holding Ltd.:   
2.125% 2/9/31 2,350,000 2,309,416 
2.7% 2/9/41 12,255,000 11,616,882 
Match Group Holdings II LLC 4.125% 8/1/30 (a) 170,000 178,075 
  14,104,373 
Leisure Products - 0.0%   
Hasbro, Inc.:   
2.6% 11/19/22 2,845,000 2,917,388 
3% 11/19/24 6,474,000 6,876,445 
Mattel, Inc.:   
3.75% 4/1/29 (a) 430,000 451,414 
5.45% 11/1/41 70,000 84,175 
6.2% 10/1/40 531,000 682,335 
  11,011,757 
Multiline Retail - 0.0%   
Nordstrom, Inc. 4.375% 4/1/30 510,000 531,550 
Specialty Retail - 0.1%   
AutoNation, Inc. 4.75% 6/1/30 1,430,000 1,686,649 
AutoZone, Inc. 4% 4/15/30 19,121,000 21,901,229 
Bath & Body Works, Inc. 6.625% 10/1/30 (a) 825,000 950,813 
  24,538,691 
Textiles, Apparel & Luxury Goods - 0.0%   
Crocs, Inc. 4.125% 8/15/31 (a) 285,000 286,425 
Hanesbrands, Inc. 4.875% 5/15/26 (a) 615,000 671,119 
Levi Strauss & Co. 3.5% 3/1/31 (a) 355,000 365,650 
The William Carter Co. 5.625% 3/15/27 (a) 446,000 466,070 
Wolverine World Wide, Inc. 4% 8/15/29 (a) 380,000 385,179 
  2,174,443 
TOTAL CONSUMER DISCRETIONARY  241,040,370 
CONSUMER STAPLES - 0.9%   
Beverages - 0.4%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 6,600,000 8,074,072 
4.9% 2/1/46 14,391,000 18,174,458 
Anheuser-Busch InBev Worldwide, Inc.:   
3.5% 6/1/30 10,375,000 11,555,788 
4.35% 6/1/40 6,274,000 7,524,689 
4.5% 6/1/50 11,500,000 14,296,785 
4.6% 6/1/60 18,803,000 23,436,955 
4.75% 1/23/29 11,220,000 13,339,517 
4.75% 4/15/58 5,641,000 7,171,744 
5.45% 1/23/39 5,480,000 7,239,376 
5.55% 1/23/49 13,389,000 18,612,106 
5.8% 1/23/59 (Reg. S) 14,304,000 21,182,438 
Constellation Brands, Inc. 4.75% 11/15/24 3,799,000 4,251,948 
PepsiCo, Inc.:   
2.625% 3/19/27 1,114,000 1,200,243 
2.75% 3/19/30 5,700,000 6,174,151 
  162,234,270 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
3.5% 3/15/29 (a) 2,020,000 2,040,200 
4.625% 1/15/27 (a) 125,000 132,344 
4.875% 2/15/30 (a) 330,000 360,113 
Sysco Corp. 6.6% 4/1/50 53,060,000 84,920,088 
U.S. Foods, Inc. 6.25% 4/15/25 (a) 445,000 468,919 
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 1,926,000 1,928,611 
  89,850,275 
Food Products - 0.3%   
Darling Ingredients, Inc. 5.25% 4/15/27 (a) 615,000 642,324 
General Mills, Inc. 2.875% 4/15/30 1,277,000 1,365,369 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (a) 269,000 294,891 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (a) 23,280,000 26,272,644 
6.5% 4/15/29 (a) 32,201,000 36,467,633 
Kraft Heinz Foods Co.:   
3.875% 5/15/27 560,000 617,235 
4.25% 3/1/31 525,000 606,175 
4.375% 6/1/46 11,995,000 13,907,756 
4.625% 1/30/29 10,000,000 11,575,362 
4.875% 10/1/49 10,000,000 12,421,010 
5% 7/15/35 2,215,000 2,746,493 
5.2% 7/15/45 6,203,000 7,959,897 
7.125% 8/1/39 (a) 9,489,000 14,403,364 
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) 825,000 917,485 
Post Holdings, Inc. 4.625% 4/15/30 (a) 905,000 924,066 
TreeHouse Foods, Inc. 4% 9/1/28 390,000 375,902 
  131,497,606 
Personal Products - 0.0%   
Prestige Brands, Inc. 3.75% 4/1/31 (a) 340,000 335,750 
TOTAL CONSUMER STAPLES  383,917,901 
ENERGY - 1.0%   
Oil, Gas & Consumable Fuels - 1.0%   
Apache Corp.:   
5.1% 9/1/40 330,000 367,125 
5.25% 2/1/42 495,000 546,975 
5.35% 7/1/49 80,000 89,216 
Cheniere Energy Partners LP:   
4% 3/1/31 (a) 925,000 973,563 
5.625% 10/1/26 1,835,000 1,899,042 
Cheniere Energy, Inc. 4.625% 10/15/28 595,000 627,725 
Citgo Petroleum Corp. 6.375% 6/15/26 (a) 660,000 669,900 
Columbia Pipeline Group, Inc. 4.5% 6/1/25 852,000 953,172 
Continental Resources, Inc. 5.75% 1/15/31 (a) 895,000 1,090,781 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (a) 1,653,000 1,669,530 
5.75% 4/1/25 2,038,000 2,081,308 
6% 2/1/29 (a) 1,420,000 1,448,400 
CVR Energy, Inc.:   
5.25% 2/15/25 (a) 790,000 774,200 
5.75% 2/15/28 (a) 105,000 103,671 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,116,000 3,201,690 
5.125% 5/15/29 1,740,000 1,931,400 
5.375% 7/15/25 540,000 594,675 
5.6% 4/1/44 2,748,000 3,146,460 
5.625% 7/15/27 620,000 704,522 
5.85% 5/21/43 (a)(b) 4,466,000 4,131,050 
6.45% 11/3/36 (a) 210,000 254,625 
8.125% 8/16/30 15,000 19,988 
EG Global Finance PLC 6.75% 2/7/25 (a) 530,000 544,575 
Enable Midstream Partners LP 3.9% 5/15/24 (b) 869,000 923,919 
Enbridge, Inc.:   
4% 10/1/23 3,854,000 4,091,905 
4.25% 12/1/26 1,461,000 1,641,901 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (a) 45,000 46,585 
5.75% 1/30/28 (a) 435,000 457,838 
6.625% 7/15/25 (a) 110,000 116,650 
Energy Transfer LP:   
3.75% 5/15/30 3,643,000 3,955,458 
4.2% 9/15/23 1,203,000 1,280,675 
4.25% 3/15/23 1,393,000 1,456,325 
4.5% 4/15/24 1,576,000 1,711,687 
4.95% 6/15/28 4,103,000 4,752,539 
5% 5/15/50 7,800,000 9,138,668 
5.25% 4/15/29 2,564,000 3,020,308 
5.4% 10/1/47 1,732,000 2,102,411 
5.8% 6/15/38 2,288,000 2,821,918 
6% 6/15/48 1,490,000 1,903,757 
6.25% 4/15/49 1,761,000 2,331,322 
EnLink Midstream LLC 5.625% 1/15/28 (a) 105,000 109,725 
EnLink Midstream Partners LP:   
5.05% 4/1/45 140,000 128,472 
5.45% 6/1/47 290,000 273,142 
5.6% 4/1/44 490,000 465,500 
EQM Midstream Partners LP:   
4.75% 1/15/31 (a) 550,000 559,625 
5.5% 7/15/28 440,000 480,141 
6.5% 7/1/27 (a) 465,000 518,475 
6.5% 7/15/48 265,000 299,265 
EQT Corp. 3.9% 10/1/27 405,000 437,230 
Global Partners LP/GLP Finance Corp. 7% 8/1/27 1,200,000 1,246,860 
Hess Corp.:   
4.3% 4/1/27 7,041,000 7,822,703 
5.6% 2/15/41 27,100,000 33,816,129 
5.8% 4/1/47 5,019,000 6,527,709 
7.125% 3/15/33 1,403,000 1,893,803 
7.3% 8/15/31 1,709,000 2,324,127 
7.875% 10/1/29 4,789,000 6,569,562 
Hess Midstream Partners LP:   
5.125% 6/15/28 (a) 780,000 817,050 
5.625% 2/15/26 (a) 1,503,000 1,560,670 
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (a) 185,000 191,177 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) 910,000 928,473 
MPLX LP:   
3 month U.S. LIBOR + 1.100% 1.2231% 9/9/22 (b)(c) 3,392,000 3,391,915 
4.8% 2/15/29 1,376,000 1,610,826 
4.875% 12/1/24 1,974,000 2,196,442 
5.5% 2/15/49 4,129,000 5,331,805 
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (a) 110,000 110,979 
New Fortress Energy, Inc. 6.5% 9/30/26 (a) 650,000 653,380 
Occidental Petroleum Corp.:   
3.5% 8/15/29 3,191,000 3,306,801 
4.2% 3/15/48 310,000 303,608 
4.3% 8/15/39 562,000 571,835 
4.4% 4/15/46 480,000 490,579 
4.4% 8/15/49 3,942,000 3,972,787 
5.55% 3/15/26 5,734,000 6,393,410 
6.125% 1/1/31 365,000 441,358 
6.2% 3/15/40 160,000 190,818 
6.45% 9/15/36 5,135,000 6,418,750 
6.6% 3/15/46 4,886,000 6,181,327 
7.5% 5/1/31 7,400,000 9,682,382 
7.875% 9/15/31 100,000 132,841 
8.875% 7/15/30 345,000 473,440 
Ovintiv, Inc.:   
5.15% 11/15/41 3,000,000 3,338,079 
8.125% 9/15/30 5,649,000 7,698,606 
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) 1,500,000 1,447,500 
Petroleos Mexicanos:   
6.35% 2/12/48 1,560,000 1,314,144 
6.49% 1/23/27 3,630,000 3,836,910 
6.5% 3/13/27 4,256,000 4,504,976 
6.75% 9/21/47 22,490,000 19,757,465 
6.84% 1/23/30 15,264,000 15,931,800 
6.95% 1/28/60 7,166,000 6,268,100 
7.69% 1/23/50 73,606,000 70,276,801 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,968,000 2,084,540 
3.6% 11/1/24 1,903,000 2,028,551 
3.65% 6/1/22 3,779,000 3,837,928 
Rattler Midstream LP 5.625% 7/15/25 (a) 1,110,000 1,165,500 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,000,000 2,025,676 
Rockies Express Pipeline LLC:   
4.8% 5/15/30 (a) 735,000 760,126 
4.95% 7/15/29 (a) 276,000 287,142 
6.875% 4/15/40 (a) 105,000 115,763 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 14,626,000 16,942,262 
Sunoco LP/Sunoco Finance Corp.:   
4.5% 5/15/29 635,000 642,938 
5.875% 3/15/28 135,000 142,594 
6% 4/15/27 15,000 15,674 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:   
5.5% 1/15/28 (a) 125,000 126,250 
6% 3/1/27 (a) 545,000 564,075 
6% 12/31/30 (a) 655,000 666,214 
6% 9/1/31 (a) 270,000 270,338 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4% 1/15/32 (a) 1,200,000 1,256,796 
4.875% 2/1/31 1,705,000 1,854,699 
5.375% 2/1/27 128,000 132,640 
5.5% 3/1/30 135,000 148,838 
5.875% 4/15/26 881,000 921,746 
The Williams Companies, Inc.:   
3.5% 11/15/30 15,742,000 17,277,064 
3.7% 1/15/23 808,000 837,219 
5.1% 9/15/45 9,765,000 12,192,482 
Venture Global Calcasieu Pass LLC:   
3.875% 8/15/29 (a) 340,000 350,407 
4.125% 8/15/31 (a) 325,000 340,844 
Viper Energy Partners LP 5.375% 11/1/27 (a) 600,000 629,340 
Western Gas Partners LP:   
3.95% 6/1/25 1,280,000 1,340,800 
4.65% 7/1/26 2,046,000 2,205,588 
4.75% 8/15/28 1,236,000 1,359,971 
5.3% 2/1/30 1,420,000 1,591,266 
  396,892,232 
FINANCIALS - 5.0%   
Banks - 2.6%   
Bank of America Corp.:   
1.734% 7/22/27 (b) 25,000,000 25,333,627 
2.299% 7/21/32 (b) 50,000,000 50,297,163 
3.3% 1/11/23 2,658,000 2,767,954 
3.419% 12/20/28(b) 5,193,000 5,703,370 
3.5% 4/19/26 6,078,000 6,692,106 
3.95% 4/21/25 37,660,000 41,242,389 
4% 1/22/25 26,856,000 29,351,678 
4.1% 7/24/23 1,426,000 1,526,713 
4.183% 11/25/27 6,909,000 7,764,745 
4.2% 8/26/24 8,311,000 9,109,270 
4.25% 10/22/26 38,178,000 43,354,437 
4.45% 3/3/26 6,522,000 7,356,275 
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.8643% 7/20/22 (a)(b)(c) 8,158,000 8,204,475 
Barclays Bank PLC 1.7% 5/12/22 5,246,000 5,293,830 
Barclays PLC:   
2.852% 5/7/26 (b) 14,944,000 15,816,338 
4.375% 1/12/26 4,468,000 5,024,598 
4.836% 5/9/28 6,102,000 6,916,581 
5.088% 6/20/30 (b) 29,218,000 34,110,493 
5.2% 5/12/26 1,556,000 1,787,502 
BNP Paribas SA 2.219% 6/9/26 (a)(b) 13,752,000 14,155,671 
BPCE SA 4.875% 4/1/26 (a) 7,383,000 8,398,268 
CIT Group, Inc.:   
3.929% 6/19/24 (b) 1,900,000 1,992,625 
4.75% 2/16/24 2,520,000 2,718,450 
6.125% 3/9/28 4,920,000 6,034,774 
Citigroup, Inc.:   
4.075% 4/23/29 (b) 4,606,000 5,222,819 
4.125% 7/25/28 6,909,000 7,814,543 
4.3% 11/20/26 1,766,000 2,004,324 
4.4% 6/10/25 19,341,000 21,516,414 
4.412% 3/31/31 (b) 34,201,000 40,070,200 
4.45% 9/29/27 21,445,000 24,559,574 
4.6% 3/9/26 17,445,000 19,872,866 
5.3% 5/6/44 9,501,000 12,892,052 
5.5% 9/13/25 7,738,000 8,991,949 
Citizens Financial Group, Inc. 2.638% 9/30/32 7,305,000 7,427,003 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) 3,723,000 3,989,757 
DNB Bank ASA 1.535% 5/25/27 (a)(b) 48,309,000 48,582,718 
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (a) 350,000 356,668 
HSBC Holdings PLC:   
4.25% 3/14/24 1,433,000 1,545,401 
4.95% 3/31/30 2,548,000 3,077,236 
5.25% 3/14/44 1,039,000 1,377,093 
Intesa Sanpaolo SpA:   
4.198% 6/1/32 (a) 17,320,000 17,827,282 
5.017% 6/26/24 (a) 10,324,000 11,206,798 
5.71% 1/15/26 (a) 75,840,000 85,286,319 
JPMorgan Chase & Co.:   
2.956% 5/13/31 (b) 7,934,000 8,401,885 
4.125% 12/15/26 15,380,000 17,461,683 
NatWest Markets PLC 2.375% 5/21/23 (a) 15,700,000 16,229,786 
Rabobank Nederland 4.375% 8/4/25 4,789,000 5,353,216 
Royal Bank of Scotland Group PLC:   
3.073% 5/22/28 (b) 8,707,000 9,291,061 
4.8% 4/5/26 19,815,000 22,672,478 
5.125% 5/28/24 35,958,000 39,826,020 
6% 12/19/23 43,478,000 48,440,164 
6.1% 6/10/23 19,857,000 21,646,895 
6.125% 12/15/22 21,905,000 23,421,433 
Societe Generale:   
1.038% 6/18/25 (a)(b) 75,000,000 74,665,825 
1.488% 12/14/26 (a)(b) 16,638,000 16,549,128 
4.25% 4/14/25 (a) 7,110,000 7,722,187 
Synchrony Bank 3% 6/15/22 3,984,000 4,059,840 
UniCredit SpA 6.572% 1/14/22 (a) 6,953,000 7,100,368 
Wells Fargo & Co.:   
2.406% 10/30/25 (b) 7,739,000 8,087,005 
4.3% 7/22/27 25,328,000 29,030,343 
4.478% 4/4/31 (b) 19,300,000 22,862,233 
Westpac Banking Corp. 4.11% 7/24/34 (b) 5,171,000 5,709,746 
  1,053,105,644 
Capital Markets - 1.3%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 1,396,000 1,516,246 
Ares Capital Corp.:   
3.25% 7/15/25 42,000,000 44,380,108 
3.875% 1/15/26 22,188,000 23,872,008 
4.2% 6/10/24 15,463,000 16,628,864 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(b) 14,306,000 14,890,735 
3.75% 3/26/25 9,717,000 10,538,849 
4.194% 4/1/31 (a)(b) 37,158,000 42,094,955 
4.55% 4/17/26 3,126,000 3,542,435 
Deutsche Bank AG 4.5% 4/1/25 29,219,000 31,483,467 
Deutsche Bank AG New York Branch:   
3.3% 11/16/22 7,369,000 7,612,179 
3.729% 1/14/32 (b) 10,000,000 10,314,161 
4.1% 1/13/26 8,332,000 9,137,060 
5% 2/14/22 11,778,000 12,016,341 
Goldman Sachs Group, Inc.:   
2.383% 7/21/32 (b) 18,425,000 18,627,146 
2.876% 10/31/22 (b) 10,640,000 10,682,742 
3.272% 9/29/25 (b) 35,921,000 38,459,929 
4.25% 10/21/25 12,215,000 13,631,300 
6.75% 10/1/37 59,592,000 86,826,513 
Intercontinental Exchange, Inc. 3.75% 12/1/25 2,038,000 2,248,103 
LPL Holdings, Inc. 4% 3/15/29 (a) 1,070,000 1,092,791 
Morgan Stanley:   
3.125% 7/27/26 14,775,000 16,032,773 
3.622% 4/1/31 (b) 17,370,000 19,455,562 
3.625% 1/20/27 16,594,000 18,461,361 
3.7% 10/23/24 4,754,000 5,178,194 
3.875% 4/29/24 4,377,000 4,741,004 
4.875% 11/1/22 9,955,000 10,465,097 
5% 11/24/25 21,351,000 24,570,717 
MSCI, Inc.:   
3.25% 8/15/33 (a) 215,000 221,719 
5.375% 5/15/27 (a) 1,242,000 1,325,587 
State Street Corp.:   
2.825% 3/30/23 (b) 1,216,000 1,234,087 
2.901% 3/30/26 (b) 1,141,000 1,218,433 
UBS Group AG 1.494% 8/10/27 (a)(b) 11,792,000 11,777,690 
  514,278,156 
Consumer Finance - 0.7%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
1.75% 1/30/26 14,780,000 14,623,561 
2.875% 8/14/24 8,576,000 8,944,267 
3.5% 5/26/22 293,000 298,600 
4.125% 7/3/23 4,250,000 4,487,973 
4.45% 4/3/26 4,254,000 4,665,876 
4.875% 1/16/24 6,629,000 7,194,803 
6.5% 7/15/25 6,613,000 7,715,823 
Ally Financial, Inc.:   
1.45% 10/2/23 3,893,000 3,951,437 
3.05% 6/5/23 17,631,000 18,332,953 
3.875% 5/21/24 8,893,000 9,588,877 
4.625% 3/30/25 3,595,000 4,012,701 
5.125% 9/30/24 3,534,000 3,965,745 
5.75% 11/20/25 1,188,000 1,361,023 
5.8% 5/1/25 9,417,000 10,898,851 
8% 11/1/31 5,827,000 8,542,128 
8% 11/1/31 222,000 314,343 
Capital One Financial Corp.:   
3.65% 5/11/27 21,700,000 24,219,614 
3.8% 1/31/28 10,723,000 12,034,085 
Discover Financial Services:   
3.95% 11/6/24 1,874,000 2,039,871 
4.1% 2/9/27 13,375,000 15,045,671 
4.5% 1/30/26 5,913,000 6,675,414 
Ford Motor Credit Co. LLC:   
4% 11/13/30 830,000 875,650 
4.063% 11/1/24 46,639,000 49,295,091 
4.687% 6/9/25 430,000 466,305 
5.113% 5/3/29 1,320,000 1,491,600 
5.125% 6/16/25 320,000 351,200 
5.584% 3/18/24 8,520,000 9,222,900 
5.596% 1/7/22 7,576,000 7,675,246 
OneMain Finance Corp.:   
3.5% 1/15/27 805,000 814,837 
3.875% 9/15/28 1,350,000 1,356,318 
Synchrony Financial:   
2.85% 7/25/22 2,154,000 2,198,918 
3.95% 12/1/27 8,239,000 9,182,671 
4.25% 8/15/24 8,335,000 9,046,328 
4.375% 3/19/24 8,694,000 9,410,321 
5.15% 3/19/29 18,424,000 21,817,205 
  292,118,206 
Diversified Financial Services - 0.2%   
Brixmor Operating Partnership LP:   
4.05% 7/1/30 9,134,000 10,338,594 
4.125% 6/15/26 5,362,000 5,995,785 
4.125% 5/15/29 19,691,000 22,435,426 
Equitable Holdings, Inc. 3.9% 4/20/23 674,000 709,669 
HCRX Investments Holdco LP 4.5% 8/1/29 (a) 130,000 131,675 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.75% 9/15/24 740,000 767,260 
5.25% 5/15/27 3,430,000 3,562,913 
6.25% 5/15/26 1,691,000 1,781,891 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 7,300,000 8,010,043 
Pine Street Trust I 4.572% 2/15/29 (a) 7,749,000 8,894,945 
Pine Street Trust II 5.568% 2/15/49 (a) 7,700,000 10,277,925 
VMED O2 UK Financing I PLC 4.25% 1/31/31 (a) 1,805,000 1,814,061 
Voya Financial, Inc. 3.125% 7/15/24 2,503,000 2,660,380 
  77,380,567 
Insurance - 0.2%   
Five Corners Funding Trust II 2.85% 5/15/30 (a) 15,870,000 16,872,897 
Liberty Mutual Group, Inc. 3.95% 5/15/60 (a) 12,820,000 14,372,588 
Lincoln National Corp. 3.4% 1/15/31 14,811,000 16,287,491 
Pacific LifeCorp 5.125% 1/30/43 (a) 2,623,000 3,379,807 
Pricoa Global Funding I 5.375% 5/15/45 (b) 3,148,000 3,495,674 
Prudential Financial, Inc. 4.5% 11/16/21 1,288,000 1,298,729 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) 3,000,000 3,445,494 
Unum Group:   
4% 6/15/29 6,130,000 6,883,232 
5.75% 8/15/42 1,622,000 2,042,901 
  68,078,813 
Thrifts & Mortgage Finance - 0.0%   
Quicken Loans LLC 5.25% 1/15/28 (a) 722,000 761,710 
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (a) 655,000 668,919 
  1,430,629 
TOTAL FINANCIALS  2,006,392,015 
HEALTH CARE - 0.4%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/21/29 4,900,000 5,355,801 
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
3.25% 2/15/29 (a) 545,000 558,462 
4.625% 2/1/28 (a) 65,000 69,144 
Teleflex, Inc. 4.25% 6/1/28 (a) 145,000 150,981 
  778,587 
Health Care Providers & Services - 0.2%   
Anthem, Inc. 3.3% 1/15/23 4,322,000 4,492,665 
Centene Corp.:   
2.45% 7/15/28 11,370,000 11,534,439 
2.5% 3/1/31 945,000 942,562 
2.625% 8/1/31 5,485,000 5,560,419 
3.375% 2/15/30 7,725,000 8,072,625 
4.25% 12/15/27 6,215,000 6,564,594 
4.625% 12/15/29 8,795,000 9,647,148 
Cigna Corp. 4.375% 10/15/28 6,630,000 7,736,236 
CVS Health Corp. 3.625% 4/1/27 3,208,000 3,560,030 
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (a) 1,405,000 1,468,450 
HCA Holdings, Inc. 4.75% 5/1/23 138,000 147,155 
Molina Healthcare, Inc. 3.875% 11/15/30 (a) 850,000 906,313 
Owens & Minor, Inc. 4.5% 3/31/29 (a) 160,000 163,592 
Tenet Healthcare Corp.:   
4.625% 6/15/28 (a) 2,765,000 2,861,775 
4.875% 1/1/26 (a) 385,000 399,361 
5.125% 11/1/27 (a) 1,000,000 1,052,500 
Toledo Hospital 5.325% 11/15/28 2,395,000 2,746,935 
  67,856,799 
Health Care Technology - 0.0%   
IQVIA, Inc. 5% 5/15/27 (a) 630,000 658,306 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc.:   
3.75% 3/15/29 (a) 180,000 185,551 
4.25% 5/1/28 (a) 70,000 73,319 
  258,870 
Pharmaceuticals - 0.2%   
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 50,548,000 56,275,991 
Elanco Animal Health, Inc.:   
5.272% 8/28/23 (b) 3,402,000 3,644,393 
5.9% 8/28/28 (b) 1,432,000 1,676,314 
Jazz Securities DAC 4.375% 1/15/29 (a) 225,000 233,156 
Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (a) 530,000 546,801 
Utah Acquisition Sub, Inc. 3.95% 6/15/26 2,065,000 2,288,929 
Viatris, Inc.:   
1.65% 6/22/25 (a) 1,773,000 1,801,436 
2.7% 6/22/30 (a) 9,017,000 9,226,623 
3.85% 6/22/40 (a) 3,928,000 4,254,572 
4% 6/22/50 (a) 6,783,000 7,384,441 
Zoetis, Inc. 3.25% 2/1/23 1,210,000 1,250,664 
  88,583,320 
TOTAL HEALTH CARE  163,491,683 
INDUSTRIALS - 0.5%   
Aerospace & Defense - 0.1%   
BAE Systems PLC 3.4% 4/15/30 (a) 4,094,000 4,487,922 
BWX Technologies, Inc. 4.125% 6/30/28 (a) 480,000 493,200 
Howmet Aerospace, Inc.:   
5.95% 2/1/37 25,000 31,531 
6.75% 1/15/28 365,000 450,065 
Moog, Inc. 4.25% 12/15/27 (a) 980,000 1,006,950 
Rolls-Royce PLC 5.75% 10/15/27 (a) 615,000 674,471 
The Boeing Co.:   
5.04% 5/1/27 6,070,000 6,997,739 
5.15% 5/1/30 6,070,000 7,181,805 
5.805% 5/1/50 6,070,000 8,244,308 
5.93% 5/1/60 6,070,000 8,436,890 
TransDigm, Inc.:   
6.25% 3/15/26 (a) 2,552,000 2,679,600 
7.5% 3/15/27 95,000 100,463 
8% 12/15/25 (a) 1,120,000 1,198,400 
  41,983,344 
Airlines - 0.0%   
United Airlines, Inc. 4.375% 4/15/26 (a) 530,000 549,822 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (a) 965,000 1,003,600 
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (a) 715,000 734,527 
  1,738,127 
Commercial Services & Supplies - 0.0%   
ADT Corp. 4.125% 8/1/29 (a) 270,000 269,652 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) 915,000 913,170 
Nielsen Finance LLC/Nielsen Finance Co.:   
5.625% 10/1/28 (a) 495,000 520,369 
5.875% 10/1/30 (a) 490,000 526,138 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (a) 1,230,000 1,186,895 
Stericycle, Inc. 3.875% 1/15/29 (a) 450,000 457,970 
  3,874,194 
Construction & Engineering - 0.0%   
AECOM 5.125% 3/15/27 1,077,000 1,202,987 
Electrical Equipment - 0.0%   
Sensata Technologies BV 4% 4/15/29 (a) 275,000 284,504 
Industrial Conglomerates - 0.2%   
General Electric Co.:   
3.45% 5/1/27 2,582,000 2,848,004 
3.625% 5/1/30 6,002,000 6,747,404 
4.25% 5/1/40 18,800,000 22,388,012 
4.35% 5/1/50 21,476,000 26,420,165 
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (a) 500,000 502,500 
  58,906,085 
Machinery - 0.0%   
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (a) 1,065,000 1,125,247 
Marine - 0.0%   
Seaspan Corp. 5.5% 8/1/29 (a) 270,000 276,075 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (a) 1,470,000 1,534,709 
Booz Allen Hamilton, Inc.:   
3.875% 9/1/28 (a) 765,000 788,531 
4% 7/1/29 (a) 105,000 108,806 
TriNet Group, Inc. 3.5% 3/1/29 (a) 405,000 408,038 
  2,840,084 
Road & Rail - 0.0%   
XPO Logistics, Inc. 6.25% 5/1/25 (a) 1,705,000 1,800,906 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
0.7% 2/15/24 10,742,000 10,693,937 
2.25% 1/15/23 1,863,000 1,907,851 
3% 9/15/23 583,000 607,642 
3.375% 7/1/25 11,630,000 12,450,792 
3.75% 2/1/22 2,924,000 2,947,884 
3.75% 6/1/26 5,000,000 5,462,927 
4.25% 2/1/24 7,180,000 7,734,291 
4.25% 9/15/24 2,331,000 2,533,561 
  44,338,885 
Transportation Infrastructure - 0.1%   
Avolon Holdings Funding Ltd.:   
3.25% 2/15/27 (a) 10,726,000 11,123,542 
3.625% 5/1/22 (a) 2,141,000 2,178,658 
3.95% 7/1/24 (a) 2,844,000 3,033,763 
4.375% 5/1/26 (a) 7,394,000 8,034,557 
5.25% 5/15/24 (a) 4,186,000 4,589,681 
  28,960,201 
TOTAL INDUSTRIALS  187,880,461 
INFORMATION TECHNOLOGY - 0.3%   
Electronic Equipment & Components - 0.0%   
Dell International LLC/EMC Corp.:   
5.45% 6/15/23 5,600,000 6,035,250 
6.02% 6/15/26 1,948,000 2,326,504 
Sensata Technologies, Inc. 3.75% 2/15/31 (a) 1,410,000 1,417,050 
TTM Technologies, Inc. 4% 3/1/29 (a) 315,000 318,938 
  10,097,742 
IT Services - 0.0%   
Gartner, Inc.:   
3.625% 6/15/29 (a) 155,000 159,538 
3.75% 10/1/30 (a) 255,000 266,832 
4.5% 7/1/28 (a) 395,000 418,206 
Square, Inc. 2.75% 6/1/26 (a) 265,000 272,619 
Twilio, Inc. 3.875% 3/15/31 200,000 209,000 
  1,326,195 
Semiconductors & Semiconductor Equipment - 0.2%   
Broadcom, Inc.:   
1.95% 2/15/28 (a) 2,879,000 2,877,643 
2.45% 2/15/31 (a) 19,432,000 19,257,412 
2.6% 2/15/33 (a) 19,432,000 19,244,288 
3.5% 2/15/41 (a) 19,430,000 20,021,524 
3.75% 2/15/51 (a) 9,284,000 9,663,641 
Entegris, Inc. 4.375% 4/15/28 (a) 755,000 798,556 
ON Semiconductor Corp. 3.875% 9/1/28 (a) 300,000 315,213 
Qorvo, Inc. 3.375% 4/1/31 (a) 615,000 654,852 
  72,833,129 
Software - 0.1%   
CDK Global, Inc. 5.25% 5/15/29 (a) 1,132,000 1,230,733 
Crowdstrike Holdings, Inc. 3% 2/15/29 295,000 297,478 
Fair Isaac Corp. 5.25% 5/15/26 (a) 793,000 905,043 
Nuance Communications, Inc. 5.625% 12/15/26 1,382,000 1,434,219 
Open Text Corp. 3.875% 2/15/28 (a) 420,000 438,375 
Oracle Corp.:   
2.5% 4/1/25 8,253,000 8,657,366 
2.8% 4/1/27 8,253,000 8,804,801 
2.95% 4/1/30 8,300,000 8,799,574 
3.85% 4/1/60 8,300,000 8,919,890 
  39,487,479 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) 3,173,000 3,291,385 
TOTAL INFORMATION TECHNOLOGY  127,035,930 
MATERIALS - 0.0%   
Chemicals - 0.0%   
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (a) 585,000 614,227 
CF Industries Holdings, Inc.:   
4.95% 6/1/43 5,000 6,168 
5.15% 3/15/34 1,617,000 2,019,310 
5.375% 3/15/44 255,000 331,849 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 3.8689% 6/15/22 (a)(b)(c) 432,000 432,001 
6.875% 6/15/25 (a) 115,000 118,738 
Methanex Corp.:   
5.125% 10/15/27 765,000 832,894 
5.25% 12/15/29 90,000 98,175 
5.65% 12/1/44 581,000 632,000 
NOVA Chemicals Corp. 5.25% 6/1/27 (a) 949,000 1,013,940 
Olin Corp.:   
5% 2/1/30 1,715,000 1,840,658 
5.125% 9/15/27 975,000 1,012,781 
5.625% 8/1/29 465,000 513,151 
The Chemours Co. LLC:   
5.375% 5/15/27 1,115,000 1,210,912 
5.75% 11/15/28 (a) 275,000 291,500 
Valvoline, Inc. 4.25% 2/15/30 (a) 165,000 171,188 
W. R. Grace & Co.-Conn.:   
4.875% 6/15/27 (a) 305,000 316,438 
5.625% 10/1/24 (a) 1,254,000 1,373,130 
  12,829,060 
Containers & Packaging - 0.0%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (a) 25,000 25,993 
Trivium Packaging Finance BV 5.5% 8/15/26 (a) 485,000 511,035 
  537,028 
Metals & Mining - 0.0%   
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) 10,000 10,850 
HudBay Minerals, Inc. 4.5% 4/1/26 (a) 135,000 135,702 
Kaiser Aluminum Corp. 4.625% 3/1/28 (a) 1,005,000 1,042,688 
Novelis Corp. 3.875% 8/15/31 (a) 270,000 272,457 
  1,461,697 
TOTAL MATERIALS  14,827,785 
REAL ESTATE - 0.8%   
Equity Real Estate Investment Trusts (REITs) - 0.6%   
Alexandria Real Estate Equities, Inc.:   
2% 5/18/32 8,258,000 8,126,983 
4.9% 12/15/30 7,224,000 8,889,782 
American Homes 4 Rent LP:   
2.375% 7/15/31 1,482,000 1,488,435 
3.375% 7/15/51 2,291,000 2,360,450 
Boston Properties, Inc. 4.5% 12/1/28 4,766,000 5,578,154 
Corporate Office Properties LP:   
2.25% 3/15/26 2,969,000 3,062,170 
2.75% 4/15/31 2,188,000 2,232,825 
5% 7/1/25 2,273,000 2,557,493 
Duke Realty LP 3.25% 6/30/26 589,000 640,416 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,868,000 1,998,662 
3.5% 8/1/26 1,945,000 2,126,586 
Hudson Pacific Properties LP 4.65% 4/1/29 10,668,000 12,424,411 
Iron Mountain, Inc. 4.875% 9/15/29 (a) 615,000 648,702 
Lexington Corporate Properties Trust:   
2.7% 9/15/30 1,445,000 1,484,516 
4.4% 6/15/24 948,000 1,022,277 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 1,508,000 1,642,649 
4.5% 1/15/28 637,000 699,108 
4.625% 6/15/25 (a) 150,000 161,220 
5.75% 2/1/27 256,000 294,692 
Omega Healthcare Investors, Inc.:   
3.25% 4/15/33 9,457,000 9,543,624 
3.375% 2/1/31 5,854,000 6,037,010 
3.625% 10/1/29 8,376,000 8,925,345 
4.375% 8/1/23 1,006,000 1,068,026 
4.5% 1/15/25 2,013,000 2,209,074 
4.5% 4/1/27 716,000 804,424 
4.75% 1/15/28 11,294,000 12,833,815 
4.95% 4/1/24 882,000 961,002 
5.25% 1/15/26 3,755,000 4,283,444 
Realty Income Corp. 3.25% 1/15/31 1,828,000 2,018,935 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 641,000 687,520 
5% 12/15/23 494,000 532,630 
Retail Properties America, Inc.:   
4% 3/15/25 10,791,000 11,519,031 
4.75% 9/15/30 17,486,000 19,581,592 
SBA Communications Corp. 3.875% 2/15/27 515,000 535,229 
Service Properties Trust:   
3.95% 1/15/28 40,000 38,440 
4.375% 2/15/30 415,000 398,630 
4.95% 2/15/27 600,000 600,000 
4.95% 10/1/29 245,000 242,550 
5.5% 12/15/27 230,000 246,634 
Simon Property Group LP:   
2.45% 9/13/29 3,008,000 3,106,581 
3.375% 12/1/27 6,125,000 6,742,805 
SITE Centers Corp.:   
3.625% 2/1/25 1,532,000 1,624,224 
4.25% 2/1/26 2,753,000 2,997,991 
Store Capital Corp.:   
2.75% 11/18/30 3,456,000 3,519,403 
4.625% 3/15/29 2,374,000 2,722,585 
The GEO Group, Inc. 6% 4/15/26 305,000 257,725 
Uniti Group, Inc. 7.875% 2/15/25 (a) 1,050,000 1,122,188 
Ventas Realty LP:   
2.5% 9/1/31 22,080,000 22,180,217 
3% 1/15/30 11,060,000 11,666,046 
3.125% 6/15/23 1,033,000 1,076,291 
4% 3/1/28 2,150,000 2,414,880 
4.125% 1/15/26 999,000 1,113,378 
4.75% 11/15/30 16,500,000 19,670,039 
VEREIT Operating Partnership LP:   
2.2% 6/15/28 1,380,000 1,412,780 
2.85% 12/15/32 1,698,000 1,796,501 
3.4% 1/15/28 2,874,000 3,138,354 
VICI Properties, Inc.:   
4.25% 12/1/26 (a) 1,640,000 1,722,685 
4.625% 12/1/29 (a) 595,000 647,063 
Vornado Realty LP:   
2.15% 6/1/26 3,558,000 3,642,226 
3.4% 6/1/31 12,870,000 13,446,202 
Weingarten Realty Investors 3.375% 10/15/22 456,000 467,114 
WP Carey, Inc.:   
3.85% 7/15/29 1,773,000 1,978,890 
4% 2/1/25 3,423,000 3,729,732 
4.6% 4/1/24 5,327,000 5,795,247 
  258,497,633 
Real Estate Management & Development - 0.2%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,832,000 8,150,729 
3.95% 11/15/27 4,382,000 4,797,650 
4.1% 10/1/24 3,961,000 4,281,882 
4.55% 10/1/29 1,896,000 2,144,348 
CBRE Group, Inc.:   
2.5% 4/1/31 10,225,000 10,395,661 
4.875% 3/1/26 7,844,000 9,027,987 
Essex Portfolio LP 3.875% 5/1/24 1,923,000 2,064,550 
Howard Hughes Corp. 4.375% 2/1/31 (a) 395,000 398,456 
Kennedy-Wilson, Inc. 4.75% 2/1/30 540,000 554,240 
Mid-America Apartments LP 4% 11/15/25 828,000 918,122 
Post Apartment Homes LP 3.375% 12/1/22 502,000 516,379 
Sun Communities Operating LP 2.7% 7/15/31 6,805,000 6,929,347 
Tanger Properties LP:   
2.75% 9/1/31 8,876,000 8,655,748 
3.125% 9/1/26 2,628,000 2,748,660 
3.75% 12/1/24 2,635,000 2,875,876 
3.875% 12/1/23 475,000 506,970 
3.875% 7/15/27 11,191,000 12,165,735 
  77,132,340 
TOTAL REAL ESTATE  335,629,973 
UTILITIES - 0.4%   
Electric Utilities - 0.1%   
Clearway Energy Operating LLC:   
3.75% 2/15/31 (a) 925,000 939,888 
4.75% 3/15/28 (a) 140,000 148,218 
5% 9/15/26 925,000 949,281 
Cleco Corporate Holdings LLC 3.375% 9/15/29 4,843,000 5,062,128 
DPL, Inc. 4.35% 4/15/29 7,785,000 8,563,500 
Duquesne Light Holdings, Inc.:   
2.532% 10/1/30 (a) 2,328,000 2,316,002 
2.775% 1/7/32 (a) 8,828,000 8,960,169 
FirstEnergy Corp.:   
4.75% 3/15/23 4,502,000 4,687,482 
7.375% 11/15/31 5,738,000 8,013,864 
InterGen NV 7% 6/30/23 (a) 964,000 954,360 
IPALCO Enterprises, Inc. 3.7% 9/1/24 1,963,000 2,104,420 
NextEra Energy Partners LP 4.25% 9/15/24 (a) 56,000 58,940 
NRG Energy, Inc.:   
3.625% 2/15/31 (a) 1,785,000 1,816,238 
5.25% 6/15/29 (a) 484,000 525,479 
5.75% 1/15/28 581,000 620,944 
6.625% 1/15/27 132,000 136,913 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) 1,206,034 1,299,501 
PG&E Corp.:   
5% 7/1/28 4,480,000 4,446,400 
5.25% 7/1/30 1,155,000 1,137,675 
Vistra Operations Co. LLC:   
5.5% 9/1/26 (a) 3,498,000 3,597,868 
5.625% 2/15/27 (a) 665,000 692,471 
  57,031,741 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (a) 1,181,644 1,457,336 
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (a) 185,000 191,623 
  1,648,959 
Independent Power and Renewable Electricity Producers - 0.1%   
TerraForm Power Operating LLC:   
4.75% 1/15/30 (a) 75,000 78,932 
5% 1/31/28 (a) 656,000 708,480 
The AES Corp.:   
2.45% 1/15/31 4,011,000 4,047,273 
3.3% 7/15/25 (a) 15,965,000 17,058,124 
3.95% 7/15/30 (a) 13,922,000 15,521,638 
  37,414,447 
Multi-Utilities - 0.2%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 1,758,000 2,002,139 
4.05% 4/15/25 21,459,000 23,712,277 
Consolidated Edison Co. of New York, Inc. 3.95% 4/1/50 2,477,000 2,875,278 
NiSource, Inc.:   
2.95% 9/1/29 12,206,000 13,003,153 
3.49% 5/15/27 13,900,000 15,334,479 
5.95% 6/15/41 1,737,000 2,468,782 
Puget Energy, Inc.:   
4.1% 6/15/30 6,250,000 7,008,989 
5.625% 7/15/22 3,305,000 3,414,694 
6% 9/1/21 3,185,000 3,185,000 
Sempra Energy 6% 10/15/39 2,744,000 3,858,723 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2373% 5/15/67 (b)(c) 1,843,000 1,731,130 
  78,594,644 
TOTAL UTILITIES  174,689,791 
TOTAL NONCONVERTIBLE BONDS   
(Cost $4,100,433,363)  4,505,414,360 
U.S. Treasury Obligations - 7.3%   
U.S. Treasury Bonds 2.375% 5/15/51 674,726,000 745,150,526 
U.S. Treasury Notes:   
0.125% 6/30/22 $455,500,000 $455,677,927 
0.5% 5/31/27 520,000,000 508,279,689 
0.875% 11/15/30 428,909,000 414,466,828 
1.125% 2/28/22 199,000,000 200,057,188 
1.125% 2/15/31 160,064,000 157,913,140 
1.25% 4/30/28 250,000,000 253,388,673 
1.25% 5/31/28 74,500,000 75,477,813 
1.25% 6/30/28 75,000,000 75,925,781 
3.125% 11/15/28 51,642,000 58,936,433 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $2,857,515,512)  2,945,273,998 
U.S. Government Agency - Mortgage Securities - 22.9%   
Fannie Mae - 3.7%   
12 month U.S. LIBOR + 1.440% 1.779% 4/1/37 (b)(c) 10,931 11,459 
12 month U.S. LIBOR + 1.460% 2.016% 1/1/35 (b)(c) 8,172 8,560 
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (b)(c) 2,020 2,114 
12 month U.S. LIBOR + 1.530% 1.91% 3/1/36 (b)(c) 1,751 1,839 
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (b)(c) 7,566 7,953 
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (b)(c) 6,415 6,755 
12 month U.S. LIBOR + 1.620% 2.036% 3/1/33 (b)(c) 9,283 9,701 
12 month U.S. LIBOR + 1.620% 2.163% 5/1/35 (b)(c) 15,850 16,625 
12 month U.S. LIBOR + 1.630% 2.065% 9/1/36 (b)(c) 5,644 5,924 
12 month U.S. LIBOR + 1.640% 1.896% 5/1/36 (b)(c) 24,160 25,392 
12 month U.S. LIBOR + 1.640% 2.096% 6/1/47 (b)(c) 13,813 14,681 
12 month U.S. LIBOR + 1.650% 2% 11/1/36 (b)(c) 4,831 5,083 
12 month U.S. LIBOR + 1.680% 1.935% 4/1/36 (b)(c) 3,843 4,044 
12 month U.S. LIBOR + 1.680% 2.02% 7/1/43 (b)(c) 153,524 160,910 
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (b)(c) 12,825 13,439 
12 month U.S. LIBOR + 1.710% 1.95% 8/1/35 (b)(c) 4,831 5,091 
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (b)(c) 10,424 10,992 
12 month U.S. LIBOR + 1.730% 2.126% 3/1/40 (b)(c) 16,718 17,623 
12 month U.S. LIBOR + 1.750% 2.111% 7/1/35 (b)(c) 4,637 4,881 
12 month U.S. LIBOR + 1.750% 2.266% 8/1/41 (b)(c) 18,784 19,778 
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (b)(c) 10,827 11,382 
12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (b)(c) 31,423 33,048 
12 month U.S. LIBOR + 1.800% 2.24% 12/1/40 (b)(c) 453,165 478,891 
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (b)(c) 10,981 11,592 
12 month U.S. LIBOR + 1.810% 2.185% 12/1/39 (b)(c) 9,737 10,278 
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (b)(c) 17,017 17,937 
12 month U.S. LIBOR + 1.810% 2.321% 9/1/41 (b)(c) 5,581 5,893 
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (b)(c) 16,833 17,811 
12 month U.S. LIBOR + 1.830% 2.33% 10/1/41 (b)(c) 3,937 4,056 
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (b)(c) 18,360 19,515 
6 month U.S. LIBOR + 1.500% 1.723% 1/1/35 (b)(c) 19,851 20,688 
6 month U.S. LIBOR + 1.530% 1.785% 12/1/34 (b)(c) 3,688 3,846 
6 month U.S. LIBOR + 1.530% 1.785% 3/1/35 (b)(c) 3,668 3,828 
6 month U.S. LIBOR + 1.550% 1.776% 10/1/33 (b)(c) 1,365 1,421 
6 month U.S. LIBOR + 1.560% 1.71% 7/1/35 (b)(c) 2,372 2,480 
6 month U.S. LIBOR + 1.740% 1.99% 12/1/34 (b)(c) 358 376 
6 month U.S. LIBOR + 1.960% 2.21% 9/1/35 (b)(c) 4,304 4,547 
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (b)(c) 4,053 4,289 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (b)(c) 22,659 23,889 
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (b)(c) 9,753 10,267 
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.58% 7/1/34 (b)(c) 22,968 24,184 
1.5% 6/1/51 2,468,612 2,434,250 
2% 7/1/50 to 7/1/51 40,845,514 41,665,510 
2.5% 5/1/31 to 8/1/51 316,313,648 331,220,237 
3% 7/1/27 to 4/1/51 (d)(e)(f) 464,691,148 492,883,074 
3.25% 12/1/41 6,574 7,091 
3.4% 7/1/42 to 9/1/42 115,967 125,523 
3.5% 7/1/32 to 4/1/50 371,499,116 398,047,980 
3.525% 5/1/42 3,857 4,246 
3.65% 5/1/42 to 8/1/42 36,531 39,756 
3.9% 4/1/42 10,184 11,310 
4% 11/1/31 to 11/1/49 70,898,525 77,517,988 
4.25% 11/1/41 29,327 32,560 
4.5% to 4.5% 12/1/23 to 9/1/49 (d) 122,578,738 134,509,464 
5% 1/1/22 to 2/1/49 10,991,693 12,392,939 
5.261% 8/1/41 (b) 328,279 370,483 
5.5% 10/1/21 to 9/1/24 7,069 7,148 
6% to 6% 11/1/21 to 1/1/42 1,609,649 1,893,863 
6.5% 3/1/22 to 5/1/38 232,188 264,076 
6.612% 2/1/39 (b) 247,979 274,865 
7% to 7% 4/1/23 to 7/1/37 164,271 187,681 
7.5% to 7.5% 9/1/22 to 9/1/32 85,180 97,123 
8% 3/1/37 3,088 3,749 
8.5% 9/1/22 102 105 
9% 10/1/30 3,768 4,449 
TOTAL FANNIE MAE  1,495,058,532 
Freddie Mac - 2.9%   
12 month U.S. LIBOR + 1.320% 1.7% 1/1/36 (b)(c) 6,812 7,089 
12 month U.S. LIBOR + 1.370% 1.812% 3/1/36 (b)(c) 25,963 27,106 
12 month U.S. LIBOR + 1.500% 1.91% 3/1/36 (b)(c) 26,048 27,317 
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (b)(c) 41,668 43,853 
12 month U.S. LIBOR + 1.750% 2.178% 12/1/40 (b)(c) 209,895 221,260 
12 month U.S. LIBOR + 1.750% 2.267% 9/1/41 (b)(c) 83,211 87,592 
12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (b)(c) 2,520 2,663 
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (b)(c) 9,002 9,510 
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (b)(c) 1,806 1,906 
12 month U.S. LIBOR + 1.880% 2.481% 9/1/41 (b)(c) 8,791 9,252 
12 month U.S. LIBOR + 1.890% 2.305% 10/1/42 (b)(c) 29,785 31,518 
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (b)(c) 12,806 13,539 
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(c) 16,772 17,731 
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (b)(c) 4,396 4,648 
12 month U.S. LIBOR + 1.910% 2.195% 5/1/41 (b)(c) 16,167 17,094 
12 month U.S. LIBOR + 1.960% 2.211% 6/1/33 (b)(c) 10,897 11,514 
12 month U.S. LIBOR + 2.020% 2.32% 4/1/38 (b)(c) 14,149 14,910 
12 month U.S. LIBOR + 2.030% 2.566% 3/1/33 (b)(c) 292 306 
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (b)(c) 14,723 15,586 
12 month U.S. LIBOR + 2.200% 2.575% 12/1/36 (b)(c) 23,168 24,582 
6 month U.S. LIBOR + 1.120% 1.375% 8/1/37 (b)(c) 8,511 8,756 
6 month U.S. LIBOR + 1.580% 1.83% 12/1/35 (b)(c) 883 923 
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (b)(c) 3,590 3,774 
6 month U.S. LIBOR + 1.840% 2.095% 2/1/37 (b)(c) 4,368 4,600 
6 month U.S. LIBOR + 1.880% 2.124% 10/1/36 (b)(c) 29,934 31,454 
6 month U.S. LIBOR + 1.990% 2.206% 10/1/35 (b)(c) 10,998 11,580 
6 month U.S. LIBOR + 2.020% 2.255% 6/1/37 (b)(c) 21,767 22,933 
6 month U.S. LIBOR + 2.680% 2.906% 10/1/35 (b)(c) 10,696 11,322 
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (b)(c) 21,555 22,679 
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.389% 6/1/33 (b)(c) 39,751 41,755 
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.559% 3/1/35 (b)(c) 78,833 83,229 
1.5% 11/1/50 to 6/1/51 3,202,195 3,156,401 
2% 6/1/50 to 7/1/51 163,674,168 167,287,862 
2.5% 6/1/31 to 8/1/51 335,806,996 351,741,996 
3% 6/1/31 to 8/1/50 273,485,023 290,602,599 
3.5% 6/1/27 to 4/1/50 (e) 182,129,408 195,554,143 
3.5% 8/1/47 3,292,783 3,539,751 
4% 6/1/33 to 3/1/49 (d) 131,980,391 143,139,817 
4% 4/1/48 30,051 32,251 
4.5% 6/1/25 to 7/1/49 33,096,506 36,544,025 
5% 7/1/33 to 7/1/41 3,255,555 3,692,295 
5.5% 6/1/22 3,287 3,324 
6% 12/1/21 to 12/1/37 343,561 399,311 
6.5% 9/1/21 to 9/1/39 553,790 647,695 
7% 3/1/26 to 9/1/36 167,168 193,847 
7.5% 1/1/27 to 7/1/34 46,871 54,457 
8% 7/1/24 to 4/1/32 3,804 4,356 
8.5% 12/1/22 to 1/1/28 2,239 2,490 
TOTAL FREDDIE MAC  1,197,428,601 
Ginnie Mae - 5.8%   
3.5% 9/20/40 to 11/20/50 216,533,426 229,673,982 
4% 7/20/33 to 6/20/49 154,560,712 166,353,219 
4.5% 6/20/33 to 9/20/46 10,142,869 11,370,550 
5.5% 8/15/33 to 9/15/39 279,631 322,678 
6% to 6% 10/15/30 to 5/15/40 412,693 481,996 
7% to 7% 11/15/22 to 11/15/32 166,673 191,371 
7.5% to 7.5% 2/15/22 to 9/15/31 40,593 44,945 
8% 12/15/21 to 11/15/29 10,214 11,105 
8.5% to 8.5% 11/15/27 to 1/15/31 5,251 6,020 
9% 1/15/23 17 17 
2% 9/1/51 (g) 23,700,000 24,200,544 
2% 9/1/51 (g) 10,850,000 11,079,152 
2% 9/1/51 (g) 8,600,000 8,781,632 
2% 9/1/51 (g) 3,925,000 4,007,896 
2% 9/1/51 (g) 16,950,000 17,307,984 
2% 9/1/51 (g) 7,775,000 7,939,208 
2% 9/1/51 (g) 8,575,000 8,756,104 
2% 9/1/51 (g) 3,925,000 4,007,896 
2% 9/1/51 (g) 4,300,000 4,390,816 
2% 9/1/51 (g) 1,975,000 2,016,712 
2% 9/1/51 (g) 3,800,000 3,880,256 
2% 9/1/51 (g) 11,550,000 11,793,936 
2% 9/1/51 (g) 10,650,000 10,874,928 
2% 9/1/51 (g) 3,500,000 3,573,920 
2% 9/1/51 (g) 24,700,000 25,221,664 
2% 9/1/51 (g) 3,600,000 3,676,032 
2% 9/1/51 (g) 21,200,000 21,647,744 
2% 9/1/51 (g) 63,750,000 65,096,400 
2% 9/1/51 (g) 50,775,000 51,847,368 
2% 9/1/51 (g) 17,575,000 17,946,184 
2% 9/1/51 (g) 19,950,000 20,371,344 
2% 9/1/51 (g) 6,900,000 7,045,728 
2% 9/1/51 (g) 40,800,000 41,661,696 
2% 9/1/51 (g) 14,100,000 14,397,792 
2% 9/1/51 (g) 25,350,000 25,885,392 
2% 9/1/51 (g) 8,800,000 8,985,856 
2% 10/1/51 (g) 47,000,000 47,908,186 
2% 10/1/51 (g) 15,300,000 15,595,643 
2% 10/1/51 (g) 46,450,000 47,347,558 
2% 10/1/51 (g) 15,100,000 15,391,779 
2.5% 11/20/47 to 7/20/51 161,217,715 167,310,270 
2.5% 9/1/51 (g) 26,450,000 27,427,867 
2.5% 9/1/51 (g) 6,300,000 6,532,914 
2.5% 9/1/51 (g) 20,275,000 21,024,575 
2.5% 9/1/51 (g) 4,850,000 5,029,306 
2.5% 9/1/51 (g) 6,500,000 6,740,308 
2.5% 9/1/51 (g) 26,150,000 27,116,776 
3% 5/15/42 to 6/20/51 236,897,101 248,304,080 
3% 9/1/51 (g) 14,700,000 15,367,242 
3% 9/1/51 (g) 15,200,000 15,889,937 
3% 9/1/51 (g) 11,950,000 12,492,418 
3% 9/1/51 (g) 4,750,000 4,965,605 
3% 9/1/51 (g) 2,775,000 2,900,959 
3% 9/1/51 (g) 32,250,000 33,713,847 
3% 9/1/51 (g) 2,775,000 2,900,959 
3% 9/1/51 (g) 4,300,000 4,495,180 
3% 9/1/51 (g) 5,350,000 5,592,840 
3% 9/1/51 (g) 1,200,000 1,254,469 
3% 9/1/51 (g) 9,550,000 9,983,480 
3% 9/1/51 (g) 3,750,000 3,920,215 
3% 9/1/51 (g) 2,650,000 2,770,285 
3% 9/1/51 (g) 10,700,000 11,185,679 
3% 9/1/51 (g) 18,850,000 19,705,613 
3% 9/1/51 (g) 8,300,000 8,676,742 
3% 9/1/51 (g) 20,250,000 21,169,160 
3% 9/1/51 (g) 20,150,000 21,064,621 
3% 9/1/51 (g) 8,300,000 8,676,742 
3% 9/1/51 (g) 12,100,000 12,649,226 
3% 9/1/51 (g) 5,000,000 5,226,953 
3% 9/1/51 (g) 4,750,000 4,965,605 
3% 9/1/51 (g) 2,650,000 2,770,285 
3% 9/1/51 (g) 1,800,000 1,881,703 
3% 9/1/51 (g) 3,250,000 3,397,519 
3% 10/1/51 (g) 4,150,000 4,330,590 
3.5% 9/1/51 (g) 28,650,000 30,147,409 
3.5% 9/1/51 (g) 10,000,000 10,522,656 
3.5% 9/1/51 (g) 28,650,000 30,147,409 
3.5% 9/1/51 (g) 10,000,000 10,522,656 
3.5% 9/1/51 (g) 11,500,000 12,101,054 
3.5% 9/1/51 (g) 4,000,000 4,209,062 
3.5% 9/1/51 (g) 2,000,000 2,104,531 
3.5% 9/1/51 (g) 5,725,000 6,024,221 
3.5% 9/1/51 (g) 10,450,000 10,996,176 
3.5% 9/1/51 (g) 30,000,000 31,567,968 
3.5% 9/1/51 (g) 12,400,000 13,048,093 
3.5% 9/1/51 (g) 4,250,000 4,472,129 
3.5% 9/1/51 (g) 12,000,000 12,627,187 
3.5% 9/1/51 (g) 4,175,000 4,393,209 
3.5% 9/1/51 (g) 12,125,000 12,758,720 
3.5% 9/1/51 (g) 4,250,000 4,472,129 
3.5% 9/1/51 (g) 67,100,000 70,607,022 
3.5% 9/1/51 (g) 14,800,000 15,573,531 
3.5% 9/1/51 (g) 44,000,000 46,299,686 
3.5% 9/1/51 (g) 34,100,000 35,882,257 
3.5% 9/1/51 (g) 6,825,000 7,181,713 
3.5% 9/1/51 (g) 27,600,000 29,042,531 
3.5% 9/1/51 (g) 1,700,000 1,788,852 
3.5% 9/1/51 (g) 650,000 683,973 
3.5% 9/1/51 (g) 11,150,000 11,732,761 
3.5% 9/1/51 (g) 4,350,000 4,577,355 
3.5% 9/1/51 (g) 21,800,000 22,939,390 
3.5% 9/1/51 (g) 8,500,000 8,944,258 
3.5% 9/1/51 (g) 2,700,000 2,841,117 
3.5% 9/1/51 (g) 1,050,000 1,104,879 
3.5% 9/1/51 (g) 10,600,000 11,154,015 
3.5% 9/1/51 (g) 27,200,000 28,621,624 
3.5% 9/1/51 (g) 1,650,000 1,736,238 
3.5% 9/1/51 (g) 650,000 683,973 
3.5% 9/1/51 (g) 16,300,000 17,151,929 
3.5% 9/1/51 (g) 6,350,000 6,681,887 
3.5% 9/1/51 (g) 9,650,000 10,154,363 
3.5% 9/1/51 (g) 3,350,000 3,525,090 
4% 9/1/51 (g) 61,400,000 65,046,890 
5% 4/15/33 to 6/20/48 15,995,664 17,586,569 
6.5% 3/20/31 to 6/15/37 66,942 78,314 
TOTAL GINNIE MAE  2,334,262,029 
Uniform Mortgage Backed Securities - 10.5%   
1.5% 9/1/36 (g) 15,600,000 15,845,940 
1.5% 9/1/36 (g) 5,100,000 5,180,404 
1.5% 9/1/36 (g) 10,400,000 10,563,960 
1.5% 9/1/36 (g) 3,400,000 3,453,602 
1.5% 9/1/51 (g) 8,100,000 7,961,925 
1.5% 9/1/51 (g) 26,600,000 26,146,568 
1.5% 9/1/51 (g) 21,300,000 20,936,914 
1.5% 9/1/51 (g) 18,100,000 17,791,462 
1.5% 9/1/51 (g) 5,250,000 5,160,507 
1.5% 9/1/51 (g) 5,150,000 5,062,212 
1.5% 9/1/51 (g) 21,000,000 20,642,028 
1.5% 9/1/51 (g) 6,200,000 6,094,313 
1.5% 9/1/51 (g) 2,300,000 2,260,794 
1.5% 9/1/51 (g) 7,000,000 6,880,676 
1.5% 9/1/51 (g) 41,800,000 41,087,465 
1.5% 9/1/51 (g) 6,700,000 6,585,790 
1.5% 9/1/51 (g) 7,000,000 6,880,676 
1.5% 9/1/51 (g) 4,650,000 4,570,735 
1.5% 9/1/51 (g) 2,350,000 2,309,941 
1.5% 9/1/51 (g) 4,700,000 4,619,882 
1.5% 9/1/51 (g) 14,000,000 13,761,352 
1.5% 9/1/51 (g) 53,150,000 52,243,989 
1.5% 9/1/51 (g) 10,600,000 10,419,309 
1.5% 9/1/51 (g) 21,300,000 20,936,914 
1.5% 9/1/51 (g) 5,250,000 5,160,507 
1.5% 9/1/51 (g) 9,900,000 9,731,242 
1.5% 9/1/51 (g) 2,400,000 2,359,089 
1.5% 9/1/51 (g) 27,800,000 27,326,113 
1.5% 9/1/51 (g) 12,100,000 11,893,740 
1.5% 9/1/51 (g) 2,650,000 2,604,827 
1.5% 9/1/51 (g) 800,000 786,363 
1.5% 10/1/51 (g) 18,100,000 17,758,938 
1.5% 10/1/51 (g) 6,200,000 6,083,172 
1.5% 10/1/51 (g) 44,200,000 43,367,131 
1.5% 10/1/51 (g) 7,150,000 7,015,271 
1.5% 10/1/51 (g) 5,900,000 5,788,825 
1.5% 10/1/51 (g) 17,150,000 16,826,839 
1.5% 10/1/51 (g) 5,700,000 5,592,594 
1.5% 10/1/51 (g) 16,700,000 16,385,319 
2% 9/1/51 (g) 61,200,000 62,071,635 
2% 9/1/51 (g) 17,250,000 17,495,681 
2% 9/1/51 (g) 6,650,000 6,744,712 
2% 9/1/51 (g) 21,800,000 22,110,484 
2% 9/1/51 (g) 4,100,000 4,158,394 
2% 9/1/51 (g) 10,600,000 10,750,969 
2% 9/1/51 (g) 4,150,000 4,209,106 
2% 9/1/51 (g) 10,650,000 10,801,682 
2% 9/1/51 (g) 17,300,000 17,546,394 
2% 9/1/51 (g) 2,800,000 2,839,879 
2% 9/1/51 (g) 7,500,000 7,606,818 
2% 9/1/51 (g) 37,600,000 38,135,514 
2% 9/1/51 (g) 11,400,000 11,562,363 
2% 9/1/51 (g) 3,600,000 3,651,273 
2% 9/1/51 (g) 53,500,000 54,261,968 
2% 9/1/51 (g) 21,100,000 21,400,515 
2% 9/1/51 (g) 53,500,000 54,261,968 
2% 9/1/51 (g) 21,100,000 21,400,515 
2% 9/1/51 (g) 35,900,000 36,411,302 
2% 9/1/51 (g) 7,500,000 7,606,818 
2% 9/1/51 (g) 29,950,000 30,376,560 
2% 9/1/51 (g) 11,950,000 12,120,197 
2% 9/1/51 (g) 10,150,000 10,294,560 
2% 9/1/51 (g) 29,950,000 30,376,560 
2% 9/1/51 (g) 1,700,000 1,724,212 
2% 9/1/51 (g) 10,150,000 10,294,560 
2% 9/1/51 (g) 20,250,000 20,538,409 
2% 9/1/51 (g) 59,900,000 60,753,120 
2% 9/1/51 (g) 58,900,000 59,738,877 
2% 9/1/51 (g) 19,950,000 20,234,136 
2% 9/1/51 (g) 25,450,000 25,812,469 
2% 9/1/51 (g) 64,550,000 65,469,347 
2% 9/1/51 (g) 48,350,000 49,038,620 
2% 9/1/51 (g) 18,400,000 18,662,060 
2% 9/1/51 (g) 19,750,000 20,031,287 
2% 9/1/51 (g) 48,350,000 49,038,620 
2% 9/1/51 (g) 12,850,000 13,033,015 
2% 9/1/51 (g) 77,550,000 78,654,498 
2% 9/1/51 (g) 21,550,000 21,856,924 
2% 9/1/51 (g) 74,700,000 75,763,907 
2% 9/1/51 (g) 20,775,000 21,070,886 
2% 9/1/51 (g) 41,650,000 42,243,196 
2% 9/1/51 (g) 11,600,000 11,765,212 
2% 9/1/51 (g) 37,350,000 37,881,954 
2% 9/1/51 (g) 10,375,000 10,522,765 
2% 9/1/51 (g) 7,050,000 7,150,409 
2% 9/1/51 (g) 21,800,000 22,110,484 
2% 10/1/51 (g) 61,200,000 61,956,885 
2% 10/1/51 (g) 21,800,000 22,069,609 
2% 10/1/51 (g) 60,750,000 61,501,320 
2% 10/1/51 (g) 31,650,000 32,041,428 
2% 10/1/51 (g) 21,650,000 21,917,754 
2% 10/1/51 (g) 56,950,000 57,654,323 
2% 10/1/51 (g) 10,700,000 10,832,331 
2% 10/1/51 (g) 19,700,000 19,943,638 
2% 10/1/51 (g) 31,650,000 32,041,428 
2% 10/1/51 (g) 10,700,000 10,832,331 
2% 10/1/51 (g) 64,400,000 65,196,461 
2% 10/1/51 (g) 21,250,000 21,512,807 
2% 10/1/51 (g) 61,200,000 61,956,885 
2% 10/1/51 (g) 60,800,000 61,551,938 
2% 10/1/51 (g) 21,800,000 22,069,609 
2% 10/1/51 (g) 21,650,000 21,917,754 
2.5% 9/1/51 (g) 28,600,000 29,708,256 
2.5% 9/1/51 (g) 9,500,000 9,868,127 
2.5% 9/1/51 (g) 17,200,000 17,866,503 
2.5% 9/1/51 (g) 10,000,000 10,387,502 
2.5% 9/1/51 (g) 5,700,000 5,920,876 
2.5% 9/1/51 (g) 38,400,000 39,888,008 
2.5% 9/1/51 (g) 9,700,000 10,075,877 
2.5% 9/1/51 (g) 2,800,000 2,908,501 
2.5% 9/1/51 (g) 8,500,000 8,829,377 
2.5% 9/1/51 (g) 5,700,000 5,920,876 
2.5% 9/1/51 (g) 2,800,000 2,908,501 
2.5% 9/1/51 (g) 2,800,000 2,908,501 
2.5% 9/1/51 (g) 50,600,000 52,560,760 
2.5% 9/1/51 (g) 18,250,000 18,957,191 
2.5% 9/1/51 (g) 18,550,000 19,268,816 
2.5% 9/1/51 (g) 400,000 415,500 
2.5% 9/1/51 (g) 5,700,000 5,920,876 
2.5% 9/1/51 (g) 8,500,000 8,829,377 
2.5% 9/1/51 (g) 5,600,000 5,817,001 
2.5% 9/1/51 (g) 13,750,000 14,282,815 
2.5% 9/1/51 (g) 2,800,000 2,908,501 
2.5% 9/1/51 (g) 16,850,000 17,502,941 
2.5% 9/1/51 (g) 48,350,000 50,223,572 
2.5% 9/1/51 (g) 24,150,000 25,085,817 
2.5% 9/1/51 (g) 8,450,000 8,777,439 
2.5% 9/1/51 (g) 36,000,000 37,395,007 
2.5% 9/1/51 (g) 12,550,000 13,036,315 
2.5% 9/1/51 (g) 28,975,000 30,097,787 
2.5% 9/1/51 (g) 4,275,000 4,440,657 
2.5% 9/1/51 (g) 19,750,000 20,515,316 
2.5% 9/1/51 (g) 2,925,000 3,038,344 
2.5% 10/1/51 (g) 48,700,000 50,488,215 
2.5% 10/1/51 (g) 16,450,000 17,054,028 
2.5% 10/1/51 (g) 54,550,000 56,553,021 
2.5% 10/1/51 (g) 18,550,000 19,231,137 
3% 9/1/51 (g) 30,800,000 32,217,280 
3% 9/1/51 (g) 11,900,000 12,447,586 
3% 9/1/51 (g) 7,150,000 7,479,012 
3% 9/1/51 (g) 18,450,000 19,298,988 
3% 9/1/51 (g) 7,000,000 7,322,109 
3% 9/1/51 (g) 18,175,000 19,011,334 
3% 9/1/51 (g) 14,700,000 15,376,429 
3% 9/1/51 (g) 4,300,000 4,497,867 
3% 9/1/51 (g) 13,600,000 14,225,812 
3% 9/1/51 (g) 8,300,000 8,681,929 
3% 9/1/51 (g) 7,300,000 7,635,914 
3% 9/1/51 (g) 4,400,000 4,602,469 
3% 9/1/51 (g) 27,000,000 28,242,421 
3% 9/1/51 (g) 12,925,000 13,519,752 
3% 9/1/51 (g) 3,175,000 3,321,100 
3% 9/1/51 (g) 26,675,000 27,902,466 
3% 9/1/51 (g) 14,850,000 15,533,332 
3% 9/1/51 (g) 39,350,000 41,160,714 
3% 9/1/51 (g) 29,850,000 31,223,566 
3% 9/1/51 (g) 11,700,000 12,238,383 
3% 9/1/51 (g) 7,275,000 7,609,763 
3% 9/1/51 (g) 6,750,000 7,060,605 
3% 9/1/51 (g) 17,250,000 18,043,769 
3% 9/1/51 (g) 30,300,000 31,694,273 
3% 9/1/51 (g) 17,300,000 18,096,070 
3% 9/1/51 (g) 10,350,000 10,826,261 
3% 9/1/51 (g) 6,900,000 7,217,508 
3% 9/1/51 (g) 69,425,000 72,619,633 
3% 9/1/51 (g) 10,350,000 10,826,261 
3% 9/1/51 (g) 50,000 52,301 
3% 9/1/51 (g) 1,950,000 2,039,730 
3% 9/1/51 (g) 5,200,000 5,439,281 
3% 9/1/51 (g) 850,000 889,113 
3% 9/1/51 (g) 6,750,000 7,060,605 
3% 9/1/51 (g) 9,250,000 9,675,644 
3% 10/1/51 (g) 5,200,000 5,436,438 
3% 10/1/51 (g) 27,000,000 28,227,658 
3% 10/1/51 (g) 11,700,000 12,231,985 
3% 10/1/51 (g) 5,200,000 5,436,438 
3% 10/1/51 (g) 27,000,000 28,227,658 
3% 10/1/51 (g) 11,700,000 12,231,985 
3.5% 9/1/51 (g) 101,800,000 107,685,313 
3.5% 9/1/51 (g) 11,650,000 12,323,516 
3.5% 9/1/51(g) 19,400,000 20,521,563 
3.5% 9/1/51 (g) 8,600,000 9,097,188 
3.5% 9/1/51 (g) 1,350,000 1,428,047 
3.5% 9/1/51 (g) 1,675,000 1,771,836 
3.5% 9/1/51 (g) 58,000,000 61,353,125 
3.5% 9/1/51 (g) 14,800,000 15,655,625 
3.5% 9/1/51 (g) 44,000,000 46,543,750 
3.5% 9/1/51 (g) 132,050,000 139,684,141 
3.5% 9/1/51 (g) 27,400,000 28,984,063 
3.5% 9/1/51 (g) 64,200,000 67,911,563 
3.5% 9/1/51 (g) 12,600,000 13,328,438 
3.5% 9/1/51 (g) 50,050,000 52,943,516 
3.5% 9/1/51 (g) 9,850,000 10,419,453 
3.5% 10/1/51 (g) 60,500,000 64,033,103 
3.5% 10/1/51 (g) 13,950,000 14,764,658 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  4,247,580,341 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $9,222,678,171)  9,274,329,503 
Asset-Backed Securities - 2.1%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $8,122,653 $7,981,191 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 4,638,102 4,593,585 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 8,186,205 7,994,827 
Class B, 4.458% 10/16/39 (a) 1,488,945 1,238,270 
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (a) 4,062,000 4,070,054 
AIMCO CLO Ltd.:   
Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.5061% 10/15/31 (a)(b)(c) 8,424,000 8,430,604 
Series 2021-12A Class A, 3 month U.S. LIBOR + 1.210% 1.3439% 1/17/32 (a)(b)(c) 9,320,000 9,319,972 
Ajax Mortgage Loan Trust Series 2021-C Class A, 2.115% 1/25/61 (a) 4,271,595 4,271,036 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.4643% 1/20/33 (a)(b)(c) 4,684,000 4,689,691 
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.2907% 7/20/34 (a)(b)(c) 8,250,000 8,256,188 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 4,474,670 4,434,959 
Class B, 4.335% 1/16/40 (a) 766,953 550,047 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.4461% 10/15/32 (a)(b)(c) 8,066,000 8,069,299 
Ares CLO Ltd. Series 2020-58A Class A, 3 month U.S. LIBOR + 1.220% 1.3461% 1/15/33 (a)(b)(c) 11,060,000 11,071,547 
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.2561% 7/15/34 (a)(b)(c) 10,540,000 10,551,836 
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 1.1961% 4/15/34 (a)(b)(c) 11,760,000 11,765,727 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.3839% 4/17/33 (a)(b)(c) 20,753,000 20,785,914 
Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.5261% 10/15/32 (a)(b)(c) 13,346,000 13,353,127 
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.3543% 1/20/32 (a)(b)(c) 9,220,000 9,221,420 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.4639% 1/17/33 (a)(b)(c) 3,961,000 3,966,977 
Blackbird Capital Aircraft:   
Series 2016-1A:   
Class A, 4.213% 12/16/41 (a) 5,833,917 5,875,801 
Class AA, 2.487% 12/16/41 (a)(b) 885,344 891,287 
Series 2021-1A Class A, 2.443% 7/15/46 (a) 22,626,537 22,821,058 
Brazos Higher Education Authority, Inc.:   
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.0293% 5/25/29 (b)(c) 259,342 259,605 
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 0.9753% 7/25/29 (b)(c) 368,207 369,105 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1161% 4/15/29 (a)(b)(c) 10,597,000 10,579,229 
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (a) 10,192,413 10,195,230 
Castlelake Aircraft Securitization Trust:   
Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 8,042,833 8,046,990 
Class B, 5.095% 4/15/39 (a) 3,098,041 2,975,169 
Series 2021-1R Class A, 2.741% 8/15/41 (a) 39,835,000 39,877,249 
Castlelake Aircraft Structured Trust:   
Series 2018-1 Class A, 4.125% 6/15/43 (a) 5,138,180 5,135,674 
Series 2021-1A:   
Class A, 3.474% 1/15/46 (a) 3,247,184 3,353,816 
Class B, 6.656% 1/15/46 (a) 3,325,910 3,606,543 
Cedar Funding Ltd. Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.4743% 10/20/32 (a)(b)(c) 6,412,000 6,417,854 
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.3953% 10/25/32 (a)(b)(c) 5,250,000 5,251,024 
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.8343% 7/20/31 (a)(b)(c) 10,867,000 10,897,286 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.4344% 10/25/37 (a)(b)(c) 128,459 129,588 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 0.486% 9/28/30 (b)(c) 396,930 396,193 
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.3343% 4/20/34 (a)(b)(c) 9,300,000 9,289,435 
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.4443% 1/20/34 (a)(b)(c) 12,220,000 12,235,947 
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (a) 3,954,898 3,983,076 
DB Master Finance LLC:   
Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 3,120,810 3,141,532 
Class A2II, 4.03% 11/20/47 (a) 5,308,465 5,633,502 
Series 2019-1A:   
Class A23, 4.352% 5/20/49 (a) 984,900 1,081,243 
Class A2II, 4.021% 5/20/49 (a) 740,880 777,961 
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (a) 2,102,975 2,267,238 
Dryden CLO, Ltd.:   
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.4643% 10/20/32 (a)(b)(c) 10,321,000 10,327,987 
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.3539% 1/18/32 (a)(b)(c) 3,940,000 3,942,738 
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.4761% 10/15/32 (a)(b)(c) 9,656,000 9,660,191 
Dryden Senior Loan Fund:   
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.2964% 1/16/32 (a)(b)(c) 2,909,000 2,909,495 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3139% 4/17/33 (a)(b)(c) 7,000,000 7,006,657 
Eaton Vance CLO, Ltd.:   
Series 2020-1A Class A, 3 month U.S. LIBOR + 1.650% 1.7761% 10/15/30 (a)(b)(c) 9,200,000 9,200,000 
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.4961% 10/15/32 (a)(b)(c) 9,400,000 9,409,804 
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.3761% 1/15/34 (a)(b)(c) 2,000,000 2,001,932 
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (a) 11,363,000 11,378,115 
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (a)(b) 7,102,328 7,102,213 
Flatiron CLO Ltd.:   
Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.4448% 11/16/32 (a)(b)(c) 8,949,000 8,955,479 
Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.110% 1.2613% 7/19/34 (a)(b)(c) 7,180,000 7,187,015 
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4309% 11/20/33 (a)(b)(c) 8,920,000 8,934,245 
Ford Credit Floorplan Master Owner Trust:   
Series 2019-1 Class B, 3.04% 3/15/24 1,170,000 1,186,934 
Series 2019-2 Class A, 3.06% 4/15/26 8,253,000 8,779,614 
Series 2019-3 Class A1, 2.23% 9/15/24 4,320,000 4,409,333 
Series 2019-4 Class A, 2.44% 9/15/26 1,300,000 1,366,897 
GMF Floorplan Owner Revolving Trust Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5055% 9/15/23 (a)(b)(c) 4,186,000 4,186,598 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 3,194,892 3,248,790 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 4,416,268 4,417,999 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) 7,887,000 8,060,806 
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.3361% 1/15/33 (a)(b)(c) 4,500,000 4,504,347 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.0583% 1/22/28 (a)(b)(c) 2,608,772 2,608,767 
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.3358% 4/19/34 (a)(b)(c) 9,810,000 9,835,614 
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.2461% 7/15/34 (a)(b)(c) 7,360,000 7,362,738 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.4561% 10/15/32 (a)(b)(c) 4,271,000 4,279,602 
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 0% 10/20/34 (a)(b)(c) 3,092,000 3,092,000 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 0.9339% 1/18/28 (a)(b)(c) 8,364,748 8,360,892 
Magnetite XXI Ltd. Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.4561% 1/15/33 (a)(b)(c) 23,148,000 23,163,162 
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.1161% 1/15/34 (a)(b)(c) 8,400,000 8,400,630 
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (a) 36,931,152 37,358,962 
Marlette Funding Trust:   
Series 2019-4A Class A, 2.39% 12/17/29 (a) 800,638 803,555 
Series 2020-1A Class A, 2.24% 3/15/30 (a) 34,578 34,597 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 2,091,700 2,150,414 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2043% 10/20/30 (a)(b)(c) 10,553,000 10,553,707 
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0951% 8/10/23 (a)(b)(c) 21,867,000 22,092,930 
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (a) 11,749,909 11,743,693 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.6844% 7/26/66 (a)(b)(c) 389,039 390,031 
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 3% 10/20/34 (a)(b)(c)(g) 5,068,000 5,068,000 
Planet Fitness Master Issuer LLC:   
Series 2018-1A Class A2I, 4.262% 9/5/48 (a) 291,750 292,535 
Series 2019-1A Class A2, 3.858% 12/5/49 (a) 7,103,820 7,327,235 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) 6,664,161 6,634,447 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) 929,653 930,686 
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) 2,328,895 2,330,436 
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.12% 4/20/34 (a)(b)(c) 12,190,000 12,203,921 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 20,255,650 20,216,842 
Class B, 4.335% 3/15/40 (a) 853,777 751,857 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (a) 8,715,000 9,107,188 
1.884% 7/15/50 (a) 4,275,000 4,367,114 
2.328% 7/15/52 (a) 3,269,000 3,362,100 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.5889% 12/15/27 (a)(b)(c) 653,223 653,297 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 1,227,136 1,232,602 
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (a) 10,990,833 11,172,180 
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4461% 1/15/34 (a)(b)(c) 5,300,000 5,304,706 
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.2143% 4/20/33 (a)(b)(c) 7,300,000 7,294,160 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1343% 1/20/29 (a)(b)(c) 7,106,000 7,115,167 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9444% 9/25/34 (b)(c) 7,249 6,773 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) 9,629,531 9,599,300 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 20,374,358 20,229,109 
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7158% 3/25/58 (a)(b) 940,045 992,587 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.6979% 4/6/42 (a)(b)(c) 778,000 523,566 
Upstart Securitization Trust:   
Series 2021-1 Class A, 0.87% 3/20/31 (a) 1,166,418 1,168,743 
Series 2021-2 Class A, 0.91% 6/20/31 (a) 17,797,700 17,816,471 
Series 2021-3 Class A, 0.83% 7/20/31 (a) 29,192,000 29,212,262 
Voya CLO Ltd./Voya CLO LLC:   
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.7339% 7/19/31 (a)(b)(c) 9,150,000 9,150,000 
Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4343% 10/20/31 (a)(b)(c) 11,800,000 11,802,407 
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.16% 7/19/34 (a)(b)(c) 7,780,000 7,780,801 
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.15% 7/16/34 (a)(b)(c) 7,590,000 7,591,472 
TOTAL ASSET-BACKED SECURITIES   
(Cost $835,893,242)  841,751,353 
Collateralized Mortgage Obligations - 0.7%   
Private Sponsor - 0.3%   
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (a) 18,284,068 18,570,626 
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) 7,649,546 7,654,632 
Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (a) 8,762,914 8,764,297 
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (a) 6,178,915 6,189,892 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(b) 72,909 72,935 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.3816% 5/27/37 (a)(b)(c) 71,458 70,230 
Series 2014-3R:   
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c)(h) 552,731 55 
Class AA1, 1 month U.S. LIBOR + 0.280% 0.3816% 5/27/37 (a)(b)(c) 824,236 784,619 
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (a) 4,493,242 4,575,948 
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) 9,300,000 9,456,128 
Mortgage Repurchase Agreement Financing Trust Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4451% 4/23/23 (a)(b)(c) 25,857,000 25,936,045 
New Residential Mortgage Loan Trust:   
Series 2019-5A Class A1B, 3.5% 8/25/59 (a) 3,862,118 4,035,545 
Series 2020-1A Class A1B, 3.5% 10/25/59 (a) 5,509,402 5,860,420 
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (a) 12,068,000 12,073,213 
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (a) 5,788,419 5,797,543 
RMF Buyout Issuance Trust:   
sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (a) 16,854,131 16,895,575 
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) 5,499,083 5,574,953 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 (b)(c) 1,807 1,769 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7043% 1/21/70 (a)(b)(c) 7,700,000 7,703,927 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.7244% 9/25/43 (b)(c) 83,016 81,952 
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.4002% 9/25/33 (b) 11,130 11,050 
TOTAL PRIVATE SPONSOR  140,111,354 
U.S. Government Agency - 0.4%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.8844% 2/25/32 (b)(c) 3,027 3,077 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.0885% 3/18/32 (b)(c) 5,518 5,638 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.0844% 4/25/32 (b)(c) 6,271 6,420 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.0844% 10/25/32 (b)(c) 8,071 8,254 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.8344% 1/25/32 (b)(c) 2,898 2,942 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 8.0156% 12/25/33 (b)(i)(j) 112,032 28,692 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5956% 11/25/36 (b)(i)(j) 74,550 15,137 
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.3844% 1/25/43 (b)(c) 720,521 722,519 
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.4344% 5/25/47 (b)(c) 1,493,322 1,499,555 
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.3844% 5/25/48 (b)(c) 852,091 853,856 
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.3844% 6/25/48 (b)(c) 2,261,864 2,264,349 
Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 0.5344% 5/25/49 (b)(c) 12,554,611 12,659,186 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 626 645 
Series 1993-207 Class H, 6.5% 11/25/23 17,476 18,347 
Series 1996-28 Class PK, 6.5% 7/25/25 6,678 7,039 
Series 1999-17 Class PG, 6% 4/25/29 47,090 52,035 
Series 1999-32 Class PL, 6% 7/25/29 53,392 59,197 
Series 1999-33 Class PK, 6% 7/25/29 36,883 40,940 
Series 2001-52 Class YZ, 6.5% 10/25/31 5,723 6,613 
Series 2003-28 Class KG, 5.5% 4/25/23 8,021 8,265 
Series 2005-102 Class CO 11/25/35 (k) 19,956 18,572 
Series 2005-39 Class TE, 5% 5/25/35 20,010 22,405 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.3306% 8/25/35 (b)(j) 5,923 7,925 
Series 2005-81 Class PC, 5.5% 9/25/35 55,321 61,427 
Series 2006-12 Class BO 10/25/35 (k) 91,121 84,915 
Series 2006-15 Class OP 3/25/36 (k) 104,535 96,522 
Series 2006-37 Class OW 5/25/36 (k) 10,153 9,190 
Series 2006-45 Class OP 6/25/36 (k) 32,425 29,379 
Series 2006-62 Class KP 4/25/36 (k) 52,103 48,288 
Series 2012-149:   
Class DA, 1.75% 1/25/43 151,741 155,416 
Class GA, 1.75% 6/25/42 164,217 168,267 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 7,599 8,561 
Series 1999-25 Class Z, 6% 6/25/29 32,617 36,532 
Series 2001-20 Class Z, 6% 5/25/31 52,812 58,927 
Series 2001-31 Class ZC, 6.5% 7/25/31 25,278 28,665 
Series 2002-16 Class ZD, 6.5% 4/25/32 15,868 18,389 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.4656% 11/25/32 (b)(i)(j) 50,059 6,525 
Series 2012-67 Class AI, 4.5% 7/25/27 (i) 86,072 4,784 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.5556% 12/25/36 (b)(i)(j) 54,753 14,018 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.3556% 5/25/37 (b)(i)(j) 31,273 6,885 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.5611% 9/25/23 (b)(j) 1,147 1,294 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 8.0156% 3/25/33 (b)(i)(j) 8,861 1,984 
Series 2005-72 Class ZC, 5.5% 8/25/35 426,488 481,085 
Series 2005-79 Class ZC, 5.9% 9/25/35 244,149 279,276 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 40.1137% 6/25/37 (b)(j) 34,430 71,629 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 39.0937% 7/25/37 (b)(j) 36,355 75,274 
Class SB, 39.600% - 1 month U.S. LIBOR 39.0937% 7/25/37 (b)(j) 11,883 21,671 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.2656% 3/25/38 (b)(i)(j) 194,248 40,308 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 5.9656% 12/25/40 (b)(i)(j) 196,236 36,534 
Class ZA, 4.5% 12/25/40 82,397 92,097 
Series 2010-139 Class NI, 4.5% 2/25/40 (i) 93,993 4,479 
Series 2010-150 Class ZC, 4.75% 1/25/41 845,566 957,567 
Series 2010-95 Class ZC, 5% 9/25/40 1,776,708 1,993,290 
Series 2011-39 Class ZA, 6% 11/25/32 126,041 144,338 
Series 2011-4 Class PZ, 5% 2/25/41 284,087 347,523 
Series 2011-67 Class AI, 4% 7/25/26 (i) 25,388 1,147 
Series 2011-83 Class DI, 6% 9/25/26 (i) 7,799 166 
Series 2012-100 Class WI, 3% 9/25/27 (i) 493,140 34,695 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5656% 12/25/30 (b)(i)(j) 116,041 6,506 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.4656% 6/25/41 (b)(i)(j) 111,907 5,018 
Series 2013-133 Class IB, 3% 4/25/32 (i) 242,881 8,377 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.9656% 1/25/44 (b)(i)(j) 136,668 25,342 
Series 2013-44 Class DJ, 1.85% 5/25/33 10,310,316 10,539,174 
Series 2013-51 Class GI, 3% 10/25/32 (i) 128,393 8,674 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.6356% 6/25/35 (b)(i)(j) 160,636 30,000 
Series 2015-42 Class IL, 6% 6/25/45 (i) 841,022 162,481 
Series 2015-70 Class JC, 3% 10/25/45 936,670 990,519 
Series 2017-30 Class AI, 5.5% 5/25/47 (i) 411,345 79,911 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (i) 27,494 4,932 
Series 343 Class 16, 5.5% 5/25/34 (i) 23,926 3,878 
Series 348 Class 14, 6.5% 8/25/34 (b)(i) 21,967 4,817 
Series 351:   
Class 12, 5.5% 4/25/34 (b)(i) 13,522 2,438 
Class 13, 6% 3/25/34 (i) 19,525 3,552 
Series 359 Class 19, 6% 7/25/35 (b)(i) 11,834 2,357 
Series 384 Class 6, 5% 7/25/37 (i) 118,615 20,528 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.8955% 1/15/32 (b)(c) 2,402 2,441 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 0.9955% 3/15/32 (b)(c) 3,304 3,372 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.0955% 3/15/32 (b)(c) 3,509 3,588 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 0.9955% 6/15/31 (b)(c) 5,904 6,016 
Class FG, 1 month U.S. LIBOR + 0.900% 0.9955% 3/15/32 (b)(c) 1,882 1,919 
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.4455% 8/15/47 (b)(c) 807,415 811,264 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3455% 5/15/37 (b)(c) 137,373 137,801 
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 57,883 64,363 
Series 2101 Class PD, 6% 11/15/28 3,780 4,201 
Series 2104 Class PG, 6% 12/15/28 4,131 4,597 
Series 2121 Class MG, 6% 2/15/29 21,854 24,249 
Series 2131 Class BG, 6% 3/15/29 128,689 143,241 
Series 2137 Class PG, 6% 3/15/29 20,006 22,292 
Series 2154 Class PT, 6% 5/15/29 42,868 47,763 
Series 2162 Class PH, 6% 6/15/29 8,275 9,157 
Series 2520 Class BE, 6% 11/15/32 57,847 66,185 
Series 2693 Class MD, 5.5% 10/15/33 253,159 287,399 
Series 2802 Class OB, 6% 5/15/34 71,615 80,298 
Series 3002 Class NE, 5% 7/15/35 144,978 161,518 
Series 3110 Class OP 9/15/35 (k) 51,263 49,590 
Series 3119 Class PO 2/15/36 (k) 125,294 115,364 
Series 3121 Class KO 3/15/36 (k) 19,656 18,217 
Series 3123 Class LO 3/15/36 (k) 71,611 66,104 
Series 3145 Class GO 4/15/36 (k) 70,585 65,420 
Series 3189 Class PD, 6% 7/15/36 121,701 142,015 
Series 3225 Class EO 10/15/36 (k) 37,084 33,864 
Series 3258 Class PM, 5.5% 12/15/36 50,613 57,888 
Series 3415 Class PC, 5% 12/15/37 52,720 58,944 
Series 3786 Class HI, 4% 3/15/38 (i) 22,892 132 
Series 3806 Class UP, 4.5% 2/15/41 260,688 277,509 
Series 3832 Class PE, 5% 3/15/41 601,907 671,242 
Series 4135 Class AB, 1.75% 6/15/42 123,681 126,735 
Series 4765 Class PE, 3% 12/15/41 196,458 198,164 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 1,904 2,117 
Series 2135 Class JE, 6% 3/15/29 16,447 18,230 
Series 2274 Class ZM, 6.5% 1/15/31 16,499 18,624 
Series 2281 Class ZB, 6% 3/15/30 27,282 30,293 
Series 2303 Class ZV, 6% 4/15/31 11,994 13,418 
Series 2357 Class ZB, 6.5% 9/15/31 99,913 115,380 
Series 2502 Class ZC, 6% 9/15/32 30,389 34,699 
Series 2519 Class ZD, 5.5% 11/15/32 32,943 36,628 
Series 2546 Class MJ, 5.5% 3/15/23 5,333 5,502 
Series 2601 Class TB, 5.5% 4/15/23 2,376 2,450 
Series 2998 Class LY, 5.5% 7/15/25 16,278 17,525 
Series 3871 Class KB, 5.5% 6/15/41 680,164 791,870 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.5045% 2/15/36 (b)(i)(j) 36,737 7,245 
Series 1658 Class GZ, 7% 1/15/24 4,221 4,498 
Series 2013-4281 Class AI, 4% 12/15/28 (i) 241,209 9,773 
Series 2017-4683 Class LM, 3% 5/15/47 1,159,486 1,224,453 
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.1045% 11/15/31 (b)(i)(j) 22,931 2,725 
Series 2587 Class IM, 6.5% 3/15/33 (i) 3,910 792 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 46.1793% 8/15/24 (b)(j) 26 29 
Class SD, 86.400% - 1 month U.S. LIBOR 85.2085% 8/15/24 (b)(j) 48 57 
Series 2933 Class ZM, 5.75% 2/15/35 548,501 638,725 
Series 2935 Class ZK, 5.5% 2/15/35 485,034 541,991 
Series 2947 Class XZ, 6% 3/15/35 224,460 258,850 
Series 2996 Class ZD, 5.5% 6/15/35 379,933 438,477 
Series 3237 Class C, 5.5% 11/15/36 544,155 618,664 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5645% 11/15/36 (b)(i)(j) 163,942 38,216 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6545% 3/15/37 (b)(i)(j) 257,019 62,633 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6645% 4/15/37 (b)(i)(j) 358,488 82,009 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4845% 6/15/37 (b)(i)(j) 126,844 25,773 
Series 3949 Class MK, 4.5% 10/15/34 103,258 113,304 
Series 3955 Class YI, 3% 11/15/21 (i) 520 1 
Series 4055 Class BI, 3.5% 5/15/31 (i) 261,468 11,388 
Series 4149 Class IO, 3% 1/15/33 (i) 65,586 7,122 
Series 4314 Class AI, 5% 3/15/34 (i) 81,682 4,723 
Series 4427 Class LI, 3.5% 2/15/34 (i) 536,855 40,817 
Series 4471 Class PA 4% 12/15/40 576,756 617,469 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 19,818 21,467 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 0.9931% 2/15/24 (b)(c) 4,863 4,887 
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 5,377 6,045 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 13,855 15,324 
Series 2056 Class Z, 6% 5/15/28 37,324 41,407 
Freddie Mac Multi-family Structured pass-thru certificates:   
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.3955% 5/15/48 (b)(c) 1,452,616 1,454,076 
Series 4386 Class AZ, 4.5% 11/15/40 1,166,898 1,268,310 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2018-3 Class MA, 3.5% 8/25/57 9,251,914 9,777,489 
Series 2018-4 Class MA, 3.5% 3/25/58 3,530,968 3,720,253 
Series 2019-1 Class MA, 3.5% 7/25/58 6,176,515 6,547,830 
Series 2018-3 Class M55D, 4% 8/25/57 462,485 500,503 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5945% 6/16/37 (b)(i)(j) 71,492 15,613 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.7661% 3/20/60 (b)(c)(l) 864,955 868,844 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4161% 7/20/60 (b)(c)(l) 122,883 122,912 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4029% 9/20/60 (b)(c)(l) 147,449 147,380 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4029% 8/20/60 (b)(c)(l) 137,453 137,392 
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4829% 12/20/60 (b)(c)(l) 302,211 302,656 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 12/20/60 (b)(c)(l) 344,119 345,398 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 2/20/61 (b)(c)(l) 446,676 448,008 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5929% 2/20/61 (b)(c)(l) 703,697 705,619 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 4/20/61 (b)(c)(l) 312,146 313,353 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 0.6029% 5/20/61 (b)(c)(l) 482,446 484,284 
Class FC, 1 month U.S. LIBOR + 0.500% 0.6029% 5/20/61 (b)(c)(l) 362,468 363,902 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6329% 6/20/61 (b)(c)(l) 439,477 441,332 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6529% 9/20/61 (b)(c)(l) 1,107,252 1,112,763 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7029% 10/20/61 (b)(c)(l) 483,943 486,789 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8029% 11/20/61 (b)(c)(l) 465,119 468,849 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8029% 1/20/62 (b)(c)(l) 299,954 302,193 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7329% 1/20/62 (b)(c)(l) 430,687 433,411 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7329% 3/20/62 (b)(c)(l) 266,573 268,098 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7529% 5/20/61 (b)(c)(l) 7,195 7,256 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 0.6329% 7/20/60 (b)(c)(l) 5,762 5,764 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7029% 1/20/64 (b)(c)(l) 370,990 372,867 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7029% 12/20/63 (b)(c)(l) 1,500,177 1,507,914 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6029% 6/20/64 (b)(c)(l) 371,994 373,375 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.4029% 3/20/65 (b)(c)(l) 10,366 10,362 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3829% 5/20/63 (b)(c)(l) 8,257 8,248 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3029% 4/20/63 (b)(c)(l) 7,242 7,224 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5029% 12/20/62 (b)(c)(l) 19,330 19,373 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3384% 10/20/47 (b)(c) 971,115 972,277 
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.4384% 11/20/48 (b)(c) 1,932,959 1,948,659 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.3884% 5/20/48 (b)(c) 944,865 947,353 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.3884% 6/20/48 (b)(c) 1,187,214 1,188,333 
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.3884% 6/20/48 (b)(c) 1,115,995 1,122,577 
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5384% 12/20/49 (b)(c) 12,956,835 13,079,493 
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5384% 2/20/49 (b)(c) 3,494,874 3,541,385 
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.4884% 3/20/50 (b)(c) 12,197,748 12,291,727 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8232% 12/20/40 (b)(j) 671,127 800,108 
Series 2011-136 Class WI, 4.5% 5/20/40 (i) 34,957 2,267 
Series 2016-69 Class WA, 3% 2/20/46 447,666 474,346 
Series 2017-134 Class BA, 2.5% 11/20/46 183,990 191,373 
Series 2017-153 Class GA, 3% 9/20/47 1,570,213 1,658,091 
Series 2017-182 Class KA, 3% 10/20/47 1,286,006 1,358,585 
Series 2018-13 Class Q, 3% 4/20/47 1,791,738 1,852,968 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 208,616 232,572 
Series 2010-160 Class DY, 4% 12/20/40 1,478,936 1,602,374 
Series 2010-170 Class B, 4% 12/20/40 333,046 360,900 
Series 2017-139 Class BA, 3% 9/20/47 4,750,248 5,073,180 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.4045% 5/16/34 (b)(i)(j) 49,307 9,372 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.1045% 8/17/34 (b)(i)(j) 37,685 8,482 
Series 2010-116 Class QB, 4% 9/16/40 107,071 115,649 
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8545% 2/16/40 (b)(i)(j) 259,432 43,081 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4261% 5/20/60 (b)(c)(l) 352,629 352,707 
Series 2011-52 Class HI, 7% 4/16/41 (i) 46,304 8,789 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0116% 7/20/41 (b)(i)(j) 128,484 23,848 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.6045% 6/16/42 (b)(i)(j) 160,848 33,447 
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.5488% 4/20/39 (b)(j) 22,892 23,630 
Series 2013-149 Class MA, 2.5% 5/20/40 1,539,050 1,583,326 
Series 2014-2 Class BA, 3% 1/20/44 2,691,843 2,850,232 
Series 2014-21 Class HA, 3% 2/20/44 1,018,460 1,078,828 
Series 2014-25 Class HC, 3% 2/20/44 1,722,954 1,822,128 
Series 2014-5 Class A, 3% 1/20/44 1,515,274 1,596,159 
Series 2015-H13 Class HA, 2.5% 8/20/64 (l) 40,835 41,690 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.58% 5/20/66 (b)(c)(l) 2,644,721 2,627,838 
Series 2017-186 Class HK, 3% 11/16/45 1,447,851 1,529,631 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.43% 8/20/66 (b)(c)(l) 3,186,502 3,157,475 
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 3.9924% 5/20/65 (b)(l) 116,875 120,874 
TOTAL U.S. GOVERNMENT AGENCY  144,395,005 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $278,231,750)  284,506,359 
Commercial Mortgage Securities - 3.3%   
BAMLL Commercial Mortgage Securities Trust:   
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.846% 11/15/30 (a)(b)(c) 10,322,000 10,483,626 
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (a) 10,500,000 10,831,719 
Class ANM, 3.112% 11/5/32 (a) 5,768,000 6,008,813 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 1,295,000 1,290,423 
Class CNM, 3.8425% 11/5/32 (a)(b) 536,000 514,140 
BANK:   
sequential payer:   
Series 2018-BN10 Class A5, 3.688% 2/15/61 2,901,000 3,259,273 
Series 2019-BN21 Class A5, 2.851% 10/17/52 1,112,000 1,198,778 
Series 2021-BN33 Class XA, 1.1766% 5/15/64 (b)(i) 72,568,277 5,842,233 
Bayview Commercial Asset Trust floater:   
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.600% 0.6844% 11/25/35 (a)(b)(c) 34,249 32,708 
Class M1, 1 month U.S. LIBOR + 0.660% 0.7444% 11/25/35 (a)(b)(c) 9,162 8,477 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.580% 0.6694% 1/25/36 (a)(b)(c) 88,472 85,356 
Class M1, 1 month U.S. LIBOR + 0.670% 0.7594% 1/25/36 (a)(b)(c) 28,561 27,760 
Class M2, 1 month U.S. LIBOR + 0.700% 0.7894% 1/25/36 (a)(b)(c) 10,770 10,322 
Class M3, 1 month U.S. LIBOR + 0.750% 0.8344% 1/25/36 (a)(b)(c) 15,675 15,031 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.540% 0.6244% 4/25/36 (a)(b)(c) 14,332 13,613 
Class M1, 1 month U.S. LIBOR + 0.570% 0.6544% 4/25/36 (a)(b)(c) 8,666 8,083 
Class M2, 1 month U.S. LIBOR + 0.600% 0.6844% 4/25/36 (a)(b)(c) 9,166 8,318 
Class M6, 1 month U.S. LIBOR + 0.960% 1.0444% 4/25/36 (a)(b)(c) 8,666 7,663 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.460% 0.5494% 7/25/36 (a)(b)(c) 13,881 12,726 
Class M2, 1 month U.S. LIBOR + 0.490% 0.5794% 7/25/36 (a)(b)(c) 9,863 8,941 
Class M4, 1 month U.S. LIBOR + 0.630% 0.7144% 7/25/36 (a)(b)(c) 9,315 8,455 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.400% 0.4894% 12/25/36 (a)(b)(c) 197,219 187,725 
Class M1, 1 month U.S. LIBOR + 0.430% 0.5194% 12/25/36 (a)(b)(c) 15,850 14,418 
Class M3, 1 month U.S. LIBOR + 0.510% 0.5944% 12/25/36 (a)(b)(c) 10,744 8,997 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3544% 3/25/37 (a)(b)(c) 51,930 49,485 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 0.3544% 7/25/37 (a)(b)(c) 147,838 141,804 
Class A2, 1 month U.S. LIBOR + 0.320% 0.4044% 7/25/37 (a)(b)(c) 138,375 129,199 
Class M1, 1 month U.S. LIBOR + 0.370% 0.4544% 7/25/37 (a)(b)(c) 47,137 42,612 
Class M2, 1 month U.S. LIBOR + 0.410% 0.4944% 7/25/37 (a)(b)(c) 30,710 27,601 
Class M3, 1 month U.S. LIBOR + 0.490% 0.5744% 7/25/37 (a)(b)(c) 31,934 35,446 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 0.3744% 7/25/37 (a)(b)(c) 50,519 48,189 
Class M1, 1 month U.S. LIBOR + 0.310% 0.3944% 7/25/37 (a)(b)(c) 26,798 23,948 
Class M2, 1 month U.S. LIBOR + 0.340% 0.4244% 7/25/37 (a)(b)(c) 28,593 25,386 
Class M3, 1 month U.S. LIBOR + 0.370% 0.4544% 7/25/37 (a)(b)(c) 46,160 41,849 
Class M4, 1 month U.S. LIBOR + 0.500% 0.5844% 7/25/37 (a)(b)(c) 72,573 65,385 
Class M5, 1 month U.S. LIBOR + 0.600% 0.6844% 7/25/37 (a)(b)(c) 30,477 30,807 
Benchmark Mortgage Trust:   
sequential payer:   
Series 2018-B1 Class ASB, 3.602% 1/15/51 3,507,000 3,843,694 
Series 2018-B2 Class ASB, 3.7802% 2/15/51 1,800,000 1,973,275 
Series 2018-B4 Class A5, 4.121% 7/15/51 1,260,000 1,453,585 
Series 2019-B10 Class A4, 3.717% 3/15/62 2,283,000 2,587,063 
Series 2019-B13 Class A4, 2.952% 8/15/57 12,263,000 13,264,999 
Series 2018-B8 Class A5, 4.2317% 1/15/52 15,369,000 17,912,093 
Series 2019-B12 Class XA, 1.201% 8/15/52 (b)(i) 75,505,620 4,563,597 
Series 2019-B14 Class XA, 0.9105% 12/15/62 (b)(i) 50,666,979 2,318,506 
Series 2020-B17 Class XA, 1.541% 3/15/53 (b)(i) 11,988,245 1,019,056 
Series 2020-B18 Class XA, 1.9185% 7/15/53 (b)(i) 20,046,945 2,220,175 
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.146% 11/15/28 (a)(b)(c) 6,075,000 6,141,323 
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.85% 9/15/26 (a)(b)(c) 19,346,000 19,346,000 
BX Commercial Mortgage Trust:   
floater:   
Series 2018-BIOA:   
Class E, 1 month U.S. LIBOR + 1.950% 2.0471% 3/15/37 (a)(b)(c) 9,800,000 9,812,437 
Class F, 1 month U.S. LIBOR + 2.470% 2.5671% 3/15/37 (a)(b)(c) 2,450,000 2,452,981 
Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.096% 12/15/36 (a)(b)(c) 6,200,573 6,200,571 
Class C, 1 month U.S. LIBOR + 1.120% 1.216% 12/15/36 (a)(b)(c) 5,089,487 5,087,961 
Class D, 1 month U.S. LIBOR + 1.250% 1.346% 12/15/36 (a)(b)(c) 5,713,883 5,712,173 
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7483% 5/15/38 (a)(b)(c) 14,550,000 14,559,143 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.972% 11/15/32 (a)(b)(c) 2,254,000 2,255,410 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.896% 12/15/36 (a)(b)(c) 14,970,412 14,990,040 
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.096% 11/15/32 (a)(b)(c) 8,614,519 8,630,725 
BX Trust:   
floater:   
Series 2018-EXCL:   
Class A, 1 month U.S. LIBOR + 1.088% 1.1836% 9/15/37 (a)(b)(c) 10,493,048 10,493,570 
Class B, 1 month U.S. LIBOR + 1.320% 1.421% 9/15/37 (a)(b)(c) 4,141,884 4,087,492 
Class D, 1 month U.S. LIBOR + 2.620% 2.721% 9/15/37 (a)(b)(c) 1,996,388 1,684,334 
Series 2018-IND:   
Class B, 1 month U.S. LIBOR + 0.900% 0.996% 11/15/35 (a)(b)(c) 3,999,800 4,003,531 
Class C, 1 month U.S. LIBOR + 1.100% 1.196% 11/15/35 (a)(b)(c) 893,200 894,031 
Class F, 1 month U.S. LIBOR + 1.800% 1.896% 11/15/35 (a)(b)(c) 2,356,900 2,361,236 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 1.396% 4/15/34 (a)(b)(c) 4,437,000 4,425,946 
Class C, 1 month U.S. LIBOR + 1.600% 1.696% 4/15/34 (a)(b)(c) 2,933,000 2,924,054 
Class D, 1 month U.S. LIBOR + 1.900% 1.996% 4/15/34 (a)(b)(c) 3,079,000 3,062,034 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.176% 10/15/36 (a)(b)(c) 4,004,535 4,009,551 
Class C, 1 month U.S. LIBOR + 1.250% 1.346% 10/15/36 (a)(b)(c) 5,034,042 5,040,347 
Class D, 1 month U.S. LIBOR + 1.450% 1.546% 10/15/36 (a)(b)(c) 7,130,592 7,141,759 
Class E, 1 month U.S. LIBOR + 1.800% 1.896% 10/15/36 (a)(b)(c) 10,018,933 10,034,625 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.696% 12/15/36 (a)(b)(c) 5,420,549 5,425,805 
floater sequential payer:   
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.7955% 1/15/34 (a)(b)(c) 6,330,000 6,335,945 
Series 2021-SOAR Class A, 0.766% 6/15/38 (a)(b) 18,360,000 18,389,416 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.096% 4/15/34 (a)(b)(c) 6,400,000 6,399,999 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.016% 10/15/36 (a)(b)(c) 13,833,115 13,855,313 
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 17,655,000 19,037,826 
CF Hippolyta Issuer LLC sequential payer:   
Series 2020-1:   
Class A1, 1.69% 7/15/60 (a) 27,553,745 28,078,509 
Class A2, 1.99% 7/15/60 (a) 10,833,325 11,040,038 
Series 2021-1A Class A1, 1.53% 3/15/61 (a) 14,554,234 14,830,677 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0455% 11/15/36 (a)(b)(c) 4,222,000 4,221,999 
Class B, 1 month U.S. LIBOR + 1.250% 1.3455% 11/15/36 (a)(b)(c) 1,600,000 1,599,045 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.216% 6/15/34 (a)(b)(c) 28,328,229 28,328,221 
Class B, 1 month U.S. LIBOR + 1.500% 1.596% 6/15/34 (a)(b)(c) 2,163,210 2,160,627 
Class C, 1 month U.S. LIBOR + 1.750% 1.846% 6/15/34 (a)(b)(c) 2,444,160 2,433,464 
CIM Retail Portfolio Trust floater Series 2021-RETL:   
Class A, 1 month U.S. LIBOR + 1.400% 1.496% 8/15/36 (a)(b)(c) 10,885,000 10,898,185 
Class B, 1 month U.S. LIBOR + 1.900% 1.996% 8/15/36 (a)(b)(c) 3,280,000 3,284,087 
Class C, 1 month U.S. LIBOR + 2.300% 2.396% 8/15/36 (a)(b)(c) 2,493,000 2,496,111 
Class D, 1 month U.S. LIBOR + 3.050% 3.146% 8/15/36 (a)(b)(c) 3,078,000 3,081,839 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 740,000 793,768 
Series 2015-GC33 Class XA, 1.0341% 9/10/58 (b)(i) 1,569,557 47,912 
Series 2016-P6 Class XA, 0.8588% 12/10/49 (b)(i) 1,552,551 36,583 
Series 2019-GC41 Class XA, 1.1853% 8/10/56 (b)(i) 20,620,033 1,347,532 
COMM Mortgage Trust:   
sequential payer:   
Series 2014-CR18 Class A5, 3.828% 7/15/47 2,137,000 2,307,244 
Series 2017-CD4 Class ASB, 3.317% 5/10/50 10,467,000 11,240,958 
Series 2014-CR20 Class XA, 1.1515% 11/10/47 (b)(i) 365,389 9,935 
Series 2014-LC17 Class XA, 0.8809% 10/10/47 (b)(i) 1,187,756 20,894 
Series 2014-UBS6 Class XA, 1.0257% 12/10/47 (b)(i) 945,864 21,356 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.976% 12/15/31 (a)(b)(c) 273,770 273,958 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class B, 1 month U.S. LIBOR + 1.230% 1.326% 5/15/36 (a)(b)(c) 6,081,000 6,105,435 
Class C, 1 month U.S. LIBOR + 1.430% 1.526% 5/15/36 (a)(b)(c) 1,603,000 1,608,832 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) 3,554,000 3,687,762 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 4,971,000 5,229,146 
Class B, 4.5349% 4/15/36 (a) 1,471,000 1,537,622 
Class C, 4.9414% 4/15/36 (a)(b) 955,000 991,080 
Class D, 4.9414% 4/15/36 (a)(b) 1,909,000 1,926,509 
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 4,803,000 5,141,045 
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5573% 8/10/44 (a)(b) 1,143,090 1,141,665 
Extended Stay America Trust floater Series 2021-ESH:   
Class A, 1 month U.S. LIBOR + 1.080% 1.176% 7/15/38 (a)(b)(c) 7,637,000 7,660,588 
Class B, 1 month U.S. LIBOR + 1.380% 1.476% 7/15/38 (a)(b)(c) 4,220,000 4,235,993 
Class C, 1 month U.S. LIBOR + 1.700% 1.796% 7/15/38 (a)(b)(c) 3,160,000 3,175,833 
Class D, 1 month U.S. LIBOR + 2.250% 2.346% 7/15/38 (a)(b)(c) 7,984,000 8,043,686 
Freddie Mac floater:   
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 1/25/31 (b)(c) 26,400,000 26,436,614 
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 2/25/31 (b)(c) 29,600,000 29,626,326 
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (b)(c) 51,500,000 51,546,412 
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (b)(c) 24,100,000 24,121,490 
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (b)(c) 28,098,782 28,124,130 
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 4/25/31 (b)(c) 23,200,000 23,200,000 
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 5/25/28 (b)(c) 14,205,762 14,223,758 
Series 2021-F114 Class A/S, 0.27% 5/25/31 (b) 65,899,000 65,808,758 
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.26% 6/25/31 (b)(c) 77,180,000 77,039,239 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.546% 9/15/31 (a)(b)(c) 20,025,000 19,930,236 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.19% 10/15/31 (a)(b)(c) 3,300,000 3,299,999 
sequential payer:   
Series 2014-GC18 Class AAB, 3.648% 1/10/47 986,384 1,019,825 
Series 2016-GC34 Class AAB, 3.278% 10/10/48 2,138,285 2,254,999 
Series 2019-GC39 Class A4, 3.567% 5/10/52 130,000 146,120 
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a)(b) 10,878,760 10,922,146 
Series 2013-GC16 Class A/S, 4.649% 11/10/46 2,932,000 3,140,827 
Series 2015-GC30 Class A/S, 3.777% 5/10/50 2,577,000 2,775,848 
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (a) 24,200,000 24,503,499 
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 4,614,000 4,849,445 
JPMDB Commercial Mortgage Securities Trust sequential payer:   
Series 2017-C5 Class ASB, 3.4919% 3/15/50 3,236,000 3,457,956 
Series 2018-C8 Class ASB, 4.145% 6/15/51 8,779,000 9,867,008 
Series 2019-COR6 Class A4, 3.0565% 11/13/52 2,872,000 3,123,154 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 600,000 610,393 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.096% 9/15/29 (a)(b)(c) 6,400,000 6,407,946 
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 7,200,000 7,420,672 
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (a) 6,783,000 6,928,844 
Series 2012-CBX Class A/S, 4.2707% 6/15/45 31,528,000 32,261,600 
Series 2013-C16 Class A/S, 4.5169% 12/15/46 7,001,000 7,516,180 
Series 2013-LC11 Class A/S, 3.216% 4/15/46 5,691,000 5,880,582 
Series 2018-WPT:   
Class AFX, 4.2475% 7/5/33 (a) 84,000 88,888 
Class CFX, 4.9498% 7/5/33 (a) 767,000 806,652 
Class DFX, 5.3503% 7/5/33 (a) 1,370,000 1,439,326 
Class EFX, 5.5422% 7/5/33 (a) 1,614,000 1,664,322 
LIFE Mortgage Trust floater Series 2021-BMR:   
Class A, 1 month U.S. LIBOR + 0.700% 0.796% 3/15/38 (a)(b)(c) 13,421,000 13,433,632 
Class B, 1 month U.S. LIBOR + 0.880% 0.976% 3/15/38 (a)(b)(c) 2,940,000 2,942,769 
Class C, 1 month U.S. LIBOR + 1.100% 1.196% 3/15/38 (a)(b)(c) 2,038,000 2,039,918 
Class D, 1 month U.S. LIBOR + 1.400% 1.496% 3/15/38 (a)(b)(c) 2,834,000 2,835,774 
Class E, 1 month U.S. LIBOR + 1.750% 1.846% 3/15/38 (a)(b)(c) 2,476,000 2,477,082 
Merit floater:   
Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.246% 8/15/37 (a)(b)(c) 5,445,077 5,458,649 
Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.796% 7/15/38 (a)(b)(c) 8,363,000 8,365,486 
MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.8965% 4/15/38 (a)(b)(c) 34,600,000 34,620,611 
Morgan Stanley BAML Trust:   
sequential payer:   
Series 2016-C28 Class A3, 3.272% 1/15/49 5,963,441 6,327,320 
Series 2017-C33 Class A4, 3.337% 5/15/50 13,400,000 14,590,898 
Series 2012-C5 Class A/S, 3.792% 8/15/45 6,800,000 6,960,860 
Series 2012-C6 Class A/S, 3.476% 11/15/45 6,437,000 6,601,914 
Series 2015-C25 Class XA, 1.1987% 10/15/48 (b)(i) 913,922 31,013 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.946% 8/15/33 (a)(b)(c) 205,211 205,211 
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(c) 9,700,000 9,739,679 
sequential payer:   
Series 2019-L2 Class A3, 3.806% 3/15/52 100,000 111,433 
Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 16,247,000 17,051,673 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,991,000 3,502,445 
Series 2019-MEAD:   
Class B, 3.283% 11/10/36 (a)(b) 1,783,000 1,835,119 
Class C, 3.283% 11/10/36 (a)(b) 1,712,000 1,738,357 
Series 2021-L6 Class XA, 1.3563% 6/15/54 (i) 26,734,260 2,347,113 
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.296% 12/15/35 (a)(b)(c) 20,822,000 20,847,867 
Prima Capital Ltd.:   
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.8884% 12/15/37 (a)(b)(c) 4,403,000 4,402,995 
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5384% 12/15/37 (a)(b)(c) 6,769,835 6,769,827 
RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.196% 3/15/36 (a)(b)(c) 6,303,887 6,288,344 
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.896% 4/15/36 (a)(b)(c) 23,000,000 23,006,486 
UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2017-C1 Class ASB, 3.462% 11/15/50 1,400,000 1,520,021 
Series 2017-C7 Class ASB, 3.586% 12/15/50 1,000,000 1,090,449 
Series 2012-C1 Class A/S, 4.171% 5/10/45 9,200,000 9,324,916 
Series 2017-C7 Class XA, 1.1739% 12/15/50 (b)(i) 1,212,220 58,318 
UBS-Barclays Commercial Mortgage Trust:   
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8865% 4/10/46 (a)(b)(c) 110,576 110,314 
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (a) 4,200,000 4,303,965 
Series 2012-C3 Class A/S, 3.814% 8/10/49 (a) 12,000,000 12,353,200 
VLS Commercial Mortgage Trust:   
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) 8,020,000 8,131,201 
Series 2020-LAB:   
Class B, 2.453% 10/10/42 (a) 470,000 481,259 
Class X, 0.5162% 10/10/42 (a)(b)(i) 27,100,000 941,923 
Wells Fargo Commercial Mortgage Trust:   
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.296% 5/15/31 (a)(b)(c) 16,435,000 16,496,613 
sequential payer:   
Series 2015-C26 Class A4, 3.166% 2/15/48 11,250,000 12,027,832 
Series 2015-C29 Class ASB, 3.4% 6/15/48 4,624,428 4,847,538 
Series 2016-LC24 Class A3, 2.684% 10/15/49 4,700,000 4,955,827 
Series 2017-C40 Class ASB, 3.395% 10/15/50 1,000,000 1,080,536 
Series 2018-C44 Class ASB, 4.167% 5/15/51 1,000,000 1,121,198 
Series 2019-C52 Class A5, 2.892% 8/15/52 3,829,000 4,129,083 
Series 2019-C54 Class ASB, 3.063% 12/15/52 1,000,000 1,093,971 
Series 2015-SG1 Class ASB, 3.556% 9/15/48 4,057,405 4,255,866 
Series 2017-C42 Class XA, 1.0289% 12/15/50 (b)(i) 1,445,892 68,099 
Series 2018-C46 Class XA, 1.1018% 8/15/51 (b)(i) 38,979,676 1,695,745 
Series 2018-C48 Class A5, 4.302% 1/15/52 3,836,000 4,480,440 
Series 2019-C54 Class XA, 0.9667% 12/15/52 (b)(i) 63,703,282 3,762,074 
WF-RBS Commercial Mortgage Trust:   
Series 2012-C8 Class A/S, 3.66% 8/15/45 5,036,000 5,145,191 
Series 2012-C9 Class A/S, 3.388% 11/15/45 1,300,000 1,331,406 
Series 2013-C12 Class A/S, 3.56% 3/15/48 17,361,000 18,048,294 
Series 2013-C16 Class A/S, 4.668% 9/15/46 (b) 8,828,629 9,459,157 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,325,838,121)  1,332,829,173 
Municipal Securities - 0.1%   
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 4,720,000 4,581,285 
Illinois Gen. Oblig.:   
Series 2003: $ $ 
4.95% 6/1/23 2,400,364 2,544,788 
5.1% 6/1/33 22,095,000 26,245,289 
Series 2010-1, 6.63% 2/1/35 2,035,000 2,570,513 
Series 2010-3:   
6.725% 4/1/35 2,710,000 3,440,291 
7.35% 7/1/35 1,385,000 1,805,771 
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 15,065,880 
TOTAL MUNICIPAL SECURITIES   
(Cost $48,971,976)  56,253,817 
Foreign Government and Government Agency Obligations - 0.0%   
State of Qatar 3.4% 4/16/25
(Cost $4,100,552)(a) 		$4,110,000 $4,465,258 
 Shares Value 
Common Stocks - 0.0%   
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Jonah Energy Parent LLC (h)   
(Cost $65,550) 4,766 220,189 
 Principal Amount Value 
Bank Notes - 0.0%   
Discover Bank 4.682% 8/9/28 (b) 2,954,000 3,140,786 
KeyBank NA 6.95% 2/1/28 619,000 793,962 
Regions Bank 6.45% 6/26/37 4,251,000 6,098,765 
TOTAL BANK NOTES   
(Cost $8,494,022)  10,033,513 
 Shares Value 
Fixed-Income Funds - 58.2%   
Bank Loan Funds - 2.4%   
Fidelity Advisor Floating Rate High Income Fund - Class Z (m) 100,577,485 $949,451,458 
High Yield Fixed-Income Funds - 3.3%   
Fidelity Advisor High Income Fund - Class Z (m) 42,648,303 376,158,036 
Fidelity Advisor New Markets Income Fund - Class Z (m) 65,956,884 977,481,024 
TOTAL HIGH YIELD FIXED-INCOME FUNDS  1,353,639,060 
Inflation-Protected Bond Funds - 2.2%   
Fidelity Inflation-Protected Bond Index Fund (m) 78,301,354 901,248,585 
Intermediate Government Funds - 7.1%   
Fidelity SAI U.S. Treasury Bond Index Fund (m) 280,451,265 2,857,798,386 
Intermediate-Term Bond Funds - 36.7%   
Fidelity Advisor Corporate Bond Fund - Class Z (m) 78,648,709 1,003,557,523 
Fidelity Advisor Global Credit Fund - Class Z (m) 3,153,096 31,530,960 
Fidelity Intermediate Bond Fund (m) 58,143,081 653,528,235 
Fidelity SAI Total Bond Fund (m) 1,083,234,708 11,558,114,279 
Fidelity Sustainability Bond Index Fund (m) 2,371,405 25,729,742 
Fidelity U.S. Bond Index Fund (m) 131,295,357 1,601,803,353 
TOTAL INTERMEDIATE-TERM BOND FUNDS  14,874,264,092 
Long Government Bond Funds - 4.7%   
Fidelity SAI Long-Term Treasury Bond Index Fund (m) 167,898,345 1,919,078,086 
Sector Funds - 1.8%   
Fidelity Advisor Real Estate Income Fund Class Z (m) 53,610,738 730,714,364 
TOTAL FIXED-INCOME FUNDS   
(Cost $22,935,745,213)  23,586,194,031 
 Principal Amount Value 
Preferred Securities - 0.1%   
FINANCIALS - 0.1%   
Banks - 0.1%   
Bank of Nova Scotia 4.65% (b)(n) 13,095,000 13,245,593 
Barclays Bank PLC 7.625% 11/21/22 12,633,000 13,627,849 
  26,873,442 
Consumer Finance - 0.0%   
Ally Financial, Inc. 4.7% (b)(n) 2,600,000 2,736,500 
TOTAL FINANCIALS   
(Cost $28,516,825)  29,609,942 
 Shares Value 
Money Market Funds - 8.5%   
Fidelity Cash Central Fund 0.06% (o) 2,555,617,593 2,556,128,716 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (m)(p) 888,499,181 888,499,181 
TOTAL MONEY MARKET FUNDS   
(Cost $3,444,627,858)  3,444,627,897 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
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 $143,409 
Option on an interest rate swap with Morgan Stanley Capital Services to pay semi-annually a fixed rate of 1.9975% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2031 6/24/26 71,000,000 1,824,760 
TOTAL PUT OPTIONS   1,968,169 
Call Options - 0.0%    
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 12,300,000 582,225 
Option on an interest rate swap with Morgan Stanley Capital Services to receive semi-annually a fixed rate of 1.9975% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2031 6/24/26 71,000,000 2,494,432 
TOTAL CALL OPTIONS   3,076,657 
TOTAL PURCHASED SWAPTIONS    
(Cost $5,092,888)   5,044,826 
TOTAL INVESTMENT IN SECURITIES - 114.3%    
(Cost $45,096,205,043)   46,320,554,219 
NET OTHER ASSETS (LIABILITIES) - (14.3)%   (5,787,163,875) 
NET ASSETS - 100%   $40,533,390,344 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2% 9/1/51 $(47,000,000) $(47,992,640) 
2% 9/1/51 (15,300,000) (15,623,136) 
2% 9/1/51 (46,450,000) (47,431,024) 
2% 9/1/51 (15,100,000) (15,418,912) 
2% 9/1/51 (3,600,000) (3,676,032) 
2% 9/1/51 (3,600,000) (3,676,032) 
2.5% 9/1/51 (28,600,000) (29,657,353) 
2.5% 9/1/51 (9,500,000) (9,851,219) 
3% 9/1/51 (14,700,000) (15,367,242) 
3% 9/1/51 (15,200,000) (15,889,937) 
3% 9/1/51 (11,950,000) (12,492,418) 
3% 9/1/51 (4,750,000) (4,965,605) 
3% 9/1/51 (2,775,000) (2,900,959) 
3% 9/1/51 (32,250,000) (33,713,847) 
3% 9/1/51 (30,800,000) (32,198,030) 
3% 9/1/51 (11,900,000) (12,440,148) 
3% 9/1/51 (4,300,000) (4,495,180) 
3% 9/1/51 (5,350,000) (5,592,840) 
3% 9/1/51 (1,200,000) (1,254,469) 
3% 9/1/51 (9,550,000) (9,983,480) 
3% 9/1/51 (3,750,000) (3,920,215) 
3% 9/1/51 (7,150,000) (7,474,543) 
3% 9/1/51 (2,650,000) (2,770,285) 
3% 9/1/51 (18,450,000) (19,287,457) 
3% 9/1/51 (7,000,000) (7,317,734) 
3% 9/1/51 (18,175,000) (18,999,974) 
3% 9/1/51 (4,300,000) (4,495,180) 
3% 9/1/51 (14,700,000) (15,367,242) 
4% 9/1/51 (61,400,000) (65,046,890) 
TOTAL GINNIE MAE  (469,300,023) 
Uniform Mortgage Backed Securities   
1.5% 9/1/51 (800,000) (786,363) 
1.5% 9/1/51 (2,650,000) (2,604,827) 
1.5% 9/1/51 (500,000) (491,477) 
1.5% 9/1/51 (1,550,000) (1,523,578) 
1.5% 9/1/51 (200,000) (196,591) 
1.5% 9/1/51 (50,000) (49,148) 
1.5% 9/1/51 (18,100,000) (17,791,462) 
1.5% 9/1/51 (6,200,000) (6,094,313) 
1.5% 9/1/51 (18,100,000) (17,791,462) 
1.5% 9/1/51 (6,200,000) (6,094,313) 
1.5% 9/1/51 (44,200,000) (43,446,554) 
1.5% 9/1/51 (7,150,000) (7,028,119) 
1.5% 9/1/51 (5,900,000) (5,799,427) 
1.5% 9/1/51 (17,150,000) (16,857,656) 
1.5% 9/1/51 (5,700,000) (5,602,836) 
1.5% 9/1/51 (16,700,000) (16,415,327) 
1.5% 9/1/51 (53,150,000) (52,243,989) 
1.5% 9/1/51 (10,600,000) (10,419,309) 
1.5% 9/1/51 (21,300,000) (20,936,914) 
1.5% 9/1/51 (5,250,000) (5,160,507) 
1.5% 9/1/51 (9,900,000) (9,731,242) 
1.5% 9/1/51 (2,400,000) (2,359,089) 
1.5% 9/1/51 (27,800,000) (27,326,113) 
1.5% 9/1/51 (12,100,000) (11,893,740) 
1.5% 9/1/51 (800,000) (786,363) 
1.5% 9/1/51 (2,650,000) (2,604,827) 
2% 9/1/51 (61,200,000) (62,071,635) 
2% 9/1/51 (61,200,000) (62,071,635) 
2% 9/1/51 (21,800,000) (22,110,484) 
2% 9/1/51 (21,800,000) (22,110,484) 
2% 9/1/51 (31,650,000) (32,100,772) 
2% 9/1/51 (10,700,000) (10,852,394) 
2% 9/1/51 (31,650,000) (32,100,772) 
2% 9/1/51 (10,700,000) (10,852,394) 
2% 9/1/51 (60,750,000) (61,615,226) 
2% 9/1/51 (21,650,000) (21,958,348) 
2% 9/1/51 (56,950,000) (57,761,105) 
2% 9/1/51 (19,700,000) (19,980,575) 
2% 9/1/51 (64,400,000) (65,317,211) 
2% 9/1/51 (21,250,000) (21,552,651) 
2% 9/1/51 (6,800,000) (6,896,848) 
2% 9/1/51 (2,250,000) (2,282,045) 
2% 9/1/51 (35,900,000) (36,411,302) 
2% 9/1/51 (7,500,000) (7,606,818) 
2% 9/1/51 (11,950,000) (12,120,197) 
2% 9/1/51 (1,700,000) (1,724,212) 
2% 9/1/51 (7,050,000) (7,150,409) 
2% 9/1/51 (19,750,000) (20,031,287) 
2% 9/1/51 (19,750,000) (20,031,287) 
2% 9/1/51 (61,200,000) (62,071,635) 
2% 9/1/51 (60,800,000) (61,665,938) 
2% 9/1/51 (48,350,000) (49,038,620) 
2% 9/1/51 (12,850,000) (13,033,015) 
2% 9/1/51 (9,650,000) (9,787,439) 
2% 9/1/51 (3,200,000) (3,245,576) 
2% 9/1/51 (7,050,000) (7,150,409) 
2% 9/1/51 (21,800,000) (22,110,484) 
2% 9/1/51 (21,650,000) (21,958,348) 
2% 9/1/51 (21,800,000) (22,110,484) 
2.5% 9/1/51 (19,100,000) (19,840,129) 
2.5% 9/1/51 (10,900,000) (11,322,377) 
2.5% 9/1/51 (29,800,000) (30,954,756) 
2.5% 9/1/51 (10,000,000) (10,387,502) 
2.5% 9/1/51 (48,700,000) (50,587,135) 
2.5% 9/1/51 (16,450,000) (17,087,441) 
2.5% 9/1/51 (54,550,000) (56,663,823) 
2.5% 9/1/51 (18,550,000) (19,268,816) 
2.5% 9/1/51 (18,550,000) (19,268,816) 
2.5% 9/1/51 (400,000) (415,500) 
2.5% 9/1/51 (13,750,000) (14,282,815) 
2.5% 9/1/51 (5,600,000) (5,817,001) 
2.5% 9/1/51 (8,500,000) (8,829,377) 
2.5% 9/1/51 (5,700,000) (5,920,876) 
2.5% 9/1/51 (2,800,000) (2,908,501) 
2.5% 9/1/51 (32,500,000) (33,759,382) 
3% 9/1/51 (30,800,000) (32,217,280) 
3% 9/1/51 (11,900,000) (12,447,586) 
3% 9/1/51 (7,150,000) (7,479,012) 
3% 9/1/51 (18,450,000) (19,298,988) 
3% 9/1/51 (7,000,000) (7,322,109) 
3% 9/1/51 (18,175,000) (19,011,334) 
3% 9/1/51 (14,700,000) (15,376,429) 
3% 9/1/51 (4,300,000) (4,497,867) 
3% 9/1/51 (8,500,000) (8,891,133) 
3% 9/1/51 (5,700,000) (5,962,289) 
3% 9/1/51 (37,600,000) (39,330,187) 
3% 9/1/51 (7,500,000) (7,845,117) 
3% 9/1/51 (28,800,000) (30,125,249) 
3% 9/1/51 (11,700,000) (12,238,383) 
3% 9/1/51 (6,000,000) (6,276,094) 
3% 9/1/51 (13,600,000) (14,225,812) 
3% 9/1/51 (8,300,000) (8,681,929) 
3% 9/1/51 (7,300,000) (7,635,914) 
3% 9/1/51 (4,400,000) (4,602,469) 
3% 9/1/51 (12,925,000) (13,519,752) 
3% 9/1/51 (3,175,000) (3,321,100) 
3% 9/1/51 (26,675,000) (27,902,466) 
3% 9/1/51 (2,800,000) (2,928,844) 
3% 9/1/51 (5,200,000) (5,439,281) 
3% 9/1/51 (7,275,000) (7,609,763) 
3% 9/1/51 (10,350,000) (10,826,261) 
3% 9/1/51 (6,900,000) (7,217,508) 
3% 9/1/51 (69,425,000) (72,619,633) 
3% 9/1/51 (10,350,000) (10,826,261) 
3% 9/1/51 (1,950,000) (2,039,730) 
3% 9/1/51 (27,000,000) (28,242,421) 
3% 9/1/51 (5,200,000) (5,439,281) 
3% 9/1/51 (11,700,000) (12,238,383) 
3% 9/1/51 (850,000) (889,113) 
3% 9/1/51 (6,750,000) (7,060,605) 
3% 9/1/51 (41,900,000) (43,828,054) 
3% 9/1/51 (9,250,000) (9,675,644) 
3% 10/1/51 (27,000,000) (28,227,658) 
3% 10/1/51 (16,900,000) (17,668,423) 
3% 10/1/51 (27,000,000) (28,227,658) 
3% 10/1/51 (11,700,000) (12,231,985) 
3% 10/1/51 (5,200,000) (5,436,438) 
3.5% 9/1/51 (11,650,000) (12,323,516) 
3.5% 9/1/51 (19,400,000) (20,521,563) 
3.5% 9/1/51 (8,600,000) (9,097,188) 
3.5% 9/1/51 (1,350,000) (1,428,047) 
3.5% 9/1/51 (1,675,000) (1,771,836) 
3.5% 9/1/51 (14,800,000) (15,655,625) 
3.5% 9/1/51 (4,500,000) (4,760,156) 
3.5% 9/1/51 (34,100,000) (36,071,406) 
3.5% 9/1/51 (12,300,000) (13,011,094) 
3.5% 9/1/51 (6,825,000) (7,219,570) 
3.5% 9/1/51 (27,600,000) (29,195,625) 
3.5% 9/1/51 (19,400,000) (20,521,563) 
3.5% 9/1/51 (450,000) (476,009) 
3.5% 9/1/51 (60,500,000) (63,997,656) 
3.5% 9/1/51 (13,950,000) (14,756,484) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (2,365,920,613) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $2,833,179,158)  $(2,835,220,636) 

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) 1,361 Dec. 2021 $181,629,703 $(172,187) $(172,187) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 40 Dec. 2021 4,948,750 3,098 3,098 
TOTAL PURCHASED     (169,089) 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 5 Dec. 2021 667,266 978 978 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 2,986 Dec. 2021 657,899,781 (390,194) (390,194) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 626 Dec. 2021 77,447,938 (54,024) (54,024) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 240 Dec. 2021 39,112,500 301,902 301,902 
TOTAL SOLD     (141,338) 
TOTAL FUTURES CONTRACTS     $(310,427) 

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 1.9%

Swaps

Underlying Reference Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Buy Protection         
CMBX N.A. AAA Index Series 13 Dec. 2072 Citigroup Global Markets Ltd. (0.5%) Monthly $3,350,000 $(6,560) $19,616 $13,056 
CMBX N.A. AAA Index Series 13 Dec. 2072 Citigroup Global Markets Ltd. (0.5%) Monthly 7,650,000 (14,981) 34,965 19,984 
CMBX N.A. AAA Index Series 13 Dec. 2072 Goldman Sachs & Co. LLC (0.5%) Monthly 9,000,000 (17,625) 24,484 6,859 
CMBX N.A. AAA Index Series 13 Dec. 2072 JPMorgan Securities LLC (0.5%) Monthly 520,000 (1,018) 2,738 1,720 
CMBX N.A. AAA Index Series 13 Dec. 2072 Morgan Stanley Capital Services LLC (0.5%) Monthly 3,760,000 (7,363) 8,758 1,395 
TOTAL CREDIT DEFAULT SWAPS      $(47,547) $90,561 $43,014 

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 Sep. 2023 $185,090,000 $192,689 $0 $192,689 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2026 47,342,000 435,594 0 435,594 
0.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2028 14,550,000 314,818 0 314,818 
3-month LIBOR(3) Quarterly 1% Semi - annual LCH Sep. 2031 13,266,000 (158,344) 0 (158,344) 
1.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Sep. 2051 3,303,000 296,216 0 296,216 
TOTAL INTEREST RATE SWAPS       $1,080,973 $0 $1,080,973 

 (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 $2,637,412,171 or 6.5% of net assets.

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

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

 (d) 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 $2,021,559.

 (e) 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 $3,383,983.

 (f) 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 $273,611.

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

 (h) Level 3 security

 (i) 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.

 (j) 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.

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

 (l) 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.

 (m) Affiliated Fund

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

 (o) 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.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $2,065,023,730 $1,906,400,206 $1,415,295,220 $310,934 $-- $-- $2,556,128,716 4.0% 
Total $2,065,023,730 $1,906,400,206 $1,415,295,220 $310,934 $-- $-- $2,556,128,716  

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 is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Corporate Bond Fund - Class Z $-- $1,791,768  $-- $1,722,899 $-- $42,159,736 $1,003,557,523 
Fidelity Advisor Floating Rate High Income Fund - Class Z -- 52,137,959  -- 2,137,959 -- 10,163,094 949,451,458 
Fidelity Advisor Global Credit Fund - Class Z -- -- -- -- -- 1,648,332 31,530,960 
Fidelity Advisor High Income Fund - Class Z -- 1,093,743  -- 1,051,833 -- 22,957,255 376,158,036 
Fidelity Advisor New Markets Income Fund - Class Z -- 77,413,190  -- 2,413,190 -- 9,448,492 977,481,024 
Fidelity Advisor Real Estate Income Fund Class I 646,246,691 49,903  -- 49,903 -- (71,882,750) -- 
Fidelity Advisor Real Estate Income Fund Class Z -- 50,000,001  -- -- -- 106,300,519 730,714,364 
Fidelity Corporate Bond Fund 828,101,099 154,935,371  -- 4,000,681 -- (23,430,451) -- 
Fidelity Floating Rate High Income Fund 792,379,385 104,706,150  -- 4,779,374 -- (9,935,130) -- 
Fidelity Global Credit Fund 30,723,536 113,325  -- 113,325 -- (968,021) -- 
Fidelity High Income Fund 292,575,915 77,332,952  -- 2,374,020 -- (17,801,828) -- 
Fidelity Inflation-Protected Bond Index Fund 749,815,600 125,000,002  -- 2 -- 26,432,983 901,248,585 
Fidelity Intermediate Bond Fund 548,937,405 102,092,548 -- 2,092,548 -- 2,498,282 653,528,235 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% 1,590,674,573 2,661,176,621 3,363,352,013 30,417 -- -- 888,499,181 
Fidelity New Markets Income Fund 711,717,114 180,052,864  -- 5,138,570 -- (1,150,636) -- 
Fidelity SAI Long-Term Treasury Bond Index Fund 1,166,946,960 657,144,704 -- 7,144,704 -- 94,986,422 1,919,078,086 
Fidelity SAI Total Bond Fund 10,738,130,397 664,195,921 -- 64,195,939 -- 155,787,961 11,558,114,279 
Fidelity SAI U.S. Treasury Bond Index Fund 2,358,068,459 456,077,253 -- 6,077,253 -- 43,652,674 2,857,798,386 
Fidelity Sustainability Bond Index Fund 25,317,551 81,175 -- 81,177 -- 331,016 25,729,742 
Fidelity U.S. Bond Index Fund 1,030,314,170 555,967,966 -- 5,967,966 -- 15,521,217 1,601,803,353 
Total $21,509,948,855 $5,921,363,416 $3,363,352,013 $109,371,760  $-- $406,719,167 $24,474,693,212 

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. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 in the hierarchy. The market approach generally consists of using comparable market transactions while the income approach generally consists of using the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

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 any open-end mutual funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Derivative Instruments

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date. The Fund used futures contracts to manage its exposure to fluctuations in interest rates. Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract’s exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates. Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

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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